nautilus_model/orders/
market.rs

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 std::{
17    fmt::Display,
18    ops::{Deref, DerefMut},
19};
20
21use indexmap::IndexMap;
22use nautilus_core::{
23    correctness::{check_predicate_false, FAILED},
24    UnixNanos, UUID4,
25};
26use rust_decimal::Decimal;
27use serde::{Deserialize, Serialize};
28use ustr::Ustr;
29
30use super::{
31    any::OrderAny,
32    base::{Order, OrderCore},
33};
34use crate::{
35    enums::{
36        ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, TimeInForce,
37        TrailingOffsetType, TriggerType,
38    },
39    events::{OrderEventAny, OrderInitialized, OrderUpdated},
40    identifiers::{
41        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
42        StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
43    },
44    orders::OrderError,
45    types::{quantity::check_quantity_positive, Price, Quantity},
46};
47
48#[derive(Clone, Debug, Serialize, Deserialize)]
49#[cfg_attr(
50    feature = "python",
51    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
52)]
53pub struct MarketOrder {
54    core: OrderCore,
55}
56
57impl MarketOrder {
58    /// Creates a new [`MarketOrder`] instance.
59    #[allow(clippy::too_many_arguments)]
60    pub fn new(
61        trader_id: TraderId,
62        strategy_id: StrategyId,
63        instrument_id: InstrumentId,
64        client_order_id: ClientOrderId,
65        order_side: OrderSide,
66        quantity: Quantity,
67        time_in_force: TimeInForce,
68        init_id: UUID4,
69        ts_init: UnixNanos,
70        reduce_only: bool,
71        quote_quantity: bool,
72        contingency_type: Option<ContingencyType>,
73        order_list_id: Option<OrderListId>,
74        linked_order_ids: Option<Vec<ClientOrderId>>,
75        parent_order_id: Option<ClientOrderId>,
76        exec_algorithm_id: Option<ExecAlgorithmId>,
77        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
78        exec_spawn_id: Option<ClientOrderId>,
79        tags: Option<Vec<Ustr>>,
80    ) -> Self {
81        Self::new_checked(
82            trader_id,
83            strategy_id,
84            instrument_id,
85            client_order_id,
86            order_side,
87            quantity,
88            time_in_force,
89            init_id,
90            ts_init,
91            reduce_only,
92            quote_quantity,
93            contingency_type,
94            order_list_id,
95            linked_order_ids,
96            parent_order_id,
97            exec_algorithm_id,
98            exec_algorithm_params,
99            exec_spawn_id,
100            tags,
101        )
102        .expect(FAILED)
103    }
104
105    /// Creates a new [`MarketOrder`] instance.
106    #[allow(clippy::too_many_arguments)]
107    pub fn new_checked(
108        trader_id: TraderId,
109        strategy_id: StrategyId,
110        instrument_id: InstrumentId,
111        client_order_id: ClientOrderId,
112        order_side: OrderSide,
113        quantity: Quantity,
114        time_in_force: TimeInForce,
115        init_id: UUID4,
116        ts_init: UnixNanos,
117        reduce_only: bool,
118        quote_quantity: bool,
119        contingency_type: Option<ContingencyType>,
120        order_list_id: Option<OrderListId>,
121        linked_order_ids: Option<Vec<ClientOrderId>>,
122        parent_order_id: Option<ClientOrderId>,
123        exec_algorithm_id: Option<ExecAlgorithmId>,
124        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
125        exec_spawn_id: Option<ClientOrderId>,
126        tags: Option<Vec<Ustr>>,
127    ) -> anyhow::Result<Self> {
128        check_quantity_positive(quantity)?;
129        check_predicate_false(
130            time_in_force == TimeInForce::Gtd,
131            "GTD not supported for Market orders",
132        )?;
133        let init_order = OrderInitialized::new(
134            trader_id,
135            strategy_id,
136            instrument_id,
137            client_order_id,
138            order_side,
139            OrderType::Market,
140            quantity,
141            time_in_force,
142            false,
143            reduce_only,
144            quote_quantity,
145            false,
146            init_id,
147            ts_init,
148            ts_init,
149            None,
150            None,
151            Some(TriggerType::NoTrigger),
152            None,
153            None,
154            None,
155            None,
156            None,
157            None,
158            None,
159            contingency_type,
160            order_list_id,
161            linked_order_ids,
162            parent_order_id,
163            exec_algorithm_id,
164            exec_algorithm_params,
