nautilus_model/orders/
mod.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
16//! Order types for the trading domain model.
17
18pub mod any;
19pub mod builder;
20pub mod default;
21pub mod limit;
22pub mod limit_if_touched;
23pub mod list;
24pub mod market;
25pub mod market_if_touched;
26pub mod market_to_limit;
27pub mod stop_limit;
28pub mod stop_market;
29pub mod trailing_stop_limit;
30pub mod trailing_stop_market;
31
32#[cfg(feature = "stubs")]
33pub mod stubs;
34
35// Re-exports
36use enum_dispatch::enum_dispatch;
37use indexmap::IndexMap;
38use nautilus_core::{UUID4, UnixNanos};
39use rust_decimal::Decimal;
40use serde::{Deserialize, Serialize};
41use ustr::Ustr;
42
43pub use crate::orders::{
44    any::{LimitOrderAny, OrderAny, PassiveOrderAny, StopOrderAny},
45    builder::OrderTestBuilder,
46    limit::LimitOrder,
47    limit_if_touched::LimitIfTouchedOrder,
48    list::OrderList,
49    market::MarketOrder,
50    market_if_touched::MarketIfTouchedOrder,
51    market_to_limit::MarketToLimitOrder,
52    stop_limit::StopLimitOrder,
53    stop_market::StopMarketOrder,
54    trailing_stop_limit::TrailingStopLimitOrder,
55    trailing_stop_market::TrailingStopMarketOrder,
56};
57use crate::{
58    enums::{
59        ContingencyType, LiquiditySide, OrderSide, OrderSideSpecified, OrderStatus, OrderType,
60        PositionSide, TimeInForce, TrailingOffsetType, TriggerType,
61    },
62    events::{
63        OrderAccepted, OrderCancelRejected, OrderCanceled, OrderDenied, OrderEmulated,
64        OrderEventAny, OrderExpired, OrderFilled, OrderInitialized, OrderModifyRejected,
65        OrderPendingCancel, OrderPendingUpdate, OrderRejected, OrderReleased, OrderSubmitted,
66        OrderTriggered, OrderUpdated,
67    },
68    identifiers::{
69        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
70        StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
71    },
72    orderbook::OwnBookOrder,
73    types::{Currency, Money, Price, Quantity},
74};
75
76#[allow(dead_code)] // TODO: Will be used
77const STOP_ORDER_TYPES: &[OrderType] = &[
78    OrderType::StopMarket,
79    OrderType::StopLimit,
80    OrderType::MarketIfTouched,
81    OrderType::LimitIfTouched,
82];
83
84#[allow(dead_code)] // TODO: Will be used
85const LIMIT_ORDER_TYPES: &[OrderType] = &[
86    OrderType::Limit,
87    OrderType::StopLimit,
88    OrderType::LimitIfTouched,
89    OrderType::MarketIfTouched,
90];
91
92#[allow(dead_code)] // TODO: Will be used
93const LOCAL_ACTIVE_ORDER_STATUS: &[OrderStatus] = &[
94    OrderStatus::Initialized,
95    OrderStatus::Emulated,
96    OrderStatus::Released,
97];
98
99#[derive(thiserror::Error, Debug)]
100pub enum OrderError {
101    #[error("Order not found: {0}")]
102    NotFound(ClientOrderId),
103    #[error("Order invariant failed: must have a side for this operation")]
104    NoOrderSide,
105    #[error("Invalid event for order type")]
106    InvalidOrderEvent,
107    #[error("Invalid order state transition")]
108    InvalidStateTransition,
109    #[error("Order was already initialized")]
110    AlreadyInitialized,
111    #[error("Order had no previous state")]
112    NoPreviousState,
113}
114
115#[must_use]
116pub fn ustr_indexmap_to_str(h: IndexMap<Ustr, Ustr>) -> IndexMap<String, String> {
117    h.into_iter()
118        .map(|(k, v)| (k.to_string(), v.to_string()))
119        .collect()
120}
121
122#[must_use]
123pub fn str_indexmap_to_ustr(h: IndexMap<String, String>) -> IndexMap<Ustr, Ustr> {
124    h.into_iter()
125        .map(|(k, v)| (Ustr::from(&k), Ustr::from(&v)))
126        .collect()
127}
128
129impl OrderStatus {
130    #[rustfmt::skip]
131    pub fn transition(&mut self, event: &OrderEventAny) -> Result<Self, OrderError> {
132        let new_state = match (self, event) {
133            (Self::Initialized, OrderEventAny::Denied(_)) => Self::Denied,
134            (Self::Initialized, OrderEventAny::Emulated(_)) => Self::Emulated,  // Emulated orders
135            (Self::Initialized, OrderEventAny::Released(_)) => Self::Released,  // Emulated orders
136            (Self::Initialized, OrderEventAny::Submitted(_)) => Self::Submitted,
137            (Self::Initialized, OrderEventAny::Rejected(_)) => Self::Rejected,  // External orders
138            (Self::Initialized, OrderEventAny::Accepted(_)) => Self::Accepted,  // External orders
139            (Self::Initialized, OrderEventAny::Canceled(_)) => Self::Canceled,  // External orders
140            (Self::Initialized, OrderEventAny::Expired(_)) => Self::Expired,  // External orders
