1use std::{
17 fmt::Display,
18 ops::{Deref, DerefMut},
19};
20
21use indexmap::IndexMap;
22use nautilus_core::{UUID4, UnixNanos, correctness::FAILED};
23use rust_decimal::Decimal;
24use serde::{Deserialize, Serialize};
25use ustr::Ustr;
26
27use super::{Order, OrderAny, OrderCore, OrderError, check_time_in_force};
28use crate::{
29 enums::{
30 ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSide,
31 TimeInForce, TrailingOffsetType, TriggerType,
32 },
33 events::{OrderEventAny, OrderInitialized, OrderUpdated},
34 identifiers::{
35 AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
36 StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
37 },
38 types::{Currency, Money, Price, Quantity, quantity::check_positive_quantity},
39};
40
41#[derive(Clone, Debug, Serialize, Deserialize)]
42#[cfg_attr(
43 feature = "python",
44 pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
45)]
46pub struct MarketIfTouchedOrder {
47 pub trigger_price: Price,
48 pub trigger_type: TriggerType,
49 pub expire_time: Option<UnixNanos>,
50 pub trigger_instrument_id: Option<InstrumentId>,
51 pub is_triggered: bool,
52 pub ts_triggered: Option<UnixNanos>,
53 core: OrderCore,
54}
55
56impl MarketIfTouchedOrder {
57 #[allow(clippy::too_many_arguments)]
65 pub fn new_checked(
66 trader_id: TraderId,
67 strategy_id: StrategyId,
68 instrument_id: InstrumentId,
69 client_order_id: ClientOrderId,
70 order_side: OrderSide,
71 quantity: Quantity,
72 trigger_price: Price,
73 trigger_type: TriggerType,
74 time_in_force: TimeInForce,
75 expire_time: Option<UnixNanos>,
76 reduce_only: bool,
77 quote_quantity: bool,
78 emulation_trigger: Option<TriggerType>,
79 trigger_instrument_id: Option<InstrumentId>,
80 contingency_type: Option<ContingencyType>,
81 order_list_id: Option<OrderListId>,
82 linked_order_ids: Option<Vec<ClientOrderId>>,
83 parent_order_id: Option<ClientOrderId>,
84 exec_algorithm_id: Option<ExecAlgorithmId>,
85 exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
86 exec_spawn_id: Option<ClientOrderId>,
87 tags: Option<Vec<Ustr>>,
88 init_id: UUID4,
89 ts_init: UnixNanos,
90 ) -> anyhow::Result<Self> {
91 check_positive_quantity(quantity, stringify!(quantity))?;
92 check_time_in_force(time_in_force, expire_time)?;
93
94 let init_order = OrderInitialized::new(
95 trader_id,
96 strategy_id,
97 instrument_id,
98 client_order_id,
99 order_side,
100 OrderType::MarketIfTouched,
101 quantity,
102 time_in_force,
103 false,
104 reduce_only,
105 quote_quantity,
106 false,
107 init_id,
108 ts_init,
109 ts_init,
110 None,
111 Some(trigger_price),
112 Some(trigger_type),
113 None,
114 None,
115 None,
116 expire_time,
117 None,
118 emulation_trigger,
119 trigger_instrument_id,
120 contingency_type,
121 order_list_id,
122 linked_order_ids,
123 parent_order_id,
124 exec_algorithm_id,
125 exec_algorithm_params,
126 exec_spawn_id,
127 tags,
128 );
129
130 Ok(Self {
131 core: OrderCore::new(init_order),
132 trigger_price,
133 trigger_type,
134 expire_time,
135 trigger_instrument_id,
136 is_triggered: false,
137 ts_triggered: None,
138 })
139 }
140
141 #[allow(clippy::too_many_arguments)]
147 pub fn new(
148 trader_id: TraderId,
149 strategy_id: StrategyId,
150 instrument_id: InstrumentId,
151 client_order_id: ClientOrderId,
152 order_side: OrderSide,
153 quantity: Quantity,
154 trigger_price: Price,
155 trigger_type: TriggerType,
156 time_in_force: TimeInForce,
157 expire_time: Option<UnixNanos>,
158 reduce_only: bool,
159 quote_quantity: bool,
160 emulation_trigger: Option<TriggerType>,
161 trigger_instrument_id: Option<InstrumentId>,
162 contingency_type: Option<ContingencyType>,
