nautilus_bitmex/http/

parse.rs

// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

//! Conversion routines that map BitMEX REST models into Nautilus domain structures.

use nautilus_core::{UnixNanos, time::get_atomic_clock_realtime, uuid::UUID4};
use nautilus_model::{
    data::{Bar, BarType, TradeTick},
    enums::{ContingencyType, OrderSide, OrderStatus, OrderType, TimeInForce, TriggerType},
    identifiers::{AccountId, ClientOrderId, OrderListId, Symbol, TradeId, VenueOrderId},
    instruments::{CryptoFuture, CryptoPerpetual, CurrencyPair, Instrument, InstrumentAny},
    reports::{FillReport, OrderStatusReport, PositionStatusReport},
    types::{Currency, Money, Price, Quantity, fixed::FIXED_PRECISION},
};
use rust_decimal::{Decimal, prelude::FromPrimitive};
use ustr::Ustr;
use uuid::Uuid;

use super::models::{
    BitmexExecution, BitmexInstrument, BitmexOrder, BitmexPosition, BitmexTrade, BitmexTradeBin,
};
use crate::common::{
    enums::{BitmexExecInstruction, BitmexExecType, BitmexInstrumentState, BitmexInstrumentType},
    parse::{
        clean_reason, convert_contract_quantity, derive_contract_decimal_and_increment,
        map_bitmex_currency, normalize_trade_bin_prices, normalize_trade_bin_volume,
        parse_aggressor_side, parse_contracts_quantity, parse_instrument_id, parse_liquidity_side,
        parse_optional_datetime_to_unix_nanos, parse_position_side,
        parse_signed_contracts_quantity,
    },
};

/// Result of attempting to parse a BitMEX instrument.
#[derive(Debug)]
pub enum InstrumentParseResult {
    /// Successfully parsed into a Nautilus instrument.
    Ok(Box<InstrumentAny>),
    /// Instrument type is not yet supported (intentionally skipped).
    Unsupported {
        symbol: String,
        instrument_type: BitmexInstrumentType,
    },
    /// Instrument is not tradeable (delisted, settled, unlisted).
    Inactive {
        symbol: String,
        state: BitmexInstrumentState,
    },
    /// Failed to parse due to an error.
    Failed {
        symbol: String,
        instrument_type: BitmexInstrumentType,
        error: String,
    },
}

/// Returns the appropriate position multiplier for a BitMEX instrument.
///
/// For inverse contracts, BitMEX uses `underlyingToSettleMultiplier` to define contract sizing,
/// with fallback to `underlyingToPositionMultiplier` for older historical data.
/// For linear contracts, BitMEX uses `underlyingToPositionMultiplier`.
fn get_position_multiplier(definition: &BitmexInstrument) -> Option<f64> {
    if definition.is_inverse {
        definition
            .underlying_to_settle_multiplier
            .or(definition.underlying_to_position_multiplier)
    } else {
        definition.underlying_to_position_multiplier
    }
}

/// Attempts to convert a BitMEX instrument record into a Nautilus instrument by type.
#[must_use]
pub fn parse_instrument_any(
    instrument: &BitmexInstrument,
    ts_init: UnixNanos,
) -> InstrumentParseResult {
    let symbol = instrument.symbol.to_string();
    let instrument_type = instrument.instrument_type;

    match instrument.state {
        BitmexInstrumentState::Open | BitmexInstrumentState::Closed => {}
        state @ (BitmexInstrumentState::Unlisted
        | BitmexInstrumentState::Settled
        | BitmexInstrumentState::Delisted) => {
            return InstrumentParseResult::Inactive { symbol, state };
        }
    }

    match instrument.instrument_type {
        BitmexInstrumentType::Spot => match parse_spot_instrument(instrument, ts_init) {
            Ok(inst) => InstrumentParseResult::Ok(Box::new(inst)),
            Err(e) => InstrumentParseResult::Failed {
                symbol,
                instrument_type,
                error: e.to_string(),
            },
        },
        BitmexInstrumentType::PerpetualContract | BitmexInstrumentType::PerpetualContractFx => {
            // Handle both crypto and FX perpetuals the same way
            match parse_perpetual_instrument(instrument, ts_init) {
                Ok(inst) => InstrumentParseResult::Ok(Box::new(inst)),
                Err(e) => InstrumentParseResult::Failed {
                    symbol,
                    instrument_type,
                    error: e.to_string(),
                },
            }
        }
        BitmexInstrumentType::Futures => match parse_futures_instrument(instrument, ts_init) {
            Ok(inst) => InstrumentParseResult::Ok(Box::new(inst)),
            Err(e) => InstrumentParseResult::Failed {
                symbol,
                instrument_type,
                error: e.to_string(),
            },
        },
        BitmexInstrumentType::PredictionMarket => {
            // Prediction markets work similarly to futures (bounded 0-100, cash settled)
            match parse_futures_instrument(instrument, ts_init) {
                Ok(inst) => InstrumentParseResult::Ok(Box::new(inst)),
                Err(e) => InstrumentParseResult::Failed {
                    symbol,
                    instrument_type,
                    error: e.to_string(),
                },
            }
        }
        BitmexInstrumentType::BasketIndex
        | BitmexInstrumentType::CryptoIndex
        | BitmexInstrumentType::FxIndex
        | BitmexInstrumentType::LendingIndex
        | BitmexInstrumentType::VolatilityIndex
        | BitmexInstrumentType::StockIndex
        | BitmexInstrumentType::YieldIndex => {
            // Parse index instruments as perpetuals for cache purposes
            // They need to be in cache for WebSocket price updates
            match parse_index_instrument(instrument, ts_init) {
                Ok(inst) => InstrumentParseResult::Ok(Box::new(inst)),
                Err(e) => InstrumentParseResult::Failed {
                    symbol,
                    instrument_type,
                    error: e.to_string(),
                },
            }
        }

        // Explicitly list unsupported types for clarity
        BitmexInstrumentType::StockPerpetual
        | BitmexInstrumentType::CallOption
        | BitmexInstrumentType::PutOption
        | BitmexInstrumentType::SwapRate
        | BitmexInstrumentType::ReferenceBasket
        | BitmexInstrumentType::LegacyFutures
        | BitmexInstrumentType::LegacyFuturesN
        | BitmexInstrumentType::FuturesSpreads => InstrumentParseResult::Unsupported {
            symbol,
            instrument_type,
        },
    }
}

/// Parse a BitMEX index instrument into a Nautilus `InstrumentAny`.
///
/// Index instruments are parsed as perpetuals with minimal fields to support
/// price update lookups in the WebSocket.
///
/// # Errors
///
/// Returns an error if values are out of valid range or cannot be parsed.
pub fn parse_index_instrument(
    definition: &BitmexInstrument,
    ts_init: UnixNanos,
) -> anyhow::Result<InstrumentAny> {
    let instrument_id = parse_instrument_id(definition.symbol);
    let raw_symbol = Symbol::new(definition.symbol);

    let base_currency = Currency::USD();
    let quote_currency = Currency::USD();
    let settlement_currency = Currency::USD();

    let price_increment = Price::from(definition.tick_size.to_string());
    let size_increment = Quantity::from(1); // Indices don't have tradeable sizes

    Ok(InstrumentAny::CryptoPerpetual(CryptoPerpetual::new(
        instrument_id,
        raw_symbol,
        base_currency,
        quote_currency,
        settlement_currency,
        false, // is_inverse
        price_increment.precision,
        size_increment.precision,
        price_increment,
        size_increment,
        None, // multiplier
        None, // lot_size
        None, // max_quantity
        None, // min_quantity
        None, // max_notional
        None, // min_notional
        None, // max_price
        None, // min_price
        None, // margin_init
        None, // margin_maint
        None, // maker_fee
        None, // taker_fee
        ts_init,
        ts_init,
    )))
}

/// Parse a BitMEX spot instrument into a Nautilus `InstrumentAny`.
///
/// # Errors
///
/// Returns an error if values are out of valid range or cannot be parsed.
pub fn parse_spot_instrument(
    definition: &BitmexInstrument,
    ts_init: UnixNanos,
) -> anyhow::Result<InstrumentAny> {
    let instrument_id = parse_instrument_id(definition.symbol);
    let raw_symbol = Symbol::new(definition.symbol);
    let base_currency = get_currency(&definition.underlying.to_uppercase());
    let quote_currency = get_currency(&definition.quote_currency.to_uppercase());

    let price_increment = Price::from(definition.tick_size.to_string());

    let max_scale = FIXED_PRECISION as u32;
    let (contract_decimal, size_increment) =
        derive_contract_decimal_and_increment(get_position_multiplier(definition), max_scale)?;

    let min_quantity = convert_contract_quantity(
        definition.lot_size,
        contract_decimal,
        max_scale,
        "minimum quantity",
    )?;

    let taker_fee = definition
        .taker_fee
        .and_then(|fee| Decimal::try_from(fee).ok())
        .unwrap_or(Decimal::ZERO);
    let maker_fee = definition
        .maker_fee
        .and_then(|fee| Decimal::try_from(fee).ok())
        .unwrap_or(Decimal::ZERO);

    let margin_init = definition
        .init_margin
        .as_ref()
        .and_then(|margin| Decimal::try_from(*margin).ok())
        .unwrap_or(Decimal::ZERO);
    let margin_maint = definition
        .maint_margin
        .as_ref()
        .and_then(|margin| Decimal::try_from(*margin).ok())
        .unwrap_or(Decimal::ZERO);

    let lot_size =
        convert_contract_quantity(definition.lot_size, contract_decimal, max_scale, "lot size")?;
    let max_quantity = convert_contract_quantity(
        definition.max_order_qty,
        contract_decimal,
        max_scale,
        "max quantity",
    )?;
    let max_notional: Option<Money> = None;
    let min_notional: Option<Money> = None;
    let max_price = definition
        .max_price
        .map(|price| Price::from(price.to_string()));
    let min_price = None;
    let ts_event = UnixNanos::from(definition.timestamp);

    let instrument = CurrencyPair::new(
        instrument_id,
        raw_symbol,
        base_currency,
        quote_currency,
        price_increment.precision,
        size_increment.precision,
        price_increment,
        size_increment,
        None, // multiplier
        lot_size,
        max_quantity,
        min_quantity,
        max_notional,
        min_notional,
        max_price,
        min_price,
        Some(margin_init),
        Some(margin_maint),
        Some(maker_fee),
        Some(taker_fee),
        ts_event,
        ts_init,
    );

    Ok(InstrumentAny::CurrencyPair(instrument))
}

/// Parse a BitMEX perpetual instrument into a Nautilus `InstrumentAny`.
///
/// # Errors
///
/// Returns an error if values are out of valid range or cannot be parsed.
pub fn parse_perpetual_instrument(
    definition: &BitmexInstrument,
    ts_init: UnixNanos,
) -> anyhow::Result<InstrumentAny> {
    let instrument_id = parse_instrument_id(definition.symbol);
    let raw_symbol = Symbol::new(definition.symbol);
    let base_currency = get_currency(&definition.underlying.to_uppercase());
    let quote_currency = get_currency(&definition.quote_currency.to_uppercase());
    let settlement_currency = get_currency(&definition.settl_currency.as_ref().map_or_else(
        || definition.quote_currency.to_uppercase(),
        |s| s.to_uppercase(),
    ));
    let is_inverse = definition.is_inverse;

    let price_increment = Price::from(definition.tick_size.to_string());

    let max_scale = FIXED_PRECISION as u32;
    let (contract_decimal, size_increment) =
        derive_contract_decimal_and_increment(get_position_multiplier(definition), max_scale)?;

    let lot_size =
        convert_contract_quantity(definition.lot_size, contract_decimal, max_scale, "lot size")?;

    let taker_fee = definition
        .taker_fee
        .and_then(|fee| Decimal::try_from(fee).ok())
        .unwrap_or(Decimal::ZERO);
    let maker_fee = definition
        .maker_fee
        .and_then(|fee| Decimal::try_from(fee).ok())
        .unwrap_or(Decimal::ZERO);

    let margin_init = definition
        .init_margin
        .as_ref()
        .and_then(|margin| Decimal::try_from(*margin).ok())
        .unwrap_or(Decimal::ZERO);
    let margin_maint = definition
        .maint_margin
        .as_ref()
        .and_then(|margin| Decimal::try_from(*margin).ok())
        .unwrap_or(Decimal::ZERO);

