nautilus_model/events/order/
filled.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
16use std::fmt::{Debug, Display};
17
18use derive_builder::Builder;
19use nautilus_core::{UUID4, UnixNanos};
20use rust_decimal::Decimal;
21use serde::{Deserialize, Serialize};
22use ustr::Ustr;
23
24use crate::{
25    enums::{
26        ContingencyType, LiquiditySide, OrderSide, OrderSideSpecified, OrderType, TimeInForce,
27        TrailingOffsetType, TriggerType,
28    },
29    events::OrderEvent,
30    identifiers::{
31        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
32        StrategyId, TradeId, TraderId, VenueOrderId,
33    },
34    types::{Currency, Money, Price, Quantity},
35};
36
37#[repr(C)]
38#[derive(Clone, Copy, PartialEq, Eq, Serialize, Deserialize, Builder)]
39#[builder(default)]
40#[serde(tag = "type")]
41#[cfg_attr(
42    feature = "python",
43    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
44)]
45pub struct OrderFilled {
46    /// The trader ID associated with the event.
47    pub trader_id: TraderId,
48    /// The strategy ID associated with the event.
49    pub strategy_id: StrategyId,
50    /// The instrument ID associated with the event.
51    pub instrument_id: InstrumentId,
52    /// The client order ID associated with the event.
53    pub client_order_id: ClientOrderId,
54    pub venue_order_id: VenueOrderId,
55    /// The account ID associated with the event.
56    pub account_id: AccountId,
57    /// The trade match ID (assigned by the venue).
58    pub trade_id: TradeId,
59    /// The order side.
60    pub order_side: OrderSide,
61    /// The order type.
62    pub order_type: OrderType,
63    /// The fill quantity for this execution.
64    pub last_qty: Quantity,
65    /// The fill price for this execution.
66    pub last_px: Price,
67    /// The currency of the `last_px`.
68    pub currency: Currency,
69    /// The liquidity side of the execution.
70    pub liquidity_side: LiquiditySide,
71    /// The unique identifier for the event.
72    pub event_id: UUID4,
73    /// UNIX timestamp (nanoseconds) when the event occurred.
74    pub ts_event: UnixNanos,
75    /// UNIX timestamp (nanoseconds) when the event was initialized.
76    pub ts_init: UnixNanos,
77    /// If the event was generated during reconciliation.
78    pub reconciliation: bool,
79    /// The position ID (assigned by the venue).
80    pub position_id: Option<PositionId>,
81    /// The commission generated from this execution.
82    pub commission: Option<Money>,
83}
84
85impl OrderFilled {
86    /// Creates a new [`OrderFilled`] instance.
87    #[allow(clippy::too_many_arguments)]
88    pub fn new(
89        trader_id: TraderId,
90        strategy_id: StrategyId,
91        instrument_id: InstrumentId,
92        client_order_id: ClientOrderId,
93        venue_order_id: VenueOrderId,
94        account_id: AccountId,
95        trade_id: TradeId,
96        order_side: OrderSide,
97        order_type: OrderType,
98        last_qty: Quantity,
99        last_px: Price,
100        currency: Currency,
101        liquidity_side: LiquiditySide,
102        event_id: UUID4,
103        ts_event: UnixNanos,
104        ts_init: UnixNanos,
105        reconciliation: bool,
106        position_id: Option<PositionId>,
107        commission: Option<Money>,
108    ) -> Self {
109        Self {
110            trader_id,
111            strategy_id,
112            instrument_id,
113            client_order_id,
114            venue_order_id,
115            account_id,
116            trade_id,
117            order_side,
118            order_type,
119            last_qty,
120            last_px,
121            currency,
122            liquidity_side,
123            event_id,
124            ts_event,
125            ts_init,
126            reconciliation,
127            position_id,
128            commission,
129        }
130    }
131
132    #[must_use]
133    pub fn specified_side(&self) -> OrderSideSpecified {
134        self.order_side.as_specified()
135    }
136
137    #[must_use]
138    pub fn is_buy(&self) -> bool {
139        self.order_side == OrderSide::Buy
140    }
141
142    #[must_use]
143    pub fn is_sell(&self) -> bool {
144        self.order_side == OrderSide::Sell
145    }
146}
147
148impl Default for OrderFilled {
149    /// Creates a new default [`OrderFilled`] instance for testing.
