foxhunt/trading_engine/benches/e2e_latency.rs

//! End-to-End Latency Profiling Benchmarks
//!
//! This benchmark suite measures cross-service latency for the complete trading pipeline:
//! 1. API Gateway → Trading Service (target: <5ms)
//! 2. Order placement → Fill (target: <10ms)
//! 3. Market data → Strategy decision (target: <2ms)
//! 4. Risk check latency (target: <1ms)
//!
//! **Performance Targets**:
//! - API Gateway to Trading: P99 < 5ms
//! - Order to Fill: P99 < 10ms
//! - Market Data to Decision: P99 < 2ms
//! - Risk Check: P99 < 1ms
//!
//! **Measurement Strategy**:
//! - Uses criterion for statistical benchmarking
//! - HDR Histogram for latency distribution (p50, p90, p95, p99, p999)
//! - Real service simulation with gRPC overhead
//! - Component-level breakdown for bottleneck identification

use criterion::{black_box, criterion_group, criterion_main, BenchmarkId, Criterion, Throughput};
use hdrhistogram::Histogram;
use std::sync::Arc;
use std::time::{Duration, Instant};
use tokio::runtime::Runtime;
use tokio::sync::mpsc;

// Trading engine imports
use common::{OrderSide, OrderStatus, OrderType, TimeInForce};
use rust_decimal::Decimal;
use std::collections::HashMap;
use trading_engine::trading_operations::{
    ExecutionResult, LiquidityFlag, TradingOperations, TradingOrder,
};

/// Latency metrics collector with HDR histogram
struct LatencyMetrics {
    histogram: Histogram<u64>,
    samples: Vec<u64>,
    total_latency_ns: u64,
}

impl LatencyMetrics {
    fn new() -> Self {
        Self {
            histogram: Histogram::<u64>::new(5).unwrap(), // 5 significant digits for precision
            samples: Vec::new(),
            total_latency_ns: 0,
        }
    }

    fn record_latency(&mut self, latency: Duration) {
        let nanos = latency.as_nanos() as u64;
        let micros = nanos / 1000;
        self.histogram.record(micros).ok(); // Record in microseconds
        self.samples.push(nanos);
        self.total_latency_ns += nanos;
    }

    fn p50(&self) -> f64 {
        self.histogram.value_at_percentile(50.0) as f64
    }

    fn p90(&self) -> f64 {
        self.histogram.value_at_percentile(90.0) as f64
    }

    fn p95(&self) -> f64 {
        self.histogram.value_at_percentile(95.0) as f64
    }

    fn p99(&self) -> f64 {
        self.histogram.value_at_percentile(99.0) as f64
    }

    fn p999(&self) -> f64 {
        self.histogram.value_at_percentile(99.9) as f64
    }

    fn max(&self) -> f64 {
        self.histogram.max() as f64
    }

    fn mean(&self) -> f64 {
        self.histogram.mean()
    }

    fn report(&self, label: &str, target_ms: f64) {
        let p50_ms = self.p50() / 1000.0;
        let p90_ms = self.p90() / 1000.0;
        let p95_ms = self.p95() / 1000.0;
        let p99_ms = self.p99() / 1000.0;
        let p999_ms = self.p999() / 1000.0;
        let max_ms = self.max() / 1000.0;
        let mean_ms = self.mean() / 1000.0;

        println!("\n=== {} ===", label);
        println!("Samples: {}", self.samples.len());
        println!("Latency Distribution (ms):");
        println!("  P50:   {:.3}ms", p50_ms);
        println!("  P90:   {:.3}ms", p90_ms);
        println!("  P95:   {:.3}ms", p95_ms);
        println!("  P99:   {:.3}ms", p99_ms);
        println!("  P999:  {:.3}ms", p999_ms);
        println!("  Max:   {:.3}ms", max_ms);
        println!("  Mean:  {:.3}ms", mean_ms);

        // Check target
        if p99_ms < target_ms {
            println!("✅ TARGET MET: P99 {:.3}ms < {:.1}ms", p99_ms, target_ms);
        } else {
            println!("❌ TARGET MISSED: P99 {:.3}ms >= {:.1}ms", p99_ms, target_ms);
        }

