nautilus_model/accounts/
margin.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//! Implementation of a *margin* account capable of holding leveraged positions and tracking
17//! instrument-specific leverage ratios.
18
19#![allow(dead_code)]
20
21use std::{
22    collections::HashMap,
23    fmt::Display,
24    hash::{Hash, Hasher},
25    ops::{Deref, DerefMut},
26};
27
28use rust_decimal::Decimal;
29use serde::{Deserialize, Serialize};
30
31use crate::{
32    accounts::{Account, base::BaseAccount},
33    enums::{AccountType, LiquiditySide, OrderSide},
34    events::{AccountState, OrderFilled},
35    identifiers::{AccountId, InstrumentId},
36    instruments::{Instrument, InstrumentAny},
37    position::Position,
38    types::{AccountBalance, Currency, MarginBalance, Money, Price, Quantity, money::MoneyRaw},
39};
40
41#[derive(Debug, Clone, Serialize, Deserialize)]
42#[cfg_attr(
43    feature = "python",
44    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
45)]
46pub struct MarginAccount {
47    pub base: BaseAccount,
48    pub leverages: HashMap<InstrumentId, Decimal>,
49    pub margins: HashMap<InstrumentId, MarginBalance>,
50    pub default_leverage: Decimal,
51}
52
53impl MarginAccount {
54    /// Creates a new [`MarginAccount`] instance.
55    pub fn new(event: AccountState, calculate_account_state: bool) -> Self {
56        Self {
57            base: BaseAccount::new(event, calculate_account_state),
58            leverages: HashMap::new(),
59            margins: HashMap::new(),
60            default_leverage: Decimal::ONE,
61        }
62    }
63
64    pub fn set_default_leverage(&mut self, leverage: Decimal) {
65        self.default_leverage = leverage;
66    }
67
68    pub fn set_leverage(&mut self, instrument_id: InstrumentId, leverage: Decimal) {
69        self.leverages.insert(instrument_id, leverage);
70    }
71
72    #[must_use]
73    pub fn get_leverage(&self, instrument_id: &InstrumentId) -> Decimal {
74        *self
75            .leverages
76            .get(instrument_id)
77            .unwrap_or(&self.default_leverage)
78    }
79
80    #[must_use]
81    pub fn is_unleveraged(&self, instrument_id: InstrumentId) -> bool {
82        self.get_leverage(&instrument_id) == Decimal::ONE
83    }
84
85    #[must_use]
86    pub fn is_cash_account(&self) -> bool {
87        self.account_type == AccountType::Cash
88    }
89    #[must_use]
90    pub fn is_margin_account(&self) -> bool {
91        self.account_type == AccountType::Margin
92    }
93
94    #[must_use]
95    pub fn initial_margins(&self) -> HashMap<InstrumentId, Money> {
96        let mut initial_margins: HashMap<InstrumentId, Money> = HashMap::new();
97        self.margins.values().for_each(|margin_balance| {
98            initial_margins.insert(margin_balance.instrument_id, margin_balance.initial);
99        });
100        initial_margins
101    }
102
103    #[must_use]
104    pub fn maintenance_margins(&self) -> HashMap<InstrumentId, Money> {
105        let mut maintenance_margins: HashMap<InstrumentId, Money> = HashMap::new();
106        self.margins.values().for_each(|margin_balance| {
107            maintenance_margins.insert(margin_balance.instrument_id, margin_balance.maintenance);
108        });
109        maintenance_margins
110    }
111
112    /// Updates the initial margin for the specified instrument.
113    ///
114    /// # Panics
115    ///
116    /// Panics if an existing margin balance is found but cannot be unwrapped.
117    pub fn update_initial_margin(&mut self, instrument_id: InstrumentId, margin_init: Money) {
118        let margin_balance = self.margins.get(&instrument_id);
119        if let Some(balance) = margin_balance {
120            // update the margin_balance initial property with margin_init
121            let mut new_margin_balance = *balance;
122            new_margin_balance.initial = margin_init;
123            self.margins.insert(instrument_id, new_margin_balance);
124        } else {
125            self.margins.insert(
126                instrument_id,
127                MarginBalance::new(
128                    margin_init,
129                    Money::new(0.0, margin_init.currency),
130                    instrument_id,
131                ),
132            );
133        }
134        self.recalculate_balance(margin_init.currency);
135    }
136
137    /// Returns the initial margin amount for the specified instrument.