163 order_list_id: Option<OrderListId>,
164 linked_order_ids: Option<Vec<ClientOrderId>>,
165 parent_order_id: Option<ClientOrderId>,
166 exec_algorithm_id: Option<ExecAlgorithmId>,
167 exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
168 exec_spawn_id: Option<ClientOrderId>,
169 tags: Option<Vec<Ustr>>,
170 init_id: UUID4,
171 ts_init: UnixNanos,
172 ) -> Self {
173 Self::new_checked(
174 trader_id,
175 strategy_id,
176 instrument_id,
177 client_order_id,
178 order_side,
179 quantity,
180 trigger_price,
181 trigger_type,
182 time_in_force,
183 expire_time,
184 reduce_only,
185 quote_quantity,
186 emulation_trigger,
187 trigger_instrument_id,
188 contingency_type,
189 order_list_id,
190 linked_order_ids,
191 parent_order_id,
192 exec_algorithm_id,
193 exec_algorithm_params,
194 exec_spawn_id,
195 tags,
196 init_id,
197 ts_init,
198 )
199 .expect(FAILED)
200 }
201}
202
203impl Deref for MarketIfTouchedOrder {
204 type Target = OrderCore;
205
206 fn deref(&self) -> &Self::Target {
207 &self.core
208 }
209}
210
211impl DerefMut for MarketIfTouchedOrder {
212 fn deref_mut(&mut self) -> &mut Self::Target {
213 &mut self.core
214 }
215}
216
217impl Order for MarketIfTouchedOrder {
218 fn into_any(self) -> OrderAny {
219 OrderAny::MarketIfTouched(self)
220 }
221
222 fn status(&self) -> OrderStatus {
223 self.status
224 }
225
226 fn trader_id(&self) -> TraderId {
227 self.trader_id
228 }
229
230 fn strategy_id(&self) -> StrategyId {
231 self.strategy_id
232 }
233
234 fn instrument_id(&self) -> InstrumentId {
235 self.instrument_id
236 }
237
238 fn symbol(&self) -> Symbol {
239 self.instrument_id.symbol
240 }
241
242 fn venue(&self) -> Venue {
243 self.instrument_id.venue
244 }
245
246 fn client_order_id(&self) -> ClientOrderId {
247 self.client_order_id
248 }
249
250 fn venue_order_id(&self) -> Option<VenueOrderId> {
251 self.venue_order_id
252 }
253
254 fn position_id(&self) -> Option<PositionId> {
255 self.position_id
256 }
257
258 fn account_id(&self) -> Option<AccountId> {
259 self.account_id
260 }
261
262 fn last_trade_id(&self) -> Option<TradeId> {
263 self.last_trade_id
264 }
265
266 fn order_side(&self) -> OrderSide {
267 self.side
268 }
269
270 fn order_type(&self) -> OrderType {
271 self.order_type
272 }
273
274 fn quantity(&self) -> Quantity {
275 self.quantity
276 }
277
278 fn time_in_force(&self) -> TimeInForce {
279 self.time_in_force
280 }
281
282 fn expire_time(&self) -> Option<UnixNanos> {
283 self.expire_time
284 }
285
286 fn price(&self) -> Option<Price> {
287 None
288 }
289
290 fn trigger_price(&self) -> Option<Price> {
291 Some(self.trigger_price)
292 }
293
294 fn trigger_type(&self) -> Option<TriggerType> {
295 Some(self.trigger_type)
296 }
297
298 fn liquidity_side(&self) -> Option<LiquiditySide> {
299 self.liquidity_side
300 }
301
302 fn is_post_only(&self) -> bool {
303 false
304 }
305
306 fn is_reduce_only(&self) -> bool {
307 self.is_reduce_only
308 }
309
310 fn is_quote_quantity(&self) -> bool {
311 self.is_quote_quantity
312 }
313
314 fn has_price(&self) -> bool {
315 false
316 }
317
318 fn display_qty(&self) -> Option<Quantity> {
319 None
320 }
321
322 fn limit_offset(&self) -> Option<Decimal> {
323 None
324 }
325
326 fn trailing_offset(&self) -> Option<Decimal> {
327 None
328 }
329
330 fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
331 None
332 }
333
334 fn emulation_trigger(&self) -> Option<TriggerType> {
335 self.emulation_trigger
336 }
337
338 fn trigger_instrument_id(&self) -> Option<InstrumentId> {
339 self.trigger_instrument_id
340 }
341
342 fn contingency_type(&self) -> Option<ContingencyType> {
343 self.contingency_type
344 }
345