141            (Self::Initialized, OrderEventAny::Triggered(_)) => Self::Triggered, // External orders
142            (Self::Emulated, OrderEventAny::Canceled(_)) => Self::Canceled,  // Emulated orders
143            (Self::Emulated, OrderEventAny::Expired(_)) => Self::Expired,  // Emulated orders
144            (Self::Emulated, OrderEventAny::Released(_)) => Self::Released,  // Emulated orders
145            (Self::Released, OrderEventAny::Submitted(_)) => Self::Submitted,  // Emulated orders
146            (Self::Released, OrderEventAny::Denied(_)) => Self::Denied,  // Emulated orders
147            (Self::Released, OrderEventAny::Canceled(_)) => Self::Canceled,  // Execution algo
148            (Self::Submitted, OrderEventAny::PendingUpdate(_)) => Self::PendingUpdate,
149            (Self::Submitted, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,
150            (Self::Submitted, OrderEventAny::Rejected(_)) => Self::Rejected,
151            (Self::Submitted, OrderEventAny::Canceled(_)) => Self::Canceled,  // FOK and IOC cases
152            (Self::Submitted, OrderEventAny::Accepted(_)) => Self::Accepted,
153            (Self::Submitted, OrderEventAny::Filled(_)) => Self::Filled,
154            (Self::Submitted, OrderEventAny::Updated(_)) => Self::Submitted,
155            (Self::Accepted, OrderEventAny::Rejected(_)) => Self::Rejected,  // StopLimit order
156            (Self::Accepted, OrderEventAny::PendingUpdate(_)) => Self::PendingUpdate,
157            (Self::Accepted, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,
158            (Self::Accepted, OrderEventAny::Canceled(_)) => Self::Canceled,
159            (Self::Accepted, OrderEventAny::Triggered(_)) => Self::Triggered,
160            (Self::Accepted, OrderEventAny::Expired(_)) => Self::Expired,
161            (Self::Accepted, OrderEventAny::Filled(_)) => Self::Filled,
162            (Self::Accepted, OrderEventAny::Updated(_)) => Self::Accepted,  // Updates should preserve state
163            (Self::Canceled, OrderEventAny::Filled(_)) => Self::Filled,  // Real world possibility
164            (Self::PendingUpdate, OrderEventAny::Rejected(_)) => Self::Rejected,
165            (Self::PendingUpdate, OrderEventAny::Accepted(_)) => Self::Accepted,
166            (Self::PendingUpdate, OrderEventAny::Canceled(_)) => Self::Canceled,
167            (Self::PendingUpdate, OrderEventAny::Expired(_)) => Self::Expired,
168            (Self::PendingUpdate, OrderEventAny::Triggered(_)) => Self::Triggered,
169            (Self::PendingUpdate, OrderEventAny::PendingUpdate(_)) => Self::PendingUpdate,  // Allow multiple requests
170            (Self::PendingUpdate, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,
171            (Self::PendingUpdate, OrderEventAny::Filled(_)) => Self::Filled,
172            (Self::PendingCancel, OrderEventAny::Rejected(_)) => Self::Rejected,
173            (Self::PendingCancel, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,  // Allow multiple requests
174            (Self::PendingCancel, OrderEventAny::Canceled(_)) => Self::Canceled,
175            (Self::PendingCancel, OrderEventAny::Expired(_)) => Self::Expired,
176            (Self::PendingCancel, OrderEventAny::Accepted(_)) => Self::Accepted,  // Allow failed cancel requests
177            (Self::PendingCancel, OrderEventAny::Filled(_)) => Self::Filled,
178            (Self::Triggered, OrderEventAny::Rejected(_)) => Self::Rejected,
179            (Self::Triggered, OrderEventAny::PendingUpdate(_)) => Self::PendingUpdate,
180            (Self::Triggered, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,
181            (Self::Triggered, OrderEventAny::Canceled(_)) => Self::Canceled,
182            (Self::Triggered, OrderEventAny::Expired(_)) => Self::Expired,
183            (Self::Triggered, OrderEventAny::Filled(_)) => Self::Filled,
184            (Self::PartiallyFilled, OrderEventAny::PendingUpdate(_)) => Self::PendingUpdate,
185            (Self::PartiallyFilled, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,
186            (Self::PartiallyFilled, OrderEventAny::Canceled(_)) => Self::Canceled,
187            (Self::PartiallyFilled, OrderEventAny::Expired(_)) => Self::Expired,
188            (Self::PartiallyFilled, OrderEventAny::Filled(_)) => Self::Filled,
189            (Self::PartiallyFilled, OrderEventAny::Accepted(_)) => Self::Accepted,
190            _ => return Err(OrderError::InvalidStateTransition),
191        };
192        Ok(new_state)
193    }
194}
