nautilus_bitmex/

data.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.
// -------------------------------------------------------------------------------------------------

//! Live market data client implementation for the BitMEX adapter.

use std::{
    future::Future,
    sync::{
        Arc,
        atomic::{AtomicBool, Ordering},
    },
};

use ahash::AHashMap;
use anyhow::Context;
use futures_util::StreamExt;
use nautilus_common::{
    cache::quote::QuoteCache,
    clients::DataClient,
    live::{runner::get_data_event_sender, runtime::get_runtime, sender::EventSender},
    messages::{
        DataEvent,
        data::{
            BarsResponse, BookResponse, DataResponse, FundingRatesResponse, InstrumentResponse,
            InstrumentsResponse, RequestBars, RequestBookSnapshot, RequestFundingRates,
            RequestInstrument, RequestInstruments, RequestTrades, SubscribeBars,
            SubscribeBookDeltas, SubscribeBookDepth, SubscribeFundingRates, SubscribeIndexPrices,
            SubscribeInstrument, SubscribeInstrumentStatus, SubscribeInstruments,
            SubscribeMarkPrices, SubscribeQuotes, SubscribeTrades, TradesResponse, UnsubscribeBars,
            UnsubscribeBookDeltas, UnsubscribeBookDepth, UnsubscribeFundingRates,
            UnsubscribeIndexPrices, UnsubscribeInstrumentStatus, UnsubscribeMarkPrices,
            UnsubscribeQuotes, UnsubscribeTrades,
        },
    },
};
use nautilus_core::{
    AtomicMap, UnixNanos,
    datetime::datetime_to_unix_nanos,
    time::{AtomicTime, get_atomic_clock_realtime},
};
use nautilus_live::SocketControlFactory;
use nautilus_model::{
    data::{Data, InstrumentStatus},
    enums::{BookType, MarketStatusAction},
    identifiers::{ClientId, InstrumentId, Venue},
    instruments::{Instrument, InstrumentAny},
    types::Price,
};
use tokio::{task::JoinHandle, time::Duration};
use tokio_util::sync::CancellationToken;
use ustr::Ustr;

use crate::{
    common::{
        consts::BITMEX_VENUE,
        enums::BitmexInstrumentState,
        parse::{
            parse_contracts_quantity, parse_instrument_id, parse_optional_datetime_to_unix_nanos,
        },
    },
    config::BitmexDataClientConfig,
    http::{
        client::BitmexHttpClient,
        parse::{InstrumentParseResult, parse_instrument_any},
    },
    websocket::{
        client::BitmexWebSocketClient,
        enums::{BitmexAction, BitmexBookChannel, BitmexWsTopic},
        messages::{BitmexQuoteMsg, BitmexTableMessage, BitmexWsMessage},
        parse::{
            parse_book_msg_vec, parse_book10_msg_vec, parse_funding_msg, parse_instrument_msg,
            parse_trade_bin_msg_vec, parse_trade_msg_vec,
        },
    },
};

#[derive(Debug)]
pub struct BitmexDataClient {
    client_id: ClientId,
    clock: &'static AtomicTime,
    config: BitmexDataClientConfig,
    http_client: BitmexHttpClient,
    ws_client: Option<BitmexWebSocketClient>,
    socket_factory: SocketControlFactory,
    is_connected: AtomicBool,
    cancellation_token: CancellationToken,
    tasks: Vec<JoinHandle<()>>,
    data_sender: EventSender<DataEvent>,
    instruments: Arc<AtomicMap<InstrumentId, InstrumentAny>>,
    book_channels: Arc<AtomicMap<InstrumentId, BitmexBookChannel>>,
    instrument_refresh_active: bool,
}

impl BitmexDataClient {
    /// Creates a new [`BitmexDataClient`] instance.
    ///
    /// # Errors
    ///
    /// Returns an error if the HTTP client cannot be constructed.
    pub fn new(client_id: ClientId, config: BitmexDataClientConfig) -> anyhow::Result<Self> {
        let clock = get_atomic_clock_realtime();
        let data_sender = get_data_event_sender();
        let socket_factory = SocketControlFactory::new(client_id, Some(*BITMEX_VENUE));
        let api_key = config
            .api_key
            .as_ref()
            .map(|value| value.expose_secret().to_owned());
        let api_secret = config
            .api_secret
            .as_ref()
            .map(|value| value.expose_secret().to_owned());
        let proxy_url = config
            .proxy_url
            .as_ref()
            .map(|value| value.expose_secret().to_owned());

        let http_client = BitmexHttpClient::new(
            Some(config.http_base_url()),
            api_key,
            api_secret,
            config.environment,
            config.http_timeout_secs,
            config.max_retries,
            config.retry_delay_initial_ms,
            config.retry_delay_max_ms,
            config.recv_window_ms,
            config.max_requests_per_second,
            config.max_requests_per_minute,
            proxy_url,
        )
        .context("failed to construct BitMEX HTTP client")?;

