#![allow(dead_code)]
#![allow(unused_variables)]
use std::{cell::RefCell, collections::HashMap, rc::Rc};
use nautilus_common::{cache::Cache, msgbus::MessageBus};
use nautilus_core::{
correctness::{check_equal, FAILED},
nanos::UnixNanos,
time::AtomicTime,
};
use nautilus_execution::{client::ExecutionClient, messages::TradingCommand};
use nautilus_model::{
accounts::any::AccountAny,
data::{
bar::Bar, delta::OrderBookDelta, deltas::OrderBookDeltas, quote::QuoteTick,
status::InstrumentStatus, trade::TradeTick, Data,
},
enums::{AccountType, BookType, OmsType},
identifiers::{InstrumentId, Venue},
instruments::any::InstrumentAny,
orderbook::book::OrderBook,
orders::any::PassiveOrderAny,
types::{currency::Currency, money::Money, price::Price},
};
use rust_decimal::Decimal;
use crate::{
matching_engine::{OrderMatchingEngine, OrderMatchingEngineConfig},
models::{fee::FeeModelAny, fill::FillModel, latency::LatencyModel},
modules::SimulationModule,
};
pub struct SimulatedExchange {
id: Venue,
oms_type: OmsType,
account_type: AccountType,
book_type: BookType,
default_leverage: Decimal,
exec_client: Option<ExecutionClient>,
fee_model: FeeModelAny,
fill_model: FillModel,
latency_model: LatencyModel,
instruments: HashMap<InstrumentId, InstrumentAny>,
matching_engines: HashMap<InstrumentId, OrderMatchingEngine>,
leverages: HashMap<InstrumentId, Decimal>,
modules: Vec<Box<dyn SimulationModule>>,
clock: &'static AtomicTime,
msgbus: Rc<RefCell<MessageBus>>,
cache: Rc<RefCell<Cache>>,
frozen_account: bool,
bar_execution: bool,
reject_stop_orders: bool,
support_gtd_orders: bool,
support_contingent_orders: bool,
use_position_ids: bool,
use_random_ids: bool,
use_reduce_only: bool,
use_message_queue: bool,
}
impl SimulatedExchange {
#[allow(clippy::too_many_arguments)]
pub fn new(
venue: Venue,
oms_type: OmsType,
account_type: AccountType,
starting_balances: Vec<Money>,
base_currency: Option<Currency>,
default_leverage: Decimal,
leverages: HashMap<InstrumentId, Decimal>,
modules: Vec<Box<dyn SimulationModule>>,
msgbus: Rc<RefCell<MessageBus>>, cache: Rc<RefCell<Cache>>,
clock: &'static AtomicTime,
fill_model: FillModel,
fee_model: FeeModelAny,
latency_model: LatencyModel,
book_type: BookType,
frozen_account: Option<bool>,
bar_execution: Option<bool>,
reject_stop_orders: Option<bool>,
support_gtd_orders: Option<bool>,
support_contingent_orders: Option<bool>,
use_position_ids: Option<bool>,
use_random_ids: Option<bool>,
use_reduce_only: Option<bool>,
use_message_queue: Option<bool>,
) -> anyhow::Result<Self> {
if starting_balances.is_empty() {
anyhow::bail!("Starting balances must be provided")
}
if base_currency.is_some() && starting_balances.len() > 1 {
anyhow::bail!("single-currency account has multiple starting currencies")
}
Ok(Self {
id: venue,
oms_type,
account_type,
book_type,
default_leverage,
exec_client: None,
fee_model,
fill_model,
latency_model,
instruments: HashMap::new(),
matching_engines: HashMap::new(),
leverages,
modules,
clock,
msgbus,
cache,
frozen_account: frozen_account.unwrap_or(false),
bar_execution: bar_execution.unwrap_or(true),
reject_stop_orders: reject_stop_orders.unwrap_or(true),
support_gtd_orders: support_gtd_orders.unwrap_or(true),
support_contingent_orders: support_contingent_orders.unwrap_or(true),
use_position_ids: use_position_ids.unwrap_or(true),
use_random_ids: use_random_ids.unwrap_or(false),
use_reduce_only: use_reduce_only.unwrap_or(true),
use_message_queue: use_message_queue.unwrap_or(true),
})
}
pub fn register_client(&mut self, client: ExecutionClient) {
let client_id = client.client_id;
self.exec_client = Some(client);
log::info!("Registered ExecutionClient: {client_id}");
}