    // TODO: How to handle negative multipliers?
    let multiplier = Some(Quantity::new_checked(definition.multiplier.abs(), 0)?);
    let max_quantity = convert_contract_quantity(
        definition.max_order_qty,
        contract_decimal,
        max_scale,
        "max quantity",
    )?;
    let min_quantity = lot_size;
    let max_notional: Option<Money> = None;
    let min_notional: Option<Money> = None;
    let max_price = definition
        .max_price
        .map(|price| Price::from(price.to_string()));
    let min_price = None;
    let ts_event = UnixNanos::from(definition.timestamp);

    let instrument = CryptoPerpetual::new(
        instrument_id,
        raw_symbol,
        base_currency,
        quote_currency,
        settlement_currency,
        is_inverse,
        price_increment.precision,
        size_increment.precision,
        price_increment,
        size_increment,
        multiplier,
        lot_size,
        max_quantity,
        min_quantity,
        max_notional,
        min_notional,
        max_price,
        min_price,
        Some(margin_init),
        Some(margin_maint),
        Some(maker_fee),
        Some(taker_fee),
        ts_event,
        ts_init,
    );

    Ok(InstrumentAny::CryptoPerpetual(instrument))
}

/// Parse a BitMEX futures instrument into a Nautilus `InstrumentAny`.
///
/// # Errors
///
/// Returns an error if values are out of valid range or cannot be parsed.
pub fn parse_futures_instrument(
    definition: &BitmexInstrument,
    ts_init: UnixNanos,
) -> anyhow::Result<InstrumentAny> {
    let instrument_id = parse_instrument_id(definition.symbol);
    let raw_symbol = Symbol::new(definition.symbol);
    let underlying = get_currency(&definition.underlying.to_uppercase());
    let quote_currency = get_currency(&definition.quote_currency.to_uppercase());
    let settlement_currency = get_currency(&definition.settl_currency.as_ref().map_or_else(
        || definition.quote_currency.to_uppercase(),
        |s| s.to_uppercase(),
    ));
    let is_inverse = definition.is_inverse;

    let ts_event = UnixNanos::from(definition.timestamp);
    let activation_ns = definition
        .listing
        .as_ref()
        .map_or(ts_event, |dt| UnixNanos::from(*dt));
    let expiration_ns = parse_optional_datetime_to_unix_nanos(&definition.expiry, "expiry");
    let price_increment = Price::from(definition.tick_size.to_string());

    let max_scale = FIXED_PRECISION as u32;
    let (contract_decimal, size_increment) =
        derive_contract_decimal_and_increment(get_position_multiplier(definition), max_scale)?;

    let lot_size =
        convert_contract_quantity(definition.lot_size, contract_decimal, max_scale, "lot size")?;

    let taker_fee = definition
        .taker_fee
        .and_then(|fee| Decimal::try_from(fee).ok())
        .unwrap_or(Decimal::ZERO);
    let maker_fee = definition
        .maker_fee
        .and_then(|fee| Decimal::try_from(fee).ok())
        .unwrap_or(Decimal::ZERO);

    let margin_init = definition
        .init_margin
        .as_ref()
        .and_then(|margin| Decimal::try_from(*margin).ok())
        .unwrap_or(Decimal::ZERO);
    let margin_maint = definition
        .maint_margin
        .as_ref()
        .and_then(|margin| Decimal::try_from(*margin).ok())
        .unwrap_or(Decimal::ZERO);

    // TODO: How to handle negative multipliers?
    let multiplier = Some(Quantity::new_checked(definition.multiplier.abs(), 0)?);

    let max_quantity = convert_contract_quantity(
        definition.max_order_qty,
        contract_decimal,
        max_scale,
        "max quantity",
    )?;
    let min_quantity = lot_size;
    let max_notional: Option<Money> = None;
    let min_notional: Option<Money> = None;
    let max_price = definition
        .max_price
        .map(|price| Price::from(price.to_string()));
    let min_price = None;
    let instrument = CryptoFuture::new(
        instrument_id,
        raw_symbol,
        underlying,
        quote_currency,
        settlement_currency,
        is_inverse,
        activation_ns,
        expiration_ns,
        price_increment.precision,
        size_increment.precision,
        price_increment,
        size_increment,
        multiplier,
        lot_size,
        max_quantity,
        min_quantity,
        max_notional,
        min_notional,
        max_price,
        min_price,
        Some(margin_init),
        Some(margin_maint),
        Some(maker_fee),
        Some(taker_fee),
        ts_event,
        ts_init,
    );

    Ok(InstrumentAny::CryptoFuture(instrument))
}

/// Parse a BitMEX trade into a Nautilus `TradeTick`.
///
/// # Errors
///
/// Currently this function does not return errors as all fields are handled gracefully,
/// but returns `Result` for future error handling compatibility.
pub fn parse_trade(
    trade: BitmexTrade,
    price_precision: u8,
    ts_init: UnixNanos,
) -> anyhow::Result<TradeTick> {
    let instrument_id = parse_instrument_id(trade.symbol);
    let price = Price::new(trade.price, price_precision);
    let size = Quantity::from(trade.size);
    let aggressor_side = parse_aggressor_side(&trade.side);
    let trade_id = TradeId::new(
        trade
            .trd_match_id
            .map_or_else(|| Uuid::new_v4().to_string(), |uuid| uuid.to_string()),
    );
    let ts_event = UnixNanos::from(trade.timestamp);

    Ok(TradeTick::new(
        instrument_id,
        price,
        size,
        aggressor_side,
        trade_id,
        ts_event,
        ts_init,
    ))
}

/// Converts a BitMEX trade-bin record into a Nautilus [`Bar`].
///
/// # Errors
///
/// Returns an error when required OHLC fields are missing from the payload.
///
/// # Panics
///
/// Panics if the bar type or price precision cannot be determined for the instrument, which
/// indicates the instrument cache was not hydrated prior to parsing.
pub fn parse_trade_bin(
    bin: BitmexTradeBin,
    instrument: &InstrumentAny,
    bar_type: &BarType,
    ts_init: UnixNanos,
) -> anyhow::Result<Bar> {
    let instrument_id = bar_type.instrument_id();
    let price_precision = instrument.price_precision();

    let open = bin
        .open
        .ok_or_else(|| anyhow::anyhow!("Trade bin missing open price for {instrument_id}"))?;
    let high = bin
        .high
        .ok_or_else(|| anyhow::anyhow!("Trade bin missing high price for {instrument_id}"))?;
    let low = bin
        .low
        .ok_or_else(|| anyhow::anyhow!("Trade bin missing low price for {instrument_id}"))?;
    let close = bin
        .close
        .ok_or_else(|| anyhow::anyhow!("Trade bin missing close price for {instrument_id}"))?;

    let open = Price::new(open, price_precision);
    let high = Price::new(high, price_precision);
    let low = Price::new(low, price_precision);
    let close = Price::new(close, price_precision);

    let (open, high, low, close) =
        normalize_trade_bin_prices(open, high, low, close, &bin.symbol, Some(bar_type));

    let volume_contracts = normalize_trade_bin_volume(bin.volume, &bin.symbol);
    let volume = parse_contracts_quantity(volume_contracts, instrument);
    let ts_event = UnixNanos::from(bin.timestamp);

    Ok(Bar::new(
        *bar_type, open, high, low, close, volume, ts_event, ts_init,
    ))
}

/// Parse a BitMEX order into a Nautilus `OrderStatusReport`.
///
/// # BitMEX Response Quirks
///
/// BitMEX may omit `ord_status` in responses for completed orders. When this occurs,
/// the parser defensively infers the status from `leaves_qty` and `cum_qty`:
/// - `leaves_qty=0, cum_qty>0` -> `Filled`
/// - `leaves_qty=0, cum_qty<=0` -> `Canceled`
/// - Otherwise -> Returns error (unparsable)
///
/// # Errors
///
/// Returns an error if:
/// - Order is missing `ord_status` and status cannot be inferred from quantity fields.
/// - Order is missing `order_qty` and cannot be reconstructed from `cum_qty` + `leaves_qty`.
///
/// # Panics
///
/// Panics if:
/// - Unsupported `ExecInstruction` type is encountered (other than `ParticipateDoNotInitiate` or `ReduceOnly`)
pub fn parse_order_status_report(
    order: &BitmexOrder,
    instrument: &InstrumentAny,
    ts_init: UnixNanos,
) -> anyhow::Result<OrderStatusReport> {
    let instrument_id = instrument.id();
    let account_id = AccountId::new(format!("BITMEX-{}", order.account));
    let venue_order_id = VenueOrderId::new(order.order_id.to_string());
    let order_side: OrderSide = order
        .side
        .map_or(OrderSide::NoOrderSide, |side| side.into());

    // BitMEX may not include ord_type in cancel responses,
    // for robustness default to LIMIT if not provided.
    let order_type: OrderType = order.ord_type.map_or(OrderType::Limit, |t| t.into());

    // BitMEX may not include time_in_force in cancel responses,
    // for robustness default to GTC if not provided.
    let time_in_force: TimeInForce = order
        .time_in_force
        .and_then(|tif| tif.try_into().ok())
        .unwrap_or(TimeInForce::Gtc);

    // BitMEX may omit ord_status in responses for completed orders
    // Defensively infer from leaves_qty, cum_qty, and working_indicator when possible
    let order_status: OrderStatus = if let Some(status) = order.ord_status.as_ref() {
        (*status).into()
    } else {
        // Infer status from quantity fields and working indicator
        match (order.leaves_qty, order.cum_qty, order.working_indicator) {
            (Some(0), Some(cum), _) if cum > 0 => {
                log::debug!(
                    "Inferred Filled from missing ordStatus (leaves_qty=0, cum_qty>0): order_id={:?}, client_order_id={:?}, cum_qty={}",
                    order.order_id,
                    order.cl_ord_id,
                    cum,
                );
                OrderStatus::Filled
            }
            (Some(0), _, _) => {
                log::debug!(
                    "Inferred Canceled from missing ordStatus (leaves_qty=0, cum_qty<=0): order_id={:?}, client_order_id={:?}, cum_qty={:?}",
                    order.order_id,
                    order.cl_ord_id,
                    order.cum_qty,
                );
                OrderStatus::Canceled
            }
            // BitMEX cancel responses may omit all quantity fields but include working_indicator
            (None, None, Some(false)) => {
                log::debug!(
                    "Inferred Canceled from missing ordStatus with working_indicator=false: order_id={:?}, client_order_id={:?}",
                    order.order_id,
                    order.cl_ord_id,
                );
                OrderStatus::Canceled
            }
            _ => {
                let order_json = serde_json::to_string(order)?;
                anyhow::bail!(
                    "Order missing ord_status and cannot infer (order_id={}, client_order_id={:?}, leaves_qty={:?}, cum_qty={:?}, working_indicator={:?}, order_json={})",
                    order.order_id,
                    order.cl_ord_id,
                    order.leaves_qty,
                    order.cum_qty,
                    order.working_indicator,
                    order_json
                );
            }
        }
    };