138    ///
139    /// # Panics
140    ///
141    /// Panics if no margin balance exists for the given `instrument_id`.
142    #[must_use]
143    pub fn initial_margin(&self, instrument_id: InstrumentId) -> Money {
144        let margin_balance = self.margins.get(&instrument_id);
145        assert!(
146            margin_balance.is_some(),
147            "Cannot get margin_init when no margin_balance"
148        );
149        margin_balance.unwrap().initial
150    }
151
152    /// Updates the maintenance margin for the specified instrument.
153    ///
154    /// # Panics
155    ///
156    /// Panics if an existing margin balance is found but cannot be unwrapped.
157    pub fn update_maintenance_margin(
158        &mut self,
159        instrument_id: InstrumentId,
160        margin_maintenance: Money,
161    ) {
162        let margin_balance = self.margins.get(&instrument_id);
163        if let Some(balance) = margin_balance {
164            // update the margin_balance maintenance property with margin_maintenance
165            let mut new_margin_balance = *balance;
166            new_margin_balance.maintenance = margin_maintenance;
167            self.margins.insert(instrument_id, new_margin_balance);
168        } else {
169            self.margins.insert(
170                instrument_id,
171                MarginBalance::new(
172                    Money::new(0.0, margin_maintenance.currency),
173                    margin_maintenance,
174                    instrument_id,
175                ),
176            );
177        }
178        self.recalculate_balance(margin_maintenance.currency);
179    }
180
181    /// Returns the maintenance margin amount for the specified instrument.
182    ///
183    /// # Panics
184    ///
185    /// Panics if no margin balance exists for the given `instrument_id`.
186    #[must_use]
187    pub fn maintenance_margin(&self, instrument_id: InstrumentId) -> Money {
188        let margin_balance = self.margins.get(&instrument_id);
189        assert!(
190            margin_balance.is_some(),
191            "Cannot get maintenance_margin when no margin_balance"
192        );
193        margin_balance.unwrap().maintenance
194    }
195
196    /// Calculates the initial margin amount for the specified instrument and quantity.
197    ///
198    /// # Errors
199    ///
200    /// Returns an error if the margin calculation produces a value that cannot be represented as `Money`.
201    ///
202    /// # Panics
203    ///
204    /// Panics if `instrument.base_currency()` is `None` for inverse instruments.
205    pub fn calculate_initial_margin<T: Instrument>(
206        &mut self,
207        instrument: T,
208        quantity: Quantity,
209        price: Price,
210        use_quote_for_inverse: Option<bool>,
211    ) -> anyhow::Result<Money> {
212        let notional = instrument.calculate_notional_value(quantity, price, use_quote_for_inverse);
213        let mut leverage = self.get_leverage(&instrument.id());
214        if leverage == Decimal::ZERO {
215            self.leverages
216                .insert(instrument.id(), self.default_leverage);
217            leverage = self.default_leverage;
218        }
219        let notional_decimal = notional.as_decimal();
220        let adjusted_notional = notional_decimal / leverage;
221        let margin_decimal = adjusted_notional * instrument.margin_init();
222
223        let use_quote_for_inverse = use_quote_for_inverse.unwrap_or(false);
224        let currency = if instrument.is_inverse() && !use_quote_for_inverse {
225            instrument.base_currency().unwrap()
226        } else {
227            instrument.quote_currency()
228        };
229
230        Money::from_decimal(margin_decimal, currency)
231    }
232
233    /// Calculates the maintenance margin amount for the specified instrument and quantity.
234    ///
235    /// # Errors
236    ///
237    /// Returns an error if the margin calculation produces a value that cannot be represented as `Money`.
238    ///
239    /// # Panics
240    ///
241    /// Panics if `instrument.base_currency()` is `None` for inverse instruments.
