nautilus_execution/engine/
mod.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
16//! Provides a generic `ExecutionEngine` for all environments.
17//!
18//! The execution engines primary responsibility is to orchestrate interactions
19//! between the `ExecutionClient` instances, and the rest of the platform. This
20//! includes sending commands to, and receiving events from, the trading venue
21//! endpoints via its registered execution clients.
22
23pub mod config;
24
25use std::{
26    cell::{RefCell, RefMut},
27    collections::{HashMap, HashSet},
28    fmt::Debug,
29    rc::Rc,
30    time::SystemTime,
31};
32
33use config::ExecutionEngineConfig;
34use nautilus_common::{
35    cache::Cache,
36    clock::Clock,
37    generators::position_id::PositionIdGenerator,
38    logging::{CMD, EVT, RECV},
39    messages::execution::{
40        BatchCancelOrders, CancelAllOrders, CancelOrder, ModifyOrder, QueryAccount, QueryOrder,
41        SubmitOrder, SubmitOrderList, TradingCommand,
42    },
43    msgbus::{
44        self, get_message_bus,
45        switchboard::{self},
46    },
47};
48use nautilus_core::UUID4;
49use nautilus_model::{
50    enums::{ContingencyType, OmsType, OrderSide, PositionSide},
51    events::{
52        OrderDenied, OrderEvent, OrderEventAny, OrderFilled, PositionChanged, PositionClosed,
53        PositionOpened,
54    },
55    identifiers::{ClientId, ClientOrderId, InstrumentId, PositionId, StrategyId, Venue},
56    instruments::{Instrument, InstrumentAny},
57    orderbook::own::{OwnOrderBook, should_handle_own_book_order},
58    orders::{Order, OrderAny, OrderError},
59    position::Position,
60    types::{Money, Price, Quantity},
61};
62
63use crate::client::ExecutionClient;
64
65/// Central execution engine responsible for orchestrating order routing and execution.
66///
67/// The execution engine manages the entire order lifecycle from submission to completion,
68/// handling routing to appropriate execution clients, position management, and event
69/// processing. It supports multiple execution venues through registered clients and
70/// provides sophisticated order management capabilities.
71pub struct ExecutionEngine {
72    clock: Rc<RefCell<dyn Clock>>,
73    cache: Rc<RefCell<Cache>>,
74    clients: HashMap<ClientId, Rc<dyn ExecutionClient>>,
75    default_client: Option<Rc<dyn ExecutionClient>>,
76    routing_map: HashMap<Venue, ClientId>,
77    oms_overrides: HashMap<StrategyId, OmsType>,
78    external_order_claims: HashMap<InstrumentId, StrategyId>,
79    external_clients: HashSet<ClientId>,
80    pos_id_generator: PositionIdGenerator,
81    config: ExecutionEngineConfig,
82}
83
84impl Debug for ExecutionEngine {
85    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
86        f.debug_struct(stringify!(ExecutionEngine))
87            .field("client_count", &self.clients.len())
88            .finish()
89    }
90}
91
92impl ExecutionEngine {
93    /// Creates a new [`ExecutionEngine`] instance.
94    pub fn new(
95        clock: Rc<RefCell<dyn Clock>>,
96        cache: Rc<RefCell<Cache>>,
97        config: Option<ExecutionEngineConfig>,
98    ) -> Self {
99        let trader_id = get_message_bus().borrow().trader_id;
100        Self {
101            clock: clock.clone(),
102            cache,
103            clients: HashMap::new(),
104            default_client: None,
105            routing_map: HashMap::new(),
106            oms_overrides: HashMap::new(),
107            external_order_claims: HashMap::new(),
108            external_clients: config
109                .as_ref()
110                .and_then(|c| c.external_clients.clone())
111                .unwrap_or_default()
112                .into_iter()
113                .collect(),
114            pos_id_generator: PositionIdGenerator::new(trader_id, clock),
115            config: config.unwrap_or_default(),
116        }
117    }
118
119    #[must_use]
120    /// Returns the position ID count for the specified strategy.
121    pub fn position_id_count(&self, strategy_id: StrategyId) -> usize {
122        self.pos_id_generator.count(strategy_id)
123    }
124
125    #[must_use]
126    /// Checks the integrity of cached execution data.
127    pub fn check_integrity(&self) -> bool {
128        self.cache.borrow_mut().check_integrity()
129    }
130
131    #[must_use]
132    /// Returns true if all registered execution clients are connected.
133    pub fn check_connected(&self) -> bool {
134        self.clients.values().all(|c| c.is_connected())
135    }
136
137    #[must_use]
138    /// Returns true if all registered execution clients are disconnected.
139    pub fn check_disconnected(&self) -> bool {
140        self.clients.values().all(|c| !c.is_connected())
141    }
142
143    #[must_use]
144    /// Checks for residual positions and orders in the cache.
145    pub fn check_residuals(&self) -> bool {
146        self.cache.borrow().check_residuals()
147    }
148
149    #[must_use]
150    /// Returns the set of instruments that have external order claims.