    // Try to get order_qty, or reconstruct from cum_qty + leaves_qty
    let (quantity, filled_qty) = if let Some(qty) = order.order_qty {
        let quantity = parse_signed_contracts_quantity(qty, instrument);
        let filled_qty = parse_signed_contracts_quantity(order.cum_qty.unwrap_or(0), instrument);
        (quantity, filled_qty)
    } else if let (Some(cum), Some(leaves)) = (order.cum_qty, order.leaves_qty) {
        log::debug!(
            "Reconstructing order_qty from cum_qty + leaves_qty: order_id={:?}, client_order_id={:?}, cum_qty={}, leaves_qty={}",
            order.order_id,
            order.cl_ord_id,
            cum,
            leaves,
        );
        let quantity = parse_signed_contracts_quantity(cum + leaves, instrument);
        let filled_qty = parse_signed_contracts_quantity(cum, instrument);
        (quantity, filled_qty)
    } else if order_status == OrderStatus::Canceled || order_status == OrderStatus::Rejected {
        // For canceled/rejected orders, both quantities will be reconciled from cache
        // BitMEX sometimes omits all quantity fields in cancel responses
        log::debug!(
            "Order missing quantity fields, using 0 for both (will be reconciled from cache): order_id={:?}, client_order_id={:?}, status={:?}",
            order.order_id,
            order.cl_ord_id,
            order_status,
        );
        let zero_qty = Quantity::zero(instrument.size_precision());
        (zero_qty, zero_qty)
    } else {
        anyhow::bail!(
            "Order missing order_qty and cannot reconstruct (order_id={}, cum_qty={:?}, leaves_qty={:?})",
            order.order_id,
            order.cum_qty,
            order.leaves_qty
        );
    };
    let report_id = UUID4::new();
    let ts_accepted = order.transact_time.map_or_else(
        || get_atomic_clock_realtime().get_time_ns(),
        UnixNanos::from,
    );
    let ts_last = order.timestamp.map_or_else(
        || get_atomic_clock_realtime().get_time_ns(),
        UnixNanos::from,
    );

    let mut report = OrderStatusReport::new(
        account_id,
        instrument_id,
        None, // client_order_id - will be set later if present
        venue_order_id,
        order_side,
        order_type,
        time_in_force,
        order_status,
        quantity,
        filled_qty,
        ts_accepted,
        ts_last,
        ts_init,
        Some(report_id),
    );

    if let Some(cl_ord_id) = order.cl_ord_id {
        report = report.with_client_order_id(ClientOrderId::new(cl_ord_id));
    }

    if let Some(cl_ord_link_id) = order.cl_ord_link_id {
        report = report.with_order_list_id(OrderListId::new(cl_ord_link_id));
    }

    let price_precision = instrument.price_precision();

    if let Some(price) = order.price {
        report = report.with_price(Price::new(price, price_precision));
    }

    if let Some(avg_px) = order.avg_px {
        report = report.with_avg_px(avg_px)?;
    }

    if let Some(trigger_price) = order.stop_px {
        report = report
            .with_trigger_price(Price::new(trigger_price, price_precision))
            .with_trigger_type(TriggerType::Default);
    }

    if let Some(exec_instructions) = &order.exec_inst {
        for inst in exec_instructions {
            match inst {
                BitmexExecInstruction::ParticipateDoNotInitiate => {
                    report = report.with_post_only(true);
                }
                BitmexExecInstruction::ReduceOnly => report = report.with_reduce_only(true),
                BitmexExecInstruction::LastPrice
                | BitmexExecInstruction::Close
                | BitmexExecInstruction::MarkPrice
                | BitmexExecInstruction::IndexPrice
                | BitmexExecInstruction::AllOrNone
                | BitmexExecInstruction::Fixed
                | BitmexExecInstruction::Unknown => {}
            }
        }
    }

    if let Some(contingency_type) = order.contingency_type {
        report = report.with_contingency_type(contingency_type.into());
    }

    if matches!(
        report.contingency_type,
        ContingencyType::Oco | ContingencyType::Oto | ContingencyType::Ouo
    ) && report.order_list_id.is_none()
    {
        log::debug!(
            "BitMEX order missing clOrdLinkID for contingent order: order_id={}, client_order_id={:?}, contingency_type={:?}",
            order.order_id,
            report.client_order_id,
            report.contingency_type,
        );
    }

    // Extract rejection/cancellation reason
    if order_status == OrderStatus::Rejected {
        if let Some(reason) = order.ord_rej_reason.or(order.text) {
            log::debug!(
                "Order rejected with reason: order_id={:?}, client_order_id={:?}, reason={:?}",
                order.order_id,
                order.cl_ord_id,
                reason,
            );
            report = report.with_cancel_reason(clean_reason(reason.as_ref()));
        } else {
            log::debug!(
                "Order rejected without reason from BitMEX: order_id={:?}, client_order_id={:?}, ord_status={:?}, ord_rej_reason={:?}, text={:?}",
                order.order_id,
                order.cl_ord_id,
                order.ord_status,
                order.ord_rej_reason,
                order.text,
            );
        }
    } else if order_status == OrderStatus::Canceled
        && let Some(reason) = order.ord_rej_reason.or(order.text)
    {
        log::trace!(
            "Order canceled with reason: order_id={:?}, client_order_id={:?}, reason={:?}",
            order.order_id,
            order.cl_ord_id,
            reason,
        );
        report = report.with_cancel_reason(clean_reason(reason.as_ref()));
    }

    // BitMEX does not currently include an explicit expiry timestamp
    // in the order status response, so `report.expire_time` remains `None`.
    Ok(report)
}

/// Parse a BitMEX execution into a Nautilus `FillReport`.
///
/// # Errors
///
/// Currently this function does not return errors as all fields are handled gracefully,
/// but returns `Result` for future error handling compatibility.
///
/// Parse a BitMEX execution into a Nautilus `FillReport` using instrument scaling.
///
/// # Panics
///
/// Panics if:
/// - Execution is missing required fields: `symbol`, `order_id`, `trd_match_id`, `last_qty`, `last_px`, or `transact_time`
///
/// # Errors
///
/// Returns an error when the execution does not represent a trade or lacks required identifiers.
pub fn parse_fill_report(
    exec: BitmexExecution,
    instrument: &InstrumentAny,
    ts_init: UnixNanos,
) -> anyhow::Result<FillReport> {
    // Skip non-trade executions (funding, settlements, etc.)
    // Trade executions have exec_type of Trade and must have order_id
    if !matches!(exec.exec_type, BitmexExecType::Trade) {
        anyhow::bail!("Skipping non-trade execution: {:?}", exec.exec_type);
    }

    // Additional check: skip executions without order_id (likely funding/settlement)
    let order_id = exec.order_id.ok_or_else(|| {
        anyhow::anyhow!("Skipping execution without order_id: {:?}", exec.exec_type)
    })?;

    let account_id = AccountId::new(format!("BITMEX-{}", exec.account));
    let instrument_id = instrument.id();
    let venue_order_id = VenueOrderId::new(order_id.to_string());
    // trd_match_id might be missing for some execution types, use exec_id as fallback
    let trade_id = TradeId::new(
        exec.trd_match_id
            .or(Some(exec.exec_id))
            .ok_or_else(|| anyhow::anyhow!("Fill missing both trd_match_id and exec_id"))?
            .to_string(),
    );
    // Skip executions without side (likely not trades)
    let Some(side) = exec.side else {
        anyhow::bail!("Skipping execution without side: {:?}", exec.exec_type);
    };
    let order_side: OrderSide = side.into();
    let last_qty = parse_signed_contracts_quantity(exec.last_qty, instrument);
    let last_px = Price::new(exec.last_px, instrument.price_precision());

    // Map BitMEX currency to standard currency code
    let settlement_currency_str = exec.settl_currency.unwrap_or(Ustr::from("XBT")).as_str();
    let mapped_currency = map_bitmex_currency(settlement_currency_str);
    let currency = get_currency(&mapped_currency);
    let commission = Money::new(exec.commission.unwrap_or(0.0), currency);
    let liquidity_side = parse_liquidity_side(&exec.last_liquidity_ind);
    let client_order_id = exec.cl_ord_id.map(ClientOrderId::new);
    let venue_position_id = None; // Not applicable on BitMEX
    let ts_event = exec.transact_time.map_or_else(
        || get_atomic_clock_realtime().get_time_ns(),
        UnixNanos::from,
    );

    Ok(FillReport::new(
        account_id,
        instrument_id,
        venue_order_id,
        trade_id,
        order_side,
        last_qty,
        last_px,
        commission,
        liquidity_side,
        client_order_id,
        venue_position_id,
        ts_event,
        ts_init,
        None,
    ))
}

/// Parse a BitMEX position into a Nautilus `PositionStatusReport`.
///
/// # Errors
///
/// Currently this function does not return errors as all fields are handled gracefully,
/// but returns `Result` for future error handling compatibility.
pub fn parse_position_report(
    position: BitmexPosition,
    instrument: &InstrumentAny,
    ts_init: UnixNanos,
) -> anyhow::Result<PositionStatusReport> {
    let account_id = AccountId::new(format!("BITMEX-{}", position.account));
    let instrument_id = instrument.id();
    let position_side = parse_position_side(position.current_qty).as_specified();
    let quantity = parse_signed_contracts_quantity(position.current_qty.unwrap_or(0), instrument);
    let venue_position_id = None; // Not applicable on BitMEX
    let avg_px_open = position.avg_entry_price.and_then(Decimal::from_f64);
    let ts_last = parse_optional_datetime_to_unix_nanos(&position.timestamp, "timestamp");

    Ok(PositionStatusReport::new(
        account_id,
        instrument_id,
        position_side,
        quantity,
        ts_last,
        ts_init,
        None,              // report_id
        venue_position_id, // venue_position_id
        avg_px_open,       // avg_px_open
    ))
}

/// Returns a currency from the internal map or creates a new crypto currency.
///
/// Uses [`Currency::get_or_create_crypto`] to handle unknown currency codes,
/// which automatically registers newly listed BitMEX assets.
pub fn get_currency(code: &str) -> Currency {
    Currency::get_or_create_crypto(code)
}

#[cfg(test)]
mod tests {
    use std::str::FromStr;

    use chrono::{DateTime, Utc};
    use nautilus_model::{
        data::{BarSpecification, BarType},
        enums::{AggregationSource, BarAggregation, LiquiditySide, PositionSide, PriceType},
        instruments::InstrumentAny,
    };
    use rstest::rstest;
    use rust_decimal::{Decimal, prelude::ToPrimitive};
    use uuid::Uuid;

    use super::*;
    use crate::{
        common::{
            enums::{
                BitmexContingencyType, BitmexFairMethod, BitmexInstrumentState,
                BitmexInstrumentType, BitmexLiquidityIndicator, BitmexMarkMethod,
                BitmexOrderStatus, BitmexOrderType, BitmexSide, BitmexTickDirection,
                BitmexTimeInForce,
            },
            testing::load_test_json,
        },
        http::models::{
            BitmexExecution, BitmexInstrument, BitmexOrder, BitmexPosition, BitmexTradeBin,
            BitmexWallet,
        },
    };

    #[rstest]
    fn test_perp_instrument_deserialization() {
        let json_data = load_test_json("http_get_instrument_xbtusd.json");
        let instrument: BitmexInstrument = serde_json::from_str(&json_data).unwrap();

        assert_eq!(instrument.symbol, "XBTUSD");
        assert_eq!(instrument.root_symbol, "XBT");
        assert_eq!(instrument.state, BitmexInstrumentState::Open);
        assert!(instrument.is_inverse);
        assert_eq!(instrument.maker_fee, Some(0.0005));
        assert_eq!(
            instrument.timestamp.to_rfc3339(),
            "2024-11-24T23:33:19.034+00:00"
        );
    }