195
196#[enum_dispatch]
197pub trait Order: 'static + Send {
198    fn into_any(self) -> OrderAny;
199    fn status(&self) -> OrderStatus;
200    fn trader_id(&self) -> TraderId;
201    fn strategy_id(&self) -> StrategyId;
202    fn instrument_id(&self) -> InstrumentId;
203    fn symbol(&self) -> Symbol;
204    fn venue(&self) -> Venue;
205    fn client_order_id(&self) -> ClientOrderId;
206    fn venue_order_id(&self) -> Option<VenueOrderId>;
207    fn position_id(&self) -> Option<PositionId>;
208    fn account_id(&self) -> Option<AccountId>;
209    fn last_trade_id(&self) -> Option<TradeId>;
210    fn order_side(&self) -> OrderSide;
211    fn order_type(&self) -> OrderType;
212    fn quantity(&self) -> Quantity;
213    fn time_in_force(&self) -> TimeInForce;
214    fn expire_time(&self) -> Option<UnixNanos>;
215    fn price(&self) -> Option<Price>;
216    fn trigger_price(&self) -> Option<Price>;
217    fn trigger_type(&self) -> Option<TriggerType>;
218    fn liquidity_side(&self) -> Option<LiquiditySide>;
219    fn is_post_only(&self) -> bool;
220    fn is_reduce_only(&self) -> bool;
221    fn is_quote_quantity(&self) -> bool;
222    fn display_qty(&self) -> Option<Quantity>;
223    fn limit_offset(&self) -> Option<Decimal>;
224    fn trailing_offset(&self) -> Option<Decimal>;
225    fn trailing_offset_type(&self) -> Option<TrailingOffsetType>;
226    fn emulation_trigger(&self) -> Option<TriggerType>;
227    fn trigger_instrument_id(&self) -> Option<InstrumentId>;
228    fn contingency_type(&self) -> Option<ContingencyType>;
229    fn order_list_id(&self) -> Option<OrderListId>;
230    fn linked_order_ids(&self) -> Option<&[ClientOrderId]>;
231    fn parent_order_id(&self) -> Option<ClientOrderId>;
232    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId>;
233    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>>;
234    fn exec_spawn_id(&self) -> Option<ClientOrderId>;
235    fn tags(&self) -> Option<&[Ustr]>;
236    fn filled_qty(&self) -> Quantity;
237    fn leaves_qty(&self) -> Quantity;
238    fn avg_px(&self) -> Option<f64>;
239    fn slippage(&self) -> Option<f64>;
240    fn init_id(&self) -> UUID4;
241    fn ts_init(&self) -> UnixNanos;
242    fn ts_submitted(&self) -> Option<UnixNanos>;
243    fn ts_accepted(&self) -> Option<UnixNanos>;
244    fn ts_closed(&self) -> Option<UnixNanos>;
245    fn ts_last(&self) -> UnixNanos;
246
247    fn order_side_specified(&self) -> OrderSideSpecified {
248        self.order_side().as_specified()
249    }
250    fn commissions(&self) -> &IndexMap<Currency, Money>;
251
252    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError>;
253    fn update(&mut self, event: &OrderUpdated);
254
255    fn events(&self) -> Vec<&OrderEventAny>;
256
257    fn last_event(&self) -> &OrderEventAny {
258        // SAFETY: Unwrap safe as `Order` specification guarantees at least one event (`OrderInitialized`)
259        self.events().last().unwrap()
260    }
261
262    fn event_count(&self) -> usize {
263        self.events().len()
264    }
265
266    fn venue_order_ids(&self) -> Vec<&VenueOrderId>;
267
268    fn trade_ids(&self) -> Vec<&TradeId>;
269
270    fn has_price(&self) -> bool;
271
272    fn is_buy(&self) -> bool {
273        self.order_side() == OrderSide::Buy
274    }
275
276    fn is_sell(&self) -> bool {
277        self.order_side() == OrderSide::Sell
278    }
279
280    fn is_passive(&self) -> bool {
281        self.order_type() != OrderType::Market
282    }
283
284    fn is_aggressive(&self) -> bool {
285        self.order_type() == OrderType::Market
286    }
287
288    fn is_emulated(&self) -> bool {
289        self.status() == OrderStatus::Emulated
290    }
291
292    fn is_active_local(&self) -> bool {
293        matches!(
294            self.status(),
295            OrderStatus::Initialized | OrderStatus::Emulated | OrderStatus::Released
296        )
297    }
298
299    fn is_primary(&self) -> bool {
300        // TODO: Guarantee `exec_spawn_id` is some if `exec_algorithm_id` is some
301        self.exec_algorithm_id().is_some()
302            && self.client_order_id() == self.exec_spawn_id().unwrap()
303    }
304
305    fn is_secondary(&self) -> bool {
306        // TODO: Guarantee `exec_spawn_id` is some if `exec_algorithm_id` is some
307        self.exec_algorithm_id().is_some()
308            && self.client_order_id() != self.exec_spawn_id().unwrap()
309    }
310
311    fn is_contingency(&self) -> bool {
312        self.contingency_type().is_some()
313    }
314
315    fn is_parent_order(&self) -> bool {