151    pub fn get_external_order_claims_instruments(&self) -> HashSet<InstrumentId> {
152        self.external_order_claims.keys().copied().collect()
153    }
154
155    // -- REGISTRATION ----------------------------------------------------------------------------
156
157    /// Registers a new execution client.
158    ///
159    /// # Errors
160    ///
161    /// Returns an error if a client with the same ID is already registered.
162    pub fn register_client(&mut self, client: Rc<dyn ExecutionClient>) -> anyhow::Result<()> {
163        if self.clients.contains_key(&client.client_id()) {
164            anyhow::bail!("Client already registered with ID {}", client.client_id());
165        }
166
167        // If client has venue, register routing
168        self.routing_map.insert(client.venue(), client.client_id());
169
170        log::info!("Registered client {}", client.client_id());
171        self.clients.insert(client.client_id(), client);
172        Ok(())
173    }
174
175    /// Registers a default execution client for fallback routing.
176    pub fn register_default_client(&mut self, client: Rc<dyn ExecutionClient>) {
177        log::info!("Registered default client {}", client.client_id());
178        self.default_client = Some(client);
179    }
180
181    #[must_use]
182    /// Returns the execution client registered with the given ID.
183    pub fn get_client(&self, client_id: &ClientId) -> Option<Rc<dyn ExecutionClient>> {
184        self.clients.get(client_id).cloned()
185    }
186
187    /// Sets routing for a specific venue to a given client ID.
188    ///
189    /// # Errors
190    ///
191    /// Returns an error if the client ID is not registered.
192    pub fn register_venue_routing(
193        &mut self,
194        client_id: ClientId,
195        venue: Venue,
196    ) -> anyhow::Result<()> {
197        if !self.clients.contains_key(&client_id) {
198            anyhow::bail!("No client registered with ID {client_id}");
199        }
200
201        self.routing_map.insert(venue, client_id);
202        log::info!("Set client {client_id} routing for {venue}");
203        Ok(())
204    }
205
206    // TODO: Implement `Strategy`
207    // pub fn register_external_order_claims(&mut self, strategy: Strategy) -> anyhow::Result<()> {
208    //     todo!();
209    // }
210
211    /// # Errors
212    ///
213    /// Returns an error if no client is registered with the given ID.
214    pub fn deregister_client(&mut self, client_id: ClientId) -> anyhow::Result<()> {
215        if self.clients.remove(&client_id).is_some() {
216            // Remove from routing map if present
217            self.routing_map
218                .retain(|_, mapped_id| mapped_id != &client_id);
219            log::info!("Deregistered client {client_id}");
220            Ok(())
221        } else {
222            anyhow::bail!("No client registered with ID {client_id}")
223        }
224    }
225
226    // -- COMMANDS --------------------------------------------------------------------------------
227
228    #[allow(clippy::await_holding_refcell_ref)]
229    /// Loads persistent state into cache and rebuilds indices.
230    ///
231    /// # Errors
232    ///
233    /// Returns an error if any cache operation fails.
234    pub async fn load_cache(&mut self) -> anyhow::Result<()> {
235        let ts = SystemTime::now();
236
237        {
238            let mut cache = self.cache.borrow_mut();
239            cache.clear_index();
240            cache.cache_general()?;
241            self.cache.borrow_mut().cache_all().await?;
242            cache.build_index();
243            let _ = cache.check_integrity();
244
245            if self.config.manage_own_order_books {
246                for order in cache.orders(None, None, None, None) {
247                    if order.is_closed() || !should_handle_own_book_order(order) {
248                        continue;
249                    }
250                    let mut own_book = self.get_or_init_own_order_book(&order.instrument_id());
251                    own_book.add(order.to_own_book_order());
252                }
253            }
254        }
255
256        self.set_position_id_counts();
257
258        log::info!(
259            "Loaded cache in {}ms",
260            SystemTime::now()
261                .duration_since(ts)
262                .map_err(|e| anyhow::anyhow!("Failed to calculate duration: {e}"))?
263                .as_millis()
264        );
265
266        Ok(())
267    }
268
269    /// Flushes the database to persist all cached data.
270    pub fn flush_db(&self) {
271        self.cache.borrow_mut().flush_db();
272    }
273
274    /// Processes an order event, updating internal state and routing as needed.
275    pub fn process(&mut self, event: &OrderEventAny) {
276        self.handle_event(event);
277    }
278
279    /// Executes a trading command by routing it to the appropriate execution client.