    #[rstest]
    fn test_parse_orders() {
        let json_data = load_test_json("http_get_orders.json");
        let orders: Vec<BitmexOrder> = serde_json::from_str(&json_data).unwrap();

        assert_eq!(orders.len(), 2);

        // Test first order (New)
        let order1 = &orders[0];
        assert_eq!(order1.symbol, Some(Ustr::from("XBTUSD")));
        assert_eq!(order1.side, Some(BitmexSide::Buy));
        assert_eq!(order1.order_qty, Some(100));
        assert_eq!(order1.price, Some(98000.0));
        assert_eq!(order1.ord_status, Some(BitmexOrderStatus::New));
        assert_eq!(order1.leaves_qty, Some(100));
        assert_eq!(order1.cum_qty, Some(0));

        // Test second order (Filled)
        let order2 = &orders[1];
        assert_eq!(order2.symbol, Some(Ustr::from("XBTUSD")));
        assert_eq!(order2.side, Some(BitmexSide::Sell));
        assert_eq!(order2.order_qty, Some(200));
        assert_eq!(order2.ord_status, Some(BitmexOrderStatus::Filled));
        assert_eq!(order2.leaves_qty, Some(0));
        assert_eq!(order2.cum_qty, Some(200));
        assert_eq!(order2.avg_px, Some(98950.5));
    }

    #[rstest]
    fn test_parse_executions() {
        let json_data = load_test_json("http_get_executions.json");
        let executions: Vec<BitmexExecution> = serde_json::from_str(&json_data).unwrap();

        assert_eq!(executions.len(), 2);

        // Test first execution (Maker)
        let exec1 = &executions[0];
        assert_eq!(exec1.symbol, Some(Ustr::from("XBTUSD")));
        assert_eq!(exec1.side, Some(BitmexSide::Sell));
        assert_eq!(exec1.last_qty, 100);
        assert_eq!(exec1.last_px, 98950.0);
        assert_eq!(
            exec1.last_liquidity_ind,
            Some(BitmexLiquidityIndicator::Maker)
        );
        assert_eq!(exec1.commission, Some(0.00075));

        // Test second execution (Taker)
        let exec2 = &executions[1];
        assert_eq!(
            exec2.last_liquidity_ind,
            Some(BitmexLiquidityIndicator::Taker)
        );
        assert_eq!(exec2.last_px, 98951.0);
    }

    #[rstest]
    fn test_parse_positions() {
        let json_data = load_test_json("http_get_positions.json");
        let positions: Vec<BitmexPosition> = serde_json::from_str(&json_data).unwrap();

        assert_eq!(positions.len(), 1);

        let position = &positions[0];
        assert_eq!(position.account, 1234567);
        assert_eq!(position.symbol, "XBTUSD");
        assert_eq!(position.current_qty, Some(100));
        assert_eq!(position.avg_entry_price, Some(98390.88));
        assert_eq!(position.unrealised_pnl, Some(1350));
        assert_eq!(position.realised_pnl, Some(-227));
        assert_eq!(position.is_open, Some(true));
    }

    #[rstest]
    fn test_parse_trades() {
        let json_data = load_test_json("http_get_trades.json");
        let trades: Vec<BitmexTrade> = serde_json::from_str(&json_data).unwrap();

        assert_eq!(trades.len(), 3);

        // Test first trade
        let trade1 = &trades[0];
        assert_eq!(trade1.symbol, "XBTUSD");
        assert_eq!(trade1.side, Some(BitmexSide::Buy));
        assert_eq!(trade1.size, 100);
        assert_eq!(trade1.price, 98950.0);

        // Test third trade (Sell side)
        let trade3 = &trades[2];
        assert_eq!(trade3.side, Some(BitmexSide::Sell));
        assert_eq!(trade3.size, 50);
        assert_eq!(trade3.price, 98949.5);
    }

    #[rstest]
    fn test_parse_wallet() {
        let json_data = load_test_json("http_get_wallet.json");
        let wallets: Vec<BitmexWallet> = serde_json::from_str(&json_data).unwrap();

        assert_eq!(wallets.len(), 1);

        let wallet = &wallets[0];
        assert_eq!(wallet.account, 1234567);
        assert_eq!(wallet.currency, "XBt");
        assert_eq!(wallet.amount, Some(1000123456));
        assert_eq!(wallet.delta_amount, Some(123456));
    }

    #[rstest]
    fn test_parse_trade_bins() {
        let json_data = load_test_json("http_get_trade_bins.json");
        let bins: Vec<BitmexTradeBin> = serde_json::from_str(&json_data).unwrap();

        assert_eq!(bins.len(), 3);

        // Test first bin
        let bin1 = &bins[0];
        assert_eq!(bin1.symbol, "XBTUSD");
        assert_eq!(bin1.open, Some(98900.0));
        assert_eq!(bin1.high, Some(98980.5));
        assert_eq!(bin1.low, Some(98890.0));
        assert_eq!(bin1.close, Some(98950.0));
        assert_eq!(bin1.volume, Some(150000));
        assert_eq!(bin1.trades, Some(45));

        // Test last bin
        let bin3 = &bins[2];
        assert_eq!(bin3.close, Some(98970.0));
        assert_eq!(bin3.volume, Some(78000));
    }

    #[rstest]
    fn test_parse_trade_bin_to_bar() {
        let json_data = load_test_json("http_get_trade_bins.json");
        let bins: Vec<BitmexTradeBin> = serde_json::from_str(&json_data).unwrap();
        let instrument_json = load_test_json("http_get_instrument_xbtusd.json");
        let instrument: BitmexInstrument = serde_json::from_str(&instrument_json).unwrap();

        let ts_init = UnixNanos::from(1u64);
        let instrument_any = match parse_instrument_any(&instrument, ts_init) {
            InstrumentParseResult::Ok(inst) => inst,
            other => panic!("Expected Ok, got {other:?}"),
        };

        let spec = BarSpecification::new(1, BarAggregation::Minute, PriceType::Last);
        let bar_type = BarType::new(instrument_any.id(), spec, AggregationSource::External);

        let bar = parse_trade_bin(bins[0].clone(), &instrument_any, &bar_type, ts_init).unwrap();

        let precision = instrument_any.price_precision();
        let expected_open =
            Price::from_decimal_dp(Decimal::from_str("98900.0").unwrap(), precision)
                .expect("open price");
        let expected_close =
            Price::from_decimal_dp(Decimal::from_str("98950.0").unwrap(), precision)
                .expect("close price");

        assert_eq!(bar.bar_type, bar_type);
        assert_eq!(bar.open, expected_open);
        assert_eq!(bar.close, expected_close);
    }

    #[rstest]
    fn test_parse_trade_bin_extreme_adjustment() {
        let instrument_json = load_test_json("http_get_instrument_xbtusd.json");
        let instrument: BitmexInstrument = serde_json::from_str(&instrument_json).unwrap();

        let ts_init = UnixNanos::from(1u64);
        let instrument_any = match parse_instrument_any(&instrument, ts_init) {
            InstrumentParseResult::Ok(inst) => inst,
            other => panic!("Expected Ok, got {other:?}"),
        };

        let spec = BarSpecification::new(1, BarAggregation::Minute, PriceType::Last);
        let bar_type = BarType::new(instrument_any.id(), spec, AggregationSource::External);

        let bin = BitmexTradeBin {
            timestamp: DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                .unwrap()
                .with_timezone(&Utc),
            symbol: Ustr::from("XBTUSD"),
            open: Some(50_000.0),
            high: Some(49_990.0),
            low: Some(50_010.0),
            close: Some(50_005.0),
            trades: Some(5),
            volume: Some(1_000),
            vwap: None,
            last_size: None,
            turnover: None,
            home_notional: None,
            foreign_notional: None,
        };

        let bar = parse_trade_bin(bin, &instrument_any, &bar_type, ts_init).unwrap();

        let precision = instrument_any.price_precision();
        let expected_high =
            Price::from_decimal_dp(Decimal::from_str("50010.0").unwrap(), precision)
                .expect("high price");
        let expected_low = Price::from_decimal_dp(Decimal::from_str("49990.0").unwrap(), precision)
            .expect("low price");
        let expected_open =
            Price::from_decimal_dp(Decimal::from_str("50000.0").unwrap(), precision)
                .expect("open price");

        assert_eq!(bar.high, expected_high);
        assert_eq!(bar.low, expected_low);
        assert_eq!(bar.open, expected_open);
    }

    #[rstest]
    fn test_parse_order_status_report() {
        let order = BitmexOrder {
            account: 123456,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("a1b2c3d4-e5f6-7890-abcd-ef1234567890").unwrap(),
            cl_ord_id: Some(Ustr::from("client-123")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Buy),
            ord_type: Some(BitmexOrderType::Limit),
            time_in_force: Some(BitmexTimeInForce::GoodTillCancel),
            ord_status: Some(BitmexOrderStatus::New),
            order_qty: Some(100),
            cum_qty: Some(50),
            price: Some(50000.0),
            stop_px: Some(49000.0),
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: Some(vec![
                BitmexExecInstruction::ParticipateDoNotInitiate,
                BitmexExecInstruction::ReduceOnly,
            ]),
            contingency_type: Some(BitmexContingencyType::OneCancelsTheOther),
            ex_destination: None,
            triggered: None,
            working_indicator: Some(true),
            ord_rej_reason: None,
            leaves_qty: Some(50),
            avg_px: None,
            multi_leg_reporting_type: None,
            text: None,
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();
        let report = parse_order_status_report(&order, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.account_id.to_string(), "BITMEX-123456");
        assert_eq!(report.instrument_id.to_string(), "XBTUSD.BITMEX");
        assert_eq!(
            report.venue_order_id.as_str(),
            "a1b2c3d4-e5f6-7890-abcd-ef1234567890"
        );
        assert_eq!(report.client_order_id.unwrap().as_str(), "client-123");
        assert_eq!(report.quantity.as_f64(), 100.0);
        assert_eq!(report.filled_qty.as_f64(), 50.0);
        assert_eq!(report.price.unwrap().as_f64(), 50000.0);
        assert_eq!(report.trigger_price.unwrap().as_f64(), 49000.0);
        assert!(report.post_only);
        assert!(report.reduce_only);
    }

    #[rstest]
    fn test_parse_order_status_report_minimal() {
        let order = BitmexOrder {
            account: 0, // Use 0 for test account
            symbol: Some(Ustr::from("ETHUSD")),
            order_id: Uuid::parse_str("11111111-2222-3333-4444-555555555555").unwrap(),
            cl_ord_id: None,
            cl_ord_link_id: None,
            side: Some(BitmexSide::Sell),
            ord_type: Some(BitmexOrderType::Market),
            time_in_force: Some(BitmexTimeInForce::ImmediateOrCancel),
            ord_status: Some(BitmexOrderStatus::Filled),
            order_qty: Some(200),
            cum_qty: Some(200),
            price: None,
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: None,
            settl_currency: None,
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(false),
            ord_rej_reason: None,
            leaves_qty: Some(0),
            avg_px: None,
            multi_leg_reporting_type: None,
            text: None,
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let mut instrument_def = create_test_perpetual_instrument();
        instrument_def.symbol = Ustr::from("ETHUSD");
        instrument_def.underlying = Ustr::from("ETH");
        instrument_def.quote_currency = Ustr::from("USD");
        instrument_def.settl_currency = Some(Ustr::from("USDt"));
        let instrument = parse_perpetual_instrument(&instrument_def, UnixNanos::default()).unwrap();
        let report = parse_order_status_report(&order, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.account_id.to_string(), "BITMEX-0");
        assert_eq!(report.instrument_id.to_string(), "ETHUSD.BITMEX");
        assert_eq!(
            report.venue_order_id.as_str(),
            "11111111-2222-3333-4444-555555555555"
        );
        assert!(report.client_order_id.is_none());
        assert_eq!(report.quantity.as_f64(), 200.0);
        assert_eq!(report.filled_qty.as_f64(), 200.0);
        assert!(report.price.is_none());
        assert!(report.trigger_price.is_none());
        assert!(!report.post_only);
        assert!(!report.reduce_only);
    }

