nautilus_bybit/common/
instruments.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//! Instrument definition diffing and emission for the Bybit adapter.
17
18use ahash::{AHashMap, AHashSet};
19use nautilus_common::messages::DataEvent;
20use nautilus_model::{
21    identifiers::InstrumentId,
22    instruments::{Instrument, InstrumentAny},
23};
24
25/// Returns `true` if the economically meaningful fields of two instruments differ.
26///
27/// [`InstrumentAny`]'s `PartialEq` compares only the instrument ID, and definitions carry
28/// per-fetch timestamps that always change — so neither is usable for detecting "real" updates.
29/// This compares the fields a strategy prices and sizes against, ignoring timestamps.
30fn economics_differ(a: &InstrumentAny, b: &InstrumentAny) -> bool {
31    a.maker_fee() != b.maker_fee()
32        || a.taker_fee() != b.taker_fee()
33        || a.margin_init() != b.margin_init()
34        || a.margin_maint() != b.margin_maint()
35        || a.price_precision() != b.price_precision()
36        || a.size_precision() != b.size_precision()
37        || a.price_increment() != b.price_increment()
38        || a.size_increment() != b.size_increment()
39        || a.multiplier() != b.multiplier()
40        || a.lot_size() != b.lot_size()
41        || a.min_quantity() != b.min_quantity()
42        || a.max_quantity() != b.max_quantity()
43        || a.min_notional() != b.min_notional()
44        || a.max_notional() != b.max_notional()
45        || a.min_price() != b.min_price()
46        || a.max_price() != b.max_price()
47}
48
49/// Compares a fresh instrument snapshot against cached definitions, emitting [`DataEvent::Instrument`]
50/// events for new and economically-changed instruments.
51///
52/// The cache is updated to reflect each meaningful change regardless of subscription, while emissions
53/// are gated by `subscriptions`: only subscribed instruments produce events. Pass `None` to emit for
54/// all changes (e.g. a venue-wide subscription).
55pub fn diff_and_emit_instruments(
56    new_instruments: &[InstrumentAny],
57    cached: &mut AHashMap<InstrumentId, InstrumentAny>,
58    subscriptions: Option<&AHashSet<InstrumentId>>,
59    sender: &tokio::sync::mpsc::UnboundedSender<DataEvent>,
60) {
61    let is_subscribed = |id: &InstrumentId| subscriptions.is_none_or(|subs| subs.contains(id));
62
63    for instrument in new_instruments {
64        let id = instrument.id();
65        let changed = cached
66            .get(&id)
67            .is_none_or(|prev| economics_differ(prev, instrument));
68
69        if changed {
70            cached.insert(id, instrument.clone());
71            if is_subscribed(&id)
72                && let Err(e) = sender.send(DataEvent::Instrument(instrument.clone()))
73            {
74                log::error!("Failed to emit instrument event: {e}");
75            }
76        }
77    }
78}
79
80#[cfg(test)]
81mod tests {
82    use nautilus_core::UnixNanos;
83    use nautilus_model::{
84        identifiers::{InstrumentId, Symbol},
85        instruments::{CryptoPerpetual, InstrumentAny},
86        types::{Currency, Money, Price, Quantity},
87    };
88    use rstest::rstest;
89    use rust_decimal::Decimal;
90    use rust_decimal_macros::dec;
91
92    use super::*;
93
94    /// Builds a BTCUSDT linear perp with the given economic fields; everything else is fixed so a
95    /// single varied field is what the diff sees.