346 fn order_list_id(&self) -> Option<OrderListId> {
347 self.order_list_id
348 }
349
350 fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
351 self.linked_order_ids.as_deref()
352 }
353
354 fn parent_order_id(&self) -> Option<ClientOrderId> {
355 self.parent_order_id
356 }
357
358 fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
359 self.exec_algorithm_id
360 }
361
362 fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
363 self.exec_algorithm_params.as_ref()
364 }
365
366 fn exec_spawn_id(&self) -> Option<ClientOrderId> {
367 self.exec_spawn_id
368 }
369
370 fn tags(&self) -> Option<&[Ustr]> {
371 self.tags.as_deref()
372 }
373
374 fn filled_qty(&self) -> Quantity {
375 self.filled_qty
376 }
377
378 fn leaves_qty(&self) -> Quantity {
379 self.leaves_qty
380 }
381
382 fn avg_px(&self) -> Option<f64> {
383 self.avg_px
384 }
385
386 fn slippage(&self) -> Option<f64> {
387 self.slippage
388 }
389
390 fn init_id(&self) -> UUID4 {
391 self.init_id
392 }
393
394 fn ts_init(&self) -> UnixNanos {
395 self.ts_init
396 }
397
398 fn ts_submitted(&self) -> Option<UnixNanos> {
399 self.ts_submitted
400 }
401
402 fn ts_accepted(&self) -> Option<UnixNanos> {
403 self.ts_accepted
404 }
405
406 fn ts_closed(&self) -> Option<UnixNanos> {
407 self.ts_closed
408 }
409
410 fn ts_last(&self) -> UnixNanos {
411 self.ts_last
412 }
413
414 fn events(&self) -> Vec<&OrderEventAny> {
415 self.events.iter().collect()
416 }
417
418 fn commissions(&self) -> &IndexMap<Currency, Money> {
419 &self.commissions
420 }
421
422 fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
423 self.venue_order_ids.iter().collect()
424 }
425
426 fn trade_ids(&self) -> Vec<&TradeId> {
427 self.trade_ids.iter().collect()
428 }
429
430 fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
431 if let OrderEventAny::Updated(ref event) = event {
432 self.update(event);
433 };
434
435 let is_order_filled = matches!(event, OrderEventAny::Filled(_));
436 let is_order_triggered = matches!(event, OrderEventAny::Triggered(_));
437 let ts_event = if is_order_triggered {
438 Some(event.ts_event())
439 } else {
440 None
441 };
442
443 self.core.apply(event)?;
444
445 if is_order_triggered {
446 self.is_triggered = true;
447 self.ts_triggered = ts_event;
448 }
449
450 if is_order_filled {
451 self.core.set_slippage(self.trigger_price);
452 };
453
454 Ok(())
455 }
456
457 fn update(&mut self, event: &OrderUpdated) {
458 assert!(event.price.is_none(), "{}", OrderError::InvalidOrderEvent);
459
460 if let Some(trigger_price) = event.trigger_price {
461 self.trigger_price = trigger_price;
462 }
463
464 self.quantity = event.quantity;
465 self.leaves_qty = self.quantity.saturating_sub(self.filled_qty);
466 }
467
468 fn is_triggered(&self) -> Option<bool> {
469 Some(self.is_triggered)
470 }
471
472 fn set_position_id(&mut self, position_id: Option<PositionId>) {
473 self.position_id = position_id;
474 }
475
476 fn set_quantity(&mut self, quantity: Quantity) {
477 self.quantity = quantity;
478 }
479
480 fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
481 self.leaves_qty = leaves_qty;
482 }
483
484 fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
485 self.emulation_trigger = emulation_trigger;
486 }
487
488 fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
489 self.is_quote_quantity = is_quote_quantity;
490 }
491
492 fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
493 self.liquidity_side = Some(liquidity_side);
494 }
495
496 fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
497 self.core.would_reduce_only(side, position_qty)
498 }
499
500 fn previous_status(&self) -> Option<OrderStatus> {
