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::prelude::ToPrimitive;
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},
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, f64>,
49    pub margins: HashMap<InstrumentId, MarginBalance>,
50    pub default_leverage: f64,
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: 1.0,
61        }
62    }
63
64    pub fn set_default_leverage(&mut self, leverage: f64) {
65        self.default_leverage = leverage;
66    }
67
68    pub fn set_leverage(&mut self, instrument_id: InstrumentId, leverage: f64) {
69        self.leverages.insert(instrument_id, leverage);
70    }
71
72    #[must_use]
73    pub fn get_leverage(&self, instrument_id: &InstrumentId) -> f64 {
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) == 1.0
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    /// # Panics
199    ///
200    /// Panics if conversion from `Decimal` to `f64` fails, or if `instrument.base_currency()` is `None` for inverse instruments.
201    pub fn calculate_initial_margin<T: Instrument>(
202        &mut self,
203        instrument: T,
204        quantity: Quantity,
205        price: Price,
206        use_quote_for_inverse: Option<bool>,
207    ) -> Money {
208        let notional = instrument.calculate_notional_value(quantity, price, use_quote_for_inverse);
209        let leverage = self.get_leverage(&instrument.id());
210        if leverage == 0.0 {
211            self.leverages
212                .insert(instrument.id(), self.default_leverage);
213        }
214        let adjusted_notional = notional / leverage;
215        let initial_margin_f64 = instrument.margin_init().to_f64().unwrap();
216        let margin = adjusted_notional * initial_margin_f64;
217
218        let use_quote_for_inverse = use_quote_for_inverse.unwrap_or(false);
219        if instrument.is_inverse() && !use_quote_for_inverse {
220            Money::new(margin, instrument.base_currency().unwrap())
221        } else {
222            Money::new(margin, instrument.quote_currency())
223        }
224    }
225
226    /// Calculates the maintenance margin amount for the specified instrument and quantity.
227    ///
228    /// # Panics
229    ///
230    /// Panics if conversion from `Decimal` to `f64` fails, or if `instrument.base_currency()` is `None` for inverse instruments.
231    pub fn calculate_maintenance_margin<T: Instrument>(
232        &mut self,
233        instrument: T,
234        quantity: Quantity,
235        price: Price,
236        use_quote_for_inverse: Option<bool>,
237    ) -> Money {
238        let notional = instrument.calculate_notional_value(quantity, price, use_quote_for_inverse);
239        let leverage = self.get_leverage(&instrument.id());
240        if leverage == 0.0 {
241            self.leverages
242                .insert(instrument.id(), self.default_leverage);
243        }
244        let adjusted_notional = notional / leverage;
245        let margin_maint_f64 = instrument.margin_maint().to_f64().unwrap();
246        let margin = adjusted_notional * margin_maint_f64;
247
248        let use_quote_for_inverse = use_quote_for_inverse.unwrap_or(false);
249        if instrument.is_inverse() && !use_quote_for_inverse {
250            Money::new(margin, instrument.base_currency().unwrap())
251        } else {
252            Money::new(margin, instrument.quote_currency())
253        }
254    }
255
256    /// Recalculates the account balance for the specified currency based on current margins.
257    ///
258    /// # Panics
259    ///
260    /// This function panics if:
261    /// - No starting balance exists for the given `currency`.
262    /// - Total free margin would be negative.