        Ok(Self {
            client_id,
            clock,
            config,
            http_client,
            ws_client: None,
            socket_factory,
            is_connected: AtomicBool::new(false),
            cancellation_token: CancellationToken::new(),
            tasks: Vec::new(),
            data_sender,
            instruments: Arc::new(AtomicMap::new()),
            book_channels: Arc::new(AtomicMap::new()),
            instrument_refresh_active: false,
        })
    }

    fn venue(&self) -> Venue {
        *BITMEX_VENUE
    }

    fn ws_client(&self) -> anyhow::Result<&BitmexWebSocketClient> {
        self.ws_client
            .as_ref()
            .context("websocket client not initialized; call connect first")
    }

    fn ws_client_mut(&mut self) -> anyhow::Result<&mut BitmexWebSocketClient> {
        self.ws_client
            .as_mut()
            .context("websocket client not initialized; call connect first")
    }

    fn send_data(sender: &EventSender<DataEvent>, data: Data) {
        if let Err(e) = sender.send(DataEvent::Data(data)) {
            log::error!("Failed to emit data event: {e}");
        }
    }

    fn spawn_ws<F>(&self, fut: F, context: &'static str)
    where
        F: Future<Output = anyhow::Result<()>> + Send + 'static,
    {
        get_runtime().spawn(async move {
            if let Err(e) = fut.await {
                log::error!("{context}: {e:?}");
            }
        });
    }

    fn spawn_stream_task(
        &mut self,
        stream: impl futures_util::Stream<Item = BitmexWsMessage> + Send + 'static,
    ) {
        let data_sender = self.data_sender.clone();
        let instruments = Arc::clone(&self.instruments);
        let cancellation = self.cancellation_token.clone();
        let clock = self.clock;

        let instruments_by_symbol: AHashMap<Ustr, InstrumentAny> = {
            let guard = instruments.load();
            guard
                .values()
                .map(|inst| (inst.symbol().inner(), inst.clone()))
                .collect()
        };

        let handle = get_runtime().spawn(async move {
            tokio::pin!(stream);
            let mut quote_cache = QuoteCache::new();
            let mut insts_by_symbol = instruments_by_symbol;

            loop {
                tokio::select! {
                    maybe_msg = stream.next() => {
                        match maybe_msg {
                            Some(msg) => Self::handle_ws_message(
                                clock.get_time_ns(),
                                msg,
                                &data_sender,
                                &instruments,
                                &mut insts_by_symbol,
                                &mut quote_cache,
                            ),
                            None => {
                                log::debug!("BitMEX websocket stream ended");
                                break;
                            }
                        }
                    }
                    () = cancellation.cancelled() => {
                        log::debug!("BitMEX websocket stream task cancelled");
                        break;
                    }
                }
            }
        });

        self.tasks.push(handle);
    }

    fn handle_ws_message(
        ts_init: UnixNanos,
        message: BitmexWsMessage,
        sender: &EventSender<DataEvent>,
        instruments: &Arc<AtomicMap<InstrumentId, InstrumentAny>>,
        instruments_by_symbol: &mut AHashMap<Ustr, InstrumentAny>,
        quote_cache: &mut QuoteCache,
    ) {
        match message {
            BitmexWsMessage::Table(table_msg) => {
                match table_msg {
                    BitmexTableMessage::OrderBookL2 { action, data }
                    | BitmexTableMessage::OrderBookL2_25 { action, data } => {
                        if !data.is_empty() {
                            let parsed =
                                parse_book_msg_vec(data, action, instruments_by_symbol, ts_init);

                            for d in parsed {
                                Self::send_data(sender, d);
                            }
                        }
                    }
                    BitmexTableMessage::OrderBook10 { data, .. } => {
                        if !data.is_empty() {
                            let parsed = parse_book10_msg_vec(data, instruments_by_symbol, ts_init);
                            for d in parsed {
                                Self::send_data(sender, d);
                            }
                        }
                    }
                    BitmexTableMessage::Quote { data, .. } => {
                        handle_quote_messages(
                            data,
                            instruments_by_symbol,
                            quote_cache,
                            ts_init,
                            sender,
                        );
                    }
                    BitmexTableMessage::Trade { data, .. } => {
                        if !data.is_empty() {
                            let parsed = parse_trade_msg_vec(data, instruments_by_symbol, ts_init);
                            for d in parsed {
                                Self::send_data(sender, d);
                            }
                        }
                    }
                    BitmexTableMessage::TradeBin1m { action, data } => {
                        if action != BitmexAction::Partial && !data.is_empty() {
                            let parsed = parse_trade_bin_msg_vec(
                                data,
                                &BitmexWsTopic::TradeBin1m,
                                instruments_by_symbol,
                                ts_init,
                            );