501 self.core.previous_status
502 }
503}
504
505impl From<OrderInitialized> for MarketIfTouchedOrder {
506 fn from(event: OrderInitialized) -> Self {
507 Self::new(
508 event.trader_id,
509 event.strategy_id,
510 event.instrument_id,
511 event.client_order_id,
512 event.order_side,
513 event.quantity,
514 event
515 .trigger_price .expect(
517 "Error initializing order: `trigger_price` was `None` for `MarketIfTouchedOrder`",
518 ),
519 event.trigger_type.expect(
520 "Error initializing order: `trigger_type` was `None` for `MarketIfTouchedOrder`",
521 ),
522 event.time_in_force,
523 event.expire_time,
524 event.reduce_only,
525 event.quote_quantity,
526 event.emulation_trigger,
527 event.trigger_instrument_id,
528 event.contingency_type,
529 event.order_list_id,
530 event.linked_order_ids,
531 event.parent_order_id,
532 event.exec_algorithm_id,
533 event.exec_algorithm_params,
534 event.exec_spawn_id,
535 event.tags,
536 event.event_id,
537 event.ts_event,
538 )
539 }
540}
541
542impl Display for MarketIfTouchedOrder {
543 fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
544 write!(
545 f,
546 "MarketIfTouchedOrder {{ \
547 side: {}, \
548 qty: {}, \
549 instrument: {}, \
550 tif: {}, \
551 trigger_price: {}, \
552 trigger_type: {}, \
553 status: {} \
554 }}",
555 self.side,
556 self.quantity,
557 self.instrument_id,
558 self.time_in_force,
559 self.trigger_price,
560 self.trigger_type,
561 self.status
562 )
563 }
564}
565
566#[cfg(test)]
570mod tests {
571 use rstest::rstest;
572
573 use super::*;
574 use crate::{
575 enums::{OrderSide, OrderType, TimeInForce, TriggerType},
576 events::order::{filled::OrderFilledBuilder, initialized::OrderInitializedBuilder},
577 identifiers::{InstrumentId, TradeId, VenueOrderId},
578 instruments::{CurrencyPair, stubs::*},
579 orders::{builder::OrderTestBuilder, stubs::TestOrderStubs},
580 types::{Price, Quantity},
581 };
582
583 #[rstest]
584 fn test_initialize(_audusd_sim: CurrencyPair) {
585 let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
586 .instrument_id(_audusd_sim.id)
587 .side(OrderSide::Buy)
588 .trigger_price(Price::from("0.68000"))
589 .quantity(Quantity::from(1))
590 .build();
591
592 assert_eq!(order.trigger_price(), Some(Price::from("0.68000")));
593 assert_eq!(order.price(), None);
594
595 assert_eq!(order.time_in_force(), TimeInForce::Gtc);
596
597 assert_eq!(order.is_triggered(), Some(false));
598 assert_eq!(order.filled_qty(), Quantity::from(0));
599 assert_eq!(order.leaves_qty(), Quantity::from(1));
600
601 assert_eq!(order.display_qty(), None);
602 assert_eq!(order.trigger_instrument_id(), None);
603 assert_eq!(order.order_list_id(), None);
604 }
605
606 #[rstest]
607 fn test_display(audusd_sim: CurrencyPair) {
608 let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
609 .instrument_id(audusd_sim.id)
610 .side(OrderSide::Buy)
611 .trigger_price(Price::from("30000"))
612 .trigger_type(TriggerType::LastPrice)
613 .quantity(Quantity::from(1))
614 .build();
615
616 assert_eq!(
617 order.to_string(),
618 "MarketIfTouchedOrder { \
619 side: BUY, \
620 qty: 1, \
621 instrument: AUD/USD.SIM, \
622 tif: GTC, \
623 trigger_price: 30000, \
624 trigger_type: LAST_PRICE, \
625 status: INITIALIZED \
626 }"
627 );
628 }
629
630 #[rstest]
631 #[should_panic(
632 expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
633 )]
634 fn test_quantity_zero(audusd_sim: CurrencyPair) {
635 let _ = OrderTestBuilder::new(OrderType::MarketIfTouched)
636 .instrument_id(audusd_sim.id)
637 .side(OrderSide::Buy)
638 .trigger_price(Price::from("30000"))
639 .trigger_type(TriggerType::LastPrice)
640 .quantity(Quantity::from(0))
641 .build();
