nautilus_model/events/order/
rejected.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::fmt::{Debug, Display};
17
18use derive_builder::Builder;
19use nautilus_core::{UUID4, UnixNanos, serialization::from_bool_as_u8};
20use rust_decimal::Decimal;
21use serde::{Deserialize, Serialize};
22use ustr::Ustr;
23
24use crate::{
25    enums::{
26        ContingencyType, LiquiditySide, OrderSide, OrderType, TimeInForce, TrailingOffsetType,
27        TriggerType,
28    },
29    events::OrderEvent,
30    identifiers::{
31        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
32        StrategyId, TradeId, TraderId, VenueOrderId,
33    },
34    types::{Currency, Money, Price, Quantity},
35};
36
37/// Represents an event where an order has been rejected by the trading venue.
38#[repr(C)]
39#[derive(Clone, Copy, PartialEq, Eq, Serialize, Deserialize, Builder)]
40#[serde(tag = "type")]
41#[cfg_attr(any(test, feature = "stubs"), builder(default))]
42#[cfg_attr(
43    feature = "python",
44    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
45)]
46pub struct OrderRejected {
47    /// The trader ID associated with the event.
48    pub trader_id: TraderId,
49    /// The strategy ID associated with the event.
50    pub strategy_id: StrategyId,
51    /// The instrument ID associated with the event.
52    pub instrument_id: InstrumentId,
53    /// The client order ID associated with the event.
54    pub client_order_id: ClientOrderId,
55    /// The account ID associated with the event.
56    pub account_id: AccountId,
57    /// The reason the order was rejected.
58    pub reason: Ustr,
59    /// The unique identifier for the event.
60    pub event_id: UUID4,
61    /// UNIX timestamp (nanoseconds) when the event occurred.
62    pub ts_event: UnixNanos,
63    /// UNIX timestamp (nanoseconds) when the event was initialized.
64    pub ts_init: UnixNanos,
65    /// If the event was generated during reconciliation.
66    #[serde(deserialize_with = "from_bool_as_u8")]
67    pub reconciliation: u8, // TODO: Change to bool once Cython removed
68    /// If the order was rejected because it was post-only and would execute immediately as a taker.
69    #[serde(default, deserialize_with = "from_bool_as_u8")]
70    pub due_post_only: u8, // TODO: Change to bool once Cython removed
71}
72
73impl OrderRejected {
74    /// Creates a new [`OrderRejected`] instance.
75    #[allow(clippy::too_many_arguments)]
76    pub fn new(
77        trader_id: TraderId,
78        strategy_id: StrategyId,
79        instrument_id: InstrumentId,
80        client_order_id: ClientOrderId,
81        account_id: AccountId,
82        reason: Ustr,
83        event_id: UUID4,
84        ts_event: UnixNanos,
85        ts_init: UnixNanos,
86        reconciliation: bool,
87        due_post_only: bool,
88    ) -> Self {
89        Self {
90            trader_id,
91            strategy_id,
92            instrument_id,
93            client_order_id,
94            account_id,
95            reason,
96            event_id,
97            ts_event,
98            ts_init,
99            reconciliation: u8::from(reconciliation),
100            due_post_only: u8::from(due_post_only),
101        }
102    }
103}
104
105impl Debug for OrderRejected {
106    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
107        write!(
108            f,
109            "{}(trader_id={}, strategy_id={}, instrument_id={}, client_order_id={}, account_id={}, reason='{}', event_id={}, ts_event={}, ts_init={})",
110            stringify!(OrderRejected),
111            self.trader_id,
112            self.strategy_id,
113            self.instrument_id,
114            self.client_order_id,
115            self.account_id,
116            self.reason,
117            self.event_id,
118            self.ts_event,
119            self.ts_init
120        )
121    }
122}
123
124impl Display for OrderRejected {
125    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
126        write!(
127            f,
128            "{}(instrument_id={}, client_order_id={}, account_id={}, reason='{}', ts_event={})",
129            stringify!(OrderRejected),
130            self.instrument_id,
131            self.client_order_id,
132            self.account_id,
133            self.reason,
134            self.ts_event
135        )
136    }
137}
138
139impl OrderEvent for OrderRejected {
140    fn id(&self) -> UUID4 {
141        self.event_id
142    }
143
144    fn kind(&self) -> &str {
145        stringify!(OrderRejected)
146    }
147
148    fn order_type(&self) -> Option<OrderType> {
149        None
150    }
151
152    fn order_side(&self) -> Option<OrderSide> {
