nautilus_model/events/order/
snapshot.rs

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1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 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 indexmap::IndexMap;
17use nautilus_core::{UUID4, UnixNanos};
18use rust_decimal::Decimal;
19use serde::{Deserialize, Serialize};
20use ustr::Ustr;
21
22use crate::{
23    enums::{
24        ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, TimeInForce,
25        TrailingOffsetType, TriggerType,
26    },
27    identifiers::{
28        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
29        StrategyId, TradeId, TraderId, VenueOrderId,
30    },
31    orders::{Order, OrderAny},
32    types::{Money, Price, Quantity},
33};
34
35/// Represents an order state snapshot as a certain instant.
36#[derive(Clone, Debug, PartialEq, Serialize, Deserialize)]
37#[cfg_attr(
38    feature = "python",
39    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
40)]
41pub struct OrderSnapshot {
42    /// The trader ID associated with the order.
43    pub trader_id: TraderId,
44    /// The strategy ID associated with the order.
45    pub strategy_id: StrategyId,
46    /// The order instrument ID.
47    pub instrument_id: InstrumentId,
48    /// The client order ID.
49    pub client_order_id: ClientOrderId,
50    /// The venue assigned order ID.
51    pub venue_order_id: Option<VenueOrderId>,
52    /// The position ID associated with the order.
53    pub position_id: Option<PositionId>,
54    /// The account ID associated with the order.
55    pub account_id: Option<AccountId>,
56    /// The orders last trade match ID.
57    pub last_trade_id: Option<TradeId>,
58    /// The order type.
59    pub order_type: OrderType,
60    /// The order side.
61    pub order_side: OrderSide,
62    /// The order quantity.
63    pub quantity: Quantity,
64    /// The order price (LIMIT).
65    pub price: Option<Price>,
66    /// The order trigger price (STOP).
67    pub trigger_price: Option<Price>,
68    /// The trigger type for the order.
69    pub trigger_type: Option<TriggerType>,
70    /// The trailing offset for the orders limit price.
71    pub limit_offset: Option<Decimal>,
72    /// The trailing offset for the orders trigger price (STOP).
73    pub trailing_offset: Option<Decimal>,
74    /// The trailing offset type.
75    pub trailing_offset_type: Option<TrailingOffsetType>,
76    /// The order time in force.
77    pub time_in_force: TimeInForce,
78    /// The order expiration (UNIX epoch nanoseconds), zero for no expiration.
79    pub expire_time: Option<UnixNanos>,
80    /// The order total filled quantity.
81    pub filled_qty: Quantity,
82    /// The order liquidity side.
83    pub liquidity_side: Option<LiquiditySide>,
84    /// The order average fill price.
85    pub avg_px: Option<f64>,
86    /// The order total price slippage.
87    pub slippage: Option<f64>,
88    /// The commissions for the order.
89    pub commissions: Vec<Money>,
90    /// The order status.
91    pub status: OrderStatus,
92    /// If the order will only provide liquidity (make a market).
93    pub is_post_only: bool,
94    /// If the order carries the 'reduce-only' execution instruction.
95    pub is_reduce_only: bool,
96    /// If the order quantity is denominated in the quote currency.
97    pub is_quote_quantity: bool,
98    /// The quantity of the `LIMIT` order to display on the public book (iceberg).
99    pub display_qty: Option<Quantity>,
100    /// The order emulation trigger type.
101    pub emulation_trigger: Option<TriggerType>,
102    /// The order emulation trigger instrument ID (will be `instrument_id` if `None`).
103    pub trigger_instrument_id: Option<InstrumentId>,
104    /// The orders contingency type.
105    pub contingency_type: Option<ContingencyType>,
106    /// The order list ID associated with the order.
107    pub order_list_id: Option<OrderListId>,
108    /// The orders linked client order ID(s).
109    pub linked_order_ids: Option<Vec<ClientOrderId>>,
110    /// The parent client order ID.
111    pub parent_order_id: Option<ClientOrderId>,
112    /// The execution algorithm ID for the order.
113    pub exec_algorithm_id: Option<ExecAlgorithmId>,
114    /// The execution algorithm parameters for the order.
115    pub exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
116    /// The execution algorithm spawning client order ID.
117    pub exec_spawn_id: Option<ClientOrderId>,
118    /// The order custom user tags.
119    pub tags: Option<Vec<Ustr>>,
120    /// The event ID of the `OrderInitialized` event.
121    pub init_id: UUID4,
122    /// UNIX timestamp (nanoseconds) when the object was initialized.
123    pub ts_init: UnixNanos,
124    /// UNIX timestamp (nanoseconds) when the last event occurred.
125    pub ts_last: UnixNanos,
126}
127
128impl From<OrderAny> for OrderSnapshot {
129    fn from(order: OrderAny) -> Self {
130        Self {
131            trader_id: order.trader_id(),
132            strategy_id: order.strategy_id(),
133            instrument_id: order.instrument_id(),
134            client_order_id: order.client_order_id(),
135            venue_order_id: order.venue_order_id(),
136            position_id: order.position_id(),
137            account_id: order.account_id(),
138            last_trade_id: order.last_trade_id(),
139            order_type: order.order_type(),
140            order_side: order.order_side(),
141            quantity: order.quantity(),
142            price: order.price(),
143            trigger_price: order.trigger_price(),
144            trigger_type: order.trigger_type(),
145            limit_offset: order.limit_offset(),
146            trailing_offset: order.trailing_offset(),
147            trailing_offset_type: order.trailing_offset_type(),
148            time_in_force: order.time_in_force(),
149            expire_time: order.expire_time(),
150            filled_qty: order.filled_qty(),
151            liquidity_side: order.liquidity_side(),
152            avg_px: order.avg_px(),
153            slippage: order.slippage(),
154            commissions: order.commissions().values().cloned().collect(),
155            status: order.status(),
156            is_post_only: order.is_post_only(),
157            is_reduce_only: order.is_reduce_only(),
158            is_quote_quantity: order.is_quote_quantity(),
159            display_qty: order.display_qty(),
160            emulation_trigger: order.emulation_trigger(),
161            trigger_instrument_id: order.trigger_instrument_id(),
162            contingency_type: order.contingency_type(),
163            order_list_id: order.order_list_id(),
164            linked_order_ids: order.linked_order_ids().map(Vec::from),
165            parent_order_id: order.parent_order_id(),
166            exec_algorithm_id: order.exec_algorithm_id(),
167            exec_algorithm_params: order.exec_algorithm_params().cloned(),
168            exec_spawn_id: order.exec_spawn_id(),
169            tags: order.tags().map(Vec::from),
170            init_id: order.init_id(),
171            ts_init: order.ts_init(),
172            ts_last: order.ts_last(),
173        }
174    }
175}
nautilus_model/events/order/snapshot.rs

nautilus_model/events/order/
snapshot.rs