316        match self.contingency_type() {
317            Some(c) => c == ContingencyType::Oto,
318            None => false,
319        }
320    }
321
322    fn is_child_order(&self) -> bool {
323        self.parent_order_id().is_some()
324    }
325
326    fn is_open(&self) -> bool {
327        if let Some(emulation_trigger) = self.emulation_trigger() {
328            if emulation_trigger != TriggerType::NoTrigger {
329                return false;
330            }
331        }
332
333        matches!(
334            self.status(),
335            OrderStatus::Accepted
336                | OrderStatus::Triggered
337                | OrderStatus::PendingCancel
338                | OrderStatus::PendingUpdate
339                | OrderStatus::PartiallyFilled
340        )
341    }
342
343    fn is_canceled(&self) -> bool {
344        self.status() == OrderStatus::Canceled
345    }
346
347    fn is_closed(&self) -> bool {
348        matches!(
349            self.status(),
350            OrderStatus::Denied
351                | OrderStatus::Rejected
352                | OrderStatus::Canceled
353                | OrderStatus::Expired
354                | OrderStatus::Filled
355        )
356    }
357
358    fn is_inflight(&self) -> bool {
359        if let Some(emulation_trigger) = self.emulation_trigger() {
360            if emulation_trigger != TriggerType::NoTrigger {
361                return false;
362            }
363        }
364
365        matches!(
366            self.status(),
367            OrderStatus::Submitted | OrderStatus::PendingCancel | OrderStatus::PendingUpdate
368        )
369    }
370
371    fn is_pending_update(&self) -> bool {
372        self.status() == OrderStatus::PendingUpdate
373    }
374
375    fn is_pending_cancel(&self) -> bool {
376        self.status() == OrderStatus::PendingCancel
377    }
378
379    fn is_spawned(&self) -> bool {
380        self.exec_spawn_id()
381            .is_some_and(|exec_spawn_id| exec_spawn_id != self.client_order_id())
382    }
383
384    fn to_own_book_order(&self) -> OwnBookOrder {
385        OwnBookOrder::new(
386            self.trader_id(),
387            self.client_order_id(),
388            self.venue_order_id(),
389            self.order_side().as_specified(),
390            self.price().expect("`OwnBookOrder` must have a price"), // TBD
391            self.quantity(),
392            self.order_type(),
393            self.time_in_force(),
394            self.status(),
395            self.ts_last(),
396            self.ts_submitted().unwrap_or_default(),
397            self.ts_accepted().unwrap_or_default(),
398            self.ts_init(),
399        )
400    }
401
402    fn is_triggered(&self) -> Option<bool>; // TODO: Temporary on trait
403    fn set_position_id(&mut self, position_id: Option<PositionId>);
404    fn set_quantity(&mut self, quantity: Quantity);
405    fn set_leaves_qty(&mut self, leaves_qty: Quantity);
406    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>);
407    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool);
408    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide);
409    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool;
410    fn previous_status(&self) -> Option<OrderStatus>;
411}
412
413impl<T> From<&T> for OrderInitialized
414where
415    T: Order,
416{
417    fn from(order: &T) -> Self {
418        Self {
419            trader_id: order.trader_id(),
420            strategy_id: order.strategy_id(),
421            instrument_id: order.instrument_id(),
422            client_order_id: order.client_order_id(),
423            order_side: order.order_side(),
424            order_type: order.order_type(),
425            quantity: order.quantity(),
426            price: order.price(),
427            trigger_price: order.trigger_price(),
428            trigger_type: order.trigger_type(),
429            time_in_force: order.time_in_force(),
430            expire_time: order.expire_time(),
431            post_only: order.is_post_only(),
432            reduce_only: order.is_reduce_only(),
433            quote_quantity: order.is_quote_quantity(),
434            display_qty: order.display_qty(),
435            limit_offset: order.limit_offset(),
436            trailing_offset: order.trailing_offset(),
437            trailing_offset_type: order.trailing_offset_type(),
438            emulation_trigger: order.emulation_trigger(),
439            trigger_instrument_id: order.trigger_instrument_id(),