96    fn perp(
97        maker_fee: Decimal,
98        taker_fee: Decimal,
99        size_increment: Quantity,
100        min_notional: Option<Money>,
101    ) -> InstrumentAny {
102        InstrumentAny::CryptoPerpetual(CryptoPerpetual::new(
103            InstrumentId::from("BTCUSDT-LINEAR.BYBIT"),
104            Symbol::from("BTCUSDT-LINEAR"),
105            Currency::BTC(),
106            Currency::USDT(),
107            Currency::USDT(),
108            false, // is_inverse
109            1,     // price_precision
110            3,     // size_precision
111            Price::from("0.1"),
112            size_increment,
113            None,                          // multiplier
114            None,                          // lot_size
115            None,                          // max_quantity
116            Some(Quantity::from("0.001")), // min_quantity
117            None,                          // max_notional
118            min_notional,
119            None, // max_price
120            None, // min_price
121            None, // margin_init
122            None, // margin_maint
123            Some(maker_fee),
124            Some(taker_fee),
125            None,                 // tick_scheme
126            None,                 // info
127            UnixNanos::default(), // ts_event
128            UnixNanos::default(), // ts_init
129        ))
130    }
131
132    fn default_perp() -> InstrumentAny {
133        perp(dec!(0.0001), dec!(0.00055), Quantity::from("0.001"), None)
134    }
135
136    #[rstest]
137    fn test_emits_for_new_instrument() {
138        let (tx, mut rx) = tokio::sync::mpsc::unbounded_channel();
139        let instrument = default_perp();
140        let mut cached = AHashMap::new();
141
142        diff_and_emit_instruments(std::slice::from_ref(&instrument), &mut cached, None, &tx);
143
144        match rx.try_recv().expect("expected instrument event") {
145            DataEvent::Instrument(emitted) => assert_eq!(emitted.id(), instrument.id()),
146            _ => panic!("expected Instrument event"),
147        }
148        assert!(cached.contains_key(&instrument.id()));
149    }
150
151    #[rstest]
152    fn test_no_emit_when_unchanged() {
153        let (tx, mut rx) = tokio::sync::mpsc::unbounded_channel();
154        let instrument = default_perp();
155        let mut cached = AHashMap::new();
156        cached.insert(instrument.id(), default_perp());
157
158        diff_and_emit_instruments(&[instrument], &mut cached, None, &tx);
159
160        assert!(rx.try_recv().is_err());
161    }
162
163    #[rstest]
164    fn test_emits_on_fee_change() {
165        let (tx, mut rx) = tokio::sync::mpsc::unbounded_channel();
166        let id = default_perp().id();
167        let mut cached = AHashMap::new();
168        cached.insert(id, default_perp());
169
170        // Same instrument, higher taker fee.
171        let updated = perp(dec!(0.0001), dec!(0.0008), Quantity::from("0.001"), None);
172        diff_and_emit_instruments(&[updated], &mut cached, None, &tx);
173
174        match rx
175            .try_recv()
176            .expect("expected instrument event on fee change")
177        {
178            DataEvent::Instrument(emitted) => assert_eq!(emitted.taker_fee(), dec!(0.0008)),
179            _ => panic!("expected Instrument event"),
180        }
181        assert_eq!(cached.get(&id).unwrap().taker_fee(), dec!(0.0008));
182    }
183
184    #[rstest]
185    fn test_emits_on_size_increment_and_min_notional_change() {
186        let (tx, mut rx) = tokio::sync::mpsc::unbounded_channel();
187        let id = default_perp().id();
188
189        // size_increment change
190        let mut cached = AHashMap::new();
191        cached.insert(id, default_perp());
192        let bigger_step = perp(dec!(0.0001), dec!(0.00055), Quantity::from("0.002"), None);
193        diff_and_emit_instruments(&[bigger_step], &mut cached, None, &tx);
194        assert!(rx.try_recv().is_ok(), "size_increment change should emit");
195
196        // min_notional change
197        let mut cached = AHashMap::new();
198        cached.insert(id, default_perp());
199        let with_min = perp(
200            dec!(0.0001),
201            dec!(0.00055),
202            Quantity::from("0.001"),
203            Some(Money::new(5.0, Currency::USDT())),
204        );
205        diff_and_emit_instruments(&[with_min], &mut cached, None, &tx);
206        assert!(rx.try_recv().is_ok(), "min_notional change should emit");
207    }
208
209    #[rstest]
210    fn test_subscription_gating_updates_cache_but_only_emits_for_subscribed() {
211        let (tx, mut rx) = tokio::sync::mpsc::unbounded_channel();
212        let id = default_perp().id();
213
214        // Not subscribed: cache still updates, but no event.
215        let empty_subs = AHashSet::new();
216        let mut cached = AHashMap::new();
217        cached.insert(id, default_perp());
218        let updated = perp(dec!(0.0001), dec!(0.0008), Quantity::from("0.001"), None);
219
220        diff_and_emit_instruments(&[updated], &mut cached, Some(&empty_subs), &tx);
221
222        assert!(rx.try_recv().is_err(), "unsubscribed should not emit");
223        assert_eq!(
224            cached.get(&id).unwrap().taker_fee(),
225            dec!(0.0008),
226            "cache should update regardless of subscription"
227        );
228
229        // Subscribed: emits.
230        let mut subs = AHashSet::new();
231        subs.insert(id);
232        let mut cached = AHashMap::new();
233        cached.insert(id, default_perp());
234        let updated = perp(dec!(0.0001), dec!(0.0008), Quantity::from("0.001"), None);
235
236        diff_and_emit_instruments(&[updated], &mut cached, Some(&subs), &tx);
237
238        assert!(rx.try_recv().is_ok(), "subscribed should emit");
239    }
240}
nautilus_bybit/common/instruments.rs

nautilus_bybit/common/
instruments.rs