642 }
643
644 #[rstest]
645 #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
646 fn test_gtd_without_expire(audusd_sim: CurrencyPair) {
647 let _ = OrderTestBuilder::new(OrderType::MarketIfTouched)
648 .instrument_id(audusd_sim.id)
649 .side(OrderSide::Buy)
650 .trigger_price(Price::from("30000"))
651 .trigger_type(TriggerType::LastPrice)
652 .quantity(Quantity::from(1))
653 .time_in_force(TimeInForce::Gtd)
654 .build();
655 }
656
657 #[rstest]
658 fn test_market_if_touched_order_update() {
659 let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
661 .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
662 .quantity(Quantity::from(10))
663 .trigger_price(Price::new(100.0, 2))
664 .build();
665
666 let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
667
668 let updated_trigger_price = Price::new(95.0, 2);
670 let updated_quantity = Quantity::from(5);
671
672 let event = OrderUpdated {
673 client_order_id: accepted_order.client_order_id(),
674 strategy_id: accepted_order.strategy_id(),
675 trigger_price: Some(updated_trigger_price),
676 quantity: updated_quantity,
677 ..Default::default()
678 };
679
680 accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
681
682 assert_eq!(accepted_order.quantity(), updated_quantity);
684 assert_eq!(accepted_order.trigger_price(), Some(updated_trigger_price));
685 }
686
687 #[rstest]
688 fn test_market_if_touched_order_from_order_initialized() {
689 let order_initialized = OrderInitializedBuilder::default()
691 .trigger_price(Some(Price::new(100.0, 2)))
692 .trigger_type(Some(TriggerType::Default))
693 .order_type(OrderType::MarketIfTouched)
694 .build()
695 .unwrap();
696
697 let order: MarketIfTouchedOrder = order_initialized.clone().into();
699
700 assert_eq!(order.trader_id(), order_initialized.trader_id);
702 assert_eq!(order.strategy_id(), order_initialized.strategy_id);
703 assert_eq!(order.instrument_id(), order_initialized.instrument_id);
704 assert_eq!(order.client_order_id(), order_initialized.client_order_id);
705 assert_eq!(order.order_side(), order_initialized.order_side);
706 assert_eq!(order.quantity(), order_initialized.quantity);
707
708 assert_eq!(
710 order.trigger_price,
711 order_initialized.trigger_price.unwrap()
712 );
713 assert_eq!(order.trigger_type, order_initialized.trigger_type.unwrap());
714 }
715
716 #[rstest]
717 fn test_market_if_touched_order_sets_slippage_when_filled() {
718 let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
720 .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
721 .quantity(Quantity::from(10))
722 .side(OrderSide::Buy) .trigger_price(Price::new(90.0, 2)) .build();
725
726 let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
728
729 let fill_quantity = accepted_order.quantity(); let fill_price = Price::new(98.50, 2); let order_filled_event = OrderFilledBuilder::default()
734 .client_order_id(accepted_order.client_order_id())
735 .strategy_id(accepted_order.strategy_id())
736 .instrument_id(accepted_order.instrument_id())
737 .order_side(accepted_order.order_side())
738 .last_qty(fill_quantity)
739 .last_px(fill_price)
740 .venue_order_id(VenueOrderId::from("TEST-001"))
741 .trade_id(TradeId::from("TRADE-001"))
742 .build()
743 .unwrap();
744
745 accepted_order
747 .apply(OrderEventAny::Filled(order_filled_event))
748 .unwrap();
749
750 assert!(accepted_order.slippage().is_some());
752
753 let expected_slippage = 98.50 - 90.0; let actual_slippage = accepted_order.slippage().unwrap();
756
757 assert!(
758 (actual_slippage - expected_slippage).abs() < 0.001,
759 "Expected slippage around {expected_slippage}, was {actual_slippage}"
760 );
761 }
762}