263    pub fn recalculate_balance(&mut self, currency: Currency) {
264        let current_balance = match self.balances.get(&currency) {
265            Some(balance) => balance,
266            None => panic!("Cannot recalculate balance when no starting balance"),
267        };
268
269        let mut total_margin = 0;
270        // iterate over margins
271        self.margins.values().for_each(|margin| {
272            if margin.currency == currency {
273                total_margin += margin.initial.raw;
274                total_margin += margin.maintenance.raw;
275            }
276        });
277        let total_free = current_balance.total.raw - total_margin;
278        // TODO error handle this with AccountMarginExceeded
279        assert!(
280            total_free >= 0,
281            "Cannot recalculate balance when total_free is less than 0.0"
282        );
283        let new_balance = AccountBalance::new(
284            current_balance.total,
285            Money::from_raw(total_margin, currency),
286            Money::from_raw(total_free, currency),
287        );
288        self.balances.insert(currency, new_balance);
289    }
290}
291
292impl Deref for MarginAccount {
293    type Target = BaseAccount;
294
295    fn deref(&self) -> &Self::Target {
296        &self.base
297    }
298}
299
300impl DerefMut for MarginAccount {
301    fn deref_mut(&mut self) -> &mut Self::Target {
302        &mut self.base
303    }
304}
305
306impl Account for MarginAccount {
307    fn id(&self) -> AccountId {
308        self.id
309    }
310
311    fn account_type(&self) -> AccountType {
312        self.account_type
313    }
314
315    fn base_currency(&self) -> Option<Currency> {
316        self.base_currency
317    }
318
319    fn is_cash_account(&self) -> bool {
320        self.account_type == AccountType::Cash
321    }
322
323    fn is_margin_account(&self) -> bool {
324        self.account_type == AccountType::Margin
325    }
326
327    fn calculated_account_state(&self) -> bool {
328        false // TODO (implement this logic)
329    }
330
331    fn balance_total(&self, currency: Option<Currency>) -> Option<Money> {
332        self.base_balance_total(currency)
333    }
334
335    fn balances_total(&self) -> HashMap<Currency, Money> {
336        self.base_balances_total()
337    }
338
339    fn balance_free(&self, currency: Option<Currency>) -> Option<Money> {
340        self.base_balance_free(currency)
341    }
342
343    fn balances_free(&self) -> HashMap<Currency, Money> {
344        self.base_balances_free()
345    }
346
347    fn balance_locked(&self, currency: Option<Currency>) -> Option<Money> {
348        self.base_balance_locked(currency)
349    }
350
351    fn balances_locked(&self) -> HashMap<Currency, Money> {
352        self.base_balances_locked()
353    }
354
355    fn balance(&self, currency: Option<Currency>) -> Option<&AccountBalance> {
356        self.base_balance(currency)
357    }
358
359    fn last_event(&self) -> Option<AccountState> {
360        self.base_last_event()
361    }
362
363    fn events(&self) -> Vec<AccountState> {
364        self.events.clone()
365    }
366
367    fn event_count(&self) -> usize {
368        self.events.len()
369    }
370
371    fn currencies(&self) -> Vec<Currency> {
372        self.balances.keys().copied().collect()
373    }
374
375    fn starting_balances(&self) -> HashMap<Currency, Money> {
376        self.balances_starting.clone()
377    }
378
379    fn balances(&self) -> HashMap<Currency, AccountBalance> {
380        self.balances.clone()
381    }
382
383    fn apply(&mut self, event: AccountState) {
384        self.base_apply(event);
385    }
386
387    fn purge_account_events(&mut self, ts_now: nautilus_core::UnixNanos, lookback_secs: u64) {
388        self.base.base_purge_account_events(ts_now, lookback_secs);
389    }
390
391    fn calculate_balance_locked(
392        &mut self,
393        instrument: InstrumentAny,
394        side: OrderSide,
395        quantity: Quantity,
396        price: Price,
397        use_quote_for_inverse: Option<bool>,
398    ) -> anyhow::Result<Money> {
399        self.base_calculate_balance_locked(instrument, side, quantity, price, use_quote_for_inverse)
400    }
401
402    fn calculate_pnls(
403        &self,
404        _instrument: InstrumentAny, // TBD if this should be removed