153        None
154    }
155
156    fn trader_id(&self) -> TraderId {
157        self.trader_id
158    }
159
160    fn strategy_id(&self) -> StrategyId {
161        self.strategy_id
162    }
163
164    fn instrument_id(&self) -> InstrumentId {
165        self.instrument_id
166    }
167
168    fn trade_id(&self) -> Option<TradeId> {
169        None
170    }
171
172    fn currency(&self) -> Option<Currency> {
173        None
174    }
175
176    fn client_order_id(&self) -> ClientOrderId {
177        self.client_order_id
178    }
179
180    fn reason(&self) -> Option<Ustr> {
181        Some(self.reason)
182    }
183
184    fn quantity(&self) -> Option<Quantity> {
185        None
186    }
187
188    fn time_in_force(&self) -> Option<TimeInForce> {
189        None
190    }
191
192    fn liquidity_side(&self) -> Option<LiquiditySide> {
193        None
194    }
195
196    fn post_only(&self) -> Option<bool> {
197        None
198    }
199
200    fn reduce_only(&self) -> Option<bool> {
201        None
202    }
203
204    fn quote_quantity(&self) -> Option<bool> {
205        None
206    }
207
208    fn reconciliation(&self) -> bool {
209        false
210    }
211
212    fn price(&self) -> Option<Price> {
213        None
214    }
215
216    fn last_px(&self) -> Option<Price> {
217        None
218    }
219
220    fn last_qty(&self) -> Option<Quantity> {
221        None
222    }
223
224    fn trigger_price(&self) -> Option<Price> {
225        None
226    }
227
228    fn trigger_type(&self) -> Option<TriggerType> {
229        None
230    }
231
232    fn limit_offset(&self) -> Option<Decimal> {
233        None
234    }
235
236    fn trailing_offset(&self) -> Option<Decimal> {
237        None
238    }
239
240    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
241        None
242    }
243
244    fn expire_time(&self) -> Option<UnixNanos> {
245        None
246    }
247
248    fn display_qty(&self) -> Option<Quantity> {
249        None
250    }
251
252    fn emulation_trigger(&self) -> Option<TriggerType> {
253        None
254    }
255
256    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
257        None
258    }
259
260    fn contingency_type(&self) -> Option<ContingencyType> {
261        None
262    }
263
264    fn order_list_id(&self) -> Option<OrderListId> {
265        None
266    }
267
268    fn linked_order_ids(&self) -> Option<Vec<ClientOrderId>> {
269        None
270    }
271
272    fn parent_order_id(&self) -> Option<ClientOrderId> {
273        None
274    }
275
276    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
277        None
278    }
279
280    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
281        None
282    }
283
284    fn venue_order_id(&self) -> Option<VenueOrderId> {
285        None
286    }
287
288    fn account_id(&self) -> Option<AccountId> {
289        Some(self.account_id)
290    }
291
292    fn position_id(&self) -> Option<PositionId> {
293        None
294    }
295
296    fn commission(&self) -> Option<Money> {
297        None
298    }
299
300    fn ts_event(&self) -> UnixNanos {
301        self.ts_event
302    }
303
304    fn ts_init(&self) -> UnixNanos {
305        self.ts_init
306    }
307}
308
309#[cfg(test)]
310mod tests {
311    use nautilus_core::UnixNanos;
312    use rstest::rstest;
313    use ustr::Ustr;
314
315    use super::*;
316    use crate::{
317        events::order::stubs::*,
318        identifiers::{AccountId, ClientOrderId, InstrumentId, StrategyId, TraderId},
319        stubs::TestDefault,
320    };
321
322    fn create_test_order_rejected() -> OrderRejected {
323        OrderRejected::new(
324            TraderId::from("TRADER-001"),
325            StrategyId::from("EMA-CROSS"),
326            InstrumentId::from("EURUSD.SIM"),
327            ClientOrderId::from("O-19700101-000000-001-001-1"),
328            AccountId::from("SIM-001"),
329            Ustr::from("INSUFFICIENT_MARGIN"),
330            Default::default(),
331            UnixNanos::from(1_000_000_000),
332            UnixNanos::from(2_000_000_000),
333            false,
334            false,
335        )
336    }
337
338    #[rstest]
339    fn test_order_rejected_new() {
340        let order_rejected = create_test_order_rejected();
341
342        assert_eq!(order_rejected.trader_id, TraderId::from("TRADER-001"));
343        assert_eq!(order_rejected.strategy_id, StrategyId::from("EMA-CROSS"));
344        assert_eq!(
345            order_rejected.instrument_id,
346            InstrumentId::from("EURUSD.SIM")
347        );
348        assert_eq!(
349            order_rejected.client_order_id,
350            ClientOrderId::from("O-19700101-000000-001-001-1")