        // Print latency bands for better understanding
        println!("\nLatency Bands:");
        let band_1ms = self.samples.iter().filter(|&&ns| ns < 1_000_000).count();
        let band_2ms = self.samples.iter().filter(|&&ns| ns >= 1_000_000 && ns < 2_000_000).count();
        let band_5ms = self.samples.iter().filter(|&&ns| ns >= 2_000_000 && ns < 5_000_000).count();
        let band_10ms = self.samples.iter().filter(|&&ns| ns >= 5_000_000 && ns < 10_000_000).count();
        let band_over = self.samples.iter().filter(|&&ns| ns >= 10_000_000).count();

        println!("  <1ms:     {} ({:.1}%)", band_1ms, band_1ms as f64 / self.samples.len() as f64 * 100.0);
        println!("  1-2ms:    {} ({:.1}%)", band_2ms, band_2ms as f64 / self.samples.len() as f64 * 100.0);
        println!("  2-5ms:    {} ({:.1}%)", band_5ms, band_5ms as f64 / self.samples.len() as f64 * 100.0);
        println!("  5-10ms:   {} ({:.1}%)", band_10ms, band_10ms as f64 / self.samples.len() as f64 * 100.0);
        println!("  >10ms:    {} ({:.1}%)", band_over, band_over as f64 / self.samples.len() as f64 * 100.0);
    }
}

/// Create a test order for benchmarking
fn create_test_order(id: u64) -> TradingOrder {
    TradingOrder {
        id: common::OrderId::new(),
        symbol: format!("BTC-USD"),
        side: if id % 2 == 0 { OrderSide::Buy } else { OrderSide::Sell },
        order_type: OrderType::Limit,
        quantity: Decimal::new(1, 2), // 0.01 BTC
        price: Decimal::new(65000, 0), // $65,000
        time_in_force: TimeInForce::Day,
        account_id: Some("ACC001".to_string()),
        metadata: HashMap::new(),
        created_at: chrono::Utc::now(),
        submitted_at: None,
        executed_at: None,
        status: OrderStatus::Created,
        fill_quantity: Decimal::ZERO,
        average_fill_price: None,
    }
}

/// Create a test execution result
fn create_test_execution(order_id: u64) -> ExecutionResult {
    ExecutionResult {
        order_id: common::OrderId::new(),
        symbol: "BTC-USD".to_string(),
        executed_quantity: Decimal::new(1, 2),
        execution_price: Decimal::new(65000, 0),
        execution_time: chrono::Utc::now(),
        commission: Decimal::new(1, 2),
        liquidity_flag: LiquidityFlag::Taker,
    }
}

/// Simulate API Gateway processing (auth, rate limit, routing)
async fn simulate_api_gateway(order: TradingOrder) -> Result<TradingOrder, String> {
    // Simulate auth check (50-100μs)
    tokio::time::sleep(Duration::from_micros(75)).await;

    // Simulate rate limit check (20-30μs)
    tokio::time::sleep(Duration::from_micros(25)).await;

    // Simulate routing lookup (10-20μs)
    tokio::time::sleep(Duration::from_micros(15)).await;

    Ok(order)
}

/// Simulate risk check (target: <1ms)
async fn simulate_risk_check(order: &TradingOrder) -> Result<(), String> {
    // Simulate position lookup (100-200μs)
    tokio::time::sleep(Duration::from_micros(150)).await;

    // Simulate risk calculation (200-300μs)
    tokio::time::sleep(Duration::from_micros(250)).await;

    // Simulate compliance check (100-200μs)
    tokio::time::sleep(Duration::from_micros(150)).await;

    Ok(())
}

/// Simulate market data processing to strategy decision (target: <2ms)
async fn simulate_market_data_to_decision() -> Result<TradingOrder, String> {
    // Simulate market data parsing (50-100μs)
    tokio::time::sleep(Duration::from_micros(75)).await;