165            exec_spawn_id,
166            tags,
167        );
168
169        Ok(Self {
170            core: OrderCore::new(init_order),
171        })
172    }
173}
174
175impl Deref for MarketOrder {
176    type Target = OrderCore;
177
178    fn deref(&self) -> &Self::Target {
179        &self.core
180    }
181}
182
183impl DerefMut for MarketOrder {
184    fn deref_mut(&mut self) -> &mut Self::Target {
185        &mut self.core
186    }
187}
188
189impl PartialEq for MarketOrder {
190    fn eq(&self, other: &Self) -> bool {
191        self.client_order_id == other.client_order_id
192    }
193}
194
195impl Order for MarketOrder {
196    fn into_any(self) -> OrderAny {
197        OrderAny::Market(self)
198    }
199
200    fn status(&self) -> OrderStatus {
201        self.status
202    }
203
204    fn trader_id(&self) -> TraderId {
205        self.trader_id
206    }
207
208    fn strategy_id(&self) -> StrategyId {
209        self.strategy_id
210    }
211
212    fn instrument_id(&self) -> InstrumentId {
213        self.instrument_id
214    }
215
216    fn symbol(&self) -> Symbol {
217        self.instrument_id.symbol
218    }
219
220    fn venue(&self) -> Venue {
221        self.instrument_id.venue
222    }
223
224    fn client_order_id(&self) -> ClientOrderId {
225        self.client_order_id
226    }
227
228    fn venue_order_id(&self) -> Option<VenueOrderId> {
229        self.venue_order_id
230    }
231
232    fn position_id(&self) -> Option<PositionId> {
233        self.position_id
234    }
235
236    fn account_id(&self) -> Option<AccountId> {
237        self.account_id
238    }
239
240    fn last_trade_id(&self) -> Option<TradeId> {
241        self.last_trade_id
242    }
243
244    fn side(&self) -> OrderSide {
245        self.side
246    }
247
248    fn order_type(&self) -> OrderType {
249        self.order_type
250    }
251
252    fn quantity(&self) -> Quantity {
253        self.quantity
254    }
255
256    fn time_in_force(&self) -> TimeInForce {
257        self.time_in_force
258    }
259
260    fn expire_time(&self) -> Option<UnixNanos> {
261        None
262    }
263
264    fn price(&self) -> Option<Price> {
265        None
266    }
267
268    fn trigger_price(&self) -> Option<Price> {
269        None
270    }
271
272    fn trigger_type(&self) -> Option<TriggerType> {
273        None
274    }
275
276    fn liquidity_side(&self) -> Option<LiquiditySide> {
277        self.liquidity_side
278    }
279
280    fn is_post_only(&self) -> bool {
281        false
282    }
283
284    fn is_reduce_only(&self) -> bool {
285        self.is_reduce_only
286    }
287
288    fn is_quote_quantity(&self) -> bool {
289        self.is_quote_quantity
290    }
291
292    fn display_qty(&self) -> Option<Quantity> {
293        None
294    }
295
296    fn limit_offset(&self) -> Option<Decimal> {
297        None
298    }
299
300    fn trailing_offset(&self) -> Option<Decimal> {
301        None
302    }
303
304    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
305        None
306    }
307
308    fn emulation_trigger(&self) -> Option<TriggerType> {
309        None
310    }
311
312    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
313        None
314    }
315
316    fn contingency_type(&self) -> Option<ContingencyType> {
317        self.contingency_type
318    }
319
320    fn order_list_id(&self) -> Option<OrderListId> {
321        self.order_list_id
322    }
323
324    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
325        self.linked_order_ids.as_deref()
326    }
327
328    fn parent_order_id(&self) -> Option<ClientOrderId> {
329        self.parent_order_id
330    }
331
332    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
333        self.exec_algorithm_id
334    }
335
336    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
337        self.exec_algorithm_params.as_ref()
338    }
339
340    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
341        self.exec_spawn_id
342    }
343
344    fn tags(&self) -> Option<&[Ustr]> {
345        self.tags.as_deref()
346    }
347
348    fn filled_qty(&self) -> Quantity {
349        self.filled_qty
350    }
351
352    fn leaves_qty(&self) -> Quantity {
353        self.leaves_qty
354    }
355
356    fn avg_px(&self) -> Option<f64> {
357        self.avg_px
358    }
359
360    fn slippage(&self) -> Option<f64> {
361        self.slippage
362    }
363
364    fn init_id(&self) -> UUID4 {
365        self.init_id
366    }
367
368    fn ts_init(&self) -> UnixNanos {
369        self.ts_init
370    }
371
372    fn ts_last(&self) -> UnixNanos {
373        self.ts_last
374    }
375
376    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
377        if let OrderEventAny::Updated(ref event) = event {