440            contingency_type: order.contingency_type(),
441            order_list_id: order.order_list_id(),
442            linked_order_ids: order.linked_order_ids().map(|x| x.to_vec()),
443            parent_order_id: order.parent_order_id(),
444            exec_algorithm_id: order.exec_algorithm_id(),
445            exec_algorithm_params: order.exec_algorithm_params().map(|x| x.to_owned()),
446            exec_spawn_id: order.exec_spawn_id(),
447            tags: order.tags().map(|x| x.to_vec()),
448            event_id: order.init_id(),
449            ts_event: order.ts_init(),
450            ts_init: order.ts_init(),
451            reconciliation: false,
452        }
453    }
454}
455
456#[derive(Clone, Debug, Serialize, Deserialize)]
457pub struct OrderCore {
458    pub events: Vec<OrderEventAny>,
459    pub commissions: IndexMap<Currency, Money>,
460    pub venue_order_ids: Vec<VenueOrderId>,
461    pub trade_ids: Vec<TradeId>,
462    pub previous_status: Option<OrderStatus>,
463    pub status: OrderStatus,
464    pub trader_id: TraderId,
465    pub strategy_id: StrategyId,
466    pub instrument_id: InstrumentId,
467    pub client_order_id: ClientOrderId,
468    pub venue_order_id: Option<VenueOrderId>,
469    pub position_id: Option<PositionId>,
470    pub account_id: Option<AccountId>,
471    pub last_trade_id: Option<TradeId>,
472    pub side: OrderSide,
473    pub order_type: OrderType,
474    pub quantity: Quantity,
475    pub time_in_force: TimeInForce,
476    pub liquidity_side: Option<LiquiditySide>,
477    pub is_reduce_only: bool,
478    pub is_quote_quantity: bool,
479    pub emulation_trigger: Option<TriggerType>,
480    pub contingency_type: Option<ContingencyType>,
481    pub order_list_id: Option<OrderListId>,
482    pub linked_order_ids: Option<Vec<ClientOrderId>>,
483    pub parent_order_id: Option<ClientOrderId>,
484    pub exec_algorithm_id: Option<ExecAlgorithmId>,
485    pub exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
486    pub exec_spawn_id: Option<ClientOrderId>,
487    pub tags: Option<Vec<Ustr>>,
488    pub filled_qty: Quantity,
489    pub leaves_qty: Quantity,
490    pub avg_px: Option<f64>,
491    pub slippage: Option<f64>,
492    pub init_id: UUID4,
493    pub ts_init: UnixNanos,
494    pub ts_submitted: Option<UnixNanos>,
495    pub ts_accepted: Option<UnixNanos>,
496    pub ts_closed: Option<UnixNanos>,
497    pub ts_last: UnixNanos,
498}
499
500impl OrderCore {
501    /// Creates a new [`OrderCore`] instance.
502    pub fn new(init: OrderInitialized) -> Self {
503        let events: Vec<OrderEventAny> = vec![OrderEventAny::Initialized(init.clone())];
504        Self {
505            events,
506            commissions: IndexMap::new(),
507            venue_order_ids: Vec::new(),
508            trade_ids: Vec::new(),
509            previous_status: None,
510            status: OrderStatus::Initialized,
511            trader_id: init.trader_id,
512            strategy_id: init.strategy_id,
513            instrument_id: init.instrument_id,
514            client_order_id: init.client_order_id,
515            venue_order_id: None,
516            position_id: None,
517            account_id: None,
518            last_trade_id: None,
519            side: init.order_side,
520            order_type: init.order_type,
521            quantity: init.quantity,
522            time_in_force: init.time_in_force,
523            liquidity_side: Some(LiquiditySide::NoLiquiditySide),
524            is_reduce_only: init.reduce_only,
525            is_quote_quantity: init.quote_quantity,
526            emulation_trigger: init.emulation_trigger.or(Some(TriggerType::NoTrigger)),
527            contingency_type: init
528                .contingency_type
529                .or(Some(ContingencyType::NoContingency)),
530            order_list_id: init.order_list_id,
531            linked_order_ids: init.linked_order_ids,
532            parent_order_id: init.parent_order_id,
533            exec_algorithm_id: init.exec_algorithm_id,
534            exec_algorithm_params: init.exec_algorithm_params,
535            exec_spawn_id: init.exec_spawn_id,
536            tags: init.tags,
537            filled_qty: Quantity::zero(init.quantity.precision),
538            leaves_qty: init.quantity,
539            avg_px: None,
540            slippage: None,
541            init_id: init.event_id,
542            ts_init: init.ts_event,
543            ts_submitted: None,
544            ts_accepted: None,
545            ts_closed: None,
546            ts_last: init.ts_event,