                            for d in parsed {
                                Self::send_data(sender, d);
                            }
                        }
                    }
                    BitmexTableMessage::TradeBin5m { action, data } => {
                        if action != BitmexAction::Partial && !data.is_empty() {
                            let parsed = parse_trade_bin_msg_vec(
                                data,
                                &BitmexWsTopic::TradeBin5m,
                                instruments_by_symbol,
                                ts_init,
                            );

                            for d in parsed {
                                Self::send_data(sender, d);
                            }
                        }
                    }
                    BitmexTableMessage::TradeBin1h { action, data } => {
                        if action != BitmexAction::Partial && !data.is_empty() {
                            let parsed = parse_trade_bin_msg_vec(
                                data,
                                &BitmexWsTopic::TradeBin1h,
                                instruments_by_symbol,
                                ts_init,
                            );

                            for d in parsed {
                                Self::send_data(sender, d);
                            }
                        }
                    }
                    BitmexTableMessage::TradeBin1d { action, data } => {
                        if action != BitmexAction::Partial && !data.is_empty() {
                            let parsed = parse_trade_bin_msg_vec(
                                data,
                                &BitmexWsTopic::TradeBin1d,
                                instruments_by_symbol,
                                ts_init,
                            );

                            for d in parsed {
                                Self::send_data(sender, d);
                            }
                        }
                    }
                    BitmexTableMessage::Instrument { action, data } => {
                        Self::handle_instrument_msg(
                            action,
                            data,
                            ts_init,
                            sender,
                            instruments,
                            instruments_by_symbol,
                        );
                    }
                    BitmexTableMessage::Funding { data, .. } => {
                        for msg in data {
                            let update = parse_funding_msg(&msg, ts_init);
                            log::debug!(
                                "Funding rate update: instrument={}, rate={}",
                                update.instrument_id,
                                update.rate,
                            );

                            if let Err(e) = sender.send(DataEvent::FundingRate(update)) {
                                log::error!("Failed to emit funding rate event: {e}");
                            }
                        }
                    }
                    // Ignore execution-only tables on data client
                    BitmexTableMessage::Order { .. }
                    | BitmexTableMessage::Execution { .. }
                    | BitmexTableMessage::Position { .. }
                    | BitmexTableMessage::Wallet { .. }
                    | BitmexTableMessage::Margin { .. } => {
                        log::debug!("Ignoring trading message on data client");
                    }
                    _ => {
                        log::warn!("Unhandled table message type on data client");
                    }
                }
            }
            BitmexWsMessage::Reconnected => {
                quote_cache.clear();
                log::info!("BitMEX websocket reconnected");
            }
            BitmexWsMessage::Authenticated => {
                log::debug!("BitMEX websocket authenticated");
            }
        }
    }

    fn handle_instrument_msg(
        action: BitmexAction,
        data: Vec<crate::websocket::messages::BitmexInstrumentMsg>,
        ts_init: UnixNanos,
        sender: &EventSender<DataEvent>,
        instruments: &Arc<AtomicMap<InstrumentId, InstrumentAny>>,
        instruments_by_symbol: &mut AHashMap<Ustr, InstrumentAny>,
    ) {
        match action {
            BitmexAction::Partial | BitmexAction::Insert => {
                let mut new_instruments = Vec::with_capacity(data.len());
                let mut temp_cache: AHashMap<Ustr, InstrumentAny> = AHashMap::new();

                let data_for_prices = data.clone();

                for msg in data {
                    match msg.try_into() {
                        Ok(http_inst) => match parse_instrument_any(&http_inst, ts_init) {
                            InstrumentParseResult::Ok(boxed) => {
                                let instrument_any = *boxed;
                                let symbol = instrument_any.symbol().inner();
                                temp_cache.insert(symbol, instrument_any.clone());
                                new_instruments.push(instrument_any);
                            }
                            InstrumentParseResult::Unsupported { .. }
                            | InstrumentParseResult::Inactive { .. } => {}
                            InstrumentParseResult::Failed {
                                symbol,
                                instrument_type,
                                error,
                            } => {
                                log::warn!(
                                    "Failed to parse instrument {symbol} ({instrument_type:?}): {error}"
                                );
                            }
                        },
                        Err(e) => {
                            log::debug!("Skipping instrument (missing required fields): {e}");
                        }
                    }
                }

                instruments.rcu(|m| {
                    for inst in &new_instruments {
                        m.insert(inst.id(), inst.clone());
                    }
                });

                for (symbol, inst) in &temp_cache {
                    instruments_by_symbol.insert(*symbol, inst.clone());
                }

