futu_cache/qot_right/

security_rules.rs

use crate::static_data::CachedSecurityInfo;

use super::{
    LV2_ORDER_US_FUTURE, Lv2OrderSubDescriptor, QOT_MARKET_CC_SECURITY, QOT_RIGHT_BMP,
    QOT_RIGHT_LEVEL1, QOT_RIGHT_LEVEL2, QOT_RIGHT_LEVEL3, QOT_RIGHT_NO, QOT_RIGHT_SF,
    QOT_RIGHT_UNKNOWN, QotRightData, SECURITY_TYPE_CRYPTO, SECURITY_TYPE_DRVT,
    SECURITY_TYPE_FUTURE, SECURITY_TYPE_INDEX, SG_LV2_ORDER_STOCK, SG_LV2_ORDER_STOCK_ODD_LOT,
    US_LV2_ORDER_ARCA, US_LV2_ORDER_NASDAQ_TV, US_LV2_ORDER_OVERNIGHT,
};

fn is_hk_future_market(info: &CachedSecurityInfo) -> bool {
    info.sec_type == SECURITY_TYPE_FUTURE && matches!(info.mkt_id, 5 | 6 | 110..=119)
}

fn is_us_future_market(info: &CachedSecurityInfo) -> bool {
    info.sec_type == SECURITY_TYPE_FUTURE && (60..=109).contains(&info.mkt_id)
}

fn is_sg_future_market(info: &CachedSecurityInfo) -> bool {
    info.sec_type == SECURITY_TYPE_FUTURE && (160..=179).contains(&info.mkt_id)
}

fn is_sg_security_market(info: &CachedSecurityInfo) -> bool {
    (180..=184).contains(&info.mkt_id)
        || (info.market == 31
            && info.sec_type != SECURITY_TYPE_FUTURE
            && info.sec_type != SECURITY_TYPE_DRVT)
}

fn is_jp_future_market(info: &CachedSecurityInfo) -> bool {
    info.sec_type == SECURITY_TYPE_FUTURE && (185..=194).contains(&info.mkt_id)
}

fn is_jp_security_market(info: &CachedSecurityInfo) -> bool {
    (830..=849).contains(&info.mkt_id)
        || (info.market == 41
            && info.sec_type != SECURITY_TYPE_FUTURE
            && info.sec_type != SECURITY_TYPE_DRVT
            && !is_jp_future_market(info)
            && !(800..=829).contains(&info.mkt_id))
}

fn is_my_security_market(info: &CachedSecurityInfo) -> bool {
    (1350..=1399).contains(&info.mkt_id)
        || (info.market == 61
            && info.sec_type != SECURITY_TYPE_FUTURE
            && info.sec_type != SECURITY_TYPE_DRVT)
}

fn is_hk_option_market(info: &CachedSecurityInfo) -> bool {
    info.sec_type == SECURITY_TYPE_DRVT && matches!(info.mkt_id, 7 | 8 | 570..=579)
}

fn is_us_option_market(info: &CachedSecurityInfo) -> bool {
    info.sec_type == SECURITY_TYPE_DRVT && (41..=49).contains(&info.mkt_id)
}

fn is_hk_security_market(info: &CachedSecurityInfo) -> bool {
    matches!(info.mkt_id, 1..=4 | 1000..=1049)
        || (info.market == 1
            && !is_hk_future_market(info)
            && !is_hk_option_market(info)
            && info.sec_type != SECURITY_TYPE_FUTURE
            && info.sec_type != SECURITY_TYPE_DRVT)
}

/// C++ `APIServer_Qot_StockSnapshot.cpp:18-43` (`IsHKBMP_OneStock`).
///
/// When this returns true, GetSecuritySnapshot must omit bid/ask price and
/// volume fields instead of returning delayed BMP values.
pub fn snapshot_masks_hk_bmp_bid_ask(info: &CachedSecurityInfo, qr: &QotRightData) -> bool {
    let is_hk = matches!(info.market, 1 | 2);
    if !is_hk {
        return false;
    }

    if is_hk_option_market(info) {
        return qr.hk_option_qot_right == QOT_RIGHT_BMP;
    }
    if is_hk_future_market(info) {
        return qr.hk_future_qot_right == QOT_RIGHT_BMP;
    }
    is_hk_security_market(info) && qr.hk_qot_right == QOT_RIGHT_BMP
}

fn is_us_security_market(info: &CachedSecurityInfo) -> bool {
    matches!(info.mkt_id, 10..=29 | 1200..=1249)
        || (info.market == 11
            && !is_us_future_market(info)
            && !is_us_option_market(info)
            && info.sec_type != SECURITY_TYPE_FUTURE
            && info.sec_type != SECURITY_TYPE_DRVT)
}

