nautilus_polymarket/execution/

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.
// -------------------------------------------------------------------------------------------------

//! Parsing functions for Polymarket execution reports.

use nautilus_core::{
    UUID4, UnixNanos,
    datetime::{NANOSECONDS_IN_MILLISECOND, NANOSECONDS_IN_SECOND},
};
use nautilus_model::{
    enums::{LiquiditySide, OrderSide, OrderStatus, OrderType, TimeInForce},
    identifiers::{AccountId, ClientOrderId, InstrumentId, TradeId, VenueOrderId},
    instruments::InstrumentAny,
    reports::{FillReport, OrderStatusReport},
    types::{AccountBalance, Currency, Money, Price, Quantity},
};
use rust_decimal::Decimal;

use crate::{
    common::{
        consts::USDC_DECIMALS,
        enums::{
            PolymarketEventType, PolymarketLiquiditySide, PolymarketOrderSide,
            PolymarketOrderStatus,
        },
        models::PolymarketMakerOrder,
    },
    http::models::{ClobBookLevel, PolymarketOpenOrder, PolymarketTradeReport},
};

/// Converts a [`PolymarketLiquiditySide`] to a Nautilus [`LiquiditySide`].
pub const fn parse_liquidity_side(side: PolymarketLiquiditySide) -> LiquiditySide {
    match side {
        PolymarketLiquiditySide::Maker => LiquiditySide::Maker,
        PolymarketLiquiditySide::Taker => LiquiditySide::Taker,
    }
}

/// Resolves the Nautilus order status from Polymarket status and event type.
///
/// Venue-initiated cancellations arrive as `status=Invalid, event_type=Cancellation`
/// (e.g. sport market resolution). These map to `Canceled`, not `Rejected`.
pub fn resolve_order_status(
    status: PolymarketOrderStatus,
    event_type: PolymarketEventType,
) -> OrderStatus {
    if status == PolymarketOrderStatus::Invalid && event_type == PolymarketEventType::Cancellation {
        OrderStatus::Canceled
    } else {
        OrderStatus::from(status)
    }
}

/// Determines the order side for a fill based on trader role and asset matching.
///
/// Polymarket uses a unified order book where complementary tokens (YES/NO) can match
/// across assets. A BUY YES can match with a BUY NO (cross-asset), not just SELL YES
/// (same-asset). For takers, the trade side is used directly. For makers, the side
/// depends on whether the match is cross-asset or same-asset.
pub fn determine_order_side(
    trader_side: PolymarketLiquiditySide,
    trade_side: PolymarketOrderSide,
    taker_asset_id: &str,
    maker_asset_id: &str,
) -> OrderSide {
    let order_side = OrderSide::from(trade_side);

    if trader_side == PolymarketLiquiditySide::Taker {
        return order_side;
    }

    let is_cross_asset = maker_asset_id != taker_asset_id;

    if is_cross_asset {
        order_side
    } else {
        match order_side {
            OrderSide::Buy => OrderSide::Sell,
            OrderSide::Sell => OrderSide::Buy,
            other => other,
        }
    }
}

/// Creates a composite trade ID bounded to 36 characters.
///
/// When multiple orders are filled by a single market order, Polymarket sends one
/// trade message with a single ID for all fills. This creates a unique trade ID
/// per fill by combining the trade ID with part of the venue order ID.
///
/// Format: `{trade_id[..27]}-{venue_order_id[last 8]}` = 36 chars.
pub fn make_composite_trade_id(trade_id: &str, venue_order_id: &str) -> TradeId {
    let prefix_len = trade_id.len().min(27);
    let suffix_len = venue_order_id.len().min(8);
    let suffix_start = venue_order_id.len().saturating_sub(suffix_len);
    TradeId::from(
        format!(
            "{}-{}",
            &trade_id[..prefix_len],
            &venue_order_id[suffix_start..]
        )
        .as_str(),
    )
}

/// Parses a [`PolymarketOpenOrder`] into an [`OrderStatusReport`].
pub fn parse_order_status_report(
    order: &PolymarketOpenOrder,
    instrument_id: InstrumentId,
    account_id: AccountId,
    client_order_id: Option<ClientOrderId>,
    price_precision: u8,
    size_precision: u8,
    ts_init: UnixNanos,
) -> OrderStatusReport {
    let venue_order_id = VenueOrderId::from(order.id.as_str());
    let order_side = OrderSide::from(order.side);
    let time_in_force = TimeInForce::from(order.order_type);
    let order_status = OrderStatus::from(order.status);
    let quantity = Quantity::new(
        order.original_size.to_string().parse().unwrap_or(0.0),
        size_precision,
    );
    let filled_qty = Quantity::new(
        order.size_matched.to_string().parse().unwrap_or(0.0),
        size_precision,
    );
    let price = Price::new(
        order.price.to_string().parse().unwrap_or(0.0),
        price_precision,
    );

    let ts_accepted = UnixNanos::from(order.created_at * NANOSECONDS_IN_SECOND);

    let mut report = OrderStatusReport::new(
        account_id,
        instrument_id,
        client_order_id,
        venue_order_id,
        order_side,
        OrderType::Limit,
        time_in_force,
        order_status,
        quantity,
        filled_qty,
        ts_accepted,
        ts_accepted, // ts_last
        ts_init,
        None, // report_id
    );
    report.price = Some(price);
    // CLOB V2 emits `expiration` as Unix seconds; "0" means no expiration.
    if let Some(nanos) = order.expiration.as_deref().and_then(parse_expiration_nanos) {
        report.expire_time = Some(UnixNanos::from(nanos));
    }
    report
}

/// Parses a CLOB V2 `expiration` string into a Unix-nanos value. Returns
/// `None` for `"0"`, missing values, unparsable input, or values that
/// overflow `u64` when scaled to nanoseconds (e.g. accidentally-passed
/// millisecond timestamps that exceed Unix-seconds bounds).
fn parse_expiration_nanos(value: &str) -> Option<u64> {
    let secs: u64 = value.parse().ok()?;
    if secs == 0 {
        return None;
    }
    secs.checked_mul(NANOSECONDS_IN_SECOND)
}

/// Parses a [`PolymarketTradeReport`] into a [`FillReport`].
///
/// Produces one fill report for the overall trade. The `trade_id` is
/// derived from the Polymarket trade ID. Commission is computed from the
/// instrument's effective taker fee rate and the fill notional.
#[expect(clippy::too_many_arguments)]
pub fn parse_fill_report(
    trade: &PolymarketTradeReport,
    instrument_id: InstrumentId,
    account_id: AccountId,
    client_order_id: Option<ClientOrderId>,
    price_precision: u8,
    size_precision: u8,
    currency: Currency,
    taker_fee_rate: Decimal,
    ts_init: UnixNanos,
) -> FillReport {
    let venue_order_id = VenueOrderId::from(trade.taker_order_id.as_str());
    let trade_id = TradeId::from(trade.id.as_str());
    let order_side = OrderSide::from(trade.side);
    let last_qty = Quantity::new(
        trade.size.to_string().parse().unwrap_or(0.0),
        size_precision,
    );
    let last_px = Price::new(
        trade.price.to_string().parse().unwrap_or(0.0),
        price_precision,
    );
    let liquidity_side = parse_liquidity_side(trade.trader_side);

    let commission_value =
        compute_commission(taker_fee_rate, trade.size, trade.price, liquidity_side);
    let commission = Money::new(commission_value, currency);

    let ts_event = parse_timestamp(&trade.match_time).unwrap_or(ts_init);

    FillReport {
        account_id,
        instrument_id,
        venue_order_id,
        trade_id,
        order_side,
        last_qty,
        last_px,
        commission,
        liquidity_side,
        avg_px: None,
        report_id: UUID4::new(),
        ts_event,
        ts_init,
        client_order_id,
        venue_position_id: None,
    }
}

