nautilus_coinbase_intx/fix/
client.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 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::logging::{log_task_started, log_task_stopped};
36#[cfg(feature = "python")]
37use nautilus_core::python::IntoPyObjectNautilusExt;
38use nautilus_core::{env::get_env_var, time::get_atomic_clock_realtime};
39use nautilus_model::identifiers::AccountId;
40use nautilus_network::socket::{SocketClient, SocketConfig, WriterCommand};
41#[cfg(feature = "python")]
42use pyo3::prelude::*;
43use tokio::task::JoinHandle;
44use tokio_tungstenite::tungstenite::stream::Mode;
45
46use super::{
47    messages::{FIX_DELIMITER, FixMessage},
48    parse::convert_to_order_status_report,
49};
50use crate::{
51    common::consts::COINBASE_INTX,
52    fix::{
53        messages::{fix_exec_type, fix_message_type, fix_tag},
54        parse::convert_to_fill_report,
55    },
56};
57
58#[cfg_attr(
59    feature = "python",
60    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.adapters")
61)]
62#[derive(Debug, Clone)]
63pub struct CoinbaseIntxFixClient {
64    endpoint: String,
65    api_key: String,
66    api_secret: String,
67    api_passphrase: String,
68    portfolio_id: String,
69    sender_comp_id: String,
70    target_comp_id: String,
71    socket: Option<Arc<SocketClient>>,
72    connected: Arc<AtomicBool>,
73    logged_on: Arc<AtomicBool>,
74    seq_num: Arc<AtomicUsize>,
75    received_seq_num: Arc<AtomicUsize>,
76    heartbeat_secs: u64,
77    processing_task: Option<Arc<JoinHandle<()>>>,
78    heartbeat_task: Option<Arc<JoinHandle<()>>>,
79}
80
81impl CoinbaseIntxFixClient {
82    /// Creates a new [`CoinbaseIntxFixClient`] instance.
83    ///
84    /// # Errors
85    ///
86    /// Returns an error if required environment variables or parameters are missing.
87    pub fn new(
88        endpoint: Option<String>,
89        api_key: Option<String>,
90        api_secret: Option<String>,
91        api_passphrase: Option<String>,
92        portfolio_id: Option<String>,
93    ) -> anyhow::Result<Self> {
94        let endpoint = endpoint.unwrap_or("fix.international.coinbase.com:6130".to_string());
95        let api_key = api_key.unwrap_or(get_env_var("COINBASE_INTX_API_KEY")?);
96        let api_secret = api_secret.unwrap_or(get_env_var("COINBASE_INTX_API_SECRET")?);
97        let api_passphrase = api_passphrase.unwrap_or(get_env_var("COINBASE_INTX_API_PASSPHRASE")?);
98        let portfolio_id = portfolio_id.unwrap_or(get_env_var("COINBASE_INTX_PORTFOLIO_ID")?);
99        let sender_comp_id = api_key.to_string();
100        let target_comp_id = "CBINTLDC".to_string(); // Drop Copy endpoint
101
102        Ok(Self {
103            endpoint,
104            api_key,
105            api_secret,
106            api_passphrase,
107            portfolio_id,
108            sender_comp_id,
109            target_comp_id,
110            socket: None,
111            connected: Arc::new(AtomicBool::new(false)),
112            logged_on: Arc::new(AtomicBool::new(false)),
113            seq_num: Arc::new(AtomicUsize::new(1)),
114            received_seq_num: Arc::new(AtomicUsize::new(0)),
115            heartbeat_secs: 10, // Default (probably no need to change)
116            processing_task: None,
117            heartbeat_task: None,
118        })
119    }
120
121    /// Creates a new authenticated [`CoinbaseIntxFixClient`] instance using
122    /// environment variables and the default Coinbase International FIX drop copy endpoint.
123    ///
124    /// # Errors
125    ///
126    /// Returns an error if required environment variables are not set.
127    pub fn from_env() -> anyhow::Result<Self> {
128        Self::new(None, None, None, None, None)
129    }
130
131    /// Returns the FIX endpoint being used by the client.
132    #[must_use]
133    pub const fn endpoint(&self) -> &str {
134        self.endpoint.as_str()
135    }
136
137    /// Returns the public API key being used by the client.
138    #[must_use]
139    pub const fn api_key(&self) -> &str {
140        self.api_key.as_str()
141    }
142
143    /// Returns the Coinbase International portfolio ID being used by the client.