242    pub fn calculate_maintenance_margin<T: Instrument>(
243        &mut self,
244        instrument: T,
245        quantity: Quantity,
246        price: Price,
247        use_quote_for_inverse: Option<bool>,
248    ) -> anyhow::Result<Money> {
249        let notional = instrument.calculate_notional_value(quantity, price, use_quote_for_inverse);
250        let mut leverage = self.get_leverage(&instrument.id());
251        if leverage == Decimal::ZERO {
252            self.leverages
253                .insert(instrument.id(), self.default_leverage);
254            leverage = self.default_leverage;
255        }
256        let notional_decimal = notional.as_decimal();
257        let adjusted_notional = notional_decimal / leverage;
258        let margin_decimal = adjusted_notional * instrument.margin_maint();
259
260        let use_quote_for_inverse = use_quote_for_inverse.unwrap_or(false);
261        let currency = if instrument.is_inverse() && !use_quote_for_inverse {
262            instrument.base_currency().unwrap()
263        } else {
264            instrument.quote_currency()
265        };
266
267        Money::from_decimal(margin_decimal, currency)
268    }
269
270    /// Recalculates the account balance for the specified currency based on current margins.
271    ///
272    /// # Panics
273    ///
274    /// This function panics if:
275    /// - No starting balance exists for the given `currency`.
276    /// - Total free margin would be negative.
277    /// - Margin calculation overflows.
278    pub fn recalculate_balance(&mut self, currency: Currency) {
279        let current_balance = match self.balances.get(&currency) {
280            Some(balance) => balance,
281            None => panic!("Cannot recalculate balance when no starting balance"),
282        };
283
284        let mut total_margin: MoneyRaw = 0;
285        for margin in self.margins.values() {
286            if margin.currency == currency {
287                total_margin = total_margin
288                    .checked_add(margin.initial.raw)
289                    .and_then(|sum| sum.checked_add(margin.maintenance.raw))
290                    .unwrap_or_else(|| {
291                        panic!(
292                            "Margin calculation overflow for currency {}: total would exceed maximum",
293                            currency.code
294                        )
295                    });
296            }
297        }
298
299        let total_free = current_balance.total.raw - total_margin;
300        // TODO error handle this with AccountMarginExceeded
301        assert!(
302            total_free >= 0,
303            "Cannot recalculate balance when total_free is less than 0.0"
304        );
305        let new_balance = AccountBalance::new(
306            current_balance.total,
307            Money::from_raw(total_margin, currency),
308            Money::from_raw(total_free, currency),
309        );
310        self.balances.insert(currency, new_balance);
311    }
312}
313
314impl Deref for MarginAccount {
315    type Target = BaseAccount;
316
317    fn deref(&self) -> &Self::Target {
318        &self.base
319    }
320}
321
322impl DerefMut for MarginAccount {
323    fn deref_mut(&mut self) -> &mut Self::Target {
324        &mut self.base
325    }
326}
327
328impl Account for MarginAccount {
329    fn id(&self) -> AccountId {
330        self.id
331    }
332
333    fn account_type(&self) -> AccountType {
334        self.account_type
335    }
336
337    fn base_currency(&self) -> Option<Currency> {
338        self.base_currency
339    }
340
341    fn is_cash_account(&self) -> bool {
342        self.account_type == AccountType::Cash
343    }
344
345    fn is_margin_account(&self) -> bool {
346        self.account_type == AccountType::Margin
347    }
348
349    fn calculated_account_state(&self) -> bool {
350        false // TODO (implement this logic)
351    }
352
353    fn balance_total(&self, currency: Option<Currency>) -> Option<Money> {
354        self.base_balance_total(currency)
355    }
356
357    fn balances_total(&self) -> HashMap<Currency, Money> {
358        self.base_balances_total()
359    }
360
361    fn balance_free(&self, currency: Option<Currency>) -> Option<Money> {
362        self.base_balance_free(currency)
363    }
364
365    fn balances_free(&self) -> HashMap<Currency, Money> {
366        self.base_balances_free()
367    }
368