/// Builds a [`FillReport`] from a [`PolymarketMakerOrder`] and trade-level context.
///
/// Used by both the WS stream handler and REST fill report generation since both
/// share the same [`PolymarketMakerOrder`] type for maker fills. Maker fills never
/// pay commission per Polymarket's fee rules.
#[expect(clippy::too_many_arguments)]
pub fn build_maker_fill_report(
    mo: &PolymarketMakerOrder,
    trade_id: &str,
    trader_side: PolymarketLiquiditySide,
    trade_side: PolymarketOrderSide,
    taker_asset_id: &str,
    account_id: AccountId,
    instrument_id: InstrumentId,
    price_precision: u8,
    size_precision: u8,
    currency: Currency,
    liquidity_side: LiquiditySide,
    ts_event: UnixNanos,
    ts_init: UnixNanos,
) -> FillReport {
    let venue_order_id = VenueOrderId::from(mo.order_id.as_str());
    let fill_trade_id = make_composite_trade_id(trade_id, &mo.order_id);
    let order_side = determine_order_side(
        trader_side,
        trade_side,
        taker_asset_id,
        mo.asset_id.as_str(),
    );
    let last_qty = Quantity::new(
        mo.matched_amount.to_string().parse::<f64>().unwrap_or(0.0),
        size_precision,
    );
    let last_px = Price::new(
        mo.price.to_string().parse::<f64>().unwrap_or(0.0),
        price_precision,
    );
    // Maker fills always pay zero commission per Polymarket docs:
    // https://docs.polymarket.com/trading/fees
    let commission_value =
        compute_commission(Decimal::ZERO, mo.matched_amount, mo.price, liquidity_side);

    FillReport {
        account_id,
        instrument_id,
        venue_order_id,
        trade_id: fill_trade_id,
        order_side,
        last_qty,
        last_px,
        commission: Money::new(commission_value, currency),
        liquidity_side,
        avg_px: None,
        report_id: UUID4::new(),
        ts_event,
        ts_init,
        client_order_id: None,
        venue_position_id: None,
    }
}

/// Returns the effective taker fee rate for a Polymarket instrument.
///
/// Polymarket sets this from the Gamma market's `feeSchedule.rate`. When the
/// feeSchedule is unavailable (e.g. CLOB-only flow) the instrument's taker fee
/// defaults to zero and no commission is charged.
#[must_use]
pub fn instrument_taker_fee(instrument: &InstrumentAny) -> Decimal {
    match instrument {
        InstrumentAny::BinaryOption(bo) => bo.taker_fee,
        _ => Decimal::ZERO,
    }
}

/// Returns the fee-schedule exponent for a Polymarket instrument. Polymarket
/// stores `feeSchedule.exponent` in the instrument's `info` map at parse
/// time. Defaults to `1.0` when missing so the fee curve degenerates to the
/// simple `fee = C * rate * p * (1 - p)` form used by [`compute_commission`].
#[must_use]
pub fn instrument_fee_exponent(instrument: &InstrumentAny) -> f64 {
    match instrument {
        InstrumentAny::BinaryOption(bo) => bo
            .info
            .as_ref()
            .and_then(|info| info.get("fee_schedule"))
            .and_then(|fs| fs.get("exponent"))
            .and_then(serde_json::Value::as_f64)
            .unwrap_or(1.0),
        _ => 1.0,
    }
}

/// Adjusts a market-BUY pUSD amount to fit within the user's pUSD balance once
/// platform and builder taker fees are deducted. Mirrors `adjust_market_buy_amount`
/// in `polymarket-rs-clob-client-v2`'s `clob/utilities.rs`.
///
/// Returns `amount` unchanged when the balance already covers `amount + fees`.
/// Otherwise solves for the principal that, with fees, exactly consumes the
/// balance, then truncates to `USDC_DECIMALS` (the on-chain pUSD scale).
///
/// The fee-curve step `(p * (1 - p))^exponent` is the only computation that
/// crosses into `f64`, matching the reference SDK so we agree with the
/// venue's authoritative match-time fee calculation regardless of whether
/// Polymarket ships a fractional exponent in the future.
///
/// `price` must be strictly inside `(0, 1)`. The SDK relies on its
/// order-builder pipeline to enforce this; this helper is public so we
/// repeat the precondition here.
///
/// # Errors
///
/// Returns an error if `price` is outside the open `(0, 1)` interval, or if
/// the balance is too small to cover even one pUSD-unit of fees and the
/// adjusted amount truncates to zero.
pub fn adjust_market_buy_amount(
    amount: Decimal,
    user_pusd_balance: Decimal,
    price: Decimal,
    fee_rate: Decimal,
    fee_exponent: f64,
    builder_taker_fee_rate: Decimal,
) -> anyhow::Result<Decimal> {
    if price <= Decimal::ZERO || price >= Decimal::ONE {
        anyhow::bail!(
            "invalid market-buy price {price}: must satisfy 0 < price < 1 for fee adjustment",
        );
    }

    let base = price * (Decimal::ONE - price);
    let base_f64: f64 = base.try_into().unwrap_or(0.0);
    let curve = Decimal::try_from(base_f64.powf(fee_exponent)).unwrap_or(Decimal::ZERO);
    let platform_fee_rate = fee_rate * curve;

    let platform_fee = amount / price * platform_fee_rate;
    let total_cost = amount + platform_fee + amount * builder_taker_fee_rate;

    let raw = if user_pusd_balance <= total_cost {
        let divisor = Decimal::ONE + platform_fee_rate / price + builder_taker_fee_rate;
        user_pusd_balance / divisor
    } else {
        amount
    };

    let adjusted = raw.trunc_with_scale(USDC_DECIMALS);
    if adjusted.is_zero() {
        anyhow::bail!(
            "user_pusd_balance {user_pusd_balance} too small to cover fees at price {price}; \
             fee-adjusted amount truncated to zero"
        );
    }
    Ok(adjusted)
}

/// Computes a pUSD commission using Polymarket's fee formula.
///
/// `fee = C * feeRate * p * (1 - p)` where C is shares, feeRate is the effective
/// taker rate from the market's `feeSchedule`, and p is the share price. Fees peak
/// at p = 0.50 and decrease symmetrically toward the extremes. Only taker fills pay;
/// maker fills always return zero. Rounded to 5 decimal places (0.00001 pUSD minimum).
///
/// The `fee_rate` here is the effective rate from `feeSchedule.rate` (e.g. 0.03 for
/// 3%), not the `fee_rate_bps` field on a V2 trade response. The response field is
/// the post-trade rate that actually applied; under V2 the fee is no longer carried
/// in the signed order, so we compute commissions from the instrument's fee schedule
/// rather than reading any cap off the order body.
///
/// # References
/// <https://docs.polymarket.com/trading/fees>
pub fn compute_commission(
    fee_rate: Decimal,
    size: Decimal,
    price: Decimal,
    liquidity_side: LiquiditySide,
) -> f64 {
    if liquidity_side != LiquiditySide::Taker || fee_rate.is_zero() {
        return 0.0;
    }

    let commission = size * fee_rate * price * (Decimal::ONE - price);
    let rounded = commission.round_dp(5);
    rounded.to_string().parse().unwrap_or(0.0)
}

/// pUSD scale factor: the Polymarket API returns balances in micro-pUSD (10^6 units).
const USDC_SCALE: Decimal = Decimal::from_parts(1_000_000, 0, 0, false, 0);

/// Converts a raw micro-pUSD balance from the Polymarket API into an [`AccountBalance`].
///
/// The API returns balances as integer micro-pUSD (e.g. `20000000` = 20 pUSD).
/// This divides by 10^6 and constructs Money via `Money::from_decimal`, matching
/// the pattern used by dYdX, Deribit, OKX, and other adapters.
pub fn parse_balance_allowance(
    balance_raw: Decimal,
    currency: Currency,
) -> anyhow::Result<AccountBalance> {
    let balance_pusd = balance_raw / USDC_SCALE;
    AccountBalance::from_total_and_locked(balance_pusd, Decimal::ZERO, currency)
        .map_err(|e| anyhow::anyhow!("Failed to convert balance: {e}"))
}

/// Result of walking the order book to compute market order parameters.
#[derive(Debug)]
pub struct MarketPriceResult {
    /// The crossing price (worst level reached) for the signed CLOB order.
    pub crossing_price: Decimal,
    /// Expected base quantity (shares) computed by walking levels at actual prices.
    pub expected_base_qty: Decimal,
}