547        }
548    }
549
550    pub fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
551        assert_eq!(self.client_order_id, event.client_order_id());
552        assert_eq!(self.strategy_id, event.strategy_id());
553
554        let new_status = self.status.transition(&event)?;
555        self.previous_status = Some(self.status);
556        self.status = new_status;
557
558        match &event {
559            OrderEventAny::Initialized(_) => return Err(OrderError::AlreadyInitialized),
560            OrderEventAny::Denied(event) => self.denied(event),
561            OrderEventAny::Emulated(event) => self.emulated(event),
562            OrderEventAny::Released(event) => self.released(event),
563            OrderEventAny::Submitted(event) => self.submitted(event),
564            OrderEventAny::Rejected(event) => self.rejected(event),
565            OrderEventAny::Accepted(event) => self.accepted(event),
566            OrderEventAny::PendingUpdate(event) => self.pending_update(event),
567            OrderEventAny::PendingCancel(event) => self.pending_cancel(event),
568            OrderEventAny::ModifyRejected(event) => self.modify_rejected(event),
569            OrderEventAny::CancelRejected(event) => self.cancel_rejected(event),
570            OrderEventAny::Updated(event) => self.updated(event),
571            OrderEventAny::Triggered(event) => self.triggered(event),
572            OrderEventAny::Canceled(event) => self.canceled(event),
573            OrderEventAny::Expired(event) => self.expired(event),
574            OrderEventAny::Filled(event) => self.filled(event),
575        }
576
577        self.ts_last = event.ts_event();
578        self.events.push(event);
579        Ok(())
580    }
581
582    fn denied(&mut self, event: &OrderDenied) {
583        self.ts_closed = Some(event.ts_event);
584    }
585
586    fn emulated(&self, _event: &OrderEmulated) {
587        // Do nothing else
588    }
589
590    fn released(&mut self, _event: &OrderReleased) {
591        self.emulation_trigger = None;
592    }
593
594    fn submitted(&mut self, event: &OrderSubmitted) {
595        self.account_id = Some(event.account_id);
596        self.ts_submitted = Some(event.ts_event);
597    }
598
599    fn accepted(&mut self, event: &OrderAccepted) {
600        self.venue_order_id = Some(event.venue_order_id);
601        self.ts_accepted = Some(event.ts_event);
602    }
603
604    fn rejected(&mut self, event: &OrderRejected) {
605        self.ts_closed = Some(event.ts_event);
606    }
607
608    fn pending_update(&self, _event: &OrderPendingUpdate) {
609        // Do nothing else
610    }
611
612    fn pending_cancel(&self, _event: &OrderPendingCancel) {
613        // Do nothing else
614    }
615
616    fn modify_rejected(&mut self, _event: &OrderModifyRejected) {
617        self.status = self
618            .previous_status
619            .unwrap_or_else(|| panic!("{}", OrderError::NoPreviousState));
620    }
621
622    fn cancel_rejected(&mut self, _event: &OrderCancelRejected) {
623        self.status = self
624            .previous_status
625            .unwrap_or_else(|| panic!("{}", OrderError::NoPreviousState));
626    }
627
628    fn triggered(&mut self, _event: &OrderTriggered) {}
629
630    fn canceled(&mut self, event: &OrderCanceled) {
631        self.ts_closed = Some(event.ts_event);
632    }
633
634    fn expired(&mut self, event: &OrderExpired) {
635        self.ts_closed = Some(event.ts_event);
636    }
637
638    fn updated(&mut self, event: &OrderUpdated) {
639        if let Some(venue_order_id) = &event.venue_order_id {
640            if self.venue_order_id.is_none()
641                || venue_order_id != self.venue_order_id.as_ref().unwrap()
642            {
643                self.venue_order_id = Some(*venue_order_id);
644                self.venue_order_ids.push(*venue_order_id);
645            }
646        }
647    }
648
649    fn filled(&mut self, event: &OrderFilled) {
650        if self.filled_qty + event.last_qty < self.quantity {
651            self.status = OrderStatus::PartiallyFilled;
652        } else {
653            self.status = OrderStatus::Filled;
654            self.ts_closed = Some(event.ts_event);
655        }
656
657        self.venue_order_id = Some(event.venue_order_id);
658        self.position_id = event.position_id;
659        self.trade_ids.push(event.trade_id);
660        self.last_trade_id = Some(event.trade_id);
661        self.liquidity_side = Some(event.liquidity_side);
662        self.filled_qty += event.last_qty;