/// v1.4.110 codex Phase 4 Slice 7: 把 crypto detection helper 暴露给 push_parser
/// / handler (crypto LV2 sub-system 入口).
///
/// 对齐 C++ `IsCrypto(stockID)` (NNBiz_Qot_SecList.cpp). 三个条件任一: sec_type==Crypto
/// / FTAPI QotMarket=91 (CC_Security) / mkt_id ∈ [360,459] (DigitalCcy range).
pub fn is_crypto_market(info: &CachedSecurityInfo) -> bool {
    info.sec_type == SECURITY_TYPE_CRYPTO
        || info.market == QOT_MARKET_CC_SECURITY
        || (360..=459).contains(&info.mkt_id)
}

/// C++ `SubBitUtil::GetPushTypeSvrSubBit(NN_PushQot_Type_Most)` 对 US /
/// US options / US futures 保留 `SBIT_US_PREMARKET_AFTERHOURS_DETAIL`, 让
/// BasicQot 可以随订阅收到 preMarket / afterMarket / overnight。
///
/// Ref:
/// - `FutuOpenD/Src/NNProtoCenter/Quote/SubBitUtil.cpp:7-17`
/// - `FutuOpenD/Src/NNProtoCenter/Quote/SubBitUtil.cpp:91-95`
pub fn basic_qot_uses_us_pre_after_detail(info: &CachedSecurityInfo) -> bool {
    matches!(info.mkt_id, 10..=29 | 41..=45 | 60..=109 | 1200..=1249) || info.market == 11
}

fn is_sh_market(info: &CachedSecurityInfo) -> bool {
    matches!(info.mkt_id, 30 | 32 | 33 | 34 | 36..=40) || info.market == 21
}

fn is_sz_market(info: &CachedSecurityInfo) -> bool {
    matches!(info.mkt_id, 31 | 35) || info.market == 22
}

fn us_future_right_for_market(qr: &QotRightData, mkt_id: u32) -> i32 {
    match mkt_id {
        60..=69 => qr.us_nymex_future_qot_right,
        70..=79 => qr.us_comex_future_qot_right,
        80..=89 => qr.us_cbot_future_qot_right,
        90..=99 => qr.us_cme_future_qot_right,
        100..=109 => qr.us_cboe_future_qot_right,
        _ => QOT_RIGHT_UNKNOWN,
    }
}

pub fn merged_lv2_order_subs_for_security(
    info: &CachedSecurityInfo,
    qr: &QotRightData,
    _extended_time: bool,
) -> Vec<Lv2OrderSubDescriptor> {
    if is_us_future_market(info) {
        if us_future_right_for_market(qr, info.mkt_id) == QOT_RIGHT_LEVEL2 {
            return vec![Lv2OrderSubDescriptor {
                lv2_type: LV2_ORDER_US_FUTURE,
                level: 60,
                prob2_v2: true,
            }];
        }
        return vec![];
    }

    if is_sg_security_market(info) {
        if qr.sg_stock_qot_right == QOT_RIGHT_LEVEL2 {
            // Ref: FutuOpenD/Src/NNProtoCenter/Quote/MktQotSubInstance.cpp:397-413.
            // SG Level2 orderbook subscribes both normal and odd-lot depth at
            // level 40 through prob2_v2 before the base SBIT_ORDER_BOOK prob.
            return vec![
                Lv2OrderSubDescriptor {
                    lv2_type: SG_LV2_ORDER_STOCK,
                    level: 40,
                    prob2_v2: true,
                },
                Lv2OrderSubDescriptor {
                    lv2_type: SG_LV2_ORDER_STOCK_ODD_LOT,
                    level: 40,
                    prob2_v2: true,
                },
            ];
        }
        return vec![];
    }