280    pub fn execute(&self, command: &TradingCommand) {
281        self.execute_command(command);
282    }
283
284    // -- COMMAND HANDLERS ------------------------------------------------------------------------
285
286    fn execute_command(&self, command: &TradingCommand) {
287        if self.config.debug {
288            log::debug!("{RECV}{CMD} {command:?}");
289        }
290
291        if self.external_clients.contains(&command.client_id()) {
292            if self.config.debug {
293                let cid = command.client_id();
294                log::debug!("Skipping execution command for external client {cid}: {command:?}");
295            }
296            return;
297        }
298
299        let client: Rc<dyn ExecutionClient> = if let Some(client) = self
300            .clients
301            .get(&command.client_id())
302            .or_else(|| {
303                self.routing_map
304                    .get(&command.instrument_id().venue)
305                    .and_then(|client_id| self.clients.get(client_id))
306            })
307            .or(self.default_client.as_ref())
308        {
309            client.clone()
310        } else {
311            log::error!(
312                "No execution client found for command: client_id={:?}, venue={}, command={command:?}",
313                command.client_id(),
314                command.instrument_id().venue,
315            );
316            return;
317        };
318
319        match command {
320            TradingCommand::SubmitOrder(cmd) => self.handle_submit_order(client, cmd),
321            TradingCommand::SubmitOrderList(cmd) => self.handle_submit_order_list(client, cmd),
322            TradingCommand::ModifyOrder(cmd) => self.handle_modify_order(client, cmd),
323            TradingCommand::CancelOrder(cmd) => self.handle_cancel_order(client, cmd),
324            TradingCommand::CancelAllOrders(cmd) => self.handle_cancel_all_orders(client, cmd),
325            TradingCommand::BatchCancelOrders(cmd) => self.handle_batch_cancel_orders(client, cmd),
326            TradingCommand::QueryOrder(cmd) => self.handle_query_order(client, cmd),
327            TradingCommand::QueryAccount(cmd) => self.handle_query_account(client, cmd),
328        }
329    }
330
331    fn handle_submit_order(&self, client: Rc<dyn ExecutionClient>, cmd: &SubmitOrder) {
332        let mut order = cmd.order.clone();
333        let client_order_id = order.client_order_id();
334        let instrument_id = order.instrument_id();
335
336        // Check if the order exists in the cache
337        if !self.cache.borrow().order_exists(&client_order_id) {
338            // Add order to cache in a separate scope to drop the mutable borrow
339            {
340                let mut cache = self.cache.borrow_mut();
341                if let Err(e) =
342                    cache.add_order(order.clone(), cmd.position_id, Some(cmd.client_id), true)
343                {
344                    log::error!("Error adding order to cache: {e}");
345                    return;
346                }
347            }
348
349            if self.config.snapshot_orders {
350                self.create_order_state_snapshot(&order);
351            }
352        }
353
354        // Get instrument in a separate scope to manage borrows
355        let instrument = {
356            let cache = self.cache.borrow();
357            if let Some(instrument) = cache.instrument(&instrument_id) {
358                instrument.clone()
359            } else {
360                log::error!(
361                    "Cannot handle submit order: no instrument found for {instrument_id}, {cmd}",
362                );
363                return;
364            }
365        };
366
367        // Handle quote quantity conversion
368        if self.config.convert_quote_qty_to_base
369            && !instrument.is_inverse()
370            && order.is_quote_quantity()
371        {
372            log::warn!(
373                "`convert_quote_qty_to_base` is deprecated; set `convert_quote_qty_to_base=false` to maintain consistent behavior"
374            );
375            let last_px = self.last_px_for_conversion(&instrument_id, order.order_side());
376
377            if let Some(price) = last_px {
378                let base_qty = instrument.get_base_quantity(order.quantity(), price);
379                self.set_order_base_qty(&mut order, base_qty);
380            } else {
381                self.deny_order(
382                    &order,
383                    &format!("no-price-to-convert-quote-qty {instrument_id}"),
384                );
385                return;
386            }
387        }
388
389        if self.config.manage_own_order_books && should_handle_own_book_order(&order) {
390            let mut own_book = self.get_or_init_own_order_book(&order.instrument_id());
391            own_book.add(order.to_own_book_order());
392        }
393
394        // Send the order to the execution client
395        if let Err(e) = client.submit_order(cmd) {
396            log::error!("Error submitting order to client: {e}");
397            self.deny_order(
398                &cmd.order,
399                &format!("failed-to-submit-order-to-client: {e}"),
400            );
401        }
402    }
403
404    fn handle_submit_order_list(&self, client: Rc<dyn ExecutionClient>, cmd: &SubmitOrderList) {
405        let orders = cmd.order_list.orders.clone();
406
407        let mut cache = self.cache.borrow_mut();
408        for order in &orders {
409            if !cache.order_exists(&order.client_order_id()) {
410                if let Err(e) =
411                    cache.add_order(order.clone(), cmd.position_id, Some(cmd.client_id), true)
412                {
413                    log::error!("Error adding order to cache: {e}");
414                    return;
415                }
416
417                if self.config.snapshot_orders {
418                    self.create_order_state_snapshot(order);
419                }
420            }
421        }
422        drop(cache);
423
424        let instrument = {
425            let cache = self.cache.borrow();
426            if let Some(instrument) = cache.instrument(&cmd.instrument_id) {