144    #[must_use]
145    pub const fn portfolio_id(&self) -> &str {
146        self.portfolio_id.as_str()
147    }
148
149    /// Returns the sender company ID being used by the client.
150    #[must_use]
151    pub const fn sender_comp_id(&self) -> &str {
152        self.sender_comp_id.as_str()
153    }
154
155    /// Returns the target company ID being used by the client.
156    #[must_use]
157    pub const fn target_comp_id(&self) -> &str {
158        self.target_comp_id.as_str()
159    }
160
161    /// Checks if the client is connected.
162    #[must_use]
163    pub fn is_connected(&self) -> bool {
164        self.connected.load(Ordering::SeqCst)
165    }
166
167    /// Checks if the client is logged on.
168    #[must_use]
169    pub fn is_logged_on(&self) -> bool {
170        self.logged_on.load(Ordering::SeqCst)
171    }
172
173    /// Connects to the Coinbase International FIX Drop Copy endpoint.
174    ///
175    /// # Panics
176    ///
177    /// Panics if time calculation or unwrap logic inside fails during logon retry setup.
178    ///
179    /// # Errors
180    ///
181    /// Returns an error if network connection or FIX logon fails.
182    pub async fn connect(
183        &mut self,
184        #[cfg(feature = "python")] handler: PyObject,
185        #[cfg(not(feature = "python"))] _handler: (),
186    ) -> anyhow::Result<()> {
187        let logged_on = self.logged_on.clone();
188        let seq_num = self.seq_num.clone();
189        let received_seq_num = self.received_seq_num.clone();
190        let account_id = AccountId::new(format!("{COINBASE_INTX}-{}", self.portfolio_id));
191
192        let handle_message = Arc::new(move |data: &[u8]| {
193            if let Ok(message) = FixMessage::parse(data) {
194                // Update received sequence number
195                if let Some(msg_seq) = message.msg_seq_num() {
196                    received_seq_num.store(msg_seq, Ordering::SeqCst);
197                }
198
199                // Process message based on type
200                if let Some(msg_type) = message.msg_type() {
201                    match msg_type {
202                        fix_message_type::LOGON => {
203                            tracing::info!("Logon successful");
204                            logged_on.store(true, Ordering::SeqCst);
205                        }
206                        fix_message_type::LOGOUT => {
207                            tracing::info!("Received logout");
208                            logged_on.store(false, Ordering::SeqCst);
209                        }
210                        fix_message_type::EXECUTION_REPORT => {
211                            if let Some(exec_type) = message.get_field(fix_tag::EXEC_TYPE) {
212                                if matches!(
213                                    exec_type,
214                                    fix_exec_type::REJECTED
215                                        | fix_exec_type::NEW
216                                        | fix_exec_type::PENDING_NEW
217                                ) {
218                                    // These order events are already handled by the client
219                                    tracing::debug!(
220                                        "Received execution report for EXEC_TYPE {exec_type} (not handling here)"
221                                    );
222                                } else if matches!(
223                                    exec_type,
224                                    fix_exec_type::CANCELED
225                                        | fix_exec_type::EXPIRED
226                                        | fix_exec_type::REPLACED
227                                ) {
228                                    let clock = get_atomic_clock_realtime(); // TODO: Optimize
229                                    let ts_init = clock.get_time_ns();
230                                    match convert_to_order_status_report(
231                                        &message, account_id, ts_init,
232                                    ) {
233                                        #[cfg(feature = "python")]
234                                        Ok(report) => Python::with_gil(|py| {
235                                            call_python(
236                                                py,
237                                                &handler,
238                                                report.into_py_any_unwrap(py),
239                                            );
240                                        }),
241                                        #[cfg(not(feature = "python"))]
242                                        Ok(_report) => {
243                                            tracing::debug!(
244                                                "Order status report handled (Python disabled)"
245                                            );
246                                        }
247                                        Err(e) => {
248                                            tracing::error!(
249                                                "Failed to parse FIX execution report: {e}"
250                                            );
251                                        }
252                                    }
253                                } else if exec_type == fix_exec_type::PARTIAL_FILL
254                                    || exec_type == fix_exec_type::FILL
255                                {
256                                    let clock = get_atomic_clock_realtime(); // TODO: Optimize
257                                    let ts_init = clock.get_time_ns();
258                                    match convert_to_fill_report(&message, account_id, ts_init) {
259                                        #[cfg(feature = "python")]
260                                        Ok(report) => Python::with_gil(|py| {
261                                            call_python(
262                                                py,
263                                                &handler,
264                                                report.into_py_any_unwrap(py),
265                                            );
266                                        }),
267                                        #[cfg(not(feature = "python"))]
268                                        Ok(_report) => {
269                                            tracing::debug!(
270                                                "Fill report handled (Python disabled)"
271                                            );
272                                        }
273                                        Err(e) => {
274                                            tracing::error!(
275                                                "Failed to parse FIX execution report: {e}"
276                                            );
277                                        }
278                                    }
279                                } else {
280                                    tracing::warn!("Unhandled EXEC_TYPE {exec_type}: {message:?}");
281                                }
282                            }
283                        }
284                        // These can be HEARTBEAT or TEST_REQUEST messages,
285                        // ideally we'd respond to these with a heartbeat
286                        // including tag 112 TestReqID.