351        );
352        assert_eq!(order_rejected.account_id, AccountId::from("SIM-001"));
353        assert_eq!(order_rejected.reason, Ustr::from("INSUFFICIENT_MARGIN"));
354        assert_eq!(order_rejected.ts_event, UnixNanos::from(1_000_000_000));
355        assert_eq!(order_rejected.ts_init, UnixNanos::from(2_000_000_000));
356        assert_eq!(order_rejected.reconciliation, 0);
357        assert_eq!(order_rejected.due_post_only, 0);
358    }
359
360    #[rstest]
361    fn test_order_rejected_new_with_reconciliation() {
362        let order_rejected = OrderRejected::new(
363            TraderId::from("TRADER-001"),
364            StrategyId::from("EMA-CROSS"),
365            InstrumentId::from("EURUSD.SIM"),
366            ClientOrderId::from("O-19700101-000000-001-001-1"),
367            AccountId::from("SIM-001"),
368            Ustr::from("INVALID_PRICE"),
369            Default::default(),
370            UnixNanos::from(1_000_000_000),
371            UnixNanos::from(2_000_000_000),
372            true,
373            false,
374        );
375
376        assert_eq!(order_rejected.reconciliation, 1);
377    }
378
379    #[rstest]
380    fn test_order_rejected_clone() {
381        let order_rejected1 = create_test_order_rejected();
382        let order_rejected2 = order_rejected1;
383
384        assert_eq!(order_rejected1, order_rejected2);
385    }
386
387    #[rstest]
388    fn test_order_rejected_debug() {
389        let order_rejected = create_test_order_rejected();
390        let debug_str = format!("{order_rejected:?}");
391
392        assert!(debug_str.contains("OrderRejected"));
393        assert!(debug_str.contains("TRADER-001"));
394        assert!(debug_str.contains("EMA-CROSS"));
395        assert!(debug_str.contains("EURUSD.SIM"));
396        assert!(debug_str.contains("O-19700101-000000-001-001-1"));
397        assert!(debug_str.contains("INSUFFICIENT_MARGIN"));
398    }
399
400    #[rstest]
401    fn test_order_rejected_display(order_rejected_insufficient_margin: OrderRejected) {
402        let display = format!("{order_rejected_insufficient_margin}");
403        assert_eq!(
404            display,
405            "OrderRejected(instrument_id=BTCUSDT.COINBASE, client_order_id=O-19700101-000000-001-001-1, \
406        account_id=SIM-001, reason='INSUFFICIENT_MARGIN', ts_event=0)"
407        );
408    }
409
410    #[rstest]
411    fn test_order_rejected_partial_eq() {
412        let order_rejected1 = create_test_order_rejected();
413        let mut order_rejected2 = create_test_order_rejected();
414        order_rejected2.event_id = order_rejected1.event_id; // Make event_ids equal
415        let mut order_rejected3 = create_test_order_rejected();
416        order_rejected3.reason = Ustr::from("INVALID_ORDER");
417
418        assert_eq!(order_rejected1, order_rejected2);
419        assert_ne!(order_rejected1, order_rejected3);
420    }
421
422    #[rstest]
423    fn test_order_rejected_default() {
424        let order_rejected = OrderRejected::default();
425
426        assert_eq!(order_rejected.trader_id, TraderId::test_default());
427        assert_eq!(order_rejected.strategy_id, StrategyId::test_default());
428        assert_eq!(order_rejected.instrument_id, InstrumentId::test_default());
429        assert_eq!(
430            order_rejected.client_order_id,
431            ClientOrderId::test_default()
432        );
433        assert_eq!(order_rejected.account_id, AccountId::test_default());
434        assert_eq!(order_rejected.reconciliation, 0);
435        assert_eq!(order_rejected.due_post_only, 0);
436    }
437
438    #[rstest]
439    fn test_order_rejected_order_event_trait() {
440        let order_rejected = create_test_order_rejected();
441
442        assert_eq!(order_rejected.id(), order_rejected.event_id);
443        assert_eq!(order_rejected.kind(), "OrderRejected");
444        assert_eq!(order_rejected.order_type(), None);
445        assert_eq!(order_rejected.order_side(), None);
446        assert_eq!(order_rejected.trader_id(), TraderId::from("TRADER-001"));
447        assert_eq!(order_rejected.strategy_id(), StrategyId::from("EMA-CROSS"));
448        assert_eq!(
449            order_rejected.instrument_id(),
450            InstrumentId::from("EURUSD.SIM")
451        );
452        assert_eq!(order_rejected.trade_id(), None);
453        assert_eq!(order_rejected.currency(), None);
454        assert_eq!(
455            order_rejected.client_order_id(),
456            ClientOrderId::from("O-19700101-000000-001-001-1")
457        );
458        assert_eq!(
459            order_rejected.reason(),