427                instrument.clone()
428            } else {
429                log::error!(
430                    "Cannot handle submit order list: no instrument found for {}, {cmd}",
431                    cmd.instrument_id,
432                );
433                return;
434            }
435        };
436
437        // Handle quote quantity conversion
438        if self.config.convert_quote_qty_to_base && !instrument.is_inverse() {
439            let mut conversions: Vec<(ClientOrderId, Quantity)> =
440                Vec::with_capacity(cmd.order_list.orders.len());
441
442            for order in &cmd.order_list.orders {
443                if !order.is_quote_quantity() {
444                    continue; // Base quantity already set
445                }
446
447                let last_px =
448                    self.last_px_for_conversion(&order.instrument_id(), order.order_side());
449
450                if let Some(px) = last_px {
451                    let base_qty = instrument.get_base_quantity(order.quantity(), px);
452                    conversions.push((order.client_order_id(), base_qty));
453                } else {
454                    for order in &cmd.order_list.orders {
455                        self.deny_order(
456                            order,
457                            &format!("no-price-to-convert-quote-qty {}", order.instrument_id()),
458                        );
459                    }
460                    return; // Denied
461                }
462            }
463
464            if !conversions.is_empty() {
465                log::warn!(
466                    "`convert_quote_qty_to_base` is deprecated; set `convert_quote_qty_to_base=false` to maintain consistent behavior"
467                );
468
469                let mut cache = self.cache.borrow_mut();
470                for (client_order_id, base_qty) in conversions {
471                    if let Some(mut_order) = cache.mut_order(&client_order_id) {
472                        self.set_order_base_qty(mut_order, base_qty);
473                    }
474                }
475            }
476        }
477
478        if self.config.manage_own_order_books {
479            let mut own_book = self.get_or_init_own_order_book(&cmd.instrument_id);
480            for order in &cmd.order_list.orders {
481                if should_handle_own_book_order(order) {
482                    own_book.add(order.to_own_book_order());
483                }
484            }
485        }
486
487        // Send to execution client
488        if let Err(e) = client.submit_order_list(cmd) {
489            log::error!("Error submitting order list to client: {e}");
490            for order in &orders {
491                self.deny_order(
492                    order,
493                    &format!("failed-to-submit-order-list-to-client: {e}"),
494                );
495            }
496        }
497    }
498
499    fn handle_modify_order(&self, client: Rc<dyn ExecutionClient>, cmd: &ModifyOrder) {
500        if let Err(e) = client.modify_order(cmd) {
501            log::error!("Error modifying order: {e}");
502        }
503    }
504
505    fn handle_cancel_order(&self, client: Rc<dyn ExecutionClient>, cmd: &CancelOrder) {
506        if let Err(e) = client.cancel_order(cmd) {
507            log::error!("Error canceling order: {e}");
508        }
509    }
510
511    fn handle_cancel_all_orders(&self, client: Rc<dyn ExecutionClient>, cmd: &CancelAllOrders) {
512        if let Err(e) = client.cancel_all_orders(cmd) {
513            log::error!("Error canceling all orders: {e}");
514        }
515    }
516
517    fn handle_batch_cancel_orders(&self, client: Rc<dyn ExecutionClient>, cmd: &BatchCancelOrders) {
518        if let Err(e) = client.batch_cancel_orders(cmd) {
519            log::error!("Error batch canceling orders: {e}");
520        }
521    }
522
523    fn handle_query_account(&self, client: Rc<dyn ExecutionClient>, cmd: &QueryAccount) {
524        if let Err(e) = client.query_account(cmd) {
525            log::error!("Error querying account: {e}");
526        }
527    }
528
529    fn handle_query_order(&self, client: Rc<dyn ExecutionClient>, cmd: &QueryOrder) {
530        if let Err(e) = client.query_order(cmd) {
531            log::error!("Error querying order: {e}");
532        }
533    }
534
535    fn create_order_state_snapshot(&self, order: &OrderAny) {
536        if self.config.debug {
537            log::debug!("Creating order state snapshot for {order}");
538        }
539
540        if self.cache.borrow().has_backing()
541            && let Err(e) = self.cache.borrow().snapshot_order_state(order)
542        {
543            log::error!("Failed to snapshot order state: {e}");
544            return;
545        }
546
547        if get_message_bus().borrow().has_backing {
548            let topic = switchboard::get_order_snapshots_topic(order.client_order_id());
549            msgbus::publish(topic, order);
550        }
551    }
552
553    fn create_position_state_snapshot(&self, position: &Position) {
554        if self.config.debug {
555            log::debug!("Creating position state snapshot for {position}");
556        }
557
558        // let mut position: Position = position.clone();
559        // if let Some(pnl) = self.cache.borrow().calculate_unrealized_pnl(&position) {
560        //     position.unrealized_pnl(last)
561        // }
562
563        let topic = switchboard::get_positions_snapshots_topic(position.id);
564        msgbus::publish(topic, position);
565    }
566
567    // -- EVENT HANDLERS --------------------------------------------------------------------------
568
569    fn handle_event(&mut self, event: &OrderEventAny) {
570        if self.config.debug {
571            log::debug!("{RECV}{EVT} {event:?}");
572        }
573
574        let client_order_id = event.client_order_id();
575        let cache = self.cache.borrow();
576        let mut order = if let Some(order) = cache.order(&client_order_id) {
577            order.clone()
578        } else {
579            log::warn!(
580                "Order with {} not found in the cache to apply {}",
581                event.client_order_id(),