    #[rstest]
    fn test_parse_order_status_report_missing_order_qty_reconstructed() {
        let order = BitmexOrder {
            account: 789012,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("aaaabbbb-cccc-dddd-eeee-ffffffffffff").unwrap(),
            cl_ord_id: Some(Ustr::from("client-cancel-test")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Buy),
            ord_type: Some(BitmexOrderType::Limit),
            time_in_force: Some(BitmexTimeInForce::GoodTillCancel),
            ord_status: Some(BitmexOrderStatus::Canceled),
            order_qty: None,      // Missing - should be reconstructed
            cum_qty: Some(75),    // Filled 75
            leaves_qty: Some(25), // Remaining 25
            price: Some(45000.0),
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(false),
            ord_rej_reason: None,
            avg_px: Some(45050.0),
            multi_leg_reporting_type: None,
            text: None,
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();
        let report = parse_order_status_report(&order, &instrument, UnixNanos::from(1)).unwrap();

        // Verify order_qty was reconstructed from cum_qty + leaves_qty
        assert_eq!(report.quantity.as_f64(), 100.0); // 75 + 25
        assert_eq!(report.filled_qty.as_f64(), 75.0);
        assert_eq!(report.order_status, OrderStatus::Canceled);
    }

    #[rstest]
    fn test_parse_order_status_report_uses_provided_order_qty() {
        let order = BitmexOrder {
            account: 123456,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("bbbbcccc-dddd-eeee-ffff-000000000000").unwrap(),
            cl_ord_id: Some(Ustr::from("client-provided-qty")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Sell),
            ord_type: Some(BitmexOrderType::Limit),
            time_in_force: Some(BitmexTimeInForce::GoodTillCancel),
            ord_status: Some(BitmexOrderStatus::PartiallyFilled),
            order_qty: Some(150),  // Explicitly provided
            cum_qty: Some(50),     // Filled 50
            leaves_qty: Some(100), // Remaining 100
            price: Some(48000.0),
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(true),
            ord_rej_reason: None,
            avg_px: Some(48100.0),
            multi_leg_reporting_type: None,
            text: None,
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();
        let report = parse_order_status_report(&order, &instrument, UnixNanos::from(1)).unwrap();

        // Verify order_qty was used directly (not reconstructed)
        assert_eq!(report.quantity.as_f64(), 150.0);
        assert_eq!(report.filled_qty.as_f64(), 50.0);
        assert_eq!(report.order_status, OrderStatus::PartiallyFilled);
    }

    #[rstest]
    fn test_parse_order_status_report_missing_order_qty_fails() {
        let order = BitmexOrder {
            account: 789012,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("aaaabbbb-cccc-dddd-eeee-ffffffffffff").unwrap(),
            cl_ord_id: Some(Ustr::from("client-fail-test")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Buy),
            ord_type: Some(BitmexOrderType::Limit),
            time_in_force: Some(BitmexTimeInForce::GoodTillCancel),
            ord_status: Some(BitmexOrderStatus::PartiallyFilled),
            order_qty: None,   // Missing
            cum_qty: Some(75), // Present
            leaves_qty: None,  // Missing - cannot reconstruct
            price: Some(45000.0),
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(false),
            ord_rej_reason: None,
            avg_px: None,
            multi_leg_reporting_type: None,
            text: None,
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();

        // Should fail because we cannot reconstruct order_qty
        let result = parse_order_status_report(&order, &instrument, UnixNanos::from(1));
        assert!(result.is_err());
        assert!(
            result
                .unwrap_err()
                .to_string()
                .contains("Order missing order_qty and cannot reconstruct")
        );
    }

    #[rstest]
    fn test_parse_order_status_report_canceled_missing_all_quantities() {
        let order = BitmexOrder {
            account: 123456,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("ffff0000-1111-2222-3333-444444444444").unwrap(),
            cl_ord_id: Some(Ustr::from("client-cancel-no-qty")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Buy),
            ord_type: Some(BitmexOrderType::Limit),
            time_in_force: Some(BitmexTimeInForce::GoodTillCancel),
            ord_status: Some(BitmexOrderStatus::Canceled),
            order_qty: None,  // Missing
            cum_qty: None,    // Missing
            leaves_qty: None, // Missing
            price: Some(50000.0),
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(false),
            ord_rej_reason: None,
            avg_px: None,
            multi_leg_reporting_type: None,
            text: None,
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();
        let report = parse_order_status_report(&order, &instrument, UnixNanos::from(1)).unwrap();

        // For canceled orders with missing quantities, parser uses 0 (will be reconciled from cache)
        assert_eq!(report.order_status, OrderStatus::Canceled);
        assert_eq!(report.quantity.as_f64(), 0.0);
        assert_eq!(report.filled_qty.as_f64(), 0.0);
    }

    #[rstest]
    fn test_parse_order_status_report_rejected_with_reason() {
        let order = BitmexOrder {
            account: 123456,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("ccccdddd-eeee-ffff-0000-111111111111").unwrap(),
            cl_ord_id: Some(Ustr::from("client-rejected")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Buy),
            ord_type: Some(BitmexOrderType::Limit),
            time_in_force: Some(BitmexTimeInForce::GoodTillCancel),
            ord_status: Some(BitmexOrderStatus::Rejected),
            order_qty: Some(100),
            cum_qty: Some(0),
            leaves_qty: Some(0),
            price: Some(50000.0),
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(false),
            ord_rej_reason: Some(Ustr::from("Insufficient margin")),
            avg_px: None,
            multi_leg_reporting_type: None,
            text: None,
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();
        let report = parse_order_status_report(&order, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.order_status, OrderStatus::Rejected);
        assert_eq!(
            report.cancel_reason,
            Some("Insufficient margin".to_string())
        );
    }

    #[rstest]
    fn test_parse_order_status_report_rejected_with_text_fallback() {
        let order = BitmexOrder {
            account: 123456,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("ddddeeee-ffff-0000-1111-222222222222").unwrap(),
            cl_ord_id: Some(Ustr::from("client-rejected-text")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Sell),
            ord_type: Some(BitmexOrderType::Limit),
            time_in_force: Some(BitmexTimeInForce::GoodTillCancel),
            ord_status: Some(BitmexOrderStatus::Rejected),
            order_qty: Some(100),
            cum_qty: Some(0),
            leaves_qty: Some(0),
            price: Some(50000.0),
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(false),
            ord_rej_reason: None,
            avg_px: None,
            multi_leg_reporting_type: None,
            text: Some(Ustr::from("Order would immediately execute")),
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();
        let report = parse_order_status_report(&order, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.order_status, OrderStatus::Rejected);
        assert_eq!(
            report.cancel_reason,
            Some("Order would immediately execute".to_string())
        );
    }

    #[rstest]
    fn test_parse_order_status_report_rejected_without_reason() {
        let order = BitmexOrder {
            account: 123456,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("eeeeffff-0000-1111-2222-333333333333").unwrap(),
            cl_ord_id: Some(Ustr::from("client-rejected-no-reason")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Buy),
            ord_type: Some(BitmexOrderType::Market),
            time_in_force: Some(BitmexTimeInForce::ImmediateOrCancel),
            ord_status: Some(BitmexOrderStatus::Rejected),
            order_qty: Some(50),
            cum_qty: Some(0),
            leaves_qty: Some(0),
            price: None,
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(false),
            ord_rej_reason: None,
            avg_px: None,
            multi_leg_reporting_type: None,
            text: None,
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();
        let report = parse_order_status_report(&order, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.order_status, OrderStatus::Rejected);
        assert_eq!(report.cancel_reason, None);
    }

    #[rstest]
    fn test_parse_fill_report() {
        let exec = BitmexExecution {
            exec_id: Uuid::parse_str("f1f2f3f4-e5e6-d7d8-c9c0-b1b2b3b4b5b6").unwrap(),
            account: 654321,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Some(Uuid::parse_str("a1a2a3a4-b5b6-c7c8-d9d0-e1e2e3e4e5e6").unwrap()),
            cl_ord_id: Some(Ustr::from("client-456")),
            side: Some(BitmexSide::Buy),
            last_qty: 50,
            last_px: 50100.5,
            commission: Some(0.00075),
            settl_currency: Some(Ustr::from("XBt")),
            last_liquidity_ind: Some(BitmexLiquidityIndicator::Taker),
            trd_match_id: Some(Uuid::parse_str("99999999-8888-7777-6666-555555555555").unwrap()),
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            cl_ord_link_id: None,
            underlying_last_px: None,
            last_mkt: None,
            order_qty: Some(50),
            price: Some(50100.0),
            display_qty: None,
            stop_px: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: None,
            exec_type: BitmexExecType::Trade,
            ord_type: BitmexOrderType::Limit,
            time_in_force: BitmexTimeInForce::GoodTillCancel,
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            ord_status: Some(BitmexOrderStatus::Filled),
            triggered: None,
            working_indicator: None,
            ord_rej_reason: None,
            leaves_qty: None,
            cum_qty: Some(50),
            avg_px: Some(50100.5),
            trade_publish_indicator: None,
            multi_leg_reporting_type: None,
            text: None,
            exec_cost: None,
            exec_comm: None,
            home_notional: None,
            foreign_notional: None,
            timestamp: None,
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();

        let report = parse_fill_report(exec, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.account_id.to_string(), "BITMEX-654321");
        assert_eq!(report.instrument_id.to_string(), "XBTUSD.BITMEX");
        assert_eq!(
            report.venue_order_id.as_str(),
            "a1a2a3a4-b5b6-c7c8-d9d0-e1e2e3e4e5e6"
        );
        assert_eq!(
            report.trade_id.to_string(),
            "99999999-8888-7777-6666-555555555555"
        );
        assert_eq!(report.client_order_id.unwrap().as_str(), "client-456");
        assert_eq!(report.last_qty.as_f64(), 50.0);
        assert_eq!(report.last_px.as_f64(), 50100.5);
        assert_eq!(report.commission.as_f64(), 0.00075);
        assert_eq!(report.commission.currency.code.as_str(), "XBT");
        assert_eq!(report.liquidity_side, LiquiditySide::Taker);
    }