                for inst in new_instruments {
                    if let Err(e) = sender.send(DataEvent::Instrument(inst)) {
                        log::error!("Failed to send instrument event: {e}");
                    }
                }

                for msg in data_for_prices {
                    for d in parse_instrument_msg(&msg, &temp_cache, ts_init) {
                        Self::send_data(sender, d);
                    }
                }
            }
            BitmexAction::Update => {
                for msg in &data {
                    if let Some(state_str) = &msg.state
                        && let Ok(state) = serde_json::from_str::<BitmexInstrumentState>(&format!(
                            "\"{state_str}\""
                        ))
                    {
                        let instrument_id = parse_instrument_id(msg.symbol);
                        let action = MarketStatusAction::from(&state);
                        let is_trading = Some(state == BitmexInstrumentState::Open);
                        let ts_event = parse_optional_datetime_to_unix_nanos(
                            &Some(msg.timestamp),
                            "timestamp",
                        );
                        let status = InstrumentStatus::new(
                            instrument_id,
                            action,
                            ts_event,
                            ts_init,
                            None,
                            None,
                            is_trading,
                            None,
                            None,
                        );

                        if let Err(e) = sender.send(DataEvent::InstrumentStatus(status)) {
                            log::error!("Failed to send instrument status: {e}");
                        }
                    }
                }

                // Parse mark/index price data
                for msg in data {
                    for d in parse_instrument_msg(&msg, instruments_by_symbol, ts_init) {
                        Self::send_data(sender, d);
                    }
                }
            }
            BitmexAction::Delete => {
                log::debug!(
                    "Received instrument delete action for {} instrument(s)",
                    data.len(),
                );
            }
        }
    }

    async fn bootstrap_instruments(&self) -> anyhow::Result<Vec<InstrumentAny>> {
        let http = self.http_client.clone();
        let mut instruments = http
            .request_instruments(self.config.active_only)
            .await
            .context("failed to request BitMEX instruments")?;

        instruments.sort_by_key(|instrument| instrument.id());

        self.instruments.rcu(|m| {
            m.clear();
            for instrument in &instruments {
                m.insert(instrument.id(), instrument.clone());
            }
        });

        self.http_client.cache_instruments(&instruments);

        if let Some(ws) = &self.ws_client {
            ws.cache_instruments(&instruments);
        }

        for instrument in &instruments {
            if let Err(e) = self
                .data_sender
                .send(DataEvent::Instrument(instrument.clone()))
            {
                log::warn!(
                    "Failed to send instrument event for {}: {e}",
                    instrument.id()
                );
            }
        }

        Ok(instruments)
    }

    fn is_connected(&self) -> bool {
        self.is_connected.load(Ordering::Relaxed)
    }

    fn is_disconnected(&self) -> bool {
        !self.is_connected()
    }

    fn maybe_spawn_instrument_refresh(&mut self) {
        let Some(minutes) = self.config.update_instruments_interval_mins else {
            return;
        };

        if minutes == 0 || self.instrument_refresh_active {
            return;
        }

        let interval_secs = minutes.saturating_mul(60);
        if interval_secs == 0 {
            return;
        }

        let interval = Duration::from_secs(interval_secs);
        let cancellation = self.cancellation_token.clone();
        let instruments_cache = Arc::clone(&self.instruments);
        let active_only = self.config.active_only;
        let client_id = self.client_id;
        let http_client = self.http_client.clone();

        let handle = get_runtime().spawn(async move {
            let http_client = http_client;

            loop {
                let sleep = tokio::time::sleep(interval);
                tokio::pin!(sleep);
                tokio::select! {
                    () = cancellation.cancelled() => {
                        log::debug!("BitMEX instrument refresh task cancelled");
                        break;
                    }
                    () = &mut sleep => {
                        match http_client.request_instruments(active_only).await {
                            Ok(mut instruments) => {
                                instruments.sort_by_key(|instrument| instrument.id());

                                instruments_cache.rcu(|m| {
                                    m.clear();
                                    for instrument in &instruments {
                                        m.insert(instrument.id(), instrument.clone());
                                    }
                                });

                                http_client.cache_instruments(&instruments);