582                event
583            );
584
585            // Try to find order by venue order ID if available
586            let venue_order_id = if let Some(id) = event.venue_order_id() {
587                id
588            } else {
589                log::error!(
590                    "Cannot apply event to any order: {} not found in the cache with no VenueOrderId",
591                    event.client_order_id()
592                );
593                return;
594            };
595
596            // Look up client order ID from venue order ID
597            let client_order_id = if let Some(id) = cache.client_order_id(&venue_order_id) {
598                id
599            } else {
600                log::error!(
601                    "Cannot apply event to any order: {} and {venue_order_id} not found in the cache",
602                    event.client_order_id(),
603                );
604                return;
605            };
606
607            // Get order using found client order ID
608            if let Some(order) = cache.order(client_order_id) {
609                log::info!("Order with {client_order_id} was found in the cache");
610                order.clone()
611            } else {
612                log::error!(
613                    "Cannot apply event to any order: {client_order_id} and {venue_order_id} not found in cache",
614                );
615                return;
616            }
617        };
618
619        drop(cache);
620        match event {
621            OrderEventAny::Filled(fill) => {
622                let oms_type = self.determine_oms_type(fill);
623                let position_id = self.determine_position_id(*fill, oms_type, Some(&order));
624
625                // Create a new fill with the determined position ID
626                let mut fill = *fill;
627                if fill.position_id.is_none() {
628                    fill.position_id = Some(position_id);
629                }
630
631                self.apply_event_to_order(&mut order, OrderEventAny::Filled(fill));
632                self.handle_order_fill(&order, fill, oms_type);
633            }
634            _ => {
635                self.apply_event_to_order(&mut order, event.clone());
636            }
637        }
638    }
639
640    fn determine_oms_type(&self, fill: &OrderFilled) -> OmsType {
641        // Check for strategy OMS override
642        if let Some(oms_type) = self.oms_overrides.get(&fill.strategy_id) {
643            return *oms_type;
644        }
645
646        // Use native venue OMS
647        if let Some(client_id) = self.routing_map.get(&fill.instrument_id.venue)
648            && let Some(client) = self.clients.get(client_id)
649        {
650            return client.oms_type();
651        }
652
653        if let Some(client) = &self.default_client {
654            return client.oms_type();
655        }
656
657        OmsType::Netting // Default fallback
658    }
659
660    fn determine_position_id(
661        &mut self,
662        fill: OrderFilled,
663        oms_type: OmsType,
664        order: Option<&OrderAny>,
665    ) -> PositionId {
666        match oms_type {
667            OmsType::Hedging => self.determine_hedging_position_id(fill, order),
668            OmsType::Netting => self.determine_netting_position_id(fill),
669            _ => self.determine_netting_position_id(fill), // Default to netting
670        }
671    }
672
673    fn determine_hedging_position_id(
674        &mut self,
675        fill: OrderFilled,
676        order: Option<&OrderAny>,
677    ) -> PositionId {
678        // Check if position ID already exists
679        if let Some(position_id) = fill.position_id {
680            if self.config.debug {
681                log::debug!("Already had a position ID of: {position_id}");
682            }
683            return position_id;
684        }
685
686        let cache = self.cache.borrow();
687
688        let order = if let Some(o) = order {
689            o
690        } else {
691            match cache.order(&fill.client_order_id()) {
692                Some(o) => o,
693                None => {
694                    panic!(
695                        "Order for {} not found to determine position ID",
696                        fill.client_order_id()
697                    );
698                }
699            }
700        };
701
702        // Check execution spawn orders
703        if let Some(spawn_id) = order.exec_spawn_id() {
704            let spawn_orders = cache.orders_for_exec_spawn(&spawn_id);
705            for spawned_order in spawn_orders {
706                if let Some(pos_id) = spawned_order.position_id() {
707                    if self.config.debug {
708                        log::debug!("Found spawned {} for {}", pos_id, fill.client_order_id());
709                    }
710                    return pos_id;
711                }
712            }
713        }
714
715        // Generate new position ID
716        let position_id = self.pos_id_generator.generate(fill.strategy_id, false);
717        if self.config.debug {
718            log::debug!("Generated {} for {}", position_id, fill.client_order_id());
719        }
720        position_id
721    }
722
723    fn determine_netting_position_id(&self, fill: OrderFilled) -> PositionId {
724        PositionId::new(format!("{}-{}", fill.instrument_id, fill.strategy_id))
725    }
726
727    fn apply_event_to_order(&self, order: &mut OrderAny, event: OrderEventAny) {
728        if let Err(e) = order.apply(event.clone()) {
729            if matches!(e, OrderError::InvalidStateTransition) {
730                log::warn!("InvalidStateTrigger: {e}, did not apply {event}");
731            } else {
732                // ValueError: Protection against invalid IDs
733                // KeyError: Protection against duplicate fills
734                log::error!("Error applying event: {e}, did not apply {event}");
735                if should_handle_own_book_order(order) {
736                    self.cache.borrow_mut().update_own_order_book(order);
737                }
738            }
739            return;
740        }
741
742        if let Err(e) = self.cache.borrow_mut().update_order(order) {
