nautilus_coinbase_intx/fix/
client.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16//! FIX Client for the Coinbase International Drop Copy Endpoint.
17//!
18//! This implementation focuses specifically on processing execution reports
19//! via the FIX protocol, leveraging the existing `SocketClient` for TCP/TLS connectivity.
20//!
21//! # Warning
22//!
23//! **Not a full FIX engine**: This client supports only the Coinbase International Drop Copy
24//! endpoint and lacks general-purpose FIX functionality.
25use std::{
26    sync::{
27        Arc,
28        atomic::{AtomicBool, AtomicUsize, Ordering},
29    },
30    time::Duration,
31};
32
33use aws_lc_rs::hmac;
34use base64::prelude::*;
35use nautilus_common::{
36    live::get_runtime,
37    logging::{log_task_started, log_task_stopped},
38};
39#[cfg(feature = "python")]
40use nautilus_core::python::{IntoPyObjectNautilusExt, call_python};
41use nautilus_core::{env::get_or_env_var, time::get_atomic_clock_realtime};
42use nautilus_model::identifiers::AccountId;
43use nautilus_network::socket::{SocketClient, SocketConfig, WriterCommand};
44#[cfg(feature = "python")]
45use pyo3::prelude::*;
46use tokio::task::JoinHandle;
47use tokio_tungstenite::tungstenite::stream::Mode;
48
49use super::{
50    messages::{FIX_DELIMITER, FixMessage},
51    parse::convert_to_order_status_report,
52};
53use crate::{
54    common::consts::COINBASE_INTX,
55    fix::{
56        messages::{fix_exec_type, fix_message_type, fix_tag},
57        parse::convert_to_fill_report,
58    },
59};
60
61#[cfg_attr(
62    feature = "python",
63    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.coinbase_intx")
64)]
65#[derive(Debug, Clone)]
66pub struct CoinbaseIntxFixClient {
67    endpoint: String,
68    api_key: String,
69    api_secret: String,
70    api_passphrase: String,
71    portfolio_id: String,
72    sender_comp_id: String,
73    target_comp_id: String,
74    socket: Option<Arc<SocketClient>>,
75    connected: Arc<AtomicBool>,
76    logged_on: Arc<AtomicBool>,
77    seq_num: Arc<AtomicUsize>,
78    received_seq_num: Arc<AtomicUsize>,
79    heartbeat_secs: u64,
80    processing_task: Option<Arc<JoinHandle<()>>>,
81    heartbeat_task: Option<Arc<JoinHandle<()>>>,
82}
83
84impl CoinbaseIntxFixClient {
85    /// Creates a new [`CoinbaseIntxFixClient`] instance.
86    ///
87    /// # Errors
88    ///
89    /// Returns an error if required environment variables or parameters are missing.
90    pub fn new(
91        endpoint: Option<String>,
92        api_key: Option<String>,
93        api_secret: Option<String>,
94        api_passphrase: Option<String>,
95        portfolio_id: Option<String>,
96    ) -> anyhow::Result<Self> {
97        let endpoint = endpoint.unwrap_or("fix.international.coinbase.com:6130".to_string());
98        let api_key = get_or_env_var(api_key, "COINBASE_INTX_API_KEY")?;
99        let api_secret = get_or_env_var(api_secret, "COINBASE_INTX_API_SECRET")?;
100        let api_passphrase = get_or_env_var(api_passphrase, "COINBASE_INTX_API_PASSPHRASE")?;
101        let portfolio_id = get_or_env_var(portfolio_id, "COINBASE_INTX_PORTFOLIO_ID")?;
102        let sender_comp_id = api_key.clone();
103        let target_comp_id = "CBINTLDC".to_string(); // Drop Copy endpoint
104
105        Ok(Self {
106            endpoint,
107            api_key,
108            api_secret,
109            api_passphrase,
110            portfolio_id,
111            sender_comp_id,
112            target_comp_id,
113            socket: None,
114            connected: Arc::new(AtomicBool::new(false)),
115            logged_on: Arc::new(AtomicBool::new(false)),
116            seq_num: Arc::new(AtomicUsize::new(1)),
117            received_seq_num: Arc::new(AtomicUsize::new(0)),
118            heartbeat_secs: 10, // Default (probably no need to change)
119            processing_task: None,
120            heartbeat_task: None,
121        })
122    }
123
124    /// Creates a new authenticated [`CoinbaseIntxFixClient`] instance using
125    /// environment variables and the default Coinbase International FIX drop copy endpoint.
126    ///
127    /// # Errors
128    ///
129    /// Returns an error if required environment variables are not set.