378            self.update(event);
379        };
380
381        self.core.apply(event)?;
382
383        Ok(())
384    }
385
386    fn update(&mut self, event: &OrderUpdated) {
387        assert!(event.price.is_none(), "{}", OrderError::InvalidOrderEvent);
388        assert!(
389            event.trigger_price.is_none(),
390            "{}",
391            OrderError::InvalidOrderEvent
392        );
393
394        self.quantity = event.quantity;
395        self.leaves_qty = self.quantity - self.filled_qty;
396    }
397
398    fn events(&self) -> Vec<&OrderEventAny> {
399        self.events.iter().collect()
400    }
401
402    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
403        self.venue_order_ids.iter().collect()
404    }
405
406    fn trade_ids(&self) -> Vec<&TradeId> {
407        self.trade_ids.iter().collect()
408    }
409}
410
411impl Display for MarketOrder {
412    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
413        write!(
414            f,
415            "MarketOrder(\
416            {} {} {} @ {} {}, \
417            status={}, \
418            client_order_id={}, \
419            venue_order_id={}, \
420            position_id={}, \
421            exec_algorithm_id={}, \
422            exec_spawn_id={}, \
423            tags={:?}\
424            )",
425            self.side,
426            self.quantity.to_formatted_string(),
427            self.instrument_id,
428            self.order_type,
429            self.time_in_force,
430            self.status,
431            self.client_order_id,
432            self.venue_order_id.map_or_else(
433                || "None".to_string(),
434                |venue_order_id| format!("{venue_order_id}")
435            ),
436            self.position_id.map_or_else(
437                || "None".to_string(),
438                |position_id| format!("{position_id}")
439            ),
440            self.exec_algorithm_id
441                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
442            self.exec_spawn_id
443                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
444            self.tags
445        )
446    }
447}
448
449impl From<OrderAny> for MarketOrder {
450    fn from(order: OrderAny) -> MarketOrder {
451        match order {
452            OrderAny::Market(order) => order,
453            _ => {
454                panic!(
455                    "Invalid `OrderAny` not `{}`, was {order:?}",
456                    stringify!(MarketOrder),
457                )
458            }
459        }
460    }
461}
462
463impl From<OrderInitialized> for MarketOrder {
464    fn from(event: OrderInitialized) -> Self {
465        Self::new(
466            event.trader_id,
467            event.strategy_id,
468            event.instrument_id,
469            event.client_order_id,
470            event.order_side,
471            event.quantity,
472            event.time_in_force,
473            event.event_id,
474            event.ts_event,
475            event.reduce_only,
476            event.quote_quantity,
477            event.contingency_type,
478            event.order_list_id,
479            event.linked_order_ids,
480            event.parent_order_id,
481            event.exec_algorithm_id,
482            event.exec_algorithm_params,
483            event.exec_spawn_id,
484            event.tags,
485        )
486    }
487}
488
489////////////////////////////////////////////////////////////////////////////////
490// Tests
491////////////////////////////////////////////////////////////////////////////////
492#[cfg(test)]
493mod tests {
494    use rstest::rstest;
495
496    use crate::{
497        enums::{OrderSide, OrderType, TimeInForce},
498        instruments::{stubs::*, CurrencyPair},
499        orders::builder::OrderTestBuilder,
500        types::Quantity,
501    };
502
503    #[rstest]
504    #[should_panic(expected = "Condition failed: invalid `Quantity`, should be positive and was 0")]
505    fn test_positive_quantity_condition(audusd_sim: CurrencyPair) {
506        let _ = OrderTestBuilder::new(OrderType::Market)
507            .instrument_id(audusd_sim.id)
508            .side(OrderSide::Buy)
509            .quantity(Quantity::from(0))
510            .build();
511    }
512
513    #[rstest]
514    #[should_panic(expected = "GTD not supported for Market orders")]
515    fn test_gtd_condition(audusd_sim: CurrencyPair) {
516        let _ = OrderTestBuilder::new(OrderType::Market)
517            .instrument_id(audusd_sim.id)
518            .side(OrderSide::Buy)
519            .quantity(Quantity::from(100))
520            .time_in_force(TimeInForce::Gtd)
521            .build();
522    }
523}
nautilus_model/orders/market.rs

nautilus_model/orders/
market.rs