405        fill: OrderFilled,
406        position: Option<Position>,
407    ) -> anyhow::Result<Vec<Money>> {
408        let mut pnls: Vec<Money> = Vec::new();
409
410        if let Some(ref pos) = position
411            && pos.quantity.is_positive()
412            && pos.entry != fill.order_side
413        {
414            // Calculate and add PnL using the minimum of fill quantity and position quantity
415            // to avoid double-limiting that occurs in position.calculate_pnl()
416            let pnl_quantity = Quantity::from_raw(
417                fill.last_qty.raw.min(pos.quantity.raw),
418                fill.last_qty.precision,
419            );
420            let pnl = pos.calculate_pnl(pos.avg_px_open, fill.last_px.as_f64(), pnl_quantity);
421            pnls.push(pnl);
422        }
423
424        Ok(pnls)
425    }
426
427    fn calculate_commission(
428        &self,
429        instrument: InstrumentAny,
430        last_qty: Quantity,
431        last_px: Price,
432        liquidity_side: LiquiditySide,
433        use_quote_for_inverse: Option<bool>,
434    ) -> anyhow::Result<Money> {
435        self.base_calculate_commission(
436            instrument,
437            last_qty,
438            last_px,
439            liquidity_side,
440            use_quote_for_inverse,
441        )
442    }
443}
444
445impl PartialEq for MarginAccount {
446    fn eq(&self, other: &Self) -> bool {
447        self.id == other.id
448    }
449}
450
451impl Eq for MarginAccount {}
452
453impl Display for MarginAccount {
454    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
455        write!(
456            f,
457            "MarginAccount(id={}, type={}, base={})",
458            self.id,
459            self.account_type,
460            self.base_currency.map_or_else(
461                || "None".to_string(),
462                |base_currency| format!("{}", base_currency.code)
463            ),
464        )
465    }
466}
467
468impl Hash for MarginAccount {
469    fn hash<H: Hasher>(&self, state: &mut H) {
470        self.id.hash(state);
471    }
472}
473
474////////////////////////////////////////////////////////////////////////////////
475// Tests
476////////////////////////////////////////////////////////////////////////////////
477#[cfg(test)]
478mod tests {
479    use std::collections::HashMap;
480
481    use nautilus_core::UnixNanos;
482    use rstest::rstest;
483
484    use crate::{
485        accounts::{Account, MarginAccount, stubs::*},
486        enums::{LiquiditySide, OrderSide, OrderType},
487        events::{AccountState, OrderFilled, account::stubs::*},
488        identifiers::{
489            AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TradeId, TraderId,
490            VenueOrderId,
491            stubs::{uuid4, *},
492        },
493        instruments::{CryptoPerpetual, CurrencyPair, InstrumentAny, stubs::*},
494        position::Position,
495        types::{Currency, Money, Price, Quantity},
496    };
497
498    #[rstest]
499    fn test_display(margin_account: MarginAccount) {
500        assert_eq!(
501            margin_account.to_string(),
502            "MarginAccount(id=SIM-001, type=MARGIN, base=USD)"
503        );
504    }
505
506    #[rstest]
507    fn test_base_account_properties(
508        margin_account: MarginAccount,
509        margin_account_state: AccountState,
510    ) {
511        assert_eq!(margin_account.base_currency, Some(Currency::from("USD")));
512        assert_eq!(
513            margin_account.last_event(),
514            Some(margin_account_state.clone())
515        );
516        assert_eq!(margin_account.events(), vec![margin_account_state]);
517        assert_eq!(margin_account.event_count(), 1);
518        assert_eq!(
519            margin_account.balance_total(None),
520            Some(Money::from("1525000 USD"))
521        );
522        assert_eq!(
523            margin_account.balance_free(None),
524            Some(Money::from("1500000 USD"))
525        );
526        assert_eq!(
527            margin_account.balance_locked(None),
528            Some(Money::from("25000 USD"))
529        );
530        let mut balances_total_expected = HashMap::new();
531        balances_total_expected.insert(Currency::from("USD"), Money::from("1525000 USD"));
532        assert_eq!(margin_account.balances_total(), balances_total_expected);