                                log::debug!("BitMEX instruments refreshed: client_id={client_id}");
                            }
                            Err(e) => {
                                log::warn!("Failed to refresh BitMEX instruments: client_id={client_id}, error={e:?}");
                            }
                        }
                    }
                }
            }
        });

        self.tasks.push(handle);
        self.instrument_refresh_active = true;
    }
}

#[async_trait::async_trait(?Send)]
impl DataClient for BitmexDataClient {
    fn client_id(&self) -> ClientId {
        self.client_id
    }

    fn venue(&self) -> Option<Venue> {
        Some(self.venue())
    }

    fn start(&mut self) -> anyhow::Result<()> {
        log::info!(
            "Starting BitMEX data client: client_id={}, environment={}, proxy_url={:?}",
            self.client_id,
            self.config.environment,
            self.config.proxy_url,
        );
        Ok(())
    }

    fn stop(&mut self) -> anyhow::Result<()> {
        log::info!("Stopping BitMEX data client {id}", id = self.client_id);
        self.cancellation_token.cancel();
        self.is_connected.store(false, Ordering::Relaxed);
        self.instrument_refresh_active = false;
        Ok(())
    }

    fn reset(&mut self) -> anyhow::Result<()> {
        log::debug!("Resetting BitMEX data client {id}", id = self.client_id);
        self.is_connected.store(false, Ordering::Relaxed);
        self.cancellation_token = CancellationToken::new();
        self.tasks.clear();
        self.book_channels.store(AHashMap::new());
        self.instrument_refresh_active = false;
        Ok(())
    }

    fn dispose(&mut self) -> anyhow::Result<()> {
        self.stop()
    }

    async fn connect(&mut self) -> anyhow::Result<()> {
        if self.is_connected() {
            return Ok(());
        }

        if self.ws_client.is_none() {
            let ws = BitmexWebSocketClient::new_with_env(
                Some(self.config.ws_url()),
                self.config
                    .api_key
                    .as_ref()
                    .map(|value| value.expose_secret().to_owned()),
                self.config
                    .api_secret
                    .as_ref()
                    .map(|value| value.expose_secret().to_owned()),
                None,
                self.config.heartbeat_interval_secs.unwrap_or(5),
                self.config.auth_timeout_secs,
                self.config.environment,
                self.config.transport_backend,
                self.config
                    .proxy_url
                    .as_ref()
                    .map(|value| value.expose_secret().to_owned()),
            )
            .context("failed to construct BitMEX websocket client")?
            .with_socket_control(self.socket_factory.control("bitmex-data-streams"));
            self.ws_client = Some(ws);
        }

        self.bootstrap_instruments().await?;

        let ws = self.ws_client_mut()?;
        ws.connect()
            .await
            .context("failed to connect BitMEX websocket")?;
        ws.wait_until_active(10.0)
            .await
            .context("BitMEX websocket did not become active")?;

        let stream = ws.stream();
        self.spawn_stream_task(stream);
        self.maybe_spawn_instrument_refresh();

        self.is_connected.store(true, Ordering::Relaxed);
        log::info!("Connected");
        Ok(())
    }

    async fn disconnect(&mut self) -> anyhow::Result<()> {
        if self.is_disconnected() {
            return Ok(());
        }

        self.cancellation_token.cancel();

        if let Some(ws) = self.ws_client.as_mut()
            && let Err(e) = ws.close().await
        {
            log::warn!("Error while closing BitMEX websocket: {e:?}");
        }

        for handle in self.tasks.drain(..) {
            if let Err(e) = handle.await {
                log::error!("Error joining websocket task: {e:?}");
            }
        }

        self.cancellation_token = CancellationToken::new();
        self.is_connected.store(false, Ordering::Relaxed);
        self.book_channels.store(AHashMap::new());
        self.instrument_refresh_active = false;

        log::info!("Disconnected");
        Ok(())
    }

    fn is_connected(&self) -> bool {
        self.is_connected()
    }

    fn is_disconnected(&self) -> bool {
        self.is_disconnected()
    }

    fn subscribe_instruments(&mut self, _cmd: SubscribeInstruments) -> anyhow::Result<()> {
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.subscribe_instruments()
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX instruments subscription",
        );
        Ok(())
    }

    fn subscribe_instrument(&mut self, cmd: SubscribeInstrument) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;

        if let Some(instrument) = self.instruments.load().get(&instrument_id).cloned() {
            if let Err(e) = self.data_sender.send(DataEvent::Instrument(instrument)) {
                log::error!("Failed to send instrument event for {instrument_id}: {e}");
            }
            return Ok(());
        }

        log::warn!("Instrument {instrument_id} not found in BitMEX cache");

        let ws = self.ws_client()?.clone();
        self.spawn_ws(
            async move {
                ws.subscribe_instrument(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX instrument subscription",
        );