287                        _ => tracing::trace!("Recieved unexpected {message:?}"),
288                    }
289                }
290            } else {
291                tracing::error!("Failed to parse FIX message");
292            }
293        });
294
295        let config = SocketConfig {
296            url: self.endpoint.clone(),
297            mode: Mode::Tls,
298            suffix: vec![FIX_DELIMITER],
299            message_handler: Some(handle_message),
300            heartbeat: None, // Using FIX heartbeats
301            reconnect_timeout_ms: Some(10000),
302            reconnect_delay_initial_ms: Some(5000),
303            reconnect_delay_max_ms: Some(30000),
304            reconnect_backoff_factor: Some(1.5),
305            reconnect_jitter_ms: Some(500),
306            certs_dir: None,
307        };
308
309        let socket = match SocketClient::connect(
310            config, None, // post_connection
311            None, // post_reconnection
312            None, // post_disconnection
313        )
314        .await
315        {
316            Ok(socket) => socket,
317            Err(e) => anyhow::bail!("Failed to connect to FIX endpoint: {e:?}"),
318        };
319
320        let writer_tx = socket.writer_tx.clone();
321
322        self.socket = Some(Arc::new(socket));
323
324        self.send_logon().await?;
325
326        // Create task to monitor connection and send logon after reconnect
327        let connected_clone = self.connected.clone();
328        let logged_on_clone = self.logged_on.clone();
329        let heartbeat_secs = self.heartbeat_secs;
330        let client_clone = self.clone();
331
332        self.processing_task = Some(Arc::new(tokio::spawn(async move {
333            log_task_started("maintain-fix-connection");
334
335            let mut last_logon_attempt = std::time::Instant::now()
336                .checked_sub(Duration::from_secs(10))
337                .unwrap();
338
339            loop {
340                tokio::time::sleep(Duration::from_millis(100)).await;
341
342                // Check if connected but not logged on
343                if connected_clone.load(Ordering::SeqCst) && !logged_on_clone.load(Ordering::SeqCst)
344                {
345                    // Rate limit logon attempts
346                    if last_logon_attempt.elapsed() > Duration::from_secs(10) {
347                        tracing::info!("Connected without logon");
348                        last_logon_attempt = std::time::Instant::now();
349
350                        if let Err(e) = client_clone.send_logon().await {
351                            tracing::error!("Failed to send logon: {e}");
352                        }
353                    }
354                }
355            }
356        })));
357
358        let logged_on_clone = self.logged_on.clone();
359        let sender_comp_id = self.sender_comp_id.clone();
360        let target_comp_id = self.target_comp_id.clone();
361
362        self.heartbeat_task = Some(Arc::new(tokio::spawn(async move {
363            log_task_started("heartbeat");
364            tracing::debug!("Heartbeat at {heartbeat_secs}s intervals");
365
366            let interval = Duration::from_secs(heartbeat_secs);
367
368            loop {
369                if logged_on_clone.load(Ordering::SeqCst) {
370                    // Create new heartbeat message
371                    let seq = seq_num.fetch_add(1, Ordering::SeqCst) + 1;
372                    let now = chrono::Utc::now();
373                    let msg =
374                        FixMessage::create_heartbeat(seq, &sender_comp_id, &target_comp_id, &now);
375
376                    if let Err(e) = writer_tx.send(WriterCommand::Send(msg.to_bytes().into())) {
377                        tracing::error!("Failed to send heartbeat: {e}");
378                        break;
379                    }
380
381                    tracing::trace!("Sent heartbeat");
382                } else {
383                    // No longer logged on
384                    tracing::debug!("No longer logged on, stopping heartbeat task");
385                    break;
386                }
387
388                tokio::time::sleep(interval).await;
389            }
390
391            log_task_stopped("heartbeat");
392        })));
393
394        Ok(())
395    }
396
397    /// Closes the connection.