/// Calculates the market-crossing price and expected base quantity by walking the order book.
///
/// Sorts levels deterministically before walking:
/// - BUY (asks): ascending by price, best (lowest) ask first
/// - SELL (bids): descending by price, best (highest) bid first
///
/// This ensures correct results regardless of the CLOB API's response ordering.
///
/// For BUY: walks asks best-first, accumulates `size * price` (pUSD) until >= amount.
///          Also accumulates the exact shares at each level for precise base qty.
/// For SELL: walks bids best-first, accumulates `size` (shares) until >= amount.
///
/// Returns the crossing price and expected base quantity. If insufficient liquidity,
/// uses all available levels. If the book side is empty, returns an error.
pub fn calculate_market_price(
    book_levels: &[ClobBookLevel],
    amount: Decimal,
    side: PolymarketOrderSide,
) -> anyhow::Result<MarketPriceResult> {
    if book_levels.is_empty() {
        anyhow::bail!("Empty order book: no liquidity available for market order");
    }

    // Parse and sort levels deterministically so we never depend on API ordering.
    // BUY: asks ascending (best/lowest first). SELL: bids descending (best/highest first).
    let mut parsed_levels: Vec<(Decimal, Decimal)> = book_levels
        .iter()
        .map(|l| {
            let price = Decimal::from_str_exact(&l.price).unwrap_or(Decimal::ZERO);
            let size = Decimal::from_str_exact(&l.size).unwrap_or(Decimal::ZERO);
            (price, size)
        })
        .filter(|(p, s)| !p.is_zero() && !s.is_zero())
        .collect();

    if parsed_levels.is_empty() {
        anyhow::bail!("Empty order book: no valid price levels for market order");
    }

    match side {
        PolymarketOrderSide::Buy => parsed_levels.sort_by_key(|a| a.0),
        PolymarketOrderSide::Sell => parsed_levels.sort_by_key(|b| std::cmp::Reverse(b.0)),
    }

    let mut remaining = amount;
    let mut last_price = Decimal::ZERO;
    let mut total_base_qty = Decimal::ZERO;

    for &(price, size) in &parsed_levels {
        last_price = price;

        match side {
            PolymarketOrderSide::Buy => {
                let level_usdc = size * price;
                let consumed_usdc = level_usdc.min(remaining);
                let shares_at_level = consumed_usdc / price;
                total_base_qty += shares_at_level;
                remaining -= consumed_usdc;
            }
            PolymarketOrderSide::Sell => {
                let consumed_shares = size.min(remaining);
                total_base_qty += consumed_shares;
                remaining -= consumed_shares;
            }
        }

        if remaining <= Decimal::ZERO {
            return Ok(MarketPriceResult {
                crossing_price: last_price,
                expected_base_qty: total_base_qty,
            });
        }
    }

    // Insufficient liquidity: return what we have (FOK will reject at venue)
    Ok(MarketPriceResult {
        crossing_price: last_price,
        expected_base_qty: total_base_qty,
    })
}

/// Parses a timestamp string into [`UnixNanos`].
///
/// Accepts millisecond integers ("1703875200000"), second integers ("1703875200"),
/// and RFC3339 strings ("2024-01-01T00:00:00Z").
pub fn parse_timestamp(ts_str: &str) -> Option<UnixNanos> {
    if let Ok(n) = ts_str.parse::<u64>() {
        return if n > 1_000_000_000_000 {
            Some(UnixNanos::from(n * NANOSECONDS_IN_MILLISECOND))
        } else {
            Some(UnixNanos::from(n * NANOSECONDS_IN_SECOND))
        };
    }
    let dt = chrono::DateTime::parse_from_rfc3339(ts_str).ok()?;
    Some(UnixNanos::from(dt.timestamp_nanos_opt()? as u64))
}

#[cfg(test)]
mod tests {
    use rstest::rstest;
    use rust_decimal_macros::dec;
    use ustr::Ustr;

    use super::*;
    use crate::common::enums::{
        PolymarketOrderSide, PolymarketOrderStatus, PolymarketOrderType, PolymarketOutcome,
    };

    #[rstest]
    #[case(dec!(20_000_000), 20.0)] // 20 pUSD
    #[case(dec!(1_000_000), 1.0)] // 1 pUSD
    #[case(dec!(500_000), 0.5)] // 0.5 pUSD
    #[case(dec!(0), 0.0)] // zero
    #[case(dec!(123_456_789), 123.456789)] // fractional
    fn test_parse_balance_allowance(#[case] raw: Decimal, #[case] expected: f64) {
        let currency = Currency::pUSD();
        let balance = parse_balance_allowance(raw, currency).unwrap();
        let total_f64: f64 = balance.total.as_decimal().to_string().parse().unwrap();
        assert!(
            (total_f64 - expected).abs() < 1e-8,
            "expected {expected}, was {total_f64}"
        );
        assert_eq!(balance.free, balance.total);
    }

    /// Polymarket fee formula: `fee = C * feeRate * p * (1 - p)`
    /// Rates are the category-specific taker rates from `feeSchedule.rate`.
    /// Reference: <https://docs.polymarket.com/trading/fees>
    #[rstest]
    #[case::crypto_p50("0.072", "0.50", 1.8)]
    #[case::crypto_p01("0.072", "0.01", 0.07128)]
    #[case::crypto_p05("0.072", "0.05", 0.342)]
    #[case::crypto_p10("0.072", "0.10", 0.648)]
    #[case::crypto_p30("0.072", "0.30", 1.512)]
    #[case::crypto_p70("0.072", "0.70", 1.512)]
    #[case::crypto_p90("0.072", "0.90", 0.648)]
    #[case::crypto_p99("0.072", "0.99", 0.07128)]
    #[case::sports_p50("0.03", "0.50", 0.75)]
    #[case::sports_p30("0.03", "0.30", 0.63)]
    #[case::sports_p70("0.03", "0.70", 0.63)]
    #[case::politics_p50("0.04", "0.50", 1.0)]
    #[case::politics_p30("0.04", "0.30", 0.84)]
    #[case::economics_p50("0.05", "0.50", 1.25)]
    #[case::economics_p30("0.05", "0.30", 1.05)]
    #[case::geopolitics_p50("0", "0.50", 0.0)]
    fn test_compute_commission_docs_table(
        #[case] fee_rate: &str,
        #[case] price: &str,
        #[case] expected: f64,
    ) {
        let commission = compute_commission(
            Decimal::from_str_exact(fee_rate).unwrap(),
            dec!(100),
            Decimal::from_str_exact(price).unwrap(),
            LiquiditySide::Taker,
        );
        assert!(
            (commission - expected).abs() < 1e-10,
            "at p={price}, fee_rate={fee_rate}: expected {expected}, was {commission}"
        );
    }

    #[rstest]
    fn test_compute_commission_issue_3860_strategy_buy() {
        // Issue #3860: strategy BUY fill
        // qty=15.463900, price=0.97, fee_rate=0.072
        // Expected: 15.4639 * 0.97 * 0.072 * (1 - 0.97) = 0.03240
        let commission = compute_commission(
            dec!(0.072),
            Decimal::from_str_exact("15.463900").unwrap(),
            dec!(0.97),
            LiquiditySide::Taker,
        );
        assert!(
            (commission - 0.03240).abs() < 1e-5,
            "expected 0.03240, was {commission}"
        );
    }

    #[rstest]
    fn test_compute_commission_issue_3860_reconciliation_sell() {
        // Issue #3860: reconciliation EXTERNAL SELL fill
        // qty=0.033400, price=0.98, fee_rate=0.072
        // Was 0.002357 with old generic formula (qty * price * fee_rate)
        // Correct: 0.0334 * 0.98 * 0.072 * (1 - 0.98) = 0.00005
        let commission = compute_commission(
            dec!(0.072),
            Decimal::from_str_exact("0.033400").unwrap(),
            dec!(0.98),
            LiquiditySide::Taker,
        );
        assert!(
            (commission - 0.00005).abs() < 1e-5,
            "expected 0.00005, was {commission}"
        );
    }

    #[rstest]
    fn test_compute_commission_maker_is_zero() {
        let commission = compute_commission(
            Decimal::from_str_exact("0.072").unwrap(),
            dec!(100),
            Decimal::from_str_exact("0.50").unwrap(),
            LiquiditySide::Maker,
        );
        assert_eq!(commission, 0.0);
    }