        Ok(())
    }

    fn subscribe_book_deltas(&mut self, cmd: SubscribeBookDeltas) -> anyhow::Result<()> {
        if cmd.book_type != BookType::L2_MBP {
            anyhow::bail!("BitMEX only supports L2_MBP order book deltas");
        }

        let instrument_id = cmd.instrument_id;
        let depth = cmd.depth.map_or(0, |d| d.get());
        let channel = if depth > 0 && depth <= 25 {
            if depth != 25 {
                log::debug!(
                    "BitMEX only supports depth 25 for L2 deltas, using L2_25 for requested depth {depth}"
                );
            }
            BitmexBookChannel::OrderBookL2_25
        } else {
            BitmexBookChannel::OrderBookL2
        };

        let ws = self.ws_client()?.clone();
        let book_channels = Arc::clone(&self.book_channels);

        self.spawn_ws(
            async move {
                match channel {
                    BitmexBookChannel::OrderBookL2 => ws
                        .subscribe_book(instrument_id)
                        .await
                        .map_err(|e| anyhow::anyhow!(e))?,
                    BitmexBookChannel::OrderBookL2_25 => ws
                        .subscribe_book_25(instrument_id)
                        .await
                        .map_err(|e| anyhow::anyhow!(e))?,
                    BitmexBookChannel::OrderBook10 => unreachable!(),
                }
                book_channels.insert(instrument_id, channel);
                Ok(())
            },
            "BitMEX book delta subscription",
        );

        Ok(())
    }

    fn subscribe_book_depth(&mut self, cmd: SubscribeBookDepth) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();
        let book_channels = Arc::clone(&self.book_channels);

        self.spawn_ws(
            async move {
                ws.subscribe_book_depth(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))?;
                book_channels.insert(instrument_id, BitmexBookChannel::OrderBook10);
                Ok(())
            },
            "BitMEX book depth subscription",
        );
        Ok(())
    }

    fn subscribe_quotes(&mut self, cmd: SubscribeQuotes) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.subscribe_quotes(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX quote subscription",
        );
        Ok(())
    }

    fn subscribe_trades(&mut self, cmd: SubscribeTrades) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.subscribe_trades(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX trade subscription",
        );
        Ok(())
    }

    fn subscribe_mark_prices(&mut self, cmd: SubscribeMarkPrices) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.subscribe_mark_prices(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX mark price subscription",
        );
        Ok(())
    }

    fn subscribe_index_prices(&mut self, cmd: SubscribeIndexPrices) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.subscribe_index_prices(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX index price subscription",
        );
        Ok(())
    }

    fn subscribe_funding_rates(&mut self, cmd: SubscribeFundingRates) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.subscribe_funding_rates(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX funding rate subscription",
        );
        Ok(())
    }

    fn subscribe_bars(&mut self, cmd: SubscribeBars) -> anyhow::Result<()> {
        let bar_type = cmd.bar_type;
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.subscribe_bars(bar_type)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX bar subscription",
        );
        Ok(())
    }

    fn subscribe_instrument_status(
        &mut self,
        cmd: SubscribeInstrumentStatus,
    ) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.subscribe_instrument(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX instrument status subscription",
        );
        Ok(())
    }

    fn unsubscribe_instrument_status(
        &mut self,
        cmd: &UnsubscribeInstrumentStatus,
    ) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.unsubscribe_instrument(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX instrument status unsubscribe",
        );
        Ok(())
    }

    fn unsubscribe_book_deltas(&mut self, cmd: &UnsubscribeBookDeltas) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();
        let book_channels = Arc::clone(&self.book_channels);

        self.spawn_ws(
            async move {
                let channel = book_channels.load().get(&instrument_id).copied();
                book_channels.remove(&instrument_id);

                match channel {
                    Some(BitmexBookChannel::OrderBookL2) => ws
                        .unsubscribe_book(instrument_id)
                        .await
                        .map_err(|e| anyhow::anyhow!(e))?,
                    Some(BitmexBookChannel::OrderBookL2_25) => ws
                        .unsubscribe_book_25(instrument_id)
                        .await
                        .map_err(|e| anyhow::anyhow!(e))?,
                    Some(BitmexBookChannel::OrderBook10) => ws
                        .unsubscribe_book_depth(instrument_id)
                        .await
                        .map_err(|e| anyhow::anyhow!(e))?,
                    None => ws
                        .unsubscribe_book(instrument_id)
                        .await
                        .map_err(|e| anyhow::anyhow!(e))?,
                }
                Ok(())
            },
            "BitMEX book delta unsubscribe",
        );
        Ok(())
    }

    fn unsubscribe_book_depth(&mut self, cmd: &UnsubscribeBookDepth) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();
        let book_channels = Arc::clone(&self.book_channels);

        self.spawn_ws(
            async move {
                book_channels.remove(&instrument_id);
                ws.unsubscribe_book_depth(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX book depth unsubscribe",
        );
        Ok(())
    }

    fn unsubscribe_quotes(&mut self, cmd: &UnsubscribeQuotes) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.unsubscribe_quotes(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX quote unsubscribe",
        );
        Ok(())
    }

    fn unsubscribe_trades(&mut self, cmd: &UnsubscribeTrades) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.unsubscribe_trades(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX trade unsubscribe",
        );
        Ok(())
    }