369    fn balance_locked(&self, currency: Option<Currency>) -> Option<Money> {
370        self.base_balance_locked(currency)
371    }
372
373    fn balances_locked(&self) -> HashMap<Currency, Money> {
374        self.base_balances_locked()
375    }
376
377    fn balance(&self, currency: Option<Currency>) -> Option<&AccountBalance> {
378        self.base_balance(currency)
379    }
380
381    fn last_event(&self) -> Option<AccountState> {
382        self.base_last_event()
383    }
384
385    fn events(&self) -> Vec<AccountState> {
386        self.events.clone()
387    }
388
389    fn event_count(&self) -> usize {
390        self.events.len()
391    }
392
393    fn currencies(&self) -> Vec<Currency> {
394        self.balances.keys().copied().collect()
395    }
396
397    fn starting_balances(&self) -> HashMap<Currency, Money> {
398        self.balances_starting.clone()
399    }
400
401    fn balances(&self) -> HashMap<Currency, AccountBalance> {
402        self.balances.clone()
403    }
404
405    fn apply(&mut self, event: AccountState) {
406        self.base_apply(event);
407    }
408
409    fn purge_account_events(&mut self, ts_now: nautilus_core::UnixNanos, lookback_secs: u64) {
410        self.base.base_purge_account_events(ts_now, lookback_secs);
411    }
412
413    fn calculate_balance_locked(
414        &mut self,
415        instrument: InstrumentAny,
416        side: OrderSide,
417        quantity: Quantity,
418        price: Price,
419        use_quote_for_inverse: Option<bool>,
420    ) -> anyhow::Result<Money> {
421        self.base_calculate_balance_locked(instrument, side, quantity, price, use_quote_for_inverse)
422    }
423
424    fn calculate_pnls(
425        &self,
426        _instrument: InstrumentAny, // TBD if this should be removed
427        fill: OrderFilled,
428        position: Option<Position>,
429    ) -> anyhow::Result<Vec<Money>> {
430        let mut pnls: Vec<Money> = Vec::new();
431
432        if let Some(ref pos) = position
433            && pos.quantity.is_positive()
434            && pos.entry != fill.order_side
435        {
436            // Calculate and add PnL using the minimum of fill quantity and position quantity
437            // to avoid double-limiting that occurs in position.calculate_pnl()
438            let pnl_quantity = Quantity::from_raw(
439                fill.last_qty.raw.min(pos.quantity.raw),
440                fill.last_qty.precision,
441            );
442            let pnl = pos.calculate_pnl(pos.avg_px_open, fill.last_px.as_f64(), pnl_quantity);
443            pnls.push(pnl);
444        }
445
446        Ok(pnls)
447    }
448
449    fn calculate_commission(
450        &self,
451        instrument: InstrumentAny,
452        last_qty: Quantity,
453        last_px: Price,
454        liquidity_side: LiquiditySide,
455        use_quote_for_inverse: Option<bool>,
456    ) -> anyhow::Result<Money> {
457        self.base_calculate_commission(
458            instrument,
459            last_qty,
460            last_px,
461            liquidity_side,
462            use_quote_for_inverse,
463        )
464    }
465}
466
467impl PartialEq for MarginAccount {
468    fn eq(&self, other: &Self) -> bool {
469        self.id == other.id
470    }
471}
472
473impl Eq for MarginAccount {}
474
475impl Display for MarginAccount {
476    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
477        write!(
478            f,
479            "MarginAccount(id={}, type={}, base={})",
480            self.id,
481            self.account_type,
482            self.base_currency.map_or_else(
483                || "None".to_string(),
484                |base_currency| format!("{}", base_currency.code)
485            ),
486        )
487    }
488}
489
490impl Hash for MarginAccount {
491    fn hash<H: Hasher>(&self, state: &mut H) {
492        self.id.hash(state);
493    }
494}
495
496////////////////////////////////////////////////////////////////////////////////
497// Tests
498////////////////////////////////////////////////////////////////////////////////
499#[cfg(test)]
500mod tests {
501    use std::collections::HashMap;
502
503    use nautilus_core::UnixNanos;
504    use rstest::rstest;
505    use rust_decimal::Decimal;
506
507    use crate::{
508        accounts::{Account, MarginAccount, stubs::*},
509        enums::{LiquiditySide, OrderSide, OrderType},
510        events::{AccountState, OrderFilled, account::stubs::*},
511        identifiers::{