    /// Reference computations for `adjust_market_buy_amount` follow the SDK
    /// formula:
    ///   platform_fee_rate = fee_rate * (p * (1 - p))^exp
    ///   platform_fee     = (amount / p) * platform_fee_rate
    ///   total_cost       = amount + platform_fee + amount * builder_taker_fee_rate
    ///   if balance <= total_cost:
    ///     adjusted = balance / (1 + platform_fee_rate / p + builder_taker_fee_rate)
    ///   else:
    ///     adjusted = amount
    ///   adjusted = trunc_with_scale(adjusted, USDC_DECIMALS)
    #[rstest]
    fn test_adjust_market_buy_amount_balance_covers_returns_unchanged() {
        // amount=10, balance=20, price=0.5, fee_rate=0.04, exp=1, builder=0
        // platform_fee = 10/0.5 * 0.04 * 0.25 = 0.2; total_cost = 10.2
        // balance(20) > 10.2 -> unchanged
        let adjusted =
            adjust_market_buy_amount(dec!(10), dec!(20), dec!(0.5), dec!(0.04), 1.0, dec!(0))
                .unwrap();
        assert_eq!(adjusted, dec!(10.000000));
    }

    #[rstest]
    fn test_adjust_market_buy_amount_balance_equals_total_cost_at_boundary() {
        // SDK uses `<=` on the balance vs total_cost test, so an exact
        // balance == total_cost should still go through the divisor branch.
        // amount=10, total_cost=10.2 with the params below.
        let adjusted =
            adjust_market_buy_amount(dec!(10), dec!(10.2), dec!(0.5), dec!(0.04), 1.0, dec!(0))
                .unwrap();
        // raw = 10.2 / 1.02 = 10.0; truncated to 6dp = 10.000000.
        assert_eq!(adjusted, dec!(10.000000));
    }

    #[rstest]
    fn test_adjust_market_buy_amount_balance_below_total_cost_shrinks() {
        // amount=10, balance=5.1, price=0.5, fee_rate=0.04, exp=1, builder=0
        // total_cost = 10.2; balance < total_cost
        // divisor = 1 + 0.04*0.25/0.5 = 1.02; raw = 5.1/1.02 = 5.0
        let adjusted =
            adjust_market_buy_amount(dec!(10), dec!(5.1), dec!(0.5), dec!(0.04), 1.0, dec!(0))
                .unwrap();
        assert_eq!(adjusted, dec!(5.000000));
    }

    #[rstest]
    fn test_adjust_market_buy_amount_with_builder_fee() {
        // amount=10, balance=10, price=0.5, fee_rate=0.04, exp=1, builder=0.001
        // platform_fee_rate = 0.01; platform_fee = 0.2
        // total_cost = 10 + 0.2 + 10*0.001 = 10.21; balance < total_cost
        // divisor = 1 + 0.01/0.5 + 0.001 = 1.021
        // raw = 10/1.021 = 9.79431928..., trunc(6) = 9.794319
        let adjusted =
            adjust_market_buy_amount(dec!(10), dec!(10), dec!(0.5), dec!(0.04), 1.0, dec!(0.001))
                .unwrap();
        assert_eq!(adjusted, dec!(9.794319));
    }

    #[rstest]
    fn test_adjust_market_buy_amount_crypto_fee_rate() {
        // Polymarket "Crypto" tier uses fee_rate = 0.072.
        // amount=100, balance=100, price=0.5, fee_rate=0.072, exp=1, builder=0
        // platform_fee_rate = 0.072 * 0.25 = 0.018
        // platform_fee = 100/0.5 * 0.018 = 3.6; total_cost = 103.6
        // divisor = 1 + 0.018/0.5 = 1.036; raw = 100/1.036
        let adjusted =
            adjust_market_buy_amount(dec!(100), dec!(100), dec!(0.5), dec!(0.072), 1.0, dec!(0))
                .unwrap();
        // 100 / 1.036 == 96.5250965...; truncate to 6dp.
        assert_eq!(adjusted, dec!(96.525096));
    }

    #[rstest]
    fn test_adjust_market_buy_amount_extreme_low_price() {
        // Boundary of the price domain. Fees become tiny relative to spend.
        // amount=10, balance=10, price=0.001, fee_rate=0.04, exp=1
        // base = 0.001 * 0.999 = 0.000999
        // platform_fee_rate = 0.04 * 0.000999 = 0.00003996
        // divisor = 1 + 0.00003996/0.001 = 1.03996
        // raw = 10 / 1.03996 = 9.61575...
        let adjusted =
            adjust_market_buy_amount(dec!(10), dec!(10), dec!(0.001), dec!(0.04), 1.0, dec!(0))
                .unwrap();
        // The exact divisor in 28-dp Decimal differs slightly from the
        // human-rounded 9.615755 above, so allow a 1e-5 tolerance.
        let expected = dec!(9.615755);
        assert!(
            (adjusted - expected).abs() < dec!(0.00001),
            "expected ~{expected}, was {adjusted}",
        );
    }

    #[rstest]
    fn test_adjust_market_buy_amount_integer_exponent_two() {
        // Hypothetical exp=2 -- the curve gets steeper.
        // amount=10, balance=10, price=0.5, fee_rate=0.04, exp=2, builder=0
        // base^2 = 0.25^2 = 0.0625
        // platform_fee_rate = 0.04 * 0.0625 = 0.0025
        // divisor = 1 + 0.0025/0.5 = 1.005
        // raw = 10 / 1.005 = 9.95024876...
        let adjusted =
            adjust_market_buy_amount(dec!(10), dec!(10), dec!(0.5), dec!(0.04), 2.0, dec!(0))
                .unwrap();
        assert!(
            (adjusted - dec!(9.950248)).abs() < dec!(0.00001),
            "expected ~9.950248, was {adjusted}",
        );
    }

    #[rstest]
    fn test_adjust_market_buy_amount_fractional_exponent() {
        // Confirms the f64 boundary on the curve copes with fractional
        // exponents the way the SDK does. exp=0.5 -> sqrt(p*(1-p)).
        // For price=0.5: sqrt(0.25) = 0.5
        // platform_fee_rate = 0.04 * 0.5 = 0.02
        // divisor = 1 + 0.02/0.5 = 1.04
        // raw = 10 / 1.04 = 9.61538...
        let adjusted =
            adjust_market_buy_amount(dec!(10), dec!(10), dec!(0.5), dec!(0.04), 0.5, dec!(0))
                .unwrap();
        assert!(
            (adjusted - dec!(9.615384)).abs() < dec!(0.00001),
            "expected ~9.615384, was {adjusted}",
        );
    }

    #[rstest]
    fn test_adjust_market_buy_amount_zero_fee_rate_returns_unchanged() {
        // No platform fee + no builder fee + balance >= amount -> unchanged.
        let adjusted =
            adjust_market_buy_amount(dec!(10), dec!(20), dec!(0.5), dec!(0), 1.0, dec!(0)).unwrap();
        assert_eq!(adjusted, dec!(10.000000));
    }

    #[rstest]
    fn test_adjust_market_buy_amount_zero_fee_rate_balance_below_principal() {
        // Even with no fees, if balance < amount we shrink to the balance.
        let adjusted =
            adjust_market_buy_amount(dec!(10), dec!(7.5), dec!(0.5), dec!(0), 1.0, dec!(0))
                .unwrap();
        assert_eq!(adjusted, dec!(7.500000));
    }

    #[rstest]
    fn test_adjust_market_buy_amount_balance_too_small_errors() {
        // Balance below the 6dp truncation threshold for the fee-adjusted
        // amount surfaces as a domain error instead of silently submitting a
        // zero-value order.
        let err = adjust_market_buy_amount(
            dec!(10),
            dec!(0.0000001),
            dec!(0.5),
            dec!(0.04),
            1.0,
            dec!(0),
        )
        .unwrap_err();
        assert!(err.to_string().contains("too small"));
    }