    fn unsubscribe_mark_prices(&mut self, cmd: &UnsubscribeMarkPrices) -> anyhow::Result<()> {
        let ws = self.ws_client()?.clone();
        let instrument_id = cmd.instrument_id;

        self.spawn_ws(
            async move {
                ws.unsubscribe_mark_prices(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX mark price unsubscribe",
        );
        Ok(())
    }

    fn unsubscribe_index_prices(&mut self, cmd: &UnsubscribeIndexPrices) -> anyhow::Result<()> {
        let ws = self.ws_client()?.clone();
        let instrument_id = cmd.instrument_id;

        self.spawn_ws(
            async move {
                ws.unsubscribe_index_prices(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX index price unsubscribe",
        );
        Ok(())
    }

    fn unsubscribe_funding_rates(&mut self, cmd: &UnsubscribeFundingRates) -> anyhow::Result<()> {
        let ws = self.ws_client()?.clone();
        let instrument_id = cmd.instrument_id;

        self.spawn_ws(
            async move {
                ws.unsubscribe_funding_rates(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX funding rate unsubscribe",
        );
        Ok(())
    }

    fn unsubscribe_bars(&mut self, cmd: &UnsubscribeBars) -> anyhow::Result<()> {
        let bar_type = cmd.bar_type;
        let ws = self.ws_client()?.clone();

        self.spawn_ws(
            async move {
                ws.unsubscribe_bars(bar_type)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX bar unsubscribe",
        );
        Ok(())
    }

    fn request_instruments(&self, request: RequestInstruments) -> anyhow::Result<()> {
        if let Some(req_venue) = request.venue
            && req_venue != self.venue()
        {
            log::warn!("Ignoring mismatched venue in instruments request: {req_venue}");
        }
        let venue = self.venue();

        let http = self.http_client.clone();
        let instruments_cache = Arc::clone(&self.instruments);
        let sender = self.data_sender.clone();
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let params = request.params;
        let start_nanos = datetime_to_unix_nanos(request.start);
        let end_nanos = datetime_to_unix_nanos(request.end);
        let clock = self.clock;
        let active_only = self.config.active_only;

        get_runtime().spawn(async move {
            let http_client = http;
            match http_client
                .request_instruments(active_only)
                .await
                .context("failed to request instruments from BitMEX")
            {
                Ok(instruments) => {
                    instruments_cache.rcu(|m| {
                        m.clear();
                        for instrument in &instruments {
                            m.insert(instrument.id(), instrument.clone());
                        }
                    });
                    http_client.cache_instruments(&instruments);

                    let response = DataResponse::Instruments(InstrumentsResponse::new(
                        request_id,
                        client_id,
                        venue,
                        instruments,
                        start_nanos,
                        end_nanos,
                        clock.get_time_ns(),
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send instruments response: {e}");
                    }
                }
                Err(e) => log::error!("Instrument request failed: {e:?}"),
            }
        });

        Ok(())
    }

    fn request_instrument(&self, request: RequestInstrument) -> anyhow::Result<()> {
        let http_client = self.http_client.clone();
        let instruments_cache = Arc::clone(&self.instruments);
        let sender = self.data_sender.clone();
        let instrument_id = request.instrument_id;
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let start = request.start;
        let end = request.end;
        let params = request.params;
        let clock = self.clock;

        get_runtime().spawn(async move {
            match http_client
                .request_instrument(instrument_id)
                .await
                .context("failed to request instrument from BitMEX")
            {
                Ok(Some(instrument)) => {
                    http_client.cache_instrument(instrument.clone());
                    instruments_cache.insert(instrument.id(), instrument.clone());

                    let response = DataResponse::Instrument(Box::new(InstrumentResponse::new(
                        request_id,
                        client_id,
                        instrument.id(),
                        instrument,
                        datetime_to_unix_nanos(start),
                        datetime_to_unix_nanos(end),
                        clock.get_time_ns(),
                        params,
                    )));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send instrument response: {e}");
                    }
                }
                Ok(None) => log::warn!("BitMEX instrument {instrument_id} not found"),
                Err(e) => log::error!("Instrument request failed: {e:?}"),
            }
        });

        Ok(())
    }

    fn request_book_snapshot(&self, request: RequestBookSnapshot) -> anyhow::Result<()> {
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let instrument_id = request.instrument_id;
        let depth = request.depth.map(|n| n.get().min(u32::MAX as usize) as u32);
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let params = request.params;
        let clock = self.clock;

        get_runtime().spawn(async move {
            match http
                .request_book_snapshot(instrument_id, depth)
                .await
                .context("failed to request book snapshot from BitMEX")
            {
                Ok(book) => {
                    let response = DataResponse::Book(BookResponse::new(
                        request_id,
                        client_id,
                        instrument_id,
                        book,
                        None,
                        None,
                        clock.get_time_ns(),
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send book snapshot response: {e}");
                    }
                }
                Err(e) => log::error!("Book snapshot request failed: {e:?}"),
            }
        });