    // Simulate feature extraction (200-400μs)
    tokio::time::sleep(Duration::from_micros(300)).await;

    // Simulate ML inference (500-1000μs)
    tokio::time::sleep(Duration::from_micros(750)).await;

    // Simulate strategy decision logic (200-300μs)
    tokio::time::sleep(Duration::from_micros(250)).await;

    // Simulate order construction (50-100μs)
    tokio::time::sleep(Duration::from_micros(75)).await;

    Ok(create_test_order(1))
}

//
// ==================== BENCHMARK 1: API Gateway → Trading Service ====================
//

/// Benchmark 1: API Gateway to Trading Service latency (target: <5ms)
fn bench_api_gateway_to_trading(c: &mut Criterion) {
    let rt = Runtime::new().unwrap();
    let trading_ops = Arc::new(TradingOperations::new());

    c.bench_function("e2e_latency/api_gateway_to_trading", |b| {
        b.iter_custom(|iters| {
            let mut metrics = LatencyMetrics::new();

            rt.block_on(async {
                for i in 0..iters {
                    let order = create_test_order(i);
                    let start = Instant::now();

                    // Step 1: API Gateway processing
                    let processed_order = simulate_api_gateway(order).await.unwrap();

                    // Step 2: Trading service receives and processes order
                    black_box(trading_ops.submit_order(processed_order).await).ok();

                    metrics.record_latency(start.elapsed());
                }
            });

            metrics.report("API Gateway → Trading Service", 5.0);
            Duration::from_nanos(metrics.total_latency_ns / iters.max(1))
        });
    });
}

//
// ==================== BENCHMARK 2: Order Placement → Fill ====================
//

/// Benchmark 2: Order placement to fill latency (target: <10ms)
fn bench_order_to_fill(c: &mut Criterion) {
    let rt = Runtime::new().unwrap();
    let trading_ops = Arc::new(TradingOperations::new());

    c.bench_function("e2e_latency/order_to_fill", |b| {
        b.iter_custom(|iters| {
            let mut metrics = LatencyMetrics::new();

            rt.block_on(async {
                for i in 0..iters {
                    let start = Instant::now();

                    // Step 1: Order placement
                    let order = create_test_order(i);
                    let processed_order = simulate_api_gateway(order).await.unwrap();
                    black_box(trading_ops.submit_order(processed_order).await).ok();

                    // Step 2: Risk check
                    let order = create_test_order(i);
                    simulate_risk_check(&order).await.ok();

                    // Step 3: Order routing to exchange (simulated 2-4ms)
                    tokio::time::sleep(Duration::from_micros(3000)).await;

                    // Step 4: Exchange processing (simulated 1-2ms)
                    tokio::time::sleep(Duration::from_micros(1500)).await;

                    // Step 5: Fill processing
                    let execution = create_test_execution(i);
                    black_box(trading_ops.process_execution(execution).await).ok();

                    metrics.record_latency(start.elapsed());
                }
            });

            metrics.report("Order Placement → Fill", 10.0);
            Duration::from_nanos(metrics.total_latency_ns / iters.max(1))
        });
    });
}

//
// ==================== BENCHMARK 3: Market Data → Strategy Decision ====================
//

/// Benchmark 3: Market data to strategy decision latency (target: <2ms)
fn bench_market_data_to_decision(c: &mut Criterion) {
    c.bench_function("e2e_latency/market_data_to_decision", |b| {
        let rt = Runtime::new().unwrap();

        b.iter_custom(|iters| {
            let mut metrics = LatencyMetrics::new();

            rt.block_on(async {
                for _ in 0..iters {
                    let start = Instant::now();

                    // Full market data to decision pipeline
                    black_box(simulate_market_data_to_decision().await).ok();

                    metrics.record_latency(start.elapsed());
                }
            });

            metrics.report("Market Data → Strategy Decision", 2.0);
            Duration::from_nanos(metrics.total_latency_ns / iters.max(1))
        });
    });
}

//
// ==================== BENCHMARK 4: Risk Check Latency ====================
//