    #[rstest]
    #[case::zero_price(dec!(0))]
    #[case::one_price(dec!(1))]
    #[case::negative_price(dec!(-0.1))]
    #[case::above_one_price(dec!(1.5))]
    fn test_adjust_market_buy_amount_rejects_invalid_price(#[case] price: Decimal) {
        let err = adjust_market_buy_amount(dec!(10), dec!(20), price, dec!(0.04), 1.0, dec!(0))
            .unwrap_err();
        assert!(
            err.to_string().contains("invalid market-buy price"),
            "expected price-domain error, was {err}",
        );
    }

    #[rstest]
    fn test_adjust_market_buy_amount_truncates_to_six_decimals() {
        // amount=10, balance=9.123456789, price=0.5, fee_rate=0.04
        // raw = 9.123456789 / 1.02 = 8.944565479...; trunc(6) = 8.944565
        let adjusted = adjust_market_buy_amount(
            dec!(10),
            dec!(9.123456789),
            dec!(0.5),
            dec!(0.04),
            1.0,
            dec!(0),
        )
        .unwrap();
        // Verify the result has at most 6 decimal places.
        assert!(adjusted.scale() <= 6);
        // And the value is in the expected neighbourhood.
        let expected = dec!(8.944565);
        assert!(
            (adjusted - expected).abs() < dec!(0.000001),
            "expected ~{expected}, was {adjusted}",
        );
    }

    // SDK-ported parity tests for `adjust_market_buy_amount`. These mirror the
    // tests in `polymarket-rs-clob-client-v2`'s `clob/utilities.rs` so that any
    // drift from the reference SDK is caught locally.

    /// `platform_fee = (amount / price) * rate * (price * (1 - price))^exponent`
    /// Pure-Decimal port of the SDK's test-only fee helper, matching their
    /// integer-exponent path so the conservation tests below stay exact.
    fn calc_platform_fee_sdk(
        amount: Decimal,
        price: Decimal,
        rate: Decimal,
        exponent: u32,
    ) -> Decimal {
        let base = price * (Decimal::ONE - price);
        let base_f64 = f64::try_from(base).unwrap_or(0.0);
        let rate_factor = rate
            * Decimal::try_from(base_f64.powi(i32::try_from(exponent).unwrap_or(0)))
                .unwrap_or(Decimal::ZERO);
        (amount / price) * rate_factor
    }

    /// `builder_fee = amount * rate` (flat percentage on notional).
    fn calc_builder_fee_sdk(amount: Decimal, rate: Decimal) -> Decimal {
        amount * rate
    }

    fn close_to(actual: Decimal, expected: Decimal, tol: Decimal) {
        let diff = (actual - expected).abs();
        assert!(
            diff <= tol,
            "|{actual} - {expected}| = {diff} exceeds tolerance {tol}"
        );
    }

    #[rstest]
    fn test_sdk_adjust_market_buy_no_adjustment_when_balance_sufficient() {
        // Verbatim from SDK utilities.rs::adjust_market_buy_no_adjustment_when_balance_sufficient.
        let result =
            adjust_market_buy_amount(dec!(100), dec!(1000), dec!(0.5), dec!(0.02), 1.0, dec!(0))
                .unwrap();
        assert_eq!(result, dec!(100));
    }

    #[rstest]
    fn test_sdk_adjust_market_buy_adjusts_when_balance_insufficient() {
        // Verbatim from SDK::adjust_market_buy_adjusts_when_balance_insufficient.
        let result =
            adjust_market_buy_amount(dec!(100), dec!(100), dec!(0.5), dec!(0.02), 1.0, dec!(0))
                .unwrap();
        assert!(result < dec!(100));
        assert!(result > dec!(0));
    }

    #[rstest]
    fn test_sdk_adjust_market_buy_with_builder_fee() {
        // Verbatim from SDK::adjust_market_buy_with_builder_fee.
        let result =
            adjust_market_buy_amount(dec!(100), dec!(100), dec!(0.5), dec!(0), 1.0, dec!(0.005))
                .unwrap();
        // effective * 1.005 = 100, truncated to 6 USDC decimals.
        let expected = (dec!(100) / dec!(1.005)).trunc_with_scale(USDC_DECIMALS);
        assert_eq!(result, expected);
    }

    #[rstest]
    fn test_sdk_adjust_market_buy_errors_when_balance_truncates_to_zero() {
        // Verbatim from SDK::adjust_market_buy_errors_when_balance_truncates_to_zero.
        let err = adjust_market_buy_amount(
            dec!(100),
            dec!(0.0000001),
            dec!(0.5),
            dec!(0.02),
            1.0,
            dec!(0.005),
        )
        .unwrap_err();
        assert!(err.to_string().contains("truncated to zero"));
    }

    #[rstest]
    fn test_sdk_adjust_buy_balance_strictly_greater_returns_amount_unchanged() {
        // Ported from SDK::adjust_buy_balance_strictly_greater_returns_amount_unchanged.
        // Uses calc_platform_fee_sdk to build a balance comfortably above total cost.
        let amount = dec!(50);
        let price = dec!(0.5);
        let fee = calc_platform_fee_sdk(amount, price, dec!(0.25), 2);
        let balance = amount + fee + dec!(1);
        let result =
            adjust_market_buy_amount(amount, balance, price, dec!(0.25), 2.0, dec!(0)).unwrap();
        assert_eq!(result, amount);
    }

    #[rstest]
    fn test_sdk_adjust_buy_balance_equal_to_total_cost_matches_divide_path() {
        // Ported from SDK::adjust_buy_balance_equal_to_total_cost_matches_divide_path.
        // At `balance == total_cost` the `<=` check fires and the divisor branch
        // reconstitutes the original amount.
        let amount = dec!(50);
        let price = dec!(0.5);
        let fee = calc_platform_fee_sdk(amount, price, dec!(0.25), 2);
        let total_cost = amount + fee;
        let result =
            adjust_market_buy_amount(amount, total_cost, price, dec!(0.25), 2.0, dec!(0)).unwrap();
        close_to(result, amount, dec!(0.000001));
    }

    #[rstest]
    fn test_sdk_adjust_buy_conserves_notional_platform_only() {
        // Ported from SDK::adjust_buy_conserves_notional_platform_only.
        // balance = amount: adjusted + fee must reconstitute `amount`.
        let amount = dec!(50);
        let price = dec!(0.5);
        let adjusted =
            adjust_market_buy_amount(amount, amount, price, dec!(0.25), 2.0, dec!(0)).unwrap();
        let fee = calc_platform_fee_sdk(adjusted, price, dec!(0.25), 2);
        close_to(adjusted + fee, amount, dec!(0.000001));
        assert!(adjusted < amount);
    }

    #[rstest]
    fn test_sdk_adjust_buy_conserves_notional_builder_only() {
        // Ported from SDK::adjust_buy_conserves_notional_builder_only.
        let amount = dec!(50);
        let price = dec!(0.5);
        let builder_rate = dec!(0.01);
        let adjusted =
            adjust_market_buy_amount(amount, amount, price, dec!(0), 0.0, builder_rate).unwrap();
        let fee = calc_builder_fee_sdk(adjusted, builder_rate);
        close_to(adjusted + fee, amount, dec!(0.000001));
    }

    #[rstest]
    fn test_sdk_adjust_buy_conserves_notional_platform_and_builder() {
        // Ported from SDK::adjust_buy_conserves_notional_platform_and_builder.
        let amount = dec!(50);
        let price = dec!(0.5);
        let builder_rate = dec!(0.01);
        let adjusted =
            adjust_market_buy_amount(amount, amount, price, dec!(0.25), 2.0, builder_rate).unwrap();
        let platform = calc_platform_fee_sdk(adjusted, price, dec!(0.25), 2);
        let builder = calc_builder_fee_sdk(adjusted, builder_rate);
        close_to(adjusted + platform + builder, amount, dec!(0.000001));
    }

    #[rstest]
    fn test_sdk_adjust_buy_conserves_notional_at_price_0_3() {
        // Ported from SDK::adjust_buy_conserves_notional_at_price_0_3.
        let amount = dec!(30);
        let price = dec!(0.3);
        let builder_rate = dec!(0.02);
        let adjusted =
            adjust_market_buy_amount(amount, amount, price, dec!(0.25), 2.0, builder_rate).unwrap();
        let platform = calc_platform_fee_sdk(adjusted, price, dec!(0.25), 2);
        let builder = calc_builder_fee_sdk(adjusted, builder_rate);
        close_to(adjusted + platform + builder, amount, dec!(0.000001));
    }