512            AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TradeId, TraderId,
513            VenueOrderId,
514            stubs::{uuid4, *},
515        },
516        instruments::{CryptoPerpetual, CurrencyPair, InstrumentAny, stubs::*},
517        position::Position,
518        types::{Currency, Money, Price, Quantity},
519    };
520
521    #[rstest]
522    fn test_display(margin_account: MarginAccount) {
523        assert_eq!(
524            margin_account.to_string(),
525            "MarginAccount(id=SIM-001, type=MARGIN, base=USD)"
526        );
527    }
528
529    #[rstest]
530    fn test_base_account_properties(
531        margin_account: MarginAccount,
532        margin_account_state: AccountState,
533    ) {
534        assert_eq!(margin_account.base_currency, Some(Currency::from("USD")));
535        assert_eq!(
536            margin_account.last_event(),
537            Some(margin_account_state.clone())
538        );
539        assert_eq!(margin_account.events(), vec![margin_account_state]);
540        assert_eq!(margin_account.event_count(), 1);
541        assert_eq!(
542            margin_account.balance_total(None),
543            Some(Money::from("1525000 USD"))
544        );
545        assert_eq!(
546            margin_account.balance_free(None),
547            Some(Money::from("1500000 USD"))
548        );
549        assert_eq!(
550            margin_account.balance_locked(None),
551            Some(Money::from("25000 USD"))
552        );
553        let mut balances_total_expected = HashMap::new();
554        balances_total_expected.insert(Currency::from("USD"), Money::from("1525000 USD"));
555        assert_eq!(margin_account.balances_total(), balances_total_expected);
556        let mut balances_free_expected = HashMap::new();
557        balances_free_expected.insert(Currency::from("USD"), Money::from("1500000 USD"));
558        assert_eq!(margin_account.balances_free(), balances_free_expected);
559        let mut balances_locked_expected = HashMap::new();
560        balances_locked_expected.insert(Currency::from("USD"), Money::from("25000 USD"));
561        assert_eq!(margin_account.balances_locked(), balances_locked_expected);
562    }
563
564    #[rstest]
565    fn test_set_default_leverage(mut margin_account: MarginAccount) {
566        assert_eq!(margin_account.default_leverage, Decimal::ONE);
567        margin_account.set_default_leverage(Decimal::from(10));
568        assert_eq!(margin_account.default_leverage, Decimal::from(10));
569    }
570
571    #[rstest]
572    fn test_get_leverage_default_leverage(
573        margin_account: MarginAccount,
574        instrument_id_aud_usd_sim: InstrumentId,
575    ) {
576        assert_eq!(
577            margin_account.get_leverage(&instrument_id_aud_usd_sim),
578            Decimal::ONE
579        );
580    }
581
582    #[rstest]
583    fn test_set_leverage(
584        mut margin_account: MarginAccount,
585        instrument_id_aud_usd_sim: InstrumentId,
586    ) {
587        assert_eq!(margin_account.leverages.len(), 0);
588        margin_account.set_leverage(instrument_id_aud_usd_sim, Decimal::from(10));
589        assert_eq!(margin_account.leverages.len(), 1);
590        assert_eq!(
591            margin_account.get_leverage(&instrument_id_aud_usd_sim),
592            Decimal::from(10)
593        );
594    }
595
596    #[rstest]
597    fn test_is_unleveraged_with_leverage_returns_false(
598        mut margin_account: MarginAccount,
599        instrument_id_aud_usd_sim: InstrumentId,
600    ) {
601        margin_account.set_leverage(instrument_id_aud_usd_sim, Decimal::from(10));
602        assert!(!margin_account.is_unleveraged(instrument_id_aud_usd_sim));
603    }
604
605    #[rstest]
606    fn test_is_unleveraged_with_no_leverage_returns_true(
607        mut margin_account: MarginAccount,
608        instrument_id_aud_usd_sim: InstrumentId,
609    ) {
610        margin_account.set_leverage(instrument_id_aud_usd_sim, Decimal::ONE);
611        assert!(margin_account.is_unleveraged(instrument_id_aud_usd_sim));
612    }
613
614    #[rstest]
615    fn test_is_unleveraged_with_default_leverage_of_1_returns_true(
616        margin_account: MarginAccount,
617        instrument_id_aud_usd_sim: InstrumentId,
618    ) {
619        assert!(margin_account.is_unleveraged(instrument_id_aud_usd_sim));
620    }
621
622    #[rstest]
623    fn test_update_margin_init(
624        mut margin_account: MarginAccount,