    #[rstest]
    fn test_parse_fill_report_with_missing_trd_match_id() {
        let exec = BitmexExecution {
            exec_id: Uuid::parse_str("f1f2f3f4-e5e6-d7d8-c9c0-b1b2b3b4b5b6").unwrap(),
            account: 111111,
            symbol: Some(Ustr::from("ETHUSD")),
            order_id: Some(Uuid::parse_str("a1a2a3a4-b5b6-c7c8-d9d0-e1e2e3e4e5e6").unwrap()),
            cl_ord_id: None,
            side: Some(BitmexSide::Sell),
            last_qty: 100,
            last_px: 3000.0,
            commission: None,
            settl_currency: None,
            last_liquidity_ind: Some(BitmexLiquidityIndicator::Maker),
            trd_match_id: None, // Missing, should fall back to exec_id
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            cl_ord_link_id: None,
            underlying_last_px: None,
            last_mkt: None,
            order_qty: Some(100),
            price: Some(3000.0),
            display_qty: None,
            stop_px: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: None,
            exec_type: BitmexExecType::Trade,
            ord_type: BitmexOrderType::Market,
            time_in_force: BitmexTimeInForce::ImmediateOrCancel,
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            ord_status: Some(BitmexOrderStatus::Filled),
            triggered: None,
            working_indicator: None,
            ord_rej_reason: None,
            leaves_qty: None,
            cum_qty: Some(100),
            avg_px: Some(3000.0),
            trade_publish_indicator: None,
            multi_leg_reporting_type: None,
            text: None,
            exec_cost: None,
            exec_comm: None,
            home_notional: None,
            foreign_notional: None,
            timestamp: None,
        };

        let mut instrument_def = create_test_perpetual_instrument();
        instrument_def.symbol = Ustr::from("ETHUSD");
        instrument_def.underlying = Ustr::from("ETH");
        instrument_def.quote_currency = Ustr::from("USD");
        instrument_def.settl_currency = Some(Ustr::from("USDt"));
        let instrument = parse_perpetual_instrument(&instrument_def, UnixNanos::default()).unwrap();

        let report = parse_fill_report(exec, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.account_id.to_string(), "BITMEX-111111");
        assert_eq!(report.instrument_id.to_string(), "ETHUSD.BITMEX");
        assert_eq!(
            report.trade_id.to_string(),
            "f1f2f3f4-e5e6-d7d8-c9c0-b1b2b3b4b5b6"
        );
        assert!(report.client_order_id.is_none());
        assert_eq!(report.commission.as_f64(), 0.0);
        assert_eq!(report.commission.currency.code.as_str(), "XBT");
        assert_eq!(report.liquidity_side, LiquiditySide::Maker);
    }

    #[rstest]
    fn test_parse_position_report() {
        let position = BitmexPosition {
            account: 789012,
            symbol: Ustr::from("XBTUSD"),
            current_qty: Some(1000),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            currency: None,
            underlying: None,
            quote_currency: None,
            commission: None,
            init_margin_req: None,
            maint_margin_req: None,
            risk_limit: None,
            leverage: None,
            cross_margin: None,
            deleverage_percentile: None,
            rebalanced_pnl: None,
            prev_realised_pnl: None,
            prev_unrealised_pnl: None,
            prev_close_price: None,
            opening_timestamp: None,
            opening_qty: None,
            opening_cost: None,
            opening_comm: None,
            open_order_buy_qty: None,
            open_order_buy_cost: None,
            open_order_buy_premium: None,
            open_order_sell_qty: None,
            open_order_sell_cost: None,
            open_order_sell_premium: None,
            exec_buy_qty: None,
            exec_buy_cost: None,
            exec_sell_qty: None,
            exec_sell_cost: None,
            exec_qty: None,
            exec_cost: None,
            exec_comm: None,
            current_timestamp: None,
            current_cost: None,
            current_comm: None,
            realised_cost: None,
            unrealised_cost: None,
            gross_open_cost: None,
            gross_open_premium: None,
            gross_exec_cost: None,
            is_open: Some(true),
            mark_price: None,
            mark_value: None,
            risk_value: None,
            home_notional: None,
            foreign_notional: None,
            pos_state: None,
            pos_cost: None,
            pos_cost2: None,
            pos_cross: None,
            pos_init: None,
            pos_comm: None,
            pos_loss: None,
            pos_margin: None,
            pos_maint: None,
            pos_allowance: None,
            taxable_margin: None,
            init_margin: None,
            maint_margin: None,
            session_margin: None,
            target_excess_margin: None,
            var_margin: None,
            realised_gross_pnl: None,
            realised_tax: None,
            realised_pnl: None,
            unrealised_gross_pnl: None,
            long_bankrupt: None,
            short_bankrupt: None,
            tax_base: None,
            indicative_tax_rate: None,
            indicative_tax: None,
            unrealised_tax: None,
            unrealised_pnl: None,
            unrealised_pnl_pcnt: None,
            unrealised_roe_pcnt: None,
            avg_cost_price: None,
            avg_entry_price: None,
            break_even_price: None,
            margin_call_price: None,
            liquidation_price: None,
            bankrupt_price: None,
            last_price: None,
            last_value: None,
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();

        let report = parse_position_report(position, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.account_id.to_string(), "BITMEX-789012");
        assert_eq!(report.instrument_id.to_string(), "XBTUSD.BITMEX");
        assert_eq!(report.position_side.as_position_side(), PositionSide::Long);
        assert_eq!(report.quantity.as_f64(), 1000.0);
    }

    #[rstest]
    fn test_parse_position_report_short() {
        let position = BitmexPosition {
            account: 789012,
            symbol: Ustr::from("ETHUSD"),
            current_qty: Some(-500),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            currency: None,
            underlying: None,
            quote_currency: None,
            commission: None,
            init_margin_req: None,
            maint_margin_req: None,
            risk_limit: None,
            leverage: None,
            cross_margin: None,
            deleverage_percentile: None,
            rebalanced_pnl: None,
            prev_realised_pnl: None,
            prev_unrealised_pnl: None,
            prev_close_price: None,
            opening_timestamp: None,
            opening_qty: None,
            opening_cost: None,
            opening_comm: None,
            open_order_buy_qty: None,
            open_order_buy_cost: None,
            open_order_buy_premium: None,
            open_order_sell_qty: None,
            open_order_sell_cost: None,
            open_order_sell_premium: None,
            exec_buy_qty: None,
            exec_buy_cost: None,
            exec_sell_qty: None,
            exec_sell_cost: None,
            exec_qty: None,
            exec_cost: None,
            exec_comm: None,
            current_timestamp: None,
            current_cost: None,
            current_comm: None,
            realised_cost: None,
            unrealised_cost: None,
            gross_open_cost: None,
            gross_open_premium: None,
            gross_exec_cost: None,
            is_open: Some(true),
            mark_price: None,
            mark_value: None,
            risk_value: None,
            home_notional: None,
            foreign_notional: None,
            pos_state: None,
            pos_cost: None,
            pos_cost2: None,
            pos_cross: None,
            pos_init: None,
            pos_comm: None,
            pos_loss: None,
            pos_margin: None,
            pos_maint: None,
            pos_allowance: None,
            taxable_margin: None,
            init_margin: None,
            maint_margin: None,
            session_margin: None,
            target_excess_margin: None,
            var_margin: None,
            realised_gross_pnl: None,
            realised_tax: None,
            realised_pnl: None,
            unrealised_gross_pnl: None,
            long_bankrupt: None,
            short_bankrupt: None,
            tax_base: None,
            indicative_tax_rate: None,
            indicative_tax: None,
            unrealised_tax: None,
            unrealised_pnl: None,
            unrealised_pnl_pcnt: None,
            unrealised_roe_pcnt: None,
            avg_cost_price: None,
            avg_entry_price: None,
            break_even_price: None,
            margin_call_price: None,
            liquidation_price: None,
            bankrupt_price: None,
            last_price: None,
            last_value: None,
        };

        let mut instrument_def = create_test_futures_instrument();
        instrument_def.symbol = Ustr::from("ETHUSD");
        instrument_def.underlying = Ustr::from("ETH");
        instrument_def.quote_currency = Ustr::from("USD");
        instrument_def.settl_currency = Some(Ustr::from("USD"));
        let instrument = parse_futures_instrument(&instrument_def, UnixNanos::default()).unwrap();

        let report = parse_position_report(position, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.position_side.as_position_side(), PositionSide::Short);
        assert_eq!(report.quantity.as_f64(), 500.0); // Should be absolute value
    }

    #[rstest]
    fn test_parse_position_report_flat() {
        let position = BitmexPosition {
            account: 789012,
            symbol: Ustr::from("SOLUSD"),
            current_qty: Some(0),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            currency: None,
            underlying: None,
            quote_currency: None,
            commission: None,
            init_margin_req: None,
            maint_margin_req: None,
            risk_limit: None,
            leverage: None,
            cross_margin: None,
            deleverage_percentile: None,
            rebalanced_pnl: None,
            prev_realised_pnl: None,
            prev_unrealised_pnl: None,
            prev_close_price: None,
            opening_timestamp: None,
            opening_qty: None,
            opening_cost: None,
            opening_comm: None,
            open_order_buy_qty: None,
            open_order_buy_cost: None,
            open_order_buy_premium: None,
            open_order_sell_qty: None,
            open_order_sell_cost: None,
            open_order_sell_premium: None,
            exec_buy_qty: None,
            exec_buy_cost: None,
            exec_sell_qty: None,
            exec_sell_cost: None,
            exec_qty: None,
            exec_cost: None,
            exec_comm: None,
            current_timestamp: None,
            current_cost: None,
            current_comm: None,
            realised_cost: None,
            unrealised_cost: None,
            gross_open_cost: None,
            gross_open_premium: None,
            gross_exec_cost: None,
            is_open: Some(true),
            mark_price: None,
            mark_value: None,
            risk_value: None,
            home_notional: None,
            foreign_notional: None,
            pos_state: None,
            pos_cost: None,
            pos_cost2: None,
            pos_cross: None,
            pos_init: None,
            pos_comm: None,
            pos_loss: None,
            pos_margin: None,
            pos_maint: None,
            pos_allowance: None,
            taxable_margin: None,
            init_margin: None,
            maint_margin: None,
            session_margin: None,
            target_excess_margin: None,
            var_margin: None,
            realised_gross_pnl: None,
            realised_tax: None,
            realised_pnl: None,
            unrealised_gross_pnl: None,
            long_bankrupt: None,
            short_bankrupt: None,
            tax_base: None,
            indicative_tax_rate: None,
            indicative_tax: None,
            unrealised_tax: None,
            unrealised_pnl: None,
            unrealised_pnl_pcnt: None,
            unrealised_roe_pcnt: None,
            avg_cost_price: None,
            avg_entry_price: None,
            break_even_price: None,
            margin_call_price: None,
            liquidation_price: None,
            bankrupt_price: None,
            last_price: None,
            last_value: None,
        };

        let mut instrument_def = create_test_spot_instrument();
        instrument_def.symbol = Ustr::from("SOLUSD");
        instrument_def.underlying = Ustr::from("SOL");
        instrument_def.quote_currency = Ustr::from("USD");
        let instrument = parse_spot_instrument(&instrument_def, UnixNanos::default()).unwrap();

        let report = parse_position_report(position, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.position_side.as_position_side(), PositionSide::Flat);
        assert_eq!(report.quantity.as_f64(), 0.0);
    }