533        let mut balances_free_expected = HashMap::new();
534        balances_free_expected.insert(Currency::from("USD"), Money::from("1500000 USD"));
535        assert_eq!(margin_account.balances_free(), balances_free_expected);
536        let mut balances_locked_expected = HashMap::new();
537        balances_locked_expected.insert(Currency::from("USD"), Money::from("25000 USD"));
538        assert_eq!(margin_account.balances_locked(), balances_locked_expected);
539    }
540
541    #[rstest]
542    fn test_set_default_leverage(mut margin_account: MarginAccount) {
543        assert_eq!(margin_account.default_leverage, 1.0);
544        margin_account.set_default_leverage(10.0);
545        assert_eq!(margin_account.default_leverage, 10.0);
546    }
547
548    #[rstest]
549    fn test_get_leverage_default_leverage(
550        margin_account: MarginAccount,
551        instrument_id_aud_usd_sim: InstrumentId,
552    ) {
553        assert_eq!(margin_account.get_leverage(&instrument_id_aud_usd_sim), 1.0);
554    }
555
556    #[rstest]
557    fn test_set_leverage(
558        mut margin_account: MarginAccount,
559        instrument_id_aud_usd_sim: InstrumentId,
560    ) {
561        assert_eq!(margin_account.leverages.len(), 0);
562        margin_account.set_leverage(instrument_id_aud_usd_sim, 10.0);
563        assert_eq!(margin_account.leverages.len(), 1);
564        assert_eq!(
565            margin_account.get_leverage(&instrument_id_aud_usd_sim),
566            10.0
567        );
568    }
569
570    #[rstest]
571    fn test_is_unleveraged_with_leverage_returns_false(
572        mut margin_account: MarginAccount,
573        instrument_id_aud_usd_sim: InstrumentId,
574    ) {
575        margin_account.set_leverage(instrument_id_aud_usd_sim, 10.0);
576        assert!(!margin_account.is_unleveraged(instrument_id_aud_usd_sim));
577    }
578
579    #[rstest]
580    fn test_is_unleveraged_with_no_leverage_returns_true(
581        mut margin_account: MarginAccount,
582        instrument_id_aud_usd_sim: InstrumentId,
583    ) {
584        margin_account.set_leverage(instrument_id_aud_usd_sim, 1.0);
585        assert!(margin_account.is_unleveraged(instrument_id_aud_usd_sim));
586    }
587
588    #[rstest]
589    fn test_is_unleveraged_with_default_leverage_of_1_returns_true(
590        margin_account: MarginAccount,
591        instrument_id_aud_usd_sim: InstrumentId,
592    ) {
593        assert!(margin_account.is_unleveraged(instrument_id_aud_usd_sim));
594    }
595
596    #[rstest]
597    fn test_update_margin_init(
598        mut margin_account: MarginAccount,
599        instrument_id_aud_usd_sim: InstrumentId,
600    ) {
601        assert_eq!(margin_account.margins.len(), 0);
602        let margin = Money::from("10000 USD");
603        margin_account.update_initial_margin(instrument_id_aud_usd_sim, margin);
604        assert_eq!(
605            margin_account.initial_margin(instrument_id_aud_usd_sim),
606            margin
607        );
608        let margins: Vec<Money> = margin_account
609            .margins
610            .values()
611            .map(|margin_balance| margin_balance.initial)
612            .collect();
613        assert_eq!(margins, vec![margin]);
614    }
615
616    #[rstest]
617    fn test_update_margin_maintenance(
618        mut margin_account: MarginAccount,
619        instrument_id_aud_usd_sim: InstrumentId,
620    ) {
621        let margin = Money::from("10000 USD");
622        margin_account.update_maintenance_margin(instrument_id_aud_usd_sim, margin);
623        assert_eq!(
624            margin_account.maintenance_margin(instrument_id_aud_usd_sim),
625            margin
626        );
627        let margins: Vec<Money> = margin_account
628            .margins
629            .values()
630            .map(|margin_balance| margin_balance.maintenance)
631            .collect();
632        assert_eq!(margins, vec![margin]);
633    }
634
635    #[rstest]
636    fn test_calculate_margin_init_with_leverage(
637        mut margin_account: MarginAccount,
638        audusd_sim: CurrencyPair,
639    ) {
640        margin_account.set_leverage(audusd_sim.id, 50.0);
641        let result = margin_account.calculate_initial_margin(
642            audusd_sim,
643            Quantity::from(100_000),
644            Price::from("0.8000"),