pub fn set_fill_model(&mut self, fill_model: FillModel) {
for matching_engine in self.matching_engines.values_mut() {
matching_engine.set_fill_model(fill_model.clone());
log::info!(
"Setting fill model for {} to {}",
matching_engine.venue,
self.fill_model
);
}
self.fill_model = fill_model;
}
pub fn set_latency_model(&mut self, latency_model: LatencyModel) {
self.latency_model = latency_model;
log::info!("Setting latency model to {}", self.latency_model);
}
pub fn initialize_account(&mut self, _account_id: u64) {
todo!("initialize account")
}
pub fn add_instrument(&mut self, instrument: InstrumentAny) -> anyhow::Result<()> {
check_equal(
instrument.id().venue,
self.id,
"Venue of instrument id",
"Venue of simulated exchange",
)
.expect(FAILED);
if self.account_type == AccountType::Cash
&& (matches!(instrument, InstrumentAny::CryptoPerpetual(_))
|| matches!(instrument, InstrumentAny::CryptoFuture(_)))
{
anyhow::bail!("Cash account cannot trade futures or perpetuals")
}
self.instruments.insert(instrument.id(), instrument.clone());
let matching_engine_config = OrderMatchingEngineConfig::new(
self.bar_execution,
self.reject_stop_orders,
self.support_gtd_orders,
self.support_contingent_orders,
self.use_position_ids,
self.use_random_ids,
self.use_reduce_only,
);
let instrument_id = instrument.id();
let matching_engine = OrderMatchingEngine::new(
instrument,
self.instruments.len() as u32,
self.fill_model.clone(),
self.book_type,
self.oms_type,
self.account_type,
self.clock,
Rc::clone(&self.msgbus),
Rc::clone(&self.cache),
matching_engine_config,
);
self.matching_engines.insert(instrument_id, matching_engine);
log::info!(
"Added instrument {} and created matching engine",
instrument_id
);
Ok(())
}
#[must_use]
pub fn best_bid_price(&self, instrument_id: InstrumentId) -> Option<Price> {
self.matching_engines
.get(&instrument_id)
.and_then(super::matching_engine::OrderMatchingEngine::best_bid_price)
}
#[must_use]
pub fn best_ask_price(&self, instrument_id: InstrumentId) -> Option<Price> {
self.matching_engines
.get(&instrument_id)
.and_then(super::matching_engine::OrderMatchingEngine::best_ask_price)
}
pub fn get_book(&self, instrument_id: InstrumentId) -> Option<&OrderBook> {
self.matching_engines
.get(&instrument_id)
.map(super::matching_engine::OrderMatchingEngine::get_book)
}
#[must_use]
pub fn get_matching_engine(&self, instrument_id: InstrumentId) -> Option<&OrderMatchingEngine> {
self.matching_engines.get(&instrument_id)
}
#[must_use]
pub const fn get_matching_engines(&self) -> &HashMap<InstrumentId, OrderMatchingEngine> {
&self.matching_engines
}
#[must_use]
pub fn get_books(&self) -> HashMap<InstrumentId, OrderBook> {
let mut books = HashMap::new();
for (instrument_id, matching_engine) in &self.matching_engines {
books.insert(*instrument_id, matching_engine.get_book().clone());
}
books
}
#[must_use]
pub fn get_open_orders(&self, instrument_id: Option<InstrumentId>) -> Vec<PassiveOrderAny> {
instrument_id
.and_then(|id| {
self.matching_engines
.get(&id)
.map(super::matching_engine::OrderMatchingEngine::get_open_orders)
})
.unwrap_or_else(|| {
self.matching_engines
.values()
.flat_map(super::matching_engine::OrderMatchingEngine::get_open_orders)
.collect()
})
}
#[must_use]
pub fn get_open_bid_orders(&self, instrument_id: Option<InstrumentId>) -> Vec<PassiveOrderAny> {
instrument_id
.and_then(|id| {
self.matching_engines
.get(&id)
.map(|engine| engine.get_open_bid_orders().to_vec())
})
.unwrap_or_else(|| {
self.matching_engines
.values()
.flat_map(|engine| engine.get_open_bid_orders().to_vec())
.collect()
})
}
#[must_use]
pub fn get_open_ask_orders(&self, instrument_id: Option<InstrumentId>) -> Vec<PassiveOrderAny> {
instrument_id