    if !is_us_security_market(info) || info.sec_type == SECURITY_TYPE_INDEX {
        return vec![];
    }
    if !matches!(qr.us_qot_right, QOT_RIGHT_LEVEL1 | QOT_RIGHT_LEVEL2) {
        return vec![];
    }

    let mut subs = Vec::new();
    // Ref: FutuOpenD/Src/NNProtoCenter/Quote/MktQotSubInstance.cpp:118-137.
    // C++ adds E_US_LV2_ORDER_OVERNIGHT for US stock OrderBook whenever any
    // US LV2 orderbook right exists; it does not gate this on Qot_Sub.extendedTime.
    if qr.us_lv2_arca_qot_right || qr.us_lv2_nyse_qot_right || qr.us_lv2_nasdaq_totalview_qot_right
    {
        subs.push(Lv2OrderSubDescriptor {
            lv2_type: US_LV2_ORDER_OVERNIGHT,
            level: 60,
            prob2_v2: true,
        });
    }
    if qr.us_lv2_nasdaq_totalview_qot_right {
        subs.push(Lv2OrderSubDescriptor {
            lv2_type: US_LV2_ORDER_NASDAQ_TV,
            level: 60,
            prob2_v2: false,
        });
    }
    if qr.us_lv2_arca_qot_right {
        subs.push(Lv2OrderSubDescriptor {
            lv2_type: US_LV2_ORDER_ARCA,
            level: 60,
            prob2_v2: false,
        });
    }
    subs
}

pub fn has_merged_lv2_order_subs_for_security(
    info: &CachedSecurityInfo,
    qr: &QotRightData,
) -> bool {
    !merged_lv2_order_subs_for_security(info, qr, true).is_empty()
}

/// C++ `GetOrderBookMaxNum` 对齐版：根据证券静态市场 + 行情权限决定
/// orderbook push/cache 应保留的档位数。
///
/// Ref:
/// - `FutuOpenD/Src/APIServer/APIServer_Inner_API.cpp:4331-4412`
/// - `FutuOpenD/Src/APIServer/Business/Quote/QotRealTimeData.cpp:1211-1215`
///
/// Hardcoded / Assumption Ledger:
/// - `mkt_id` 范围复用 backend stock-list 的 NN_QuoteMktID 区间。C++ 10.7
///   已把 `1400..=1449` 命名为 MY futures，但尚未给出 public orderbook
///   right/depth 映射，因此这里不再作为 HK futures 兜底。
/// - HK option/future depth 缺省为 0，和 C++ `NNData_Qot_Right` 构造默认值一致。
/// - 普通 HK/US/CN 股票在 Unknown 权限下保留 C++ 初始化默认值/分支语义，
///   避免 push parser 在权限刷新窗口内把有效 backend push 误清空。
pub fn order_book_max_depth_for_security(info: &CachedSecurityInfo, qr: &QotRightData) -> usize {
    if is_crypto_market(info) {
        return if qr.cc_qot_right == QOT_RIGHT_LEVEL1 {
            40
        } else {
            0
        };
    }

    if is_us_option_market(info) {
        return if qr.us_option_qot_right == QOT_RIGHT_BMP {
            0
        } else {
            1
        };
    }

    if is_us_future_market(info) {
        return match us_future_right_for_market(qr, info.mkt_id) {
            QOT_RIGHT_LEVEL1 => 1,
            QOT_RIGHT_LEVEL2 => 40,
            _ => 0,
        };
    }

    if is_hk_option_market(info) {
        return if qr.hk_option_qot_right == QOT_RIGHT_BMP {
            0
        } else {
            qr.hk_option_orderbook_depth.unwrap_or(0) as usize
        };
    }

    if is_hk_future_market(info) {
        return if qr.hk_future_qot_right == QOT_RIGHT_BMP {
            0
        } else {
            qr.hk_future_orderbook_depth.unwrap_or(0) as usize
        };
    }