743            log::error!("Error updating order in cache: {e}");
744        }
745
746        let topic = switchboard::get_event_orders_topic(event.strategy_id());
747        msgbus::publish(topic, order);
748
749        if self.config.snapshot_orders {
750            self.create_order_state_snapshot(order);
751        }
752    }
753
754    fn handle_order_fill(&mut self, order: &OrderAny, fill: OrderFilled, oms_type: OmsType) {
755        let instrument =
756            if let Some(instrument) = self.cache.borrow().instrument(&fill.instrument_id) {
757                instrument.clone()
758            } else {
759                log::error!(
760                    "Cannot handle order fill: no instrument found for {}, {fill}",
761                    fill.instrument_id,
762                );
763                return;
764            };
765
766        if self.cache.borrow().account(&fill.account_id).is_none() {
767            log::error!(
768                "Cannot handle order fill: no account found for {}, {fill}",
769                fill.instrument_id.venue,
770            );
771            return;
772        }
773
774        // Skip portfolio position updates for combo fills (spread instruments)
775        // Combo fills are only used for order management, not portfolio updates
776        let position = if instrument.is_spread() {
777            None
778        } else {
779            self.handle_position_update(instrument.clone(), fill, oms_type);
780            let position_id = fill.position_id.unwrap();
781            self.cache.borrow().position(&position_id).cloned()
782        };
783
784        // Handle contingent orders for both spread and non-spread instruments
785        // For spread instruments, contingent orders work without position linkage
786        if matches!(order.contingency_type(), Some(ContingencyType::Oto)) {
787            // For non-spread instruments, link to position if available
788            if !instrument.is_spread()
789                && let Some(ref pos) = position
790                && pos.is_open()
791            {
792                let position_id = pos.id;
793                for client_order_id in order.linked_order_ids().unwrap_or_default() {
794                    let mut cache = self.cache.borrow_mut();
795                    let contingent_order = cache.mut_order(client_order_id);
796                    if let Some(contingent_order) = contingent_order
797                        && contingent_order.position_id().is_none()
798                    {
799                        contingent_order.set_position_id(Some(position_id));
800
801                        if let Err(e) = self.cache.borrow_mut().add_position_id(
802                            &position_id,
803                            &contingent_order.instrument_id().venue,
804                            &contingent_order.client_order_id(),
805                            &contingent_order.strategy_id(),
806                        ) {
807                            log::error!("Failed to add position ID: {e}");
808                        }
809                    }
810                }
811            }
812            // For spread instruments, contingent orders can still be triggered
813            // but without position linkage (since no position is created for spreads)
814        }
815    }
816
817    /// Handle position creation or update for a fill.
818    ///
819    /// This function mirrors the Python `_handle_position_update` method.
820    fn handle_position_update(
821        &mut self,
822        instrument: InstrumentAny,
823        fill: OrderFilled,
824        oms_type: OmsType,
825    ) {
826        let position_id = if let Some(position_id) = fill.position_id {
827            position_id
828        } else {
829            log::error!("Cannot handle position update: no position ID found for fill {fill}");
830            return;
831        };
832
833        let position_opt = self.cache.borrow().position(&position_id).cloned();
834
835        match position_opt {
836            None => {
837                // Position is None - open new position
838                if self.open_position(instrument, None, fill, oms_type).is_ok() {
839                    // Position opened successfully
840                }
841            }
842            Some(pos) if pos.is_closed() => {
843                // Position is closed - open new position
844                if self
845                    .open_position(instrument, Some(&pos), fill, oms_type)
846                    .is_ok()
847                {
848                    // Position opened successfully
849                }
850            }
851            Some(mut pos) => {
852                if self.will_flip_position(&pos, fill) {
853                    // Position will flip
854                    self.flip_position(instrument, &mut pos, fill, oms_type);
855                } else {
856                    // Update existing position
857                    self.update_position(&mut pos, fill);
858                }
859            }
860        }
861    }
862
863    fn open_position(
864        &self,
865        instrument: InstrumentAny,
866        position: Option<&Position>,
867        fill: OrderFilled,
868        oms_type: OmsType,
869    ) -> anyhow::Result<Position> {
870        let position = if let Some(position) = position {
871            // Always snapshot opening positions to handle NETTING OMS
872            self.cache.borrow_mut().snapshot_position(position)?;
873            let mut position = position.clone();
874            position.apply(&fill);
875            self.cache.borrow_mut().update_position(&position)?;
876            position
877        } else {
878            let position = Position::new(&instrument, fill);
879            self.cache
880                .borrow_mut()
881                .add_position(position.clone(), oms_type)?;
882            if self.config.snapshot_positions {
883                self.create_position_state_snapshot(&position);
884            }
885            position
886        };
887
888        let ts_init = self.clock.borrow().timestamp_ns();
889        let event = PositionOpened::create(&position, &fill, UUID4::new(), ts_init);