    #[rstest]
    fn test_parse_timestamp_ms() {
        let ts = parse_timestamp("1703875200000").unwrap();
        assert_eq!(ts, UnixNanos::from(1_703_875_200_000_000_000u64));
    }

    #[rstest]
    fn test_parse_timestamp_secs() {
        let ts = parse_timestamp("1703875200").unwrap();
        assert_eq!(ts, UnixNanos::from(1_703_875_200_000_000_000u64));
    }

    #[rstest]
    fn test_parse_timestamp_rfc3339() {
        let ts = parse_timestamp("2024-01-01T00:00:00Z").unwrap();
        assert_eq!(ts, UnixNanos::from(1_704_067_200_000_000_000u64));
    }

    #[rstest]
    fn test_parse_liquidity_side_maker() {
        assert_eq!(
            parse_liquidity_side(PolymarketLiquiditySide::Maker),
            LiquiditySide::Maker
        );
    }

    #[rstest]
    fn test_parse_liquidity_side_taker() {
        assert_eq!(
            parse_liquidity_side(PolymarketLiquiditySide::Taker),
            LiquiditySide::Taker
        );
    }

    #[rstest]
    fn test_parse_order_status_report_from_fixture() {
        let path = "test_data/http_open_order.json";
        let content = std::fs::read_to_string(path).expect("Failed to read test data");
        let order: PolymarketOpenOrder =
            serde_json::from_str(&content).expect("Failed to parse test data");

        let instrument_id = InstrumentId::from("TEST-TOKEN.POLYMARKET");
        let account_id = AccountId::from("POLYMARKET-001");

        let report = parse_order_status_report(
            &order,
            instrument_id,
            account_id,
            None,
            4,
            6,
            UnixNanos::from(1_000_000_000u64),
        );

        assert_eq!(report.account_id, account_id);
        assert_eq!(report.instrument_id, instrument_id);
        assert_eq!(report.order_side, OrderSide::Buy);
        assert_eq!(report.order_type, OrderType::Limit);
        assert_eq!(report.time_in_force, TimeInForce::Gtc);
        assert_eq!(report.order_status, OrderStatus::Accepted);
        assert!(report.price.is_some());
        assert_eq!(
            report.ts_accepted,
            UnixNanos::from(1_703_875_200_000_000_000u64)
        );
        assert_eq!(
            report.ts_last,
            UnixNanos::from(1_703_875_200_000_000_000u64)
        );
        assert_eq!(report.ts_init, UnixNanos::from(1_000_000_000u64));
        // Fixture has expiration=null which must surface as no expire_time.
        assert_eq!(report.expire_time, None);
    }

    #[rstest]
    #[case::null(None, None)]
    #[case::zero_string(Some("0"), None)]
    #[case::empty_string(Some(""), None)]
    #[case::garbage(Some("not-a-number"), None)]
    #[case::positive_seconds(
        Some("1735689600"),
        Some(UnixNanos::from(1_735_689_600_000_000_000u64))
    )]
    fn test_parse_order_status_report_expiration(
        #[case] raw: Option<&str>,
        #[case] expected: Option<UnixNanos>,
    ) {
        let order = PolymarketOpenOrder {
            associate_trades: None,
            id: "0xid".to_string(),
            status: PolymarketOrderStatus::Live,
            market: Ustr::from("0xm"),
            original_size: dec!(100),
            outcome: PolymarketOutcome::yes(),
            maker_address: "0xmaker".to_string(),
            owner: "owner".to_string(),
            price: dec!(0.5),
            side: PolymarketOrderSide::Buy,
            size_matched: dec!(0),
            asset_id: Ustr::from("token"),
            expiration: raw.map(|s| s.to_string()),
            order_type: PolymarketOrderType::GTD,
            created_at: 1_703_875_200,
        };

        let report = parse_order_status_report(
            &order,
            InstrumentId::from("TEST-TOKEN.POLYMARKET"),
            AccountId::from("POLYMARKET-001"),
            None,
            4,
            6,
            UnixNanos::from(1_000_000_000u64),
        );

        assert_eq!(report.expire_time, expected);
    }

    #[rstest]
    fn test_parse_fill_report_from_fixture() {
        let path = "test_data/http_trade_report.json";
        let content = std::fs::read_to_string(path).expect("Failed to read test data");
        let trade: PolymarketTradeReport =
            serde_json::from_str(&content).expect("Failed to parse test data");

        let instrument_id = InstrumentId::from("TEST-TOKEN.POLYMARKET");
        let account_id = AccountId::from("POLYMARKET-001");
        let currency = Currency::pUSD();

        let report = parse_fill_report(
            &trade,
            instrument_id,
            account_id,
            None,
            4,
            6,
            currency,
            Decimal::ZERO,
            UnixNanos::from(1_000_000_000u64),
        );

        assert_eq!(report.account_id, account_id);
        assert_eq!(report.instrument_id, instrument_id);
        assert_eq!(report.order_side, OrderSide::Buy);
        assert_eq!(report.liquidity_side, LiquiditySide::Taker);
        assert_eq!(report.commission.as_f64(), 0.0);
    }

    #[rstest]
    fn test_parse_fill_report_forwards_taker_fee_rate() {
        let path = "test_data/http_trade_report.json";
        let content = std::fs::read_to_string(path).expect("Failed to read test data");
        let trade: PolymarketTradeReport =
            serde_json::from_str(&content).expect("Failed to parse test data");

        let instrument_id = InstrumentId::from("TEST-TOKEN.POLYMARKET");
        let account_id = AccountId::from("POLYMARKET-001");
        let currency = Currency::pUSD();

        // Sports rate: 25 shares * 0.03 * 0.5 * 0.5 = 0.1875 pUSD
        let report = parse_fill_report(
            &trade,
            instrument_id,
            account_id,
            None,
            4,
            6,
            currency,
            dec!(0.03),
            UnixNanos::from(1_000_000_000u64),
        );

        assert_eq!(report.liquidity_side, LiquiditySide::Taker);
        assert!((report.commission.as_f64() - 0.1875).abs() < 1e-10);
    }

    #[rstest]
    fn test_instrument_taker_fee_reads_binary_option() {
        use crate::http::parse::{create_instrument_from_def, parse_gamma_market};

        let path = "test_data/gamma_market_sports_market_money_line.json";
        let content = std::fs::read_to_string(path).expect("Failed to read test data");
        let market = serde_json::from_str(&content).expect("Failed to parse test data");
        let defs = parse_gamma_market(&market).unwrap();
        let instrument =
            create_instrument_from_def(&defs[0], UnixNanos::from(1_000_000_000u64)).unwrap();

        assert_eq!(instrument_taker_fee(&instrument), dec!(0.03));
    }

    #[rstest]
    #[case(
        PolymarketLiquiditySide::Taker,
        PolymarketOrderSide::Buy,
        "token_a",
        "token_b",
        OrderSide::Buy
    )]
    #[case(
        PolymarketLiquiditySide::Taker,
        PolymarketOrderSide::Sell,
        "token_a",
        "token_b",
        OrderSide::Sell
    )]
    #[case(
        PolymarketLiquiditySide::Maker,
        PolymarketOrderSide::Buy,
        "token_a",
        "token_b",
        OrderSide::Buy
    )]
    #[case(
        PolymarketLiquiditySide::Maker,
        PolymarketOrderSide::Buy,
        "token_a",
        "token_a",
        OrderSide::Sell
    )]
    #[case(
        PolymarketLiquiditySide::Maker,
        PolymarketOrderSide::Sell,
        "token_a",
        "token_a",
        OrderSide::Buy
    )]
    fn test_determine_order_side(
        #[case] trader_side: PolymarketLiquiditySide,
        #[case] trade_side: PolymarketOrderSide,
        #[case] taker_asset: &str,
        #[case] maker_asset: &str,
        #[case] expected: OrderSide,
    ) {
        let result = determine_order_side(trader_side, trade_side, taker_asset, maker_asset);
        assert_eq!(result, expected);
    }

    #[rstest]
    fn test_make_composite_trade_id_basic() {
        let trade_id = "trade-abc123";
        let venue_order_id = "order-xyz789";
        let result = make_composite_trade_id(trade_id, venue_order_id);
        assert_eq!(result.as_str(), "trade-abc123-r-xyz789");
    }

    #[rstest]
    fn test_make_composite_trade_id_truncates_long_ids() {
        let trade_id = "a]".repeat(30);
        let venue_order_id = "b".repeat(20);
        let result = make_composite_trade_id(&trade_id, &venue_order_id);
        assert!(result.as_str().len() <= 36);
    }

    #[rstest]
    fn test_make_composite_trade_id_short_venue_id() {
        let trade_id = "t123";
        let venue_order_id = "ab";
        let result = make_composite_trade_id(trade_id, venue_order_id);
        assert_eq!(result.as_str(), "t123-ab");
    }

    #[rstest]
    fn test_make_composite_trade_id_uniqueness() {
        let id_a = make_composite_trade_id("same-trade", "order-aaa");
        let id_b = make_composite_trade_id("same-trade", "order-bbb");
        assert_ne!(id_a, id_b);
    }

    // Tests use various input orderings to prove the function sorts deterministically.