130    pub fn from_env() -> anyhow::Result<Self> {
131        Self::new(None, None, None, None, None)
132    }
133
134    /// Returns the FIX endpoint being used by the client.
135    #[must_use]
136    pub const fn endpoint(&self) -> &str {
137        self.endpoint.as_str()
138    }
139
140    /// Returns the public API key being used by the client.
141    #[must_use]
142    pub const fn api_key(&self) -> &str {
143        self.api_key.as_str()
144    }
145
146    /// Returns a masked version of the API key for logging purposes.
147    #[must_use]
148    pub fn api_key_masked(&self) -> String {
149        nautilus_core::string::mask_api_key(&self.api_key)
150    }
151
152    /// Returns the Coinbase International portfolio ID being used by the client.
153    #[must_use]
154    pub const fn portfolio_id(&self) -> &str {
155        self.portfolio_id.as_str()
156    }
157
158    /// Returns the sender company ID being used by the client.
159    #[must_use]
160    pub const fn sender_comp_id(&self) -> &str {
161        self.sender_comp_id.as_str()
162    }
163
164    /// Returns the target company ID being used by the client.
165    #[must_use]
166    pub const fn target_comp_id(&self) -> &str {
167        self.target_comp_id.as_str()
168    }
169
170    /// Checks if the client is connected.
171    #[must_use]
172    pub fn is_connected(&self) -> bool {
173        self.connected.load(Ordering::SeqCst)
174    }
175
176    /// Checks if the client is logged on.
177    #[must_use]
178    pub fn is_logged_on(&self) -> bool {
179        self.logged_on.load(Ordering::SeqCst)
180    }
181
182    /// Connects to the Coinbase International FIX Drop Copy endpoint.
183    ///
184    /// # Panics
185    ///
186    /// Panics if time calculation or unwrap logic inside fails during logon retry setup.
187    ///
188    /// # Errors
189    ///
190    /// Returns an error if network connection or FIX logon fails.
191    pub async fn connect(
192        &mut self,
193        #[cfg(feature = "python")] handler: Py<PyAny>,
194        #[cfg(not(feature = "python"))] _handler: (),
195    ) -> anyhow::Result<()> {
196        let logged_on = self.logged_on.clone();
197        let seq_num = self.seq_num.clone();
198        let received_seq_num = self.received_seq_num.clone();
199        let account_id = AccountId::new(format!("{COINBASE_INTX}-{}", self.portfolio_id));
200
201        let handle_message = Arc::new(move |data: &[u8]| {
202            if let Ok(message) = FixMessage::parse(data) {
203                // Update received sequence number
204                if let Some(msg_seq) = message.msg_seq_num() {
205                    received_seq_num.store(msg_seq, Ordering::SeqCst);
206                }
207
208                // Process message based on type
209                if let Some(msg_type) = message.msg_type() {
210                    match msg_type {
211                        fix_message_type::LOGON => {
212                            log::info!("Logon successful");
213                            logged_on.store(true, Ordering::SeqCst);
214                        }
215                        fix_message_type::LOGOUT => {
216                            log::info!("Received logout");
217                            logged_on.store(false, Ordering::SeqCst);
218                        }
219                        fix_message_type::EXECUTION_REPORT => {
220                            if let Some(exec_type) = message.get_field(fix_tag::EXEC_TYPE) {
221                                if matches!(
222                                    exec_type,
223                                    fix_exec_type::REJECTED
224                                        | fix_exec_type::NEW
225                                        | fix_exec_type::PENDING_NEW
226                                ) {
227                                    // These order events are already handled by the client
228                                    log::debug!(
229                                        "Received execution report for EXEC_TYPE {exec_type} (not handling here)"
230                                    );
231                                } else if matches!(
232                                    exec_type,
233                                    fix_exec_type::CANCELED
234                                        | fix_exec_type::EXPIRED
235                                        | fix_exec_type::REPLACED
236                                ) {
237                                    let clock = get_atomic_clock_realtime(); // TODO: Optimize
238                                    let ts_init = clock.get_time_ns();
239                                    match convert_to_order_status_report(
240                                        &message, account_id, ts_init,
241                                    ) {
242                                        #[cfg(feature = "python")]
243                                        Ok(report) => Python::attach(|py| {
244                                            call_python(
245                                                py,
246                                                &handler,
247                                                report.into_py_any_unwrap(py),
248                                            );
249                                        }),
250                                        #[cfg(not(feature = "python"))]
251                                        Ok(_report) => {
252                                            log::debug!(
253                                                "Order status report handled (Python disabled)"
254                                            );
255                                        }
256                                        Err(e) => {
257                                            log::error!(
258                                                "Failed to parse FIX execution report: {e}"
259                                            );
260                                        }
261                                    }
262                                } else if exec_type == fix_exec_type::PARTIAL_FILL
263                                    || exec_type == fix_exec_type::FILL
264                                {
265                                    let clock = get_atomic_clock_realtime(); // TODO: Optimize
266                                    let ts_init = clock.get_time_ns();
267                                    match convert_to_fill_report(&message, account_id, ts_init) {
268                                        #[cfg(feature = "python")]
269                                        Ok(report) => Python::attach(|py| {
270                                            call_python(
271                                                py,
272                                                &handler,
273                                                report.into_py_any_unwrap(py),
274                                            );
275                                        }),
276                                        #[cfg(not(feature = "python"))]
277                                        Ok(_report) => {
278                                            log::debug!("Fill report handled (Python disabled)");
279                                        }
280                                        Err(e) => {
281                                            log::error!(
282                                                "Failed to parse FIX execution report: {e}"
283                                            );
284                                        }
285                                    }
286                                } else {
287                                    log::warn!("Unhandled EXEC_TYPE {exec_type}: {message:?}");
288                                }
289                            }
290                        }
291                        // These can be HEARTBEAT or TEST_REQUEST messages,
292                        // ideally we'd respond to these with a heartbeat
293                        // including tag 112 TestReqID.