890        let topic = switchboard::get_event_positions_topic(event.strategy_id);
891        msgbus::publish(topic, &event);
892
893        Ok(position)
894    }
895
896    fn update_position(&self, position: &mut Position, fill: OrderFilled) {
897        // Apply the fill to the position
898        position.apply(&fill);
899
900        // Check if position is closed after applying the fill
901        let is_closed = position.is_closed();
902
903        // Update position in cache - this should handle the closed state tracking
904        if let Err(e) = self.cache.borrow_mut().update_position(position) {
905            log::error!("Failed to update position: {e:?}");
906            return;
907        }
908
909        // Verify cache state after update
910        let cache = self.cache.borrow();
911
912        drop(cache);
913
914        // Create position state snapshot if enabled
915        if self.config.snapshot_positions {
916            self.create_position_state_snapshot(position);
917        }
918
919        // Create and publish appropriate position event
920        let topic = switchboard::get_event_positions_topic(position.strategy_id);
921        let ts_init = self.clock.borrow().timestamp_ns();
922
923        if is_closed {
924            let event = PositionClosed::create(position, &fill, UUID4::new(), ts_init);
925            msgbus::publish(topic, &event);
926        } else {
927            let event = PositionChanged::create(position, &fill, UUID4::new(), ts_init);
928            msgbus::publish(topic, &event);
929        }
930    }
931
932    fn will_flip_position(&self, position: &Position, fill: OrderFilled) -> bool {
933        position.is_opposite_side(fill.order_side) && (fill.last_qty.raw > position.quantity.raw)
934    }
935
936    fn flip_position(
937        &mut self,
938        instrument: InstrumentAny,
939        position: &mut Position,
940        fill: OrderFilled,
941        oms_type: OmsType,
942    ) {
943        let difference = match position.side {
944            PositionSide::Long => Quantity::from_raw(
945                fill.last_qty.raw - position.quantity.raw,
946                position.size_precision,
947            ),
948            PositionSide::Short => Quantity::from_raw(
949                position.quantity.raw.abs_diff(fill.last_qty.raw), // Equivalent to Python's abs(position.quantity - fill.last_qty)
950                position.size_precision,
951            ),
952            _ => fill.last_qty,
953        };
954
955        // Split commission between two positions
956        let fill_percent = position.quantity.as_f64() / fill.last_qty.as_f64();
957        let (commission1, commission2) = if let Some(commission) = fill.commission {
958            let commission_currency = commission.currency;
959            let commission1 = Money::new(commission * fill_percent, commission_currency);
960            let commission2 = commission - commission1;
961            (Some(commission1), Some(commission2))
962        } else {
963            log::error!("Commission is not available.");
964            (None, None)
965        };
966
967        let mut fill_split1: Option<OrderFilled> = None;
968        if position.is_open() {
969            fill_split1 = Some(OrderFilled::new(
970                fill.trader_id,
971                fill.strategy_id,
972                fill.instrument_id,
973                fill.client_order_id,
974                fill.venue_order_id,
975                fill.account_id,
976                fill.trade_id,
977                fill.order_side,
978                fill.order_type,
979                position.quantity,
980                fill.last_px,
981                fill.currency,
982                fill.liquidity_side,
983                UUID4::new(),
984                fill.ts_event,
985                fill.ts_init,
986                fill.reconciliation,
987                fill.position_id,
988                commission1,
989            ));
990
991            self.update_position(position, fill_split1.unwrap());
992        }
993
994        // Guard against flipping a position with a zero fill size
995        if difference.raw == 0 {
996            log::warn!(
997                "Zero fill size during position flip calculation, this could be caused by a mismatch between instrument `size_precision` and a quantity `size_precision`"
998            );
999            return;
1000        }
1001
1002        let position_id_flip = if oms_type == OmsType::Hedging
1003            && let Some(position_id) = fill.position_id
1004            && position_id.is_virtual()
1005        {
1006            // Generate new position ID for flipped virtual position (Hedging OMS only)
1007            Some(self.pos_id_generator.generate(fill.strategy_id, true))
1008        } else {
1009            // Default: use the same position ID as the fill (Python behavior)
1010            fill.position_id
1011        };
1012
1013        let fill_split2 = OrderFilled::new(
1014            fill.trader_id,
1015            fill.strategy_id,
1016            fill.instrument_id,
1017            fill.client_order_id,
1018            fill.venue_order_id,
1019            fill.account_id,
1020            fill.trade_id,
1021            fill.order_side,
1022            fill.order_type,
1023            difference,
1024            fill.last_px,
1025            fill.currency,
1026            fill.liquidity_side,
1027            UUID4::new(),
1028            fill.ts_event,
1029            fill.ts_init,
1030            fill.reconciliation,
1031            position_id_flip,
1032            commission2,
1033        );
1034
1035        if oms_type == OmsType::Hedging
1036            && let Some(position_id) = fill.position_id
1037            && position_id.is_virtual()
1038        {
1039            log::warn!("Closing position {fill_split1:?}");
1040            log::warn!("Flipping position {fill_split2:?}");
1041        }
1042        // Open flipped position
1043        if let Err(e) = self.open_position(instrument, None, fill_split2, oms_type) {
1044            log::error!("Failed to open flipped position: {e:?}");
1045        }
1046    }
1047