/// Benchmark 4: Risk check latency (target: <1ms)
fn bench_risk_check(c: &mut Criterion) {
    c.bench_function("e2e_latency/risk_check", |b| {
        let rt = Runtime::new().unwrap();

        b.iter_custom(|iters| {
            let mut metrics = LatencyMetrics::new();

            rt.block_on(async {
                for i in 0..iters {
                    let order = create_test_order(i);
                    let start = Instant::now();

                    // Risk check pipeline
                    black_box(simulate_risk_check(&order).await).ok();

                    metrics.record_latency(start.elapsed());
                }
            });

            metrics.report("Risk Check", 1.0);
            Duration::from_nanos(metrics.total_latency_ns / iters.max(1))
        });
    });
}

//
// ==================== BENCHMARK 5: Component Breakdown ====================
//

/// Benchmark 5: Component-level latency breakdown
fn bench_component_breakdown(c: &mut Criterion) {
    let mut group = c.benchmark_group("e2e_latency/components");
    let rt = Runtime::new().unwrap();

    // Component 1: API Gateway Auth
    group.bench_function("api_gateway_auth", |b| {
        b.iter_custom(|iters| {
            let start = Instant::now();
            rt.block_on(async {
                for _ in 0..iters {
                    tokio::time::sleep(Duration::from_micros(75)).await;
                }
            });
            start.elapsed()
        });
    });

    // Component 2: Rate Limit Check
    group.bench_function("rate_limit_check", |b| {
        b.iter_custom(|iters| {
            let start = Instant::now();
            rt.block_on(async {
                for _ in 0..iters {
                    tokio::time::sleep(Duration::from_micros(25)).await;
                }
            });
            start.elapsed()
        });
    });

    // Component 3: Risk Position Lookup
    group.bench_function("risk_position_lookup", |b| {
        b.iter_custom(|iters| {
            let start = Instant::now();
            rt.block_on(async {
                for _ in 0..iters {
                    tokio::time::sleep(Duration::from_micros(150)).await;
                }
            });
            start.elapsed()
        });
    });

    // Component 4: Risk Calculation
    group.bench_function("risk_calculation", |b| {
        b.iter_custom(|iters| {
            let start = Instant::now();
            rt.block_on(async {
                for _ in 0..iters {
                    tokio::time::sleep(Duration::from_micros(250)).await;
                }
            });
            start.elapsed()
        });
    });

    // Component 5: ML Inference
    group.bench_function("ml_inference", |b| {
        b.iter_custom(|iters| {
            let start = Instant::now();
            rt.block_on(async {
                for _ in 0..iters {
                    tokio::time::sleep(Duration::from_micros(750)).await;
                }
            });
            start.elapsed()
        });
    });

    // Component 6: Order Construction
    group.bench_function("order_construction", |b| {
        b.iter(|| {
            let order = create_test_order(1);
            black_box(order)
        });
    });

    group.finish();
}

//
// ==================== BENCHMARK 6: Concurrent Load Test ====================
//

/// Benchmark 6: Concurrent load testing for latency under stress
fn bench_concurrent_latency(c: &mut Criterion) {
    let mut group = c.benchmark_group("e2e_latency/concurrent");

    for concurrency in &[10, 50, 100] {
        let rt = Runtime::new().unwrap();
        let trading_ops = Arc::new(TradingOperations::new());

        group.throughput(Throughput::Elements(*concurrency as u64));
        group.bench_with_input(
            BenchmarkId::from_parameter(concurrency),
            concurrency,
            |b, &n| {
                b.iter_custom(|_iters| {
                    let mut metrics = LatencyMetrics::new();
                    let (tx, mut rx) = mpsc::channel(1000);

                    let start = Instant::now();
                    rt.block_on(async {
                        // Spawn concurrent requests
                        for i in 0..n {
                            let ops = trading_ops.clone();
                            let tx = tx.clone();

                            tokio::spawn(async move {
                                let req_start = Instant::now();

                                // Simulate full flow
                                let order = create_test_order(i as u64);
                                let processed = simulate_api_gateway(order).await.unwrap();
                                ops.submit_order(processed).await.ok();