645            None,
646        );
647        assert_eq!(result, Money::from("48.00 USD"));
648    }
649
650    #[rstest]
651    fn test_calculate_margin_init_with_default_leverage(
652        mut margin_account: MarginAccount,
653        audusd_sim: CurrencyPair,
654    ) {
655        margin_account.set_default_leverage(10.0);
656        let result = margin_account.calculate_initial_margin(
657            audusd_sim,
658            Quantity::from(100_000),
659            Price::from("0.8"),
660            None,
661        );
662        assert_eq!(result, Money::from("240.00 USD"));
663    }
664
665    #[rstest]
666    fn test_calculate_margin_init_with_no_leverage_for_inverse(
667        mut margin_account: MarginAccount,
668        xbtusd_bitmex: CryptoPerpetual,
669    ) {
670        let result_use_quote_inverse_true = margin_account.calculate_initial_margin(
671            xbtusd_bitmex,
672            Quantity::from(100_000),
673            Price::from("11493.60"),
674            Some(false),
675        );
676        assert_eq!(result_use_quote_inverse_true, Money::from("0.08700494 BTC"));
677        let result_use_quote_inverse_false = margin_account.calculate_initial_margin(
678            xbtusd_bitmex,
679            Quantity::from(100_000),
680            Price::from("11493.60"),
681            Some(true),
682        );
683        assert_eq!(result_use_quote_inverse_false, Money::from("1000 USD"));
684    }
685
686    #[rstest]
687    fn test_calculate_margin_maintenance_with_no_leverage(
688        mut margin_account: MarginAccount,
689        xbtusd_bitmex: CryptoPerpetual,
690    ) {
691        let result = margin_account.calculate_maintenance_margin(
692            xbtusd_bitmex,
693            Quantity::from(100_000),
694            Price::from("11493.60"),
695            None,
696        );
697        assert_eq!(result, Money::from("0.03045173 BTC"));
698    }
699
700    #[rstest]
701    fn test_calculate_margin_maintenance_with_leverage_fx_instrument(
702        mut margin_account: MarginAccount,
703        audusd_sim: CurrencyPair,
704    ) {
705        margin_account.set_default_leverage(50.0);
706        let result = margin_account.calculate_maintenance_margin(
707            audusd_sim,
708            Quantity::from(1_000_000),
709            Price::from("1"),
710            None,
711        );
712        assert_eq!(result, Money::from("600.00 USD"));
713    }
714
715    #[rstest]
716    fn test_calculate_margin_maintenance_with_leverage_inverse_instrument(
717        mut margin_account: MarginAccount,
718        xbtusd_bitmex: CryptoPerpetual,
719    ) {
720        margin_account.set_default_leverage(10.0);
721        let result = margin_account.calculate_maintenance_margin(
722            xbtusd_bitmex,
723            Quantity::from(100_000),
724            Price::from("100000.00"),
725            None,
726        );
727        assert_eq!(result, Money::from("0.00035000 BTC"));
728    }
729
730    #[rstest]
731    fn test_calculate_pnls_github_issue_2657() {
732        // Create a margin account
733        let account_state = margin_account_state();
734        let account = MarginAccount::new(account_state, false);
735
736        // Create BTCUSDT instrument
737        let btcusdt = currency_pair_btcusdt();
738        let btcusdt_any = InstrumentAny::CurrencyPair(btcusdt);
739
740        // Create initial position with BUY 0.001 BTC at 50000.00
741        let fill1 = OrderFilled::new(
742            TraderId::from("TRADER-001"),
743            StrategyId::from("S-001"),
744            btcusdt.id,
745            ClientOrderId::from("O-1"),
746            VenueOrderId::from("V-1"),
747            AccountId::from("SIM-001"),
748            TradeId::from("T-1"),
749            OrderSide::Buy,
750            OrderType::Market,
751            Quantity::from("0.001"),
752            Price::from("50000.00"),
753            btcusdt.quote_currency,
754            LiquiditySide::Taker,
755            uuid4(),
756            UnixNanos::from(1_000_000_000),
757            UnixNanos::default(),
758            false,
759            Some(PositionId::from("P-GITHUB-2657")),
760            None,
761        );
762
763        let position = Position::new(&btcusdt_any, fill1);
764
765        // Create second fill that sells MORE than position size (0.002 > 0.001)