    #[rstest]
    fn test_calculate_market_price_buy_single_level() {
        let levels = vec![ClobBookLevel {
            price: "0.55".to_string(),
            size: "200.0".to_string(),
        }];
        let result = calculate_market_price(&levels, dec!(50), PolymarketOrderSide::Buy).unwrap();
        assert_eq!(result.crossing_price, dec!(0.55));
        // 50 pUSD / 0.55 per share = ~90.909 shares
        assert!(result.expected_base_qty > dec!(90));
    }

    #[rstest]
    fn test_calculate_market_price_buy_walks_multiple_levels() {
        // Asks in arbitrary order, function sorts ascending for BUY
        let levels = vec![
            ClobBookLevel {
                price: "0.55".to_string(),
                size: "100.0".to_string(),
            },
            ClobBookLevel {
                price: "0.50".to_string(),
                size: "10.0".to_string(),
            },
            ClobBookLevel {
                price: "0.60".to_string(),
                size: "200.0".to_string(),
            },
        ];
        // Sorted ascending: 0.50/10, 0.55/100, 0.60/200
        // Walk: 0.50/10 → 5 pUSD (10 shares), 0.55/100 → 15 pUSD (27.27 shares)
        let result = calculate_market_price(&levels, dec!(20), PolymarketOrderSide::Buy).unwrap();
        assert_eq!(result.crossing_price, dec!(0.55));
        let expected = dec!(10) + dec!(15) / dec!(0.55);
        assert_eq!(result.expected_base_qty, expected);
    }

    #[rstest]
    fn test_calculate_market_price_buy_small_order_uses_best_ask() {
        // Asks in mixed order, function sorts to find best (0.20) first
        let levels = vec![
            ClobBookLevel {
                price: "0.50".to_string(),
                size: "50.0".to_string(),
            },
            ClobBookLevel {
                price: "0.999".to_string(),
                size: "100.0".to_string(),
            },
            ClobBookLevel {
                price: "0.20".to_string(),
                size: "72.0".to_string(),
            },
        ];
        // Sorted ascending: 0.20/72, 0.50/50, 0.999/100
        // 5 pUSD at best ask 0.20: 72 * 0.20 = 14.4 pUSD available, fills entirely
        let result = calculate_market_price(&levels, dec!(5), PolymarketOrderSide::Buy).unwrap();
        assert_eq!(result.crossing_price, dec!(0.20));
        assert_eq!(result.expected_base_qty, dec!(25)); // 5 / 0.20 = 25 shares
    }

    #[rstest]
    fn test_calculate_market_price_sell_walks_levels() {
        // Bids in ascending order, function sorts descending for SELL (best bid first)
        let levels = vec![
            ClobBookLevel {
                price: "0.48".to_string(),
                size: "100.0".to_string(),
            },
            ClobBookLevel {
                price: "0.50".to_string(),
                size: "50.0".to_string(),
            },
        ];
        // Sorted descending: 0.50/50, 0.48/100
        // Walk: 0.50 gives 50, need 30 more from 0.48 → fills
        let result = calculate_market_price(&levels, dec!(80), PolymarketOrderSide::Sell).unwrap();
        assert_eq!(result.crossing_price, dec!(0.48));
        assert_eq!(result.expected_base_qty, dec!(80));
    }

    #[rstest]
    fn test_calculate_market_price_empty_book() {
        let levels: Vec<ClobBookLevel> = vec![];
        let result = calculate_market_price(&levels, dec!(50), PolymarketOrderSide::Buy);
        assert!(result.is_err());
    }

    #[rstest]
    fn test_calculate_market_price_all_zero_levels_returns_error() {
        let levels = vec![
            ClobBookLevel {
                price: "0".to_string(),
                size: "100.0".to_string(),
            },
            ClobBookLevel {
                price: "0.50".to_string(),
                size: "0".to_string(),
            },
        ];
        let result = calculate_market_price(&levels, dec!(50), PolymarketOrderSide::Buy);
        assert!(result.is_err());
    }

    #[rstest]
    fn test_calculate_market_price_insufficient_liquidity_returns_worst() {
        let levels = vec![ClobBookLevel {
            price: "0.55".to_string(),
            size: "10.0".to_string(),
        }];
        // 10 * 0.55 = 5.5 pUSD < 50 pUSD needed, returns what's available
        let result = calculate_market_price(&levels, dec!(50), PolymarketOrderSide::Buy).unwrap();
        assert_eq!(result.crossing_price, dec!(0.55));
        assert_eq!(result.expected_base_qty, dec!(10)); // only 10 shares available
    }

    #[rstest]
    fn test_calculate_market_price_buy_order_independent_of_input_ordering() {
        let levels_ascending = vec![
            ClobBookLevel {
                price: "0.20".to_string(),
                size: "72.0".to_string(),
            },
            ClobBookLevel {
                price: "0.50".to_string(),
                size: "50.0".to_string(),
            },
            ClobBookLevel {
                price: "0.999".to_string(),
                size: "100.0".to_string(),
            },
        ];
        let levels_descending = vec![
            ClobBookLevel {
                price: "0.999".to_string(),
                size: "100.0".to_string(),
            },
            ClobBookLevel {
                price: "0.50".to_string(),
                size: "50.0".to_string(),
            },
            ClobBookLevel {
                price: "0.20".to_string(),
                size: "72.0".to_string(),
            },
        ];
        let levels_shuffled = vec![
            ClobBookLevel {
                price: "0.50".to_string(),
                size: "50.0".to_string(),
            },
            ClobBookLevel {
                price: "0.20".to_string(),
                size: "72.0".to_string(),
            },
            ClobBookLevel {
                price: "0.999".to_string(),
                size: "100.0".to_string(),
            },
        ];

        let r1 =
            calculate_market_price(&levels_ascending, dec!(20), PolymarketOrderSide::Buy).unwrap();
        let r2 =
            calculate_market_price(&levels_descending, dec!(20), PolymarketOrderSide::Buy).unwrap();
        let r3 =
            calculate_market_price(&levels_shuffled, dec!(20), PolymarketOrderSide::Buy).unwrap();

        assert_eq!(r1.crossing_price, r2.crossing_price);
        assert_eq!(r2.crossing_price, r3.crossing_price);
        assert_eq!(r1.expected_base_qty, r2.expected_base_qty);
        assert_eq!(r2.expected_base_qty, r3.expected_base_qty);
    }

    #[rstest]
    fn test_calculate_market_price_sell_order_independent_of_input_ordering() {
        let levels_a = vec![
            ClobBookLevel {
                price: "0.48".to_string(),
                size: "100.0".to_string(),
            },
            ClobBookLevel {
                price: "0.50".to_string(),
                size: "50.0".to_string(),
            },
        ];
        let levels_b = vec![
            ClobBookLevel {
                price: "0.50".to_string(),
                size: "50.0".to_string(),
            },
            ClobBookLevel {
                price: "0.48".to_string(),
                size: "100.0".to_string(),
            },
        ];

        let r1 = calculate_market_price(&levels_a, dec!(80), PolymarketOrderSide::Sell).unwrap();
        let r2 = calculate_market_price(&levels_b, dec!(80), PolymarketOrderSide::Sell).unwrap();

        assert_eq!(r1.crossing_price, r2.crossing_price);
        assert_eq!(r1.expected_base_qty, r2.expected_base_qty);
    }

    mod adjust_market_buy_amount_property_tests {
        use proptest::prelude::*;
        use rstest::rstest;

        use super::*;