625        instrument_id_aud_usd_sim: InstrumentId,
626    ) {
627        assert_eq!(margin_account.margins.len(), 0);
628        let margin = Money::from("10000 USD");
629        margin_account.update_initial_margin(instrument_id_aud_usd_sim, margin);
630        assert_eq!(
631            margin_account.initial_margin(instrument_id_aud_usd_sim),
632            margin
633        );
634        let margins: Vec<Money> = margin_account
635            .margins
636            .values()
637            .map(|margin_balance| margin_balance.initial)
638            .collect();
639        assert_eq!(margins, vec![margin]);
640    }
641
642    #[rstest]
643    fn test_update_margin_maintenance(
644        mut margin_account: MarginAccount,
645        instrument_id_aud_usd_sim: InstrumentId,
646    ) {
647        let margin = Money::from("10000 USD");
648        margin_account.update_maintenance_margin(instrument_id_aud_usd_sim, margin);
649        assert_eq!(
650            margin_account.maintenance_margin(instrument_id_aud_usd_sim),
651            margin
652        );
653        let margins: Vec<Money> = margin_account
654            .margins
655            .values()
656            .map(|margin_balance| margin_balance.maintenance)
657            .collect();
658        assert_eq!(margins, vec![margin]);
659    }
660
661    #[rstest]
662    fn test_calculate_margin_init_with_leverage(
663        mut margin_account: MarginAccount,
664        audusd_sim: CurrencyPair,
665    ) {
666        margin_account.set_leverage(audusd_sim.id, Decimal::from(50));
667        let result = margin_account
668            .calculate_initial_margin(
669                audusd_sim,
670                Quantity::from(100_000),
671                Price::from("0.8000"),
672                None,
673            )
674            .unwrap();
675        assert_eq!(result, Money::from("48.00 USD"));
676    }
677
678    #[rstest]
679    fn test_calculate_margin_init_with_default_leverage(
680        mut margin_account: MarginAccount,
681        audusd_sim: CurrencyPair,
682    ) {
683        margin_account.set_default_leverage(Decimal::from(10));
684        let result = margin_account
685            .calculate_initial_margin(
686                audusd_sim,
687                Quantity::from(100_000),
688                Price::from("0.8"),
689                None,
690            )
691            .unwrap();
692        assert_eq!(result, Money::from("240.00 USD"));
693    }
694
695    #[rstest]
696    fn test_calculate_margin_init_with_no_leverage_for_inverse(
697        mut margin_account: MarginAccount,
698        xbtusd_bitmex: CryptoPerpetual,
699    ) {
700        let result_use_quote_inverse_true = margin_account
701            .calculate_initial_margin(
702                xbtusd_bitmex,
703                Quantity::from(100_000),
704                Price::from("11493.60"),
705                Some(false),
706            )
707            .unwrap();
708        assert_eq!(result_use_quote_inverse_true, Money::from("0.08700494 BTC"));
709        let result_use_quote_inverse_false = margin_account
710            .calculate_initial_margin(
711                xbtusd_bitmex,
712                Quantity::from(100_000),
713                Price::from("11493.60"),
714                Some(true),
715            )
716            .unwrap();
717        assert_eq!(result_use_quote_inverse_false, Money::from("1000 USD"));
718    }
719
720    #[rstest]
721    fn test_calculate_margin_maintenance_with_no_leverage(
722        mut margin_account: MarginAccount,
723        xbtusd_bitmex: CryptoPerpetual,
724    ) {
725        let result = margin_account
726            .calculate_maintenance_margin(
727                xbtusd_bitmex,
728                Quantity::from(100_000),
729                Price::from("11493.60"),
730                None,
731            )
732            .unwrap();
733        assert_eq!(result, Money::from("0.03045173 BTC"));
734    }
735
736    #[rstest]
737    fn test_calculate_margin_maintenance_with_leverage_fx_instrument(
738        mut margin_account: MarginAccount,
739        audusd_sim: CurrencyPair,
740    ) {
741        margin_account.set_default_leverage(Decimal::from(50));
742        let result = margin_account
743            .calculate_maintenance_margin(
744                audusd_sim,
745                Quantity::from(1_000_000),
746                Price::from("1"),
747                None,
748            )