1048    // -- INTERNAL --------------------------------------------------------------------------------
1049
1050    fn set_position_id_counts(&mut self) {
1051        // For the internal position ID generator
1052        let cache = self.cache.borrow();
1053        let positions = cache.positions(None, None, None, None);
1054
1055        // Count positions per instrument_id using a HashMap
1056        let mut counts: HashMap<StrategyId, usize> = HashMap::new();
1057
1058        for position in positions {
1059            *counts.entry(position.strategy_id).or_insert(0) += 1;
1060        }
1061
1062        self.pos_id_generator.reset();
1063
1064        for (strategy_id, count) in counts {
1065            self.pos_id_generator.set_count(count, strategy_id);
1066            log::info!("Set PositionId count for {strategy_id} to {count}");
1067        }
1068    }
1069
1070    fn last_px_for_conversion(
1071        &self,
1072        instrument_id: &InstrumentId,
1073        side: OrderSide,
1074    ) -> Option<Price> {
1075        let cache = self.cache.borrow();
1076
1077        // Try to get last trade price
1078        if let Some(trade) = cache.trade(instrument_id) {
1079            return Some(trade.price);
1080        }
1081
1082        // Fall back to quote if available
1083        if let Some(quote) = cache.quote(instrument_id) {
1084            match side {
1085                OrderSide::Buy => Some(quote.ask_price),
1086                OrderSide::Sell => Some(quote.bid_price),
1087                OrderSide::NoOrderSide => None,
1088            }
1089        } else {
1090            None
1091        }
1092    }
1093
1094    fn set_order_base_qty(&self, order: &mut OrderAny, base_qty: Quantity) {
1095        log::info!(
1096            "Setting {} order quote quantity {} to base quantity {}",
1097            order.instrument_id(),
1098            order.quantity(),
1099            base_qty
1100        );
1101
1102        let original_qty = order.quantity();
1103        order.set_quantity(base_qty);
1104        order.set_leaves_qty(base_qty);
1105        order.set_is_quote_quantity(false);
1106
1107        if matches!(order.contingency_type(), Some(ContingencyType::Oto)) {
1108            return;
1109        }
1110
1111        if let Some(linked_order_ids) = order.linked_order_ids() {
1112            for client_order_id in linked_order_ids {
1113                match self.cache.borrow_mut().mut_order(client_order_id) {
1114                    Some(contingent_order) => {
1115                        if !contingent_order.is_quote_quantity() {
1116                            continue; // Already base quantity
1117                        }
1118
1119                        if contingent_order.quantity() != original_qty {
1120                            log::warn!(
1121                                "Contingent order quantity {} was not equal to the OTO parent original quantity {} when setting to base quantity of {}",
1122                                contingent_order.quantity(),
1123                                original_qty,
1124                                base_qty
1125                            );
1126                        }
1127
1128                        log::info!(
1129                            "Setting {} order quote quantity {} to base quantity {}",
1130                            contingent_order.instrument_id(),
1131                            contingent_order.quantity(),
1132                            base_qty
1133                        );
1134
1135                        contingent_order.set_quantity(base_qty);
1136                        contingent_order.set_leaves_qty(base_qty);
1137                        contingent_order.set_is_quote_quantity(false);
1138                    }
1139                    None => {
1140                        log::error!("Contingency order {client_order_id} not found");
1141                    }
1142                }
1143            }
1144        } else {
1145            log::warn!(
1146                "No linked order IDs found for order {}",
1147                order.client_order_id()
1148            );
1149        }
1150    }
1151
1152    fn deny_order(&self, order: &OrderAny, reason: &str) {
1153        log::error!(
1154            "Order denied: {reason}, order ID: {}",
1155            order.client_order_id()
1156        );
1157
1158        let denied = OrderDenied::new(
1159            order.trader_id(),
1160            order.strategy_id(),
1161            order.instrument_id(),
1162            order.client_order_id(),
1163            reason.into(),
1164            UUID4::new(),
1165            self.clock.borrow().timestamp_ns(),
1166            self.clock.borrow().timestamp_ns(),
1167        );
1168
1169        let mut order = order.clone();
1170
1171        if let Err(e) = order.apply(OrderEventAny::Denied(denied)) {
1172            log::error!("Failed to apply denied event to order: {e}");
1173            return;
1174        }
1175
1176        if let Err(e) = self.cache.borrow_mut().update_order(&order) {
1177            log::error!("Failed to update order in cache: {e}");
1178            return;
1179        }
1180
1181        let topic = switchboard::get_event_orders_topic(order.strategy_id());
1182        msgbus::publish(topic, &denied);
1183
1184        if self.config.snapshot_orders {
1185            self.create_order_state_snapshot(&order);
1186        }
1187    }
1188
1189    fn get_or_init_own_order_book(&self, instrument_id: &InstrumentId) -> RefMut<'_, OwnOrderBook> {
1190        let mut cache = self.cache.borrow_mut();
1191        if cache.own_order_book_mut(instrument_id).is_none() {
1192            let own_book = OwnOrderBook::new(*instrument_id);
1193            cache.add_own_order_book(own_book).unwrap();
1194        }
1195
1196        RefMut::map(cache, |c| c.own_order_book_mut(instrument_id).unwrap())
1197    }
1198}
1199
1200////////////////////////////////////////////////////////////////////////////////
1201// Tests
1202////////////////////////////////////////////////////////////////////////////////
1203mod stubs;
1204#[cfg(test)]
1205mod tests;
nautilus_execution/engine/mod.rs

nautilus_execution/engine/
mod.rs