    if is_hk_security_market(info) {
        return match qr.hk_qot_right {
            QOT_RIGHT_BMP | QOT_RIGHT_NO => 0,
            QOT_RIGHT_LEVEL1 => 1,
            QOT_RIGHT_LEVEL2 | QOT_RIGHT_SF => 10,
            _ => 10,
        };
    }

    if is_us_security_market(info) {
        return if info.sec_type == SECURITY_TYPE_INDEX || qr.us_qot_right == QOT_RIGHT_BMP {
            0
        } else {
            1
        };
    }

    if is_sh_market(info) {
        return if qr.sh_qot_right == QOT_RIGHT_BMP {
            0
        } else {
            10
        };
    }

    if is_sz_market(info) {
        return if qr.sz_qot_right == QOT_RIGHT_BMP {
            0
        } else {
            10
        };
    }

    if is_sg_future_market(info) {
        return match qr.sg_future_qot_right {
            QOT_RIGHT_LEVEL1 => 1,
            QOT_RIGHT_LEVEL2 => 40,
            _ => 0,
        };
    }

    if is_jp_future_market(info) {
        return match qr.jp_future_qot_right {
            QOT_RIGHT_LEVEL1 => 1,
            QOT_RIGHT_LEVEL2 => 40,
            _ => 0,
        };
    }

    if is_my_security_market(info) {
        return match qr.my_stock_qot_right {
            QOT_RIGHT_LEVEL1 => 3,
            QOT_RIGHT_LEVEL2 => 5,
            QOT_RIGHT_LEVEL3 => 10,
            _ => 0,
        };
    }

    if is_sg_security_market(info) {
        return match qr.sg_stock_qot_right {
            QOT_RIGHT_LEVEL1 => 1,
            QOT_RIGHT_LEVEL2 => 40,
            _ => 0,
        };
    }

    if is_jp_security_market(info) {
        return match qr.jp_stock_qot_right {
            QOT_RIGHT_LEVEL1 => 1,
            QOT_RIGHT_LEVEL2 => 5,
            QOT_RIGHT_LEVEL3 => 10,
            _ => 0,
        };
    }

    10
}

/// C++ `IsHKSF`: HK 股票 + HK SF 权限要求 backend 全档摆盘。
///
/// Ref:
/// - `FutuOpenD/Src/APIServer/APIServer_Inner_API.cpp:900-913`
/// - `FutuOpenD/Src/APIServer/Business/Quote/QotSubscribe.cpp:1282-1286`
pub fn order_book_requires_backend_full_depth(
    info: &CachedSecurityInfo,
    qr: &QotRightData,
) -> bool {
    qr.hk_qot_right == QOT_RIGHT_SF && is_hk_security_market(info)
}

pub fn order_book_uses_backend_side_count(info: &CachedSecurityInfo, qr: &QotRightData) -> bool {
    order_book_requires_backend_full_depth(info, qr)
}

/// C++ `GetOrderBook` read path skips `GetOrderBookMaxNum` clipping for HK SF
/// and US TotalView Lv2.
///
/// Ref:
/// - `FutuOpenD/Src/APIServer/Business/Quote/APIServer_Qot_OrderBook.cpp:86-89`
/// - `FutuOpenD/Src/APIServer/APIServer_Inner_API.cpp:900-929`
pub fn order_book_read_uses_requested_count(info: &CachedSecurityInfo, qr: &QotRightData) -> bool {
    order_book_uses_backend_side_count(info, qr)
        || (qr.us_lv2_nasdaq_totalview_qot_right && is_us_security_market(info))
}

/// C++ `GetOrderBook` 对 US TotalView Lv2 / Crypto orderbook 还有一层
/// `IsHadAcceptUSLv2TotalViewData` gate: 普通 orderbook cache 存在不等于
/// LV2 真盘口已经到达。
///
/// Ref:
/// - `FutuOpenD/Src/APIServer/Business/Quote/APIServer_Qot_OrderBook.cpp:93-99`
/// - `FutuOpenD/Src/APIServer/Business/Quote/QotRealTimeData.cpp:576-579`
pub fn order_book_requires_accepted_lv2_push(info: &CachedSecurityInfo, qr: &QotRightData) -> bool {
    (qr.us_lv2_nasdaq_totalview_qot_right && is_us_security_market(info)) || is_crypto_market(info)
}