        // Generate a Decimal in [1e-6, 1_000_000] at USDC scale by sampling
        // micro-units. Avoids zero so we never hit the truncate-to-zero error
        // path on the input itself.
        fn decimal_at_usdc_scale(micros: u64) -> Decimal {
            Decimal::new(micros as i64, USDC_DECIMALS)
        }

        // Generate a Decimal rate from basis points: bps / 10_000.
        fn decimal_from_bps(bps: u32) -> Decimal {
            Decimal::new(i64::from(bps), 4)
        }

        // Recomputes total_cost the same way `adjust_market_buy_amount` does so
        // tests use the same formula they're verifying (no weak re-derivation).
        fn compute_total_cost(
            amount: Decimal,
            price: Decimal,
            fee_rate: Decimal,
            fee_exponent: f64,
            builder: Decimal,
        ) -> Decimal {
            let base = price * (Decimal::ONE - price);
            let base_f64: f64 = base.try_into().unwrap_or(0.0);
            let curve = Decimal::try_from(base_f64.powf(fee_exponent)).unwrap_or(Decimal::ZERO);
            let platform_fee_rate = fee_rate * curve;
            let platform_fee = amount / price * platform_fee_rate;
            amount + platform_fee + amount * builder
        }

        proptest! {
            // Deterministic over arbitrary valid inputs: same args produce
            // the same Result (Ok or Err) and equal Ok values.
            #[rstest]
            fn prop_adjust_market_buy_amount_is_deterministic(
                amount_micros in 1u64..=1_000_000_000_000u64,
                balance_micros in 1u64..=1_000_000_000_000u64,
                price_milli in 1u32..=999u32,
                fee_rate_bps in 0u32..=1_000u32,
                fee_exponent in 1.0f64..=3.0f64,
                builder_bps in 0u32..=500u32,
            ) {
                let amount = decimal_at_usdc_scale(amount_micros);
                let balance = decimal_at_usdc_scale(balance_micros);
                let price = Decimal::new(i64::from(price_milli), 3);
                let fee_rate = decimal_from_bps(fee_rate_bps);
                let builder = decimal_from_bps(builder_bps);

                let r1 = adjust_market_buy_amount(amount, balance, price, fee_rate, fee_exponent, builder);
                let r2 = adjust_market_buy_amount(amount, balance, price, fee_rate, fee_exponent, builder);
                prop_assert_eq!(r1.is_ok(), r2.is_ok());
                if let (Ok(a), Ok(b)) = (r1, r2) {
                    prop_assert_eq!(a, b);
                }
            }

            // Non-binding branch: balance is always large enough to cover
            // total_cost. Function MUST return Ok and the result MUST equal
            // the input amount (already at USDC scale). A regression that
            // bails on valid inputs would fail this property.
            #[rstest]
            fn prop_adjust_market_buy_amount_non_binding_returns_amount(
                amount_micros in 1u64..=1_000_000_000u64,
                price_milli in 1u32..=999u32,
                fee_rate_bps in 0u32..=1_000u32,
                fee_exponent in 1.0f64..=3.0f64,
                builder_bps in 0u32..=500u32,
            ) {
                let amount = decimal_at_usdc_scale(amount_micros);
                let price = Decimal::new(i64::from(price_milli), 3);
                let fee_rate = decimal_from_bps(fee_rate_bps);
                let builder = decimal_from_bps(builder_bps);

                // Balance covers total_cost with margin. Use 10x as a generous
                // upper bound on cost-vs-amount even at extreme p, fee, and
                // builder values within the generator bounds.
                let total_cost =
                    compute_total_cost(amount, price, fee_rate, fee_exponent, builder);
                let balance = total_cost * Decimal::from(10);

                let adjusted = adjust_market_buy_amount(
                    amount, balance, price, fee_rate, fee_exponent, builder,
                )
                .expect("non-binding balance must yield Ok");
                prop_assert_eq!(
                    adjusted, amount,
                    "non-binding branch must return the input amount unchanged",
                );
            }

            // Binding branch: balance < total_cost(amount). Function MUST
            // return Ok (assuming the divisor produces something >= 1 micro)
            // and the result MUST be strictly less than amount, at USDC scale,
            // and total_cost(adjusted) MUST fit inside balance.
            #[rstest]
            fn prop_adjust_market_buy_amount_binding_shrinks_into_balance(
                amount_micros in 1_000u64..=1_000_000_000u64,
                price_milli in 10u32..=990u32,
                fee_rate_bps in 0u32..=1_000u32,
                fee_exponent in 1.0f64..=3.0f64,
                builder_bps in 0u32..=500u32,
                fraction_thousandths in 100u32..=900u32,
            ) {
                let amount = decimal_at_usdc_scale(amount_micros);
                let price = Decimal::new(i64::from(price_milli), 3);
                let fee_rate = decimal_from_bps(fee_rate_bps);
                let builder = decimal_from_bps(builder_bps);

                // Balance set to a fraction (0.1 .. 0.9) of total_cost so the
                // shrink branch is always exercised with non-trivial values.
                let total_cost =
                    compute_total_cost(amount, price, fee_rate, fee_exponent, builder);
                let fraction = Decimal::new(i64::from(fraction_thousandths), 3);
                let balance = (total_cost * fraction).trunc_with_scale(USDC_DECIMALS);
                if balance.is_zero() {
                    return Ok(()); // sub-micro balance hits the bail path; skip.
                }

                let adjusted = adjust_market_buy_amount(
                    amount, balance, price, fee_rate, fee_exponent, builder,
                )
                .expect("non-zero balance fraction must yield Ok in binding branch");

                prop_assert!(
                    adjusted < amount,
                    "binding branch must strictly shrink (adjusted={adjusted}, amount={amount})",
                );
                prop_assert!(
                    adjusted > Decimal::ZERO,
                    "adjusted must be strictly positive",
                );
                prop_assert_eq!(
                    adjusted,
                    adjusted.trunc_with_scale(USDC_DECIMALS),
                    "adjusted must be at USDC_DECIMALS scale",
                );
                let recomputed_cost =
                    compute_total_cost(adjusted, price, fee_rate, fee_exponent, builder);
                prop_assert!(
                    recomputed_cost <= balance,
                    "total_cost {recomputed_cost} must fit balance {balance}",
                );
            }

            // Truncation property: when the input amount has sub-USDC
            // precision (e.g. amount derived from f64 math elsewhere in the
            // pipeline), the result is rounded down to USDC scale, never up.
            #[rstest]
            fn prop_adjust_market_buy_amount_truncates_subusdc_precision(
                amount_pico in 1_000_000u64..=1_000_000_000_000u64,
                price_milli in 1u32..=999u32,
                fee_rate_bps in 0u32..=1_000u32,
                fee_exponent in 1.0f64..=3.0f64,
                builder_bps in 0u32..=500u32,
            ) {
                // Sample at 9 dp (pico-USDC) so amounts have 3 dp beyond the
                // USDC on-chain scale.
                let amount = Decimal::new(amount_pico as i64, 9);
                let price = Decimal::new(i64::from(price_milli), 3);
                let fee_rate = decimal_from_bps(fee_rate_bps);
                let builder = decimal_from_bps(builder_bps);

                // Non-binding so we exercise the trunc-on-amount path.
                let total_cost =
                    compute_total_cost(amount, price, fee_rate, fee_exponent, builder);
                let balance = total_cost * Decimal::from(10);

                if let Ok(adjusted) = adjust_market_buy_amount(
                    amount, balance, price, fee_rate, fee_exponent, builder,
                ) {
                    prop_assert_eq!(
                        adjusted,
                        adjusted.trunc_with_scale(USDC_DECIMALS),
                        "result must be at USDC_DECIMALS scale",
                    );
                    prop_assert!(
                        adjusted <= amount,
                        "truncation must round DOWN, never up (adjusted={adjusted}, amount={amount})",
                    );
                }
            }
        }
    }
}