766        let fill2 = OrderFilled::new(
767            TraderId::from("TRADER-001"),
768            StrategyId::from("S-001"),
769            btcusdt.id,
770            ClientOrderId::from("O-2"),
771            VenueOrderId::from("V-2"),
772            AccountId::from("SIM-001"),
773            TradeId::from("T-2"),
774            OrderSide::Sell,
775            OrderType::Market,
776            Quantity::from("0.002"), // This is larger than position quantity!
777            Price::from("50075.00"),
778            btcusdt.quote_currency,
779            LiquiditySide::Taker,
780            uuid4(),
781            UnixNanos::from(2_000_000_000),
782            UnixNanos::default(),
783            false,
784            Some(PositionId::from("P-GITHUB-2657")),
785            None,
786        );
787
788        // Test the fix - should only calculate PnL for position quantity (0.001), not fill quantity (0.002)
789        let pnls = account
790            .calculate_pnls(btcusdt_any, fill2, Some(position))
791            .unwrap();
792
793        // Should have exactly one PnL entry
794        assert_eq!(pnls.len(), 1);
795
796        // Expected PnL should be for 0.001 BTC, not 0.002 BTC
797        // PnL = (50075.00 - 50000.00) * 0.001 = 75.0 * 0.001 = 0.075 USDT
798        let expected_pnl = Money::from("0.075 USDT");
799        assert_eq!(pnls[0], expected_pnl);
800    }
801
802    #[rstest]
803    fn test_calculate_pnls_with_same_side_fill_returns_empty() {
804        use nautilus_core::UnixNanos;
805
806        use crate::{
807            enums::{LiquiditySide, OrderSide, OrderType},
808            events::OrderFilled,
809            identifiers::{
810                AccountId, ClientOrderId, PositionId, StrategyId, TradeId, TraderId, VenueOrderId,
811                stubs::uuid4,
812            },
813            instruments::InstrumentAny,
814            position::Position,
815            types::{Price, Quantity},
816        };
817
818        // Create a margin account
819        let account_state = margin_account_state();
820        let account = MarginAccount::new(account_state, false);
821
822        // Create BTCUSDT instrument
823        let btcusdt = currency_pair_btcusdt();
824        let btcusdt_any = InstrumentAny::CurrencyPair(btcusdt);
825
826        // Create initial position with BUY 1.0 BTC at 50000.00
827        let fill1 = OrderFilled::new(
828            TraderId::from("TRADER-001"),
829            StrategyId::from("S-001"),
830            btcusdt.id,
831            ClientOrderId::from("O-1"),
832            VenueOrderId::from("V-1"),
833            AccountId::from("SIM-001"),
834            TradeId::from("T-1"),
835            OrderSide::Buy,
836            OrderType::Market,
837            Quantity::from("1.0"),
838            Price::from("50000.00"),
839            btcusdt.quote_currency,
840            LiquiditySide::Taker,
841            uuid4(),
842            UnixNanos::from(1_000_000_000),
843            UnixNanos::default(),
844            false,
845            Some(PositionId::from("P-123456")),
846            None,
847        );
848
849        let position = Position::new(&btcusdt_any, fill1);
850
851        // Create second fill that also BUYS (same side as position entry)
852        let fill2 = OrderFilled::new(
853            TraderId::from("TRADER-001"),
854            StrategyId::from("S-001"),
855            btcusdt.id,
856            ClientOrderId::from("O-2"),
857            VenueOrderId::from("V-2"),
858            AccountId::from("SIM-001"),
859            TradeId::from("T-2"),
860            OrderSide::Buy, // Same side as position entry
861            OrderType::Market,
862            Quantity::from("0.5"),
863            Price::from("51000.00"),
864            btcusdt.quote_currency,
865            LiquiditySide::Taker,
866            uuid4(),
867            UnixNanos::from(2_000_000_000),
868            UnixNanos::default(),
869            false,
870            Some(PositionId::from("P-123456")),
871            None,
872        );
873
874        // Test that no PnL is calculated for same-side fills
875        let pnls = account
876            .calculate_pnls(btcusdt_any, fill2, Some(position))
877            .unwrap();
878
879        // Should return empty PnL list
880        assert_eq!(pnls.len(), 0);
881    }
882}
nautilus_model/accounts/margin.rs

nautilus_model/accounts/
margin.rs