    #[rstest]
    fn test_parse_position_report_spot_scaling() {
        let position = BitmexPosition {
            account: 789012,
            symbol: Ustr::from("SOLUSD"),
            current_qty: Some(1000),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            currency: None,
            underlying: None,
            quote_currency: None,
            commission: None,
            init_margin_req: None,
            maint_margin_req: None,
            risk_limit: None,
            leverage: None,
            cross_margin: None,
            deleverage_percentile: None,
            rebalanced_pnl: None,
            prev_realised_pnl: None,
            prev_unrealised_pnl: None,
            prev_close_price: None,
            opening_timestamp: None,
            opening_qty: None,
            opening_cost: None,
            opening_comm: None,
            open_order_buy_qty: None,
            open_order_buy_cost: None,
            open_order_buy_premium: None,
            open_order_sell_qty: None,
            open_order_sell_cost: None,
            open_order_sell_premium: None,
            exec_buy_qty: None,
            exec_buy_cost: None,
            exec_sell_qty: None,
            exec_sell_cost: None,
            exec_qty: None,
            exec_cost: None,
            exec_comm: None,
            current_timestamp: None,
            current_cost: None,
            current_comm: None,
            realised_cost: None,
            unrealised_cost: None,
            gross_open_cost: None,
            gross_open_premium: None,
            gross_exec_cost: None,
            is_open: Some(true),
            mark_price: None,
            mark_value: None,
            risk_value: None,
            home_notional: None,
            foreign_notional: None,
            pos_state: None,
            pos_cost: None,
            pos_cost2: None,
            pos_cross: None,
            pos_init: None,
            pos_comm: None,
            pos_loss: None,
            pos_margin: None,
            pos_maint: None,
            pos_allowance: None,
            taxable_margin: None,
            init_margin: None,
            maint_margin: None,
            session_margin: None,
            target_excess_margin: None,
            var_margin: None,
            realised_gross_pnl: None,
            realised_tax: None,
            realised_pnl: None,
            unrealised_gross_pnl: None,
            long_bankrupt: None,
            short_bankrupt: None,
            tax_base: None,
            indicative_tax_rate: None,
            indicative_tax: None,
            unrealised_tax: None,
            unrealised_pnl: None,
            unrealised_pnl_pcnt: None,
            unrealised_roe_pcnt: None,
            avg_cost_price: None,
            avg_entry_price: None,
            break_even_price: None,
            margin_call_price: None,
            liquidation_price: None,
            bankrupt_price: None,
            last_price: None,
            last_value: None,
        };

        let mut instrument_def = create_test_spot_instrument();
        instrument_def.symbol = Ustr::from("SOLUSD");
        instrument_def.underlying = Ustr::from("SOL");
        instrument_def.quote_currency = Ustr::from("USD");
        let instrument = parse_spot_instrument(&instrument_def, UnixNanos::default()).unwrap();

        let report = parse_position_report(position, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.position_side.as_position_side(), PositionSide::Long);
        assert!((report.quantity.as_f64() - 0.1).abs() < 1e-9);
    }

    fn create_test_spot_instrument() -> BitmexInstrument {
        BitmexInstrument {
            symbol: Ustr::from("XBTUSD"),
            root_symbol: Ustr::from("XBT"),
            state: BitmexInstrumentState::Open,
            instrument_type: BitmexInstrumentType::Spot,
            listing: Some(
                DateTime::parse_from_rfc3339("2016-05-13T12:00:00.000Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            front: Some(
                DateTime::parse_from_rfc3339("2016-05-13T12:00:00.000Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            expiry: None,
            settle: None,
            listed_settle: None,
            position_currency: Some(Ustr::from("USD")),
            underlying: Ustr::from("XBT"),
            quote_currency: Ustr::from("USD"),
            underlying_symbol: Some(Ustr::from("XBT=")),
            reference: Some(Ustr::from("BMEX")),
            reference_symbol: Some(Ustr::from(".BXBT")),
            lot_size: Some(1000.0),
            tick_size: 0.01,
            multiplier: 1.0,
            settl_currency: Some(Ustr::from("USD")),
            is_quanto: false,
            is_inverse: false,
            maker_fee: Some(-0.00025),
            taker_fee: Some(0.00075),
            timestamp: DateTime::parse_from_rfc3339("2024-01-01T00:00:00.000Z")
                .unwrap()
                .with_timezone(&Utc),
            // Set other fields to reasonable defaults
            max_order_qty: Some(10000000.0),
            max_price: Some(1000000.0),
            settlement_fee: Some(0.0),
            mark_price: Some(50500.0),
            last_price: Some(50500.0),
            bid_price: Some(50499.5),
            ask_price: Some(50500.5),
            open_interest: Some(0.0),
            open_value: Some(0.0),
            total_volume: Some(1000000.0),
            volume: Some(50000.0),
            volume_24h: Some(75000.0),
            total_turnover: Some(150000000.0),
            turnover: Some(5000000.0),
            turnover_24h: Some(7500000.0),
            has_liquidity: Some(true),
            // Set remaining fields to None/defaults
            calc_interval: None,
            publish_interval: None,
            publish_time: None,
            underlying_to_position_multiplier: Some(10000.0),
            underlying_to_settle_multiplier: None,
            quote_to_settle_multiplier: Some(1.0),
            init_margin: Some(0.1),
            maint_margin: Some(0.05),
            risk_limit: Some(20000000000.0),
            risk_step: Some(10000000000.0),
            limit: None,
            taxed: Some(true),
            deleverage: Some(true),
            funding_base_symbol: None,
            funding_quote_symbol: None,
            funding_premium_symbol: None,
            funding_timestamp: None,
            funding_interval: None,
            funding_rate: None,
            indicative_funding_rate: None,
            rebalance_timestamp: None,
            rebalance_interval: None,
            prev_close_price: Some(50000.0),
            limit_down_price: None,
            limit_up_price: None,
            prev_total_turnover: Some(100000000.0),
            home_notional_24h: Some(1.5),
            foreign_notional_24h: Some(75000.0),
            prev_price_24h: Some(49500.0),
            vwap: Some(50100.0),
            high_price: Some(51000.0),
            low_price: Some(49000.0),
            last_price_protected: Some(50500.0),
            last_tick_direction: Some(BitmexTickDirection::PlusTick),
            last_change_pcnt: Some(0.0202),
            mid_price: Some(50500.0),
            impact_bid_price: Some(50490.0),
            impact_mid_price: Some(50495.0),
            impact_ask_price: Some(50500.0),
            fair_method: None,
            fair_basis_rate: None,
            fair_basis: None,
            fair_price: None,
            mark_method: Some(BitmexMarkMethod::LastPrice),
            indicative_settle_price: None,
            settled_price_adjustment_rate: None,
            settled_price: None,
            instant_pnl: false,
            min_tick: None,
            funding_base_rate: None,
            funding_quote_rate: None,
            capped: None,
            opening_timestamp: None,
            closing_timestamp: None,
            prev_total_volume: None,
        }
    }

    fn create_test_perpetual_instrument() -> BitmexInstrument {
        BitmexInstrument {
            symbol: Ustr::from("XBTUSD"),
            root_symbol: Ustr::from("XBT"),
            state: BitmexInstrumentState::Open,
            instrument_type: BitmexInstrumentType::PerpetualContract,
            listing: Some(
                DateTime::parse_from_rfc3339("2016-05-13T12:00:00.000Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            front: Some(
                DateTime::parse_from_rfc3339("2016-05-13T12:00:00.000Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            expiry: None,
            settle: None,
            listed_settle: None,
            position_currency: Some(Ustr::from("USD")),
            underlying: Ustr::from("XBT"),
            quote_currency: Ustr::from("USD"),
            underlying_symbol: Some(Ustr::from("XBT=")),
            reference: Some(Ustr::from("BMEX")),
            reference_symbol: Some(Ustr::from(".BXBT")),
            lot_size: Some(100.0),
            tick_size: 0.5,
            multiplier: -100000000.0,
            settl_currency: Some(Ustr::from("XBt")),
            is_quanto: false,
            is_inverse: true,
            maker_fee: Some(-0.00025),
            taker_fee: Some(0.00075),
            timestamp: DateTime::parse_from_rfc3339("2024-01-01T00:00:00.000Z")
                .unwrap()
                .with_timezone(&Utc),
            // Set other fields
            max_order_qty: Some(10000000.0),
            max_price: Some(1000000.0),
            settlement_fee: Some(0.0),
            mark_price: Some(50500.01),
            last_price: Some(50500.0),
            bid_price: Some(50499.5),
            ask_price: Some(50500.5),
            open_interest: Some(500000000.0),
            open_value: Some(990099009900.0),
            total_volume: Some(12345678900000.0),
            volume: Some(5000000.0),
            volume_24h: Some(75000000.0),
            total_turnover: Some(150000000000000.0),
            turnover: Some(5000000000.0),
            turnover_24h: Some(7500000000.0),
            has_liquidity: Some(true),
            // Perpetual specific fields
            funding_base_symbol: Some(Ustr::from(".XBTBON8H")),
            funding_quote_symbol: Some(Ustr::from(".USDBON8H")),
            funding_premium_symbol: Some(Ustr::from(".XBTUSDPI8H")),
            funding_timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T08:00:00.000Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            funding_interval: Some(
                DateTime::parse_from_rfc3339("2000-01-01T08:00:00.000Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            funding_rate: Some(0.0001),
            indicative_funding_rate: Some(0.0001),
            funding_base_rate: Some(0.01),
            funding_quote_rate: Some(-0.01),
            // Other fields
            calc_interval: None,
            publish_interval: None,
            publish_time: None,
            underlying_to_position_multiplier: None,
            underlying_to_settle_multiplier: Some(-100000000.0),
            quote_to_settle_multiplier: None,
            init_margin: Some(0.01),
            maint_margin: Some(0.005),
            risk_limit: Some(20000000000.0),
            risk_step: Some(10000000000.0),
            limit: None,
            taxed: Some(true),
            deleverage: Some(true),
            rebalance_timestamp: None,
            rebalance_interval: None,
            prev_close_price: Some(50000.0),
            limit_down_price: None,
            limit_up_price: None,
            prev_total_turnover: Some(100000000000000.0),
            home_notional_24h: Some(1500.0),
            foreign_notional_24h: Some(75000000.0),
            prev_price_24h: Some(49500.0),
            vwap: Some(50100.0),
            high_price: Some(51000.0),
            low_price: Some(49000.0),
            last_price_protected: Some(50500.0),
            last_tick_direction: Some(BitmexTickDirection::PlusTick),
            last_change_pcnt: Some(0.0202),
            mid_price: Some(50500.0),
            impact_bid_price: Some(50490.0),
            impact_mid_price: Some(50495.0),
            impact_ask_price: Some(50500.0),
            fair_method: Some(BitmexFairMethod::FundingRate),
            fair_basis_rate: Some(0.1095),
            fair_basis: Some(0.01),
            fair_price: Some(50500.01),
            mark_method: Some(BitmexMarkMethod::FairPrice),
            indicative_settle_price: Some(50500.0),
            settled_price_adjustment_rate: None,
            settled_price: None,
            instant_pnl: false,
            min_tick: None,
            capped: None,
            opening_timestamp: None,
            closing_timestamp: None,
            prev_total_volume: None,
        }
    }