.and_then(|id| {
self.matching_engines
.get(&id)
.map(|engine| engine.get_open_ask_orders().to_vec())
})
.unwrap_or_else(|| {
self.matching_engines
.values()
.flat_map(|engine| engine.get_open_ask_orders().to_vec())
.collect()
})
}
#[must_use]
pub fn get_account(&self) -> Option<AccountAny> {
self.exec_client
.as_ref()
.map(nautilus_execution::client::ExecutionClient::get_account)
}
pub fn adjust_account(&mut self, _adjustment: Money) {
todo!("adjust account")
}
pub fn send(&self, _command: TradingCommand) {
todo!("send")
}
pub fn generate_inflight_command(&self, _command: TradingCommand) {
todo!("generate inflight command")
}
pub fn process_order_book_delta(&mut self, delta: OrderBookDelta) {
for module in &self.modules {
module.pre_process(Data::Delta(delta));
}
if !self.matching_engines.contains_key(&delta.instrument_id) {
let instrument = {
let cache = self.cache.as_ref().borrow();
cache.instrument(&delta.instrument_id).cloned()
};
if let Some(instrument) = instrument {
self.add_instrument(instrument).unwrap();
} else {
panic!(
"No matching engine found for instrument {}",
delta.instrument_id
);
}
}
if let Some(matching_engine) = self.matching_engines.get_mut(&delta.instrument_id) {
matching_engine.process_order_book_delta(&delta);
} else {
panic!("Matching engine should be initialized");
}
}
pub fn process_order_book_deltas(&mut self, _deltas: OrderBookDeltas) {
todo!("process order book deltas")
}
pub fn process_quote_tick(&mut self, tick: &QuoteTick) {
for module in &self.modules {
module.pre_process(Data::Quote(tick.to_owned()));
}
if !self.matching_engines.contains_key(&tick.instrument_id) {
let instrument = {
let cache = self.cache.as_ref().borrow();
cache.instrument(&tick.instrument_id).cloned()
};
if let Some(instrument) = instrument {
self.add_instrument(instrument).unwrap();
} else {
panic!(
"No matching engine found for instrument {}",
tick.instrument_id
);
}
}
if let Some(matching_engine) = self.matching_engines.get_mut(&tick.instrument_id) {
matching_engine.process_quote_tick(tick);
} else {
panic!("Matching engine should be initialized");
}
}
pub fn process_trade_tick(&mut self, tick: &TradeTick) {
for module in &self.modules {
module.pre_process(Data::Trade(tick.to_owned()));
}
if !self.matching_engines.contains_key(&tick.instrument_id) {
let instrument = {
let cache = self.cache.as_ref().borrow();
cache.instrument(&tick.instrument_id).cloned()
};
if let Some(instrument) = instrument {
self.add_instrument(instrument).unwrap();
} else {
panic!(
"No matching engine found for instrument {}",
tick.instrument_id
);
}
}
if let Some(matching_engine) = self.matching_engines.get_mut(&tick.instrument_id) {
matching_engine.process_trade_tick(tick);
} else {
panic!("Matching engine should be initialized");
}
}
pub fn process_bar(&mut self, bar: Bar) {
for module in &self.modules {
module.pre_process(Data::Bar(bar));
}
if !self.matching_engines.contains_key(&bar.instrument_id()) {
let instrument = {
let cache = self.cache.as_ref().borrow();
cache.instrument(&bar.instrument_id()).cloned()
};
if let Some(instrument) = instrument {
self.add_instrument(instrument).unwrap();
} else {
panic!(
"No matching engine found for instrument {}",
bar.instrument_id()
);
}
}
if let Some(matching_engine) = self.matching_engines.get_mut(&bar.instrument_id()) {
matching_engine.process_bar(&bar);
} else {
panic!("Matching engine should be initialized");
}
}
pub fn process_instrument_status(&mut self, _status: InstrumentStatus) {
todo!("process instrument status")
}
pub fn process(&mut self, _ts_now: UnixNanos) {
todo!("process")
}
pub fn reset(&mut self) {
todo!("reset")
}
pub fn process_trading_command(&mut self, _command: TradingCommand) {