663        self.leaves_qty -= event.last_qty;
664        self.ts_last = event.ts_event;
665        if self.ts_accepted.is_none() {
666            // Set ts_accepted to time of first fill if not previously set
667            self.ts_accepted = Some(event.ts_event);
668        }
669
670        self.set_avg_px(event.last_qty, event.last_px);
671    }
672
673    fn set_avg_px(&mut self, last_qty: Quantity, last_px: Price) {
674        if self.avg_px.is_none() {
675            self.avg_px = Some(last_px.as_f64());
676        }
677
678        let filled_qty = self.filled_qty.as_f64();
679        let total_qty = filled_qty + last_qty.as_f64();
680
681        let avg_px = self
682            .avg_px
683            .unwrap()
684            .mul_add(filled_qty, last_px.as_f64() * last_qty.as_f64())
685            / total_qty;
686        self.avg_px = Some(avg_px);
687    }
688
689    pub fn set_slippage(&mut self, price: Price) {
690        self.slippage = self.avg_px.and_then(|avg_px| {
691            let current_price = price.as_f64();
692            match self.side {
693                OrderSide::Buy if avg_px > current_price => Some(avg_px - current_price),
694                OrderSide::Sell if avg_px < current_price => Some(current_price - avg_px),
695                _ => None,
696            }
697        });
698    }
699
700    #[must_use]
701    pub fn opposite_side(side: OrderSide) -> OrderSide {
702        match side {
703            OrderSide::Buy => OrderSide::Sell,
704            OrderSide::Sell => OrderSide::Buy,
705            OrderSide::NoOrderSide => OrderSide::NoOrderSide,
706        }
707    }
708
709    #[must_use]
710    pub fn closing_side(side: PositionSide) -> OrderSide {
711        match side {
712            PositionSide::Long => OrderSide::Sell,
713            PositionSide::Short => OrderSide::Buy,
714            PositionSide::Flat => OrderSide::NoOrderSide,
715            PositionSide::NoPositionSide => OrderSide::NoOrderSide,
716        }
717    }
718
719    #[must_use]
720    pub fn signed_decimal_qty(&self) -> Decimal {
721        match self.side {
722            OrderSide::Buy => self.quantity.as_decimal(),
723            OrderSide::Sell => -self.quantity.as_decimal(),
724            _ => panic!("Invalid order side"),
725        }
726    }
727
728    #[must_use]
729    pub fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
730        if side == PositionSide::Flat {
731            return false;
732        }
733
734        match (self.side, side) {
735            (OrderSide::Buy, PositionSide::Long) => false,
736            (OrderSide::Buy, PositionSide::Short) => self.leaves_qty <= position_qty,
737            (OrderSide::Sell, PositionSide::Short) => false,
738            (OrderSide::Sell, PositionSide::Long) => self.leaves_qty <= position_qty,
739            _ => true,
740        }
741    }
742
743    #[must_use]
744    pub fn commission(&self, currency: &Currency) -> Option<Money> {
745        self.commissions.get(currency).copied()
746    }
747
748    #[must_use]
749    pub fn commissions(&self) -> IndexMap<Currency, Money> {
750        self.commissions.clone()
751    }
752
753    #[must_use]
754    pub fn commissions_vec(&self) -> Vec<Money> {
755        self.commissions.values().cloned().collect()
756    }
757
758    #[must_use]
759    pub fn init_event(&self) -> Option<OrderEventAny> {
760        self.events.first().cloned()
761    }
762}
763
764////////////////////////////////////////////////////////////////////////////////
765// Tests
766////////////////////////////////////////////////////////////////////////////////
767#[cfg(test)]
768mod tests {
769    use rstest::rstest;
770    use rust_decimal_macros::dec;
771
772    use super::*;
773    use crate::{
774        enums::{OrderSide, OrderStatus, PositionSide},
775        events::order::{
776            accepted::OrderAcceptedBuilder, denied::OrderDeniedBuilder, filled::OrderFilledBuilder,
777            initialized::OrderInitializedBuilder, submitted::OrderSubmittedBuilder,
778        },
779        orders::MarketOrder,
780    };
781
782    // TODO: WIP
783    // fn test_initialize_market_order() {
784    //     let order = MarketOrder::default();
785    //     assert_eq!(order.events().len(), 1);
786    //     assert_eq!(
787    //         stringify!(order.events().get(0)),
788    //         stringify!(OrderInitialized)
789    //     );
790    // }
791
792    #[rstest]
793    #[case(OrderSide::Buy, OrderSide::Sell)]
794    #[case(OrderSide::Sell, OrderSide::Buy)]