    fn create_test_futures_instrument() -> BitmexInstrument {
        BitmexInstrument {
            symbol: Ustr::from("XBTH25"),
            root_symbol: Ustr::from("XBT"),
            state: BitmexInstrumentState::Open,
            instrument_type: BitmexInstrumentType::Futures,
            listing: Some(
                DateTime::parse_from_rfc3339("2024-09-27T12:00:00.000Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            front: Some(
                DateTime::parse_from_rfc3339("2024-12-27T12:00:00.000Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            expiry: Some(
                DateTime::parse_from_rfc3339("2025-03-28T12:00:00.000Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            settle: Some(
                DateTime::parse_from_rfc3339("2025-03-28T12:00:00.000Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            listed_settle: None,
            position_currency: Some(Ustr::from("USD")),
            underlying: Ustr::from("XBT"),
            quote_currency: Ustr::from("USD"),
            underlying_symbol: Some(Ustr::from("XBT=")),
            reference: Some(Ustr::from("BMEX")),
            reference_symbol: Some(Ustr::from(".BXBT30M")),
            lot_size: Some(100.0),
            tick_size: 0.5,
            multiplier: -100000000.0,
            settl_currency: Some(Ustr::from("XBt")),
            is_quanto: false,
            is_inverse: true,
            maker_fee: Some(-0.00025),
            taker_fee: Some(0.00075),
            settlement_fee: Some(0.0005),
            timestamp: DateTime::parse_from_rfc3339("2024-01-01T00:00:00.000Z")
                .unwrap()
                .with_timezone(&Utc),
            // Set other fields
            max_order_qty: Some(10000000.0),
            max_price: Some(1000000.0),
            mark_price: Some(55500.0),
            last_price: Some(55500.0),
            bid_price: Some(55499.5),
            ask_price: Some(55500.5),
            open_interest: Some(50000000.0),
            open_value: Some(90090090090.0),
            total_volume: Some(1000000000.0),
            volume: Some(500000.0),
            volume_24h: Some(7500000.0),
            total_turnover: Some(15000000000000.0),
            turnover: Some(500000000.0),
            turnover_24h: Some(750000000.0),
            has_liquidity: Some(true),
            // Futures specific fields
            funding_base_symbol: None,
            funding_quote_symbol: None,
            funding_premium_symbol: None,
            funding_timestamp: None,
            funding_interval: None,
            funding_rate: None,
            indicative_funding_rate: None,
            funding_base_rate: None,
            funding_quote_rate: None,
            // Other fields
            calc_interval: None,
            publish_interval: None,
            publish_time: None,
            underlying_to_position_multiplier: None,
            underlying_to_settle_multiplier: Some(-100000000.0),
            quote_to_settle_multiplier: None,
            init_margin: Some(0.02),
            maint_margin: Some(0.01),
            risk_limit: Some(20000000000.0),
            risk_step: Some(10000000000.0),
            limit: None,
            taxed: Some(true),
            deleverage: Some(true),
            rebalance_timestamp: None,
            rebalance_interval: None,
            prev_close_price: Some(55000.0),
            limit_down_price: None,
            limit_up_price: None,
            prev_total_turnover: Some(10000000000000.0),
            home_notional_24h: Some(150.0),
            foreign_notional_24h: Some(7500000.0),
            prev_price_24h: Some(54500.0),
            vwap: Some(55100.0),
            high_price: Some(56000.0),
            low_price: Some(54000.0),
            last_price_protected: Some(55500.0),
            last_tick_direction: Some(BitmexTickDirection::PlusTick),
            last_change_pcnt: Some(0.0183),
            mid_price: Some(55500.0),
            impact_bid_price: Some(55490.0),
            impact_mid_price: Some(55495.0),
            impact_ask_price: Some(55500.0),
            fair_method: Some(BitmexFairMethod::ImpactMidPrice),
            fair_basis_rate: Some(1.8264),
            fair_basis: Some(1000.0),
            fair_price: Some(55500.0),
            mark_method: Some(BitmexMarkMethod::FairPrice),
            indicative_settle_price: Some(55500.0),
            settled_price_adjustment_rate: None,
            settled_price: None,
            instant_pnl: false,
            min_tick: None,
            capped: None,
            opening_timestamp: None,
            closing_timestamp: None,
            prev_total_volume: None,
        }
    }

    #[rstest]
    fn test_parse_spot_instrument() {
        let instrument = create_test_spot_instrument();
        let ts_init = UnixNanos::default();
        let result = parse_spot_instrument(&instrument, ts_init).unwrap();

        // Check it's a CurrencyPair variant
        match result {
            InstrumentAny::CurrencyPair(spot) => {
                assert_eq!(spot.id.symbol.as_str(), "XBTUSD");
                assert_eq!(spot.id.venue.as_str(), "BITMEX");
                assert_eq!(spot.raw_symbol.as_str(), "XBTUSD");
                assert_eq!(spot.price_precision, 2);
                assert_eq!(spot.size_precision, 4);
                assert_eq!(spot.price_increment.as_f64(), 0.01);
                assert!((spot.size_increment.as_f64() - 0.0001).abs() < 1e-9);
                assert!((spot.lot_size.unwrap().as_f64() - 0.1).abs() < 1e-9);
                assert_eq!(spot.maker_fee.to_f64().unwrap(), -0.00025);
                assert_eq!(spot.taker_fee.to_f64().unwrap(), 0.00075);
            }
            _ => panic!("Expected CurrencyPair variant"),
        }
    }

    #[rstest]
    fn test_parse_perpetual_instrument() {
        let instrument = create_test_perpetual_instrument();
        let ts_init = UnixNanos::default();
        let result = parse_perpetual_instrument(&instrument, ts_init).unwrap();

        // Check it's a CryptoPerpetual variant
        match result {
            InstrumentAny::CryptoPerpetual(perp) => {
                assert_eq!(perp.id.symbol.as_str(), "XBTUSD");
                assert_eq!(perp.id.venue.as_str(), "BITMEX");
                assert_eq!(perp.raw_symbol.as_str(), "XBTUSD");
                assert_eq!(perp.price_precision, 1);
                assert_eq!(perp.size_precision, 0);
                assert_eq!(perp.price_increment.as_f64(), 0.5);
                assert_eq!(perp.size_increment.as_f64(), 1.0);
                assert_eq!(perp.maker_fee.to_f64().unwrap(), -0.00025);
                assert_eq!(perp.taker_fee.to_f64().unwrap(), 0.00075);
                assert!(perp.is_inverse);
            }
            _ => panic!("Expected CryptoPerpetual variant"),
        }
    }

    #[rstest]
    fn test_parse_futures_instrument() {
        let instrument = create_test_futures_instrument();
        let ts_init = UnixNanos::default();
        let result = parse_futures_instrument(&instrument, ts_init).unwrap();

        // Check it's a CryptoFuture variant
        match result {
            InstrumentAny::CryptoFuture(instrument) => {
                assert_eq!(instrument.id.symbol.as_str(), "XBTH25");
                assert_eq!(instrument.id.venue.as_str(), "BITMEX");
                assert_eq!(instrument.raw_symbol.as_str(), "XBTH25");
                assert_eq!(instrument.underlying.code.as_str(), "XBT");
                assert_eq!(instrument.price_precision, 1);
                assert_eq!(instrument.size_precision, 0);
                assert_eq!(instrument.price_increment.as_f64(), 0.5);
                assert_eq!(instrument.size_increment.as_f64(), 1.0);
                assert_eq!(instrument.maker_fee.to_f64().unwrap(), -0.00025);
                assert_eq!(instrument.taker_fee.to_f64().unwrap(), 0.00075);
                assert!(instrument.is_inverse);
                // Check expiration timestamp instead of expiry_date
                // The futures contract expires on 2025-03-28
                assert!(instrument.expiration_ns.as_u64() > 0);
            }
            _ => panic!("Expected CryptoFuture variant"),
        }
    }

    #[rstest]
    fn test_parse_order_status_report_missing_ord_status_infers_filled() {
        let order = BitmexOrder {
            account: 123456,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("a1b2c3d4-e5f6-7890-abcd-ef1234567890").unwrap(),
            cl_ord_id: Some(Ustr::from("client-filled")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Buy),
            ord_type: Some(BitmexOrderType::Limit),
            time_in_force: Some(BitmexTimeInForce::GoodTillCancel),
            ord_status: None, // Missing - should infer Filled
            order_qty: Some(100),
            cum_qty: Some(100), // Fully filled
            price: Some(50000.0),
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(false),
            ord_rej_reason: None,
            leaves_qty: Some(0), // No remaining quantity
            avg_px: Some(50050.0),
            multi_leg_reporting_type: None,
            text: None,
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();
        let report = parse_order_status_report(&order, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.order_status, OrderStatus::Filled);
        assert_eq!(report.account_id.to_string(), "BITMEX-123456");
        assert_eq!(report.filled_qty.as_f64(), 100.0);
    }

    #[rstest]
    fn test_parse_order_status_report_missing_ord_status_infers_canceled() {
        let order = BitmexOrder {
            account: 123456,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("b2c3d4e5-f6a7-8901-bcde-f12345678901").unwrap(),
            cl_ord_id: Some(Ustr::from("client-canceled")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Sell),
            ord_type: Some(BitmexOrderType::Limit),
            time_in_force: Some(BitmexTimeInForce::GoodTillCancel),
            ord_status: None, // Missing - should infer Canceled
            order_qty: Some(200),
            cum_qty: Some(0), // Nothing filled
            price: Some(60000.0),
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(false),
            ord_rej_reason: None,
            leaves_qty: Some(0), // No remaining quantity
            avg_px: None,
            multi_leg_reporting_type: None,
            text: Some(Ustr::from("Canceled: Already filled")),
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();
        let report = parse_order_status_report(&order, &instrument, UnixNanos::from(1)).unwrap();

        assert_eq!(report.order_status, OrderStatus::Canceled);
        assert_eq!(report.account_id.to_string(), "BITMEX-123456");
        assert_eq!(report.filled_qty.as_f64(), 0.0);
        // Verify text/reason is still captured
        assert_eq!(
            report.cancel_reason.as_ref().unwrap(),
            "Canceled: Already filled"
        );
    }

    #[rstest]
    fn test_parse_order_status_report_missing_ord_status_with_leaves_qty_fails() {
        let order = BitmexOrder {
            account: 123456,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("c3d4e5f6-a7b8-9012-cdef-123456789012").unwrap(),
            cl_ord_id: Some(Ustr::from("client-partial")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Buy),
            ord_type: Some(BitmexOrderType::Limit),
            time_in_force: Some(BitmexTimeInForce::GoodTillCancel),
            ord_status: None, // Missing
            order_qty: Some(100),
            cum_qty: Some(50),
            price: Some(50000.0),
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(true),
            ord_rej_reason: None,
            leaves_qty: Some(50), // Still has remaining qty - can't infer status
            avg_px: None,
            multi_leg_reporting_type: None,
            text: None,
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();
        let result = parse_order_status_report(&order, &instrument, UnixNanos::from(1));

        assert!(result.is_err());
        let err_msg = result.unwrap_err().to_string();
        assert!(err_msg.contains("missing ord_status"));
        assert!(err_msg.contains("cannot infer"));
    }

    #[rstest]
    fn test_parse_order_status_report_missing_ord_status_no_quantities_fails() {
        let order = BitmexOrder {
            account: 123456,
            symbol: Some(Ustr::from("XBTUSD")),
            order_id: Uuid::parse_str("d4e5f6a7-b8c9-0123-def0-123456789013").unwrap(),
            cl_ord_id: Some(Ustr::from("client-unknown")),
            cl_ord_link_id: None,
            side: Some(BitmexSide::Buy),
            ord_type: Some(BitmexOrderType::Limit),
            time_in_force: Some(BitmexTimeInForce::GoodTillCancel),
            ord_status: None, // Missing
            order_qty: Some(100),
            cum_qty: None, // Missing
            price: Some(50000.0),
            stop_px: None,
            display_qty: None,
            peg_offset_value: None,
            peg_price_type: None,
            currency: Some(Ustr::from("USD")),
            settl_currency: Some(Ustr::from("XBt")),
            exec_inst: None,
            contingency_type: None,
            ex_destination: None,
            triggered: None,
            working_indicator: Some(true),
            ord_rej_reason: None,
            leaves_qty: None, // Missing
            avg_px: None,
            multi_leg_reporting_type: None,
            text: None,
            transact_time: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:00Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
            timestamp: Some(
                DateTime::parse_from_rfc3339("2024-01-01T00:00:01Z")
                    .unwrap()
                    .with_timezone(&Utc),
            ),
        };

        let instrument =
            parse_perpetual_instrument(&create_test_perpetual_instrument(), UnixNanos::default())
                .unwrap();
        let result = parse_order_status_report(&order, &instrument, UnixNanos::from(1));

        assert!(result.is_err());
        let err_msg = result.unwrap_err().to_string();
        assert!(err_msg.contains("missing ord_status"));
        assert!(err_msg.contains("cannot infer"));
    }
}