todo!("process trading command")
}
pub fn generate_fresh_account_state(&self) {
todo!("generate fresh account state")
}
}
#[cfg(test)]
mod tests {
use std::{cell::RefCell, collections::HashMap, rc::Rc, sync::LazyLock};
use nautilus_common::{cache::Cache, msgbus::MessageBus};
use nautilus_core::{nanos::UnixNanos, time::AtomicTime};
use nautilus_model::{
data::{
bar::{Bar, BarType},
delta::OrderBookDelta,
order::BookOrder,
quote::QuoteTick,
trade::TradeTick,
},
enums::{AccountType, AggressorSide, BookAction, BookType, OmsType, OrderSide},
identifiers::{TradeId, Venue},
instruments::{
any::InstrumentAny, crypto_perpetual::CryptoPerpetual, stubs::crypto_perpetual_ethusdt,
},
types::{currency::Currency, money::Money, price::Price, quantity::Quantity},
};
use rstest::rstest;
use crate::{
exchange::SimulatedExchange,
models::{
fee::{FeeModelAny, MakerTakerFeeModel},
fill::FillModel,
latency::LatencyModel,
},
};
static ATOMIC_TIME: LazyLock<AtomicTime> =
LazyLock::new(|| AtomicTime::new(true, UnixNanos::default()));
fn get_exchange(
venue: Venue,
account_type: AccountType,
book_type: BookType,
) -> SimulatedExchange {
SimulatedExchange::new(
venue,
OmsType::Netting,
account_type,
vec![Money::new(1000.0, Currency::USD())],
None,
1.into(),
HashMap::new(),
vec![],
Rc::new(RefCell::new(MessageBus::default())),
Rc::new(RefCell::new(Cache::default())),
&ATOMIC_TIME,
FillModel::default(),
FeeModelAny::MakerTaker(MakerTakerFeeModel),
LatencyModel,
book_type,
None,
None,
None,
None,
None,
None,
None,
None,
None,
)
.unwrap()
}
#[rstest]
#[should_panic(
expected = r#"Condition failed: 'Venue of instrument id' value of BINANCE was not equal to 'Venue of simulated exchange' value of SIM"#
)]
fn test_venue_mismatch_between_exchange_and_instrument(
crypto_perpetual_ethusdt: CryptoPerpetual,
) {
let mut exchange: SimulatedExchange =
get_exchange(Venue::new("SIM"), AccountType::Margin, BookType::L1_MBP);
let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt);
exchange.add_instrument(instrument).unwrap();
}
#[rstest]
#[should_panic(expected = "Cash account cannot trade futures or perpetuals")]
fn test_cash_account_trading_futures_or_perpetuals(crypto_perpetual_ethusdt: CryptoPerpetual) {
let mut exchange: SimulatedExchange =
get_exchange(Venue::new("BINANCE"), AccountType::Cash, BookType::L1_MBP);
let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt);
exchange.add_instrument(instrument).unwrap();
}
#[rstest]
fn test_exchange_process_quote_tick(crypto_perpetual_ethusdt: CryptoPerpetual) {
let mut exchange: SimulatedExchange =
get_exchange(Venue::new("BINANCE"), AccountType::Margin, BookType::L1_MBP);
let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt);
exchange.add_instrument(instrument).unwrap();
let quote_tick = QuoteTick::new(
crypto_perpetual_ethusdt.id,
Price::from("1000"),
Price::from("1001"),
Quantity::from(1),
Quantity::from(1),
UnixNanos::default(),
UnixNanos::default(),
);
exchange.process_quote_tick("e_tick);
let best_bid_price = exchange.best_bid_price(crypto_perpetual_ethusdt.id);
assert_eq!(best_bid_price, Some(Price::from("1000")));
let best_ask_price = exchange.best_ask_price(crypto_perpetual_ethusdt.id);
assert_eq!(best_ask_price, Some(Price::from("1001")));
}
#[rstest]
fn test_exchange_process_trade_tick(crypto_perpetual_ethusdt: CryptoPerpetual) {
let mut exchange: SimulatedExchange =
get_exchange(Venue::new("BINANCE"), AccountType::Margin, BookType::L1_MBP);
let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt);
exchange.add_instrument(instrument).unwrap();
let trade_tick = TradeTick::new(
crypto_perpetual_ethusdt.id,
Price::from("1000"),
Quantity::from(1),