294                        _ => log::trace!("Received unexpected {message:?}"),
295                    }
296                }
297            } else {
298                log::error!("Failed to parse FIX message");
299            }
300        });
301
302        let config = SocketConfig {
303            url: self.endpoint.clone(),
304            mode: Mode::Tls,
305            suffix: vec![FIX_DELIMITER],
306            message_handler: Some(handle_message),
307            heartbeat: None, // Using FIX heartbeats
308            reconnect_timeout_ms: Some(10000),
309            reconnect_delay_initial_ms: Some(5000),
310            reconnect_delay_max_ms: Some(30000),
311            reconnect_backoff_factor: Some(1.5),
312            reconnect_jitter_ms: Some(500),
313            reconnect_max_attempts: None,
314            connection_max_retries: None,
315            certs_dir: None,
316        };
317
318        let socket = match SocketClient::connect(
319            config, None, // post_connection
320            None, // post_reconnection
321            None, // post_disconnection
322        )
323        .await
324        {
325            Ok(socket) => socket,
326            Err(e) => anyhow::bail!("Failed to connect to FIX endpoint: {e:?}"),
327        };
328
329        let writer_tx = socket.writer_tx.clone();
330
331        self.socket = Some(Arc::new(socket));
332
333        self.send_logon().await?;
334
335        // Create task to monitor connection and send logon after reconnect
336        let connected_clone = self.connected.clone();
337        let logged_on_clone = self.logged_on.clone();
338        let heartbeat_secs = self.heartbeat_secs;
339        let client_clone = self.clone();
340
341        self.processing_task = Some(Arc::new(get_runtime().spawn(async move {
342            log_task_started("maintain-fix-connection");
343
344            let mut last_logon_attempt = std::time::Instant::now()
345                .checked_sub(Duration::from_secs(10))
346                .unwrap();
347
348            loop {
349                tokio::time::sleep(Duration::from_millis(100)).await;
350
351                // Check if connected but not logged on
352                if connected_clone.load(Ordering::SeqCst) && !logged_on_clone.load(Ordering::SeqCst)
353                {
354                    // Rate limit logon attempts
355                    if last_logon_attempt.elapsed() > Duration::from_secs(10) {
356                        log::info!("Connected without logon");
357                        last_logon_attempt = std::time::Instant::now();
358
359                        if let Err(e) = client_clone.send_logon().await {
360                            log::error!("Failed to send logon: {e}");
361                        }
362                    }
363                }
364            }
365        })));
366
367        let logged_on_clone = self.logged_on.clone();
368        let sender_comp_id = self.sender_comp_id.clone();
369        let target_comp_id = self.target_comp_id.clone();
370
371        self.heartbeat_task = Some(Arc::new(get_runtime().spawn(async move {
372            log_task_started("heartbeat");
373            log::debug!("Heartbeat at {heartbeat_secs}s intervals");
374
375            let interval = Duration::from_secs(heartbeat_secs);
376
377            loop {
378                if logged_on_clone.load(Ordering::SeqCst) {
379                    // Create new heartbeat message
380                    let seq = seq_num.fetch_add(1, Ordering::SeqCst) + 1;
381                    let now = chrono::Utc::now();
382                    let msg =
383                        FixMessage::create_heartbeat(seq, &sender_comp_id, &target_comp_id, &now);
384
385                    if let Err(e) = writer_tx.send(WriterCommand::Send(msg.to_bytes().into())) {
386                        log::error!("Failed to send heartbeat: {e}");
387                        break;
388                    }
389
390                    log::trace!("Sent heartbeat");
391                } else {
392                    // No longer logged on
393                    log::debug!("No longer logged on, stopping heartbeat task");
394                    break;
395                }
396
397                tokio::time::sleep(interval).await;
398            }
399
400            log_task_stopped("heartbeat");
401        })));
402
403        Ok(())
404    }
405
406    /// Closes the connection.