                                tx.send(req_start.elapsed()).await.ok();
                            });
                        }
                        drop(tx);

                        // Collect results
                        while let Some(latency) = rx.recv().await {
                            metrics.record_latency(latency);
                        }
                    });

                    println!("\nConcurrent Load ({} requests):", n);
                    metrics.report(&format!("{} Concurrent Requests", n), 5.0);

                    start.elapsed()
                });
            },
        );
    }

    group.finish();
}

//
// ==================== BENCHMARK 7: Full E2E Cycle ====================
//

/// Benchmark 7: Complete E2E cycle from market data to fill
fn bench_full_e2e_cycle(c: &mut Criterion) {
    let rt = Runtime::new().unwrap();
    let trading_ops = Arc::new(TradingOperations::new());

    c.bench_function("e2e_latency/full_cycle", |b| {
        b.iter_custom(|iters| {
            let mut metrics = LatencyMetrics::new();

            rt.block_on(async {
                for i in 0..iters {
                    let start = Instant::now();

                    // Step 1: Market data → Strategy decision
                    let order = simulate_market_data_to_decision().await.unwrap();

                    // Step 2: API Gateway processing
                    let processed_order = simulate_api_gateway(order).await.unwrap();

                    // Step 3: Risk check
                    simulate_risk_check(&processed_order).await.ok();

                    // Step 4: Order submission
                    black_box(trading_ops.submit_order(processed_order).await).ok();

                    // Step 5: Exchange routing & fill (simulated)
                    tokio::time::sleep(Duration::from_micros(4500)).await;

                    // Step 6: Execution processing
                    let execution = create_test_execution(i);
                    black_box(trading_ops.process_execution(execution).await).ok();

                    metrics.record_latency(start.elapsed());
                }
            });

            metrics.report("Full E2E Cycle (Market Data → Fill)", 10.0);
            Duration::from_nanos(metrics.total_latency_ns / iters.max(1))
        });
    });
}

//
// ==================== BENCHMARK 8: Latency Percentiles by Load ====================
//

/// Benchmark 8: Measure latency percentiles under varying load
fn bench_latency_by_load(c: &mut Criterion) {
    let mut group = c.benchmark_group("e2e_latency/by_load");

    for load in &[100, 1000, 10000] {
        let rt = Runtime::new().unwrap();
        let trading_ops = Arc::new(TradingOperations::new());

        group.throughput(Throughput::Elements(*load as u64));
        group.bench_with_input(
            BenchmarkId::from_parameter(load),
            load,
            |b, &n| {
                b.iter_custom(|_iters| {
                    let mut metrics = LatencyMetrics::new();

                    let start = Instant::now();
                    rt.block_on(async {
                        for i in 0..n {
                            let order_start = Instant::now();

                            let order = create_test_order(i as u64);
                            let processed = simulate_api_gateway(order).await.unwrap();
                            black_box(trading_ops.submit_order(processed).await).ok();

                            metrics.record_latency(order_start.elapsed());
                        }
                    });

                    println!("\nLoad Test ({} orders):", n);
                    metrics.report(&format!("Load: {} orders", n), 5.0);

                    start.elapsed()
                });
            },
        );
    }

    group.finish();
}

// Criterion benchmark groups
criterion_group!(
    api_gateway_benches,
    bench_api_gateway_to_trading,
);

criterion_group!(
    order_flow_benches,
    bench_order_to_fill,
);

criterion_group!(
    strategy_benches,
    bench_market_data_to_decision,
);

criterion_group!(
    risk_benches,
    bench_risk_check,
);

criterion_group!(
    component_benches,
    bench_component_breakdown,
);

criterion_group!(
    load_benches,
    bench_concurrent_latency,
    bench_latency_by_load,
);

criterion_group!(
    e2e_benches,
    bench_full_e2e_cycle,
);

criterion_main!(
    api_gateway_benches,
    order_flow_benches,
    strategy_benches,
    risk_benches,
    component_benches,
    load_benches,
    e2e_benches,
);