AggressorSide::Buyer,
TradeId::from("1"),
UnixNanos::default(),
UnixNanos::default(),
);
exchange.process_trade_tick(&trade_tick);
let best_bid_price = exchange.best_bid_price(crypto_perpetual_ethusdt.id);
assert_eq!(best_bid_price, Some(Price::from("1000")));
let best_ask = exchange.best_ask_price(crypto_perpetual_ethusdt.id);
assert_eq!(best_ask, Some(Price::from("1000")));
}
#[rstest]
fn test_exchange_process_bar_last_bar_spec(crypto_perpetual_ethusdt: CryptoPerpetual) {
let mut exchange: SimulatedExchange =
get_exchange(Venue::new("BINANCE"), AccountType::Margin, BookType::L1_MBP);
let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt);
exchange.add_instrument(instrument).unwrap();
let bar = Bar::new(
BarType::from("ETHUSDT-PERP.BINANCE-1-MINUTE-LAST-EXTERNAL"),
Price::from("1500.00"),
Price::from("1505.00"),
Price::from("1490.00"),
Price::from("1502.00"),
Quantity::from(100),
UnixNanos::default(),
UnixNanos::default(),
)
.unwrap();
exchange.process_bar(bar);
let best_bid_price = exchange.best_bid_price(crypto_perpetual_ethusdt.id);
assert_eq!(best_bid_price, Some(Price::from("1502.00")));
let best_ask_price = exchange.best_ask_price(crypto_perpetual_ethusdt.id);
assert_eq!(best_ask_price, Some(Price::from("1502.00")));
}
#[rstest]
fn test_exchange_process_bar_bid_ask_bar_spec(crypto_perpetual_ethusdt: CryptoPerpetual) {
let mut exchange: SimulatedExchange =
get_exchange(Venue::new("BINANCE"), AccountType::Margin, BookType::L1_MBP);
let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt);
exchange.add_instrument(instrument).unwrap();
let bar_bid = Bar::new(
BarType::from("ETHUSDT-PERP.BINANCE-1-MINUTE-BID-EXTERNAL"),
Price::from("1500.00"),
Price::from("1505.00"),
Price::from("1490.00"),
Price::from("1502.00"),
Quantity::from(100),
UnixNanos::from(1),
UnixNanos::from(1),
)
.unwrap();
let bar_ask = Bar::new(
BarType::from("ETHUSDT-PERP.BINANCE-1-MINUTE-ASK-EXTERNAL"),
Price::from("1501.00"),
Price::from("1506.00"),
Price::from("1491.00"),
Price::from("1503.00"),
Quantity::from(100),
UnixNanos::from(1),
UnixNanos::from(1),
)
.unwrap();
exchange.process_bar(bar_bid);
exchange.process_bar(bar_ask);
let best_bid_price = exchange.best_bid_price(crypto_perpetual_ethusdt.id);
assert_eq!(best_bid_price, Some(Price::from("1502.00")));
let best_ask_price = exchange.best_ask_price(crypto_perpetual_ethusdt.id);
assert_eq!(best_ask_price, Some(Price::from("1503.00")));
}
#[rstest]
fn test_exchange_process_orderbook_delta(crypto_perpetual_ethusdt: CryptoPerpetual) {
let mut exchange: SimulatedExchange =
get_exchange(Venue::new("BINANCE"), AccountType::Margin, BookType::L2_MBP);
let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt);
exchange.add_instrument(instrument).unwrap();
let delta_buy = OrderBookDelta::new(
crypto_perpetual_ethusdt.id,
BookAction::Add,
BookOrder::new(OrderSide::Buy, Price::from("1000.00"), Quantity::from(1), 1),
0,
0,
UnixNanos::from(1),
UnixNanos::from(1),
);
let delta_sell = OrderBookDelta::new(
crypto_perpetual_ethusdt.id,
BookAction::Add,
BookOrder::new(
OrderSide::Sell,
Price::from("1001.00"),
Quantity::from(1),
1,
),
0,
1,
UnixNanos::from(2),
UnixNanos::from(2),
);
exchange.process_order_book_delta(delta_buy);
exchange.process_order_book_delta(delta_sell);
let book = exchange.get_book(crypto_perpetual_ethusdt.id).unwrap();
assert_eq!(book.count, 2);
assert_eq!(book.sequence, 1);
assert_eq!(book.ts_last, UnixNanos::from(2));
let best_bid_price = exchange.best_bid_price(crypto_perpetual_ethusdt.id);
assert_eq!(best_bid_price, Some(Price::from("1000.00")));
let best_ask_price = exchange.best_ask_price(crypto_perpetual_ethusdt.id);
assert_eq!(best_ask_price, Some(Price::from("1001.00")));
}
}