749            .unwrap();
750        assert_eq!(result, Money::from("600.00 USD"));
751    }
752
753    #[rstest]
754    fn test_calculate_margin_maintenance_with_leverage_inverse_instrument(
755        mut margin_account: MarginAccount,
756        xbtusd_bitmex: CryptoPerpetual,
757    ) {
758        margin_account.set_default_leverage(Decimal::from(10));
759        let result = margin_account
760            .calculate_maintenance_margin(
761                xbtusd_bitmex,
762                Quantity::from(100_000),
763                Price::from("100000.00"),
764                None,
765            )
766            .unwrap();
767        assert_eq!(result, Money::from("0.00035000 BTC"));
768    }
769
770    #[rstest]
771    fn test_calculate_pnls_github_issue_2657() {
772        // Create a margin account
773        let account_state = margin_account_state();
774        let account = MarginAccount::new(account_state, false);
775
776        // Create BTCUSDT instrument
777        let btcusdt = currency_pair_btcusdt();
778        let btcusdt_any = InstrumentAny::CurrencyPair(btcusdt);
779
780        // Create initial position with BUY 0.001 BTC at 50000.00
781        let fill1 = OrderFilled::new(
782            TraderId::from("TRADER-001"),
783            StrategyId::from("S-001"),
784            btcusdt.id,
785            ClientOrderId::from("O-1"),
786            VenueOrderId::from("V-1"),
787            AccountId::from("SIM-001"),
788            TradeId::from("T-1"),
789            OrderSide::Buy,
790            OrderType::Market,
791            Quantity::from("0.001"),
792            Price::from("50000.00"),
793            btcusdt.quote_currency,
794            LiquiditySide::Taker,
795            uuid4(),
796            UnixNanos::from(1_000_000_000),
797            UnixNanos::default(),
798            false,
799            Some(PositionId::from("P-GITHUB-2657")),
800            None,
801        );
802
803        let position = Position::new(&btcusdt_any, fill1);
804
805        // Create second fill that sells MORE than position size (0.002 > 0.001)
806        let fill2 = OrderFilled::new(
807            TraderId::from("TRADER-001"),
808            StrategyId::from("S-001"),
809            btcusdt.id,
810            ClientOrderId::from("O-2"),
811            VenueOrderId::from("V-2"),
812            AccountId::from("SIM-001"),
813            TradeId::from("T-2"),
814            OrderSide::Sell,
815            OrderType::Market,
816            Quantity::from("0.002"), // This is larger than position quantity!
817            Price::from("50075.00"),
818            btcusdt.quote_currency,
819            LiquiditySide::Taker,
820            uuid4(),
821            UnixNanos::from(2_000_000_000),
822            UnixNanos::default(),
823            false,
824            Some(PositionId::from("P-GITHUB-2657")),
825            None,
826        );
827
828        // Test the fix - should only calculate PnL for position quantity (0.001), not fill quantity (0.002)
829        let pnls = account
830            .calculate_pnls(btcusdt_any, fill2, Some(position))
831            .unwrap();
832
833        // Should have exactly one PnL entry
834        assert_eq!(pnls.len(), 1);
835
836        // Expected PnL should be for 0.001 BTC, not 0.002 BTC
837        // PnL = (50075.00 - 50000.00) * 0.001 = 75.0 * 0.001 = 0.075 USDT
838        let expected_pnl = Money::from("0.075 USDT");
839        assert_eq!(pnls[0], expected_pnl);
840    }
841
842    #[rstest]
843    fn test_calculate_initial_margin_with_zero_leverage_falls_back_to_default(
844        mut margin_account: MarginAccount,
845        audusd_sim: CurrencyPair,
846    ) {
847        // Set default leverage
848        margin_account.set_default_leverage(Decimal::from(10));
849
850        // Set instrument-specific leverage to 0.0 (invalid)
851        margin_account.set_leverage(audusd_sim.id, Decimal::ZERO);
852
853        // Should not panic, should use default leverage instead
854        let result = margin_account
855            .calculate_initial_margin(
856                audusd_sim,
857                Quantity::from(100_000),
858                Price::from("0.8"),
859                None,
860            )
861            .unwrap();
862
863        // With default leverage of 10.0, notional of 80,000 / 10 = 8,000
864        // Initial margin rate is 0.03, so 8,000 * 0.03 = 240.00
865        assert_eq!(result, Money::from("240.00 USD"));