398    ///
399    /// # Errors
400    ///
401    /// Returns an error if logout or socket closure fails.
402    pub async fn close(&mut self) -> anyhow::Result<()> {
403        // Send logout message if connected
404        if self.is_logged_on()
405            && let Err(e) = self.send_logout("Normal logout").await
406        {
407            tracing::warn!("Failed to send logout message: {e}");
408        }
409
410        // Close socket
411        if let Some(socket) = &self.socket {
412            socket.close().await;
413        }
414
415        // Cancel processing task
416        if let Some(task) = self.processing_task.take() {
417            task.abort();
418        }
419
420        // Cancel heartbeat task
421        if let Some(task) = self.heartbeat_task.take() {
422            task.abort();
423        }
424
425        self.connected.store(false, Ordering::SeqCst);
426        self.logged_on.store(false, Ordering::SeqCst);
427
428        Ok(())
429    }
430
431    /// Send a logon message
432    async fn send_logon(&self) -> anyhow::Result<()> {
433        if self.socket.is_none() {
434            anyhow::bail!("Socket not connected".to_string());
435        }
436
437        // Reset sequence number
438        self.seq_num.store(1, Ordering::SeqCst);
439
440        let now = chrono::Utc::now();
441        let timestamp = now.format("%Y%m%d-%H:%M:%S.%3f").to_string();
442        let passphrase = self.api_passphrase.clone();
443
444        let message = format!(
445            "{}{}{}{}",
446            timestamp, self.api_key, self.target_comp_id, passphrase
447        );
448
449        // Create signature
450        let decoded_secret = BASE64_STANDARD
451            .decode(&self.api_secret)
452            .map_err(|e| anyhow::anyhow!("Invalid base64 secret key: {e}"))?;
453
454        let key = hmac::Key::new(hmac::HMAC_SHA256, &decoded_secret);
455        let tag = hmac::sign(&key, message.as_bytes());
456        let encoded_signature = BASE64_STANDARD.encode(tag.as_ref());
457
458        let logon_msg = FixMessage::create_logon(
459            1, // Always use 1 for new logon with reset
460            &self.sender_comp_id,
461            &self.target_comp_id,
462            self.heartbeat_secs,
463            &self.api_key,
464            &passphrase,
465            &encoded_signature,
466            &now,
467        );
468
469        if let Some(socket) = &self.socket {
470            tracing::info!("Logging on...");
471
472            match socket.send_bytes(logon_msg.to_bytes()).await {
473                Ok(()) => tracing::debug!("Sent logon message"),
474                Err(e) => tracing::error!("Error on logon: {e}"),
475            }
476        } else {
477            anyhow::bail!("Socket not connected".to_string());
478        }
479
480        let start = std::time::Instant::now();
481        while !self.is_logged_on() {
482            tokio::time::sleep(Duration::from_millis(100)).await;
483
484            if start.elapsed() > Duration::from_secs(10) {
485                anyhow::bail!("Logon timeout".to_string());
486            }
487        }
488
489        self.logged_on.store(true, Ordering::SeqCst);
490
491        Ok(())
492    }
493
494    /// Sends a logout message.
495    async fn send_logout(&self, text: &str) -> anyhow::Result<()> {
496        if self.socket.is_none() {
497            anyhow::bail!("Socket not connected".to_string());
498        }
499
500        let seq_num = self.seq_num.fetch_add(1, Ordering::SeqCst);
501        let now = chrono::Utc::now();
502
503        let logout_msg = FixMessage::create_logout(
504            seq_num,
505            &self.sender_comp_id,
506            &self.target_comp_id,
507            Some(text),
508            &now,
509        );
510
511        if let Some(socket) = &self.socket {
512            match socket.send_bytes(logout_msg.to_bytes()).await {
513                Ok(()) => tracing::debug!("Sent logout message"),
514                Err(e) => tracing::error!("Error on logout: {e}"),
515            }
516        } else {
517            anyhow::bail!("Socket not connected".to_string());
518        }
519
520        Ok(())
521    }
522}
523
524// Can't be moved to core because we don't want to depend on tracing there
525#[cfg(feature = "python")]
526pub fn call_python(py: Python, callback: &PyObject, py_obj: PyObject) {
527    if let Err(e) = callback.call1(py, (py_obj,)) {
528        tracing::error!("Error calling Python: {e}");
529    }
530}
nautilus_coinbase_intx/fix/client.rs

nautilus_coinbase_intx/fix/
client.rs