460            Some(Ustr::from("INSUFFICIENT_MARGIN"))
461        );
462        assert_eq!(order_rejected.quantity(), None);
463        assert_eq!(order_rejected.time_in_force(), None);
464        assert_eq!(order_rejected.liquidity_side(), None);
465        assert_eq!(order_rejected.post_only(), None);
466        assert_eq!(order_rejected.reduce_only(), None);
467        assert_eq!(order_rejected.quote_quantity(), None);
468        assert!(!order_rejected.reconciliation());
469        assert_eq!(order_rejected.venue_order_id(), None);
470        assert_eq!(
471            order_rejected.account_id(),
472            Some(AccountId::from("SIM-001"))
473        );
474        assert_eq!(order_rejected.position_id(), None);
475        assert_eq!(order_rejected.commission(), None);
476        assert_eq!(order_rejected.ts_event(), UnixNanos::from(1_000_000_000));
477        assert_eq!(order_rejected.ts_init(), UnixNanos::from(2_000_000_000));
478    }
479
480    #[rstest]
481    fn test_order_rejected_different_reasons() {
482        let mut insufficient_margin = create_test_order_rejected();
483        insufficient_margin.reason = Ustr::from("INSUFFICIENT_MARGIN");
484
485        let mut invalid_price = create_test_order_rejected();
486        invalid_price.reason = Ustr::from("INVALID_PRICE");
487
488        let mut market_closed = create_test_order_rejected();
489        market_closed.reason = Ustr::from("MARKET_CLOSED");
490
491        assert_ne!(insufficient_margin, invalid_price);
492        assert_ne!(invalid_price, market_closed);
493        assert_eq!(
494            insufficient_margin.reason,
495            Ustr::from("INSUFFICIENT_MARGIN")
496        );
497        assert_eq!(invalid_price.reason, Ustr::from("INVALID_PRICE"));
498        assert_eq!(market_closed.reason, Ustr::from("MARKET_CLOSED"));
499    }
500
501    #[rstest]
502    fn test_order_rejected_timestamps() {
503        let order_rejected = create_test_order_rejected();
504
505        assert_eq!(order_rejected.ts_event, UnixNanos::from(1_000_000_000));
506        assert_eq!(order_rejected.ts_init, UnixNanos::from(2_000_000_000));
507        assert!(order_rejected.ts_event < order_rejected.ts_init);
508    }
509
510    #[rstest]
511    fn test_order_rejected_serialization() {
512        let original = create_test_order_rejected();
513
514        let json = serde_json::to_string(&original).unwrap();
515        let deserialized: OrderRejected = serde_json::from_str(&json).unwrap();
516
517        assert_eq!(original, deserialized);
518    }
519
520    #[rstest]
521    fn test_order_rejected_different_accounts() {
522        let mut live_account = create_test_order_rejected();
523        live_account.account_id = AccountId::from("LIVE-001");
524
525        let mut sim_account = create_test_order_rejected();
526        sim_account.account_id = AccountId::from("SIM-001");
527
528        assert_ne!(live_account, sim_account);
529        assert_eq!(live_account.account_id, AccountId::from("LIVE-001"));
530        assert_eq!(sim_account.account_id, AccountId::from("SIM-001"));
531    }
532
533    #[rstest]
534    fn test_order_rejected_different_instruments() {
535        let mut btc_order = create_test_order_rejected();
536        btc_order.instrument_id = InstrumentId::from("BTCUSD.COINBASE");
537
538        let mut eth_order = create_test_order_rejected();
539        eth_order.instrument_id = InstrumentId::from("ETHUSD.COINBASE");
540
541        assert_ne!(btc_order, eth_order);
542        assert_eq!(
543            btc_order.instrument_id,
544            InstrumentId::from("BTCUSD.COINBASE")
545        );
546        assert_eq!(
547            eth_order.instrument_id,
548            InstrumentId::from("ETHUSD.COINBASE")
549        );
550    }
551
552    #[rstest]
553    fn test_order_rejected_with_due_post_only() {
554        let order_rejected = OrderRejected::new(
555            TraderId::from("TRADER-001"),
556            StrategyId::from("EMA-CROSS"),
557            InstrumentId::from("EURUSD.SIM"),
558            ClientOrderId::from("O-19700101-000000-001-001-1"),
559            AccountId::from("SIM-001"),
560            Ustr::from("POST_ONLY_WOULD_EXECUTE"),
561            Default::default(),
562            UnixNanos::from(1_000_000_000),
563            UnixNanos::from(2_000_000_000),
564            false,
565            true,
566        );
567
568        assert_eq!(order_rejected.due_post_only, 1);
569        assert_eq!(order_rejected.reason, Ustr::from("POST_ONLY_WOULD_EXECUTE"));
570    }
571}
nautilus_model/events/order/rejected.rs

nautilus_model/events/order/
rejected.rs