407    ///
408    /// # Errors
409    ///
410    /// Returns an error if logout or socket closure fails.
411    pub async fn close(&mut self) -> anyhow::Result<()> {
412        // Send logout message if connected
413        if self.is_logged_on()
414            && let Err(e) = self.send_logout("Normal logout").await
415        {
416            log::warn!("Failed to send logout message: {e}");
417        }
418
419        // Close socket
420        if let Some(socket) = &self.socket {
421            socket.close().await;
422        }
423
424        // Cancel processing task
425        if let Some(task) = self.processing_task.take() {
426            task.abort();
427        }
428
429        // Cancel heartbeat task
430        if let Some(task) = self.heartbeat_task.take() {
431            task.abort();
432        }
433
434        self.connected.store(false, Ordering::SeqCst);
435        self.logged_on.store(false, Ordering::SeqCst);
436
437        Ok(())
438    }
439
440    /// Send a logon message
441    async fn send_logon(&self) -> anyhow::Result<()> {
442        if self.socket.is_none() {
443            anyhow::bail!("Socket not connected".to_string());
444        }
445
446        // Reset sequence number
447        self.seq_num.store(1, Ordering::SeqCst);
448
449        let now = chrono::Utc::now();
450        let timestamp = now.format("%Y%m%d-%H:%M:%S.%3f").to_string();
451        let passphrase = self.api_passphrase.clone();
452
453        let message = format!(
454            "{}{}{}{}",
455            timestamp, self.api_key, self.target_comp_id, passphrase
456        );
457
458        // Create signature
459        let decoded_secret = BASE64_STANDARD
460            .decode(&self.api_secret)
461            .map_err(|e| anyhow::anyhow!("Invalid base64 secret key: {e}"))?;
462
463        let key = hmac::Key::new(hmac::HMAC_SHA256, &decoded_secret);
464        let tag = hmac::sign(&key, message.as_bytes());
465        let encoded_signature = BASE64_STANDARD.encode(tag.as_ref());
466
467        let logon_msg = FixMessage::create_logon(
468            1, // Always use 1 for new logon with reset
469            &self.sender_comp_id,
470            &self.target_comp_id,
471            self.heartbeat_secs,
472            &self.api_key,
473            &passphrase,
474            &encoded_signature,
475            &now,
476        );
477
478        if let Some(socket) = &self.socket {
479            log::info!("Logging on...");
480
481            match socket.send_bytes(logon_msg.to_bytes()).await {
482                Ok(()) => log::debug!("Sent logon message"),
483                Err(e) => log::error!("Error on logon: {e}"),
484            }
485        } else {
486            anyhow::bail!("Socket not connected".to_string());
487        }
488
489        let start = std::time::Instant::now();
490        while !self.is_logged_on() {
491            tokio::time::sleep(Duration::from_millis(100)).await;
492
493            if start.elapsed() > Duration::from_secs(10) {
494                anyhow::bail!("Logon timeout".to_string());
495            }
496        }
497
498        self.logged_on.store(true, Ordering::SeqCst);
499
500        Ok(())
501    }
502
503    /// Sends a logout message.
504    async fn send_logout(&self, text: &str) -> anyhow::Result<()> {
505        if self.socket.is_none() {
506            anyhow::bail!("Socket not connected".to_string());
507        }
508
509        let seq_num = self.seq_num.fetch_add(1, Ordering::SeqCst);
510        let now = chrono::Utc::now();
511
512        let logout_msg = FixMessage::create_logout(
513            seq_num,
514            &self.sender_comp_id,
515            &self.target_comp_id,
516            Some(text),
517            &now,
518        );
519
520        if let Some(socket) = &self.socket {
521            match socket.send_bytes(logout_msg.to_bytes()).await {
522                Ok(()) => log::debug!("Sent logout message"),
523                Err(e) => log::error!("Error on logout: {e}"),
524            }
525        } else {
526            anyhow::bail!("Socket not connected".to_string());
527        }
528
529        Ok(())
530    }
531}
nautilus_coinbase_intx/fix/client.rs

nautilus_coinbase_intx/fix/
client.rs