866
867        // Verify that the hashmap was updated with default leverage
868        assert_eq!(
869            margin_account.get_leverage(&audusd_sim.id),
870            Decimal::from(10)
871        );
872    }
873
874    #[rstest]
875    fn test_calculate_maintenance_margin_with_zero_leverage_falls_back_to_default(
876        mut margin_account: MarginAccount,
877        audusd_sim: CurrencyPair,
878    ) {
879        // Set default leverage
880        margin_account.set_default_leverage(Decimal::from(50));
881
882        // Set instrument-specific leverage to 0.0 (invalid)
883        margin_account.set_leverage(audusd_sim.id, Decimal::ZERO);
884
885        // Should not panic, should use default leverage instead
886        let result = margin_account
887            .calculate_maintenance_margin(
888                audusd_sim,
889                Quantity::from(1_000_000),
890                Price::from("1"),
891                None,
892            )
893            .unwrap();
894
895        // With default leverage of 50.0, notional of 1,000,000 / 50 = 20,000
896        // Maintenance margin rate is 0.03, so 20,000 * 0.03 = 600.00
897        assert_eq!(result, Money::from("600.00 USD"));
898
899        // Verify that the hashmap was updated with default leverage
900        assert_eq!(
901            margin_account.get_leverage(&audusd_sim.id),
902            Decimal::from(50)
903        );
904    }
905
906    #[rstest]
907    fn test_calculate_pnls_with_same_side_fill_returns_empty() {
908        use nautilus_core::UnixNanos;
909
910        use crate::{
911            enums::{LiquiditySide, OrderSide, OrderType},
912            events::OrderFilled,
913            identifiers::{
914                AccountId, ClientOrderId, PositionId, StrategyId, TradeId, TraderId, VenueOrderId,
915                stubs::uuid4,
916            },
917            instruments::InstrumentAny,
918            position::Position,
919            types::{Price, Quantity},
920        };
921
922        // Create a margin account
923        let account_state = margin_account_state();
924        let account = MarginAccount::new(account_state, false);
925
926        // Create BTCUSDT instrument
927        let btcusdt = currency_pair_btcusdt();
928        let btcusdt_any = InstrumentAny::CurrencyPair(btcusdt);
929
930        // Create initial position with BUY 1.0 BTC at 50000.00
931        let fill1 = OrderFilled::new(
932            TraderId::from("TRADER-001"),
933            StrategyId::from("S-001"),
934            btcusdt.id,
935            ClientOrderId::from("O-1"),
936            VenueOrderId::from("V-1"),
937            AccountId::from("SIM-001"),
938            TradeId::from("T-1"),
939            OrderSide::Buy,
940            OrderType::Market,
941            Quantity::from("1.0"),
942            Price::from("50000.00"),
943            btcusdt.quote_currency,
944            LiquiditySide::Taker,
945            uuid4(),
946            UnixNanos::from(1_000_000_000),
947            UnixNanos::default(),
948            false,
949            Some(PositionId::from("P-123456")),
950            None,
951        );
952
953        let position = Position::new(&btcusdt_any, fill1);
954
955        // Create second fill that also BUYS (same side as position entry)
956        let fill2 = OrderFilled::new(
957            TraderId::from("TRADER-001"),
958            StrategyId::from("S-001"),
959            btcusdt.id,
960            ClientOrderId::from("O-2"),
961            VenueOrderId::from("V-2"),
962            AccountId::from("SIM-001"),
963            TradeId::from("T-2"),
964            OrderSide::Buy, // Same side as position entry
965            OrderType::Market,
966            Quantity::from("0.5"),
967            Price::from("51000.00"),
968            btcusdt.quote_currency,
969            LiquiditySide::Taker,
970            uuid4(),
971            UnixNanos::from(2_000_000_000),
972            UnixNanos::default(),
973            false,
974            Some(PositionId::from("P-123456")),
975            None,
976        );
977
978        // Test that no PnL is calculated for same-side fills
979        let pnls = account
980            .calculate_pnls(btcusdt_any, fill2, Some(position))
981            .unwrap();
982
983        // Should return empty PnL list
984        assert_eq!(pnls.len(), 0);
985    }
986}
nautilus_model/accounts/margin.rs

nautilus_model/accounts/
margin.rs