795    #[case(OrderSide::NoOrderSide, OrderSide::NoOrderSide)]
796    fn test_order_opposite_side(#[case] order_side: OrderSide, #[case] expected_side: OrderSide) {
797        let result = OrderCore::opposite_side(order_side);
798        assert_eq!(result, expected_side);
799    }
800
801    #[rstest]
802    #[case(PositionSide::Long, OrderSide::Sell)]
803    #[case(PositionSide::Short, OrderSide::Buy)]
804    #[case(PositionSide::NoPositionSide, OrderSide::NoOrderSide)]
805    fn test_closing_side(#[case] position_side: PositionSide, #[case] expected_side: OrderSide) {
806        let result = OrderCore::closing_side(position_side);
807        assert_eq!(result, expected_side);
808    }
809
810    #[rstest]
811    #[case(OrderSide::Buy, dec!(10_000))]
812    #[case(OrderSide::Sell, dec!(-10_000))]
813    fn test_signed_decimal_qty(#[case] order_side: OrderSide, #[case] expected: Decimal) {
814        let order: MarketOrder = OrderInitializedBuilder::default()
815            .order_side(order_side)
816            .quantity(Quantity::from(10_000))
817            .build()
818            .unwrap()
819            .into();
820
821        let result = order.signed_decimal_qty();
822        assert_eq!(result, expected);
823    }
824
825    #[rustfmt::skip]
826    #[rstest]
827    #[case(OrderSide::Buy, Quantity::from(100), PositionSide::Long, Quantity::from(50), false)]
828    #[case(OrderSide::Buy, Quantity::from(50), PositionSide::Short, Quantity::from(50), true)]
829    #[case(OrderSide::Buy, Quantity::from(50), PositionSide::Short, Quantity::from(100), true)]
830    #[case(OrderSide::Buy, Quantity::from(50), PositionSide::Flat, Quantity::from(0), false)]
831    #[case(OrderSide::Sell, Quantity::from(50), PositionSide::Flat, Quantity::from(0), false)]
832    #[case(OrderSide::Sell, Quantity::from(50), PositionSide::Long, Quantity::from(50), true)]
833    #[case(OrderSide::Sell, Quantity::from(50), PositionSide::Long, Quantity::from(100), true)]
834    #[case(OrderSide::Sell, Quantity::from(100), PositionSide::Short, Quantity::from(50), false)]
835    fn test_would_reduce_only(
836        #[case] order_side: OrderSide,
837        #[case] order_qty: Quantity,
838        #[case] position_side: PositionSide,
839        #[case] position_qty: Quantity,
840        #[case] expected: bool,
841    ) {
842        let order: MarketOrder = OrderInitializedBuilder::default()
843            .order_side(order_side)
844            .quantity(order_qty)
845            .build()
846            .unwrap()
847            .into();
848
849        assert_eq!(
850            order.would_reduce_only(position_side, position_qty),
851            expected
852        );
853    }
854
855    #[rstest]
856    fn test_order_state_transition_denied() {
857        let mut order: MarketOrder = OrderInitializedBuilder::default().build().unwrap().into();
858        let denied = OrderDeniedBuilder::default().build().unwrap();
859        let event = OrderEventAny::Denied(denied);
860
861        order.apply(event.clone()).unwrap();
862
863        assert_eq!(order.status, OrderStatus::Denied);
864        assert!(order.is_closed());
865        assert!(!order.is_open());
866        assert_eq!(order.event_count(), 2);
867        assert_eq!(order.last_event(), &event);
868    }
869
870    #[rstest]
871    fn test_order_life_cycle_to_filled() {
872        let init = OrderInitializedBuilder::default().build().unwrap();
873        let submitted = OrderSubmittedBuilder::default().build().unwrap();
874        let accepted = OrderAcceptedBuilder::default().build().unwrap();
875        let filled = OrderFilledBuilder::default().build().unwrap();
876
877        let mut order: MarketOrder = init.clone().into();
878        order.apply(OrderEventAny::Submitted(submitted)).unwrap();
879        order.apply(OrderEventAny::Accepted(accepted)).unwrap();
880        order.apply(OrderEventAny::Filled(filled)).unwrap();
881
882        assert_eq!(order.client_order_id, init.client_order_id);
883        assert_eq!(order.status(), OrderStatus::Filled);
884        assert_eq!(order.filled_qty(), Quantity::from(100_000));
885        assert_eq!(order.leaves_qty(), Quantity::from(0));
886        assert_eq!(order.avg_px(), Some(1.0));
887        assert!(!order.is_open());
888        assert!(order.is_closed());
889        assert_eq!(order.commission(&Currency::USD()), None);
890        assert_eq!(order.commissions(), &IndexMap::new());
891    }
892}
nautilus_model/orders/mod.rs

nautilus_model/orders/
mod.rs