        Ok(())
    }

    fn request_trades(&self, request: RequestTrades) -> anyhow::Result<()> {
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let instrument_id = request.instrument_id;
        let start = request.start;
        let end = request.end;
        let limit = request.limit.map(|n| n.get() as u32);
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let params = request.params;
        let clock = self.clock;
        let start_nanos = datetime_to_unix_nanos(start);
        let end_nanos = datetime_to_unix_nanos(end);

        get_runtime().spawn(async move {
            match http
                .request_trades(instrument_id, start, end, limit)
                .await
                .context("failed to request trades from BitMEX")
            {
                Ok(trades) => {
                    let response = DataResponse::Trades(TradesResponse::new(
                        request_id,
                        client_id,
                        instrument_id,
                        trades,
                        start_nanos,
                        end_nanos,
                        clock.get_time_ns(),
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send trades response: {e}");
                    }
                }
                Err(e) => log::error!("Trade request failed: {e:?}"),
            }
        });

        Ok(())
    }

    fn request_funding_rates(&self, request: RequestFundingRates) -> anyhow::Result<()> {
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let instrument_id = request.instrument_id;
        let start = request.start;
        let end = request.end;
        let limit = request.limit.map(|n| n.get().min(u32::MAX as usize) as u32);
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let params = request.params;
        let clock = self.clock;
        let start_nanos = datetime_to_unix_nanos(start);
        let end_nanos = datetime_to_unix_nanos(end);

        get_runtime().spawn(async move {
            match http
                .request_funding_rates(instrument_id, start, end, limit)
                .await
                .context("failed to request funding rates from BitMEX")
            {
                Ok(rates) => {
                    let response = DataResponse::FundingRates(FundingRatesResponse::new(
                        request_id,
                        client_id,
                        instrument_id,
                        rates,
                        start_nanos,
                        end_nanos,
                        clock.get_time_ns(),
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send funding rates response: {e}");
                    }
                }
                Err(e) => log::error!("Funding rates request failed: {e:?}"),
            }
        });

        Ok(())
    }

    fn request_bars(&self, request: RequestBars) -> anyhow::Result<()> {
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let bar_type = request.bar_type;
        let start = request.start;
        let end = request.end;
        let limit = request.limit.map(|n| n.get() as u32);
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let params = request.params;
        let clock = self.clock;
        let start_nanos = datetime_to_unix_nanos(start);
        let end_nanos = datetime_to_unix_nanos(end);

        get_runtime().spawn(async move {
            match http
                .request_bars(bar_type, start, end, limit, false)
                .await
                .context("failed to request bars from BitMEX")
            {
                Ok(bars) => {
                    let response = DataResponse::Bars(BarsResponse::new(
                        request_id,
                        client_id,
                        bar_type,
                        bars,
                        start_nanos,
                        end_nanos,
                        clock.get_time_ns(),
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send bars response: {e}");
                    }
                }
                Err(e) => log::error!("Bar request failed: {e:?}"),
            }
        });

        Ok(())
    }
}

fn handle_quote_messages(
    data: Vec<BitmexQuoteMsg>,
    instruments_by_symbol: &AHashMap<Ustr, InstrumentAny>,
    quote_cache: &mut QuoteCache,
    ts_init: UnixNanos,
    sender: &EventSender<DataEvent>,
) {
    for msg in data {
        let Some(instrument) = instruments_by_symbol.get(&msg.symbol) else {
            log::error!(
                "Instrument cache miss: quote dropped for symbol={}",
                msg.symbol,
            );
            continue;
        };

        let instrument_id = instrument.id();
        let price_precision = instrument.price_precision();

        let bid_price = msg.bid_price.map(|p| Price::new(p, price_precision));
        let ask_price = msg.ask_price.map(|p| Price::new(p, price_precision));
        let bid_size = msg
            .bid_size
            .map(|s| parse_contracts_quantity(s, instrument));
        let ask_size = msg
            .ask_size
            .map(|s| parse_contracts_quantity(s, instrument));
        let ts_event = UnixNanos::from(msg.timestamp);

        match quote_cache.process(
            instrument_id,
            bid_price,
            ask_price,
            bid_size,
            ask_size,
            ts_event,
            ts_init,
        ) {
            Ok(quote) => {
                if let Err(e) = sender.send(DataEvent::Data(Data::Quote(quote))) {
                    log::error!("Failed to emit data event: {e}");
                }
            }
            Err(e) => {
                log::warn!("Failed to process quote for {}: {e}", msg.symbol);
            }
        }
    }
}