150    fn default() -> Self {
151        Self {
152            trader_id: TraderId::default(),
153            strategy_id: StrategyId::default(),
154            instrument_id: InstrumentId::default(),
155            client_order_id: ClientOrderId::default(),
156            venue_order_id: VenueOrderId::default(),
157            account_id: AccountId::default(),
158            trade_id: TradeId::default(),
159            position_id: None,
160            order_side: OrderSide::Buy,
161            order_type: OrderType::Market,
162            last_qty: Quantity::new(100_000.0, 0),
163            last_px: Price::from("1.00000"),
164            currency: Currency::USD(),
165            commission: None,
166            liquidity_side: LiquiditySide::Taker,
167            event_id: Default::default(),
168            ts_event: Default::default(),
169            ts_init: Default::default(),
170            reconciliation: Default::default(),
171        }
172    }
173}
174
175impl Debug for OrderFilled {
176    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
177        let position_id_str = match self.position_id {
178            Some(position_id) => position_id.to_string(),
179            None => "None".to_string(),
180        };
181        let commission_str = match self.commission {
182            Some(commission) => commission.to_string(),
183            None => "None".to_string(),
184        };
185        write!(
186            f,
187            "{}(\
188            trader_id={}, \
189            strategy_id={}, \
190            instrument_id={}, \
191            client_order_id={}, \
192            venue_order_id={}, \
193            account_id={}, \
194            trade_id={}, \
195            position_id={}, \
196            order_side={}, \
197            order_type={}, \
198            last_qty={}, \
199            last_px={} {}, \
200            commission={}, \
201            liquidity_side={}, \
202            event_id={}, \
203            ts_event={}, \
204            ts_init={})",
205            stringify!(OrderFilled),
206            self.trader_id,
207            self.strategy_id,
208            self.instrument_id,
209            self.client_order_id,
210            self.venue_order_id,
211            self.account_id,
212            self.trade_id,
213            position_id_str,
214            self.order_side,
215            self.order_type,
216            self.last_qty.to_formatted_string(),
217            self.last_px.to_formatted_string(),
218            self.currency,
219            commission_str,
220            self.liquidity_side,
221            self.event_id,
222            self.ts_event,
223            self.ts_init
224        )
225    }
226}
227
228impl Display for OrderFilled {
229    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
230        write!(
231            f,
232            "{}(\
233            instrument_id={}, \
234            client_order_id={}, \
235            venue_order_id={}, \
236            account_id={}, \
237            trade_id={}, \
238            position_id={}, \
239            order_side={}, \
240            order_type={}, \
241            last_qty={}, \
242            last_px={} {}, \
243            commission={}, \
244            liquidity_side={}, \
245            ts_event={})",
246            stringify!(OrderFilled),
247            self.instrument_id,
248            self.client_order_id,
249            self.venue_order_id,
250            self.account_id,
251            self.trade_id,
252            self.position_id.unwrap_or_default(),
253            self.order_side,
254            self.order_type,
255            self.last_qty.to_formatted_string(),
256            self.last_px.to_formatted_string(),
257            self.currency,
258            self.commission.unwrap_or(Money::from("0.0 USD")),
259            self.liquidity_side,
260            self.ts_event
261        )
262    }
263}
264
265impl OrderEvent for OrderFilled {
266    fn id(&self) -> UUID4 {
267        self.event_id
268    }
269
270    fn kind(&self) -> &str {
271        stringify!(OrderFilled)
272    }
273
274    fn order_type(&self) -> Option<OrderType> {
275        Some(self.order_type)
276    }
277
278    fn order_side(&self) -> Option<OrderSide> {
279        Some(self.order_side)
280    }
281
282    fn trader_id(&self) -> TraderId {
283        self.trader_id
284    }
285
286    fn strategy_id(&self) -> StrategyId {
287        self.strategy_id
288    }
289
290    fn instrument_id(&self) -> InstrumentId {
291        self.instrument_id
292    }
293
294    fn trade_id(&self) -> Option<TradeId> {
295        Some(self.trade_id)
296    }
297
298    fn currency(&self) -> Option<Currency> {
299        Some(self.currency)
300    }
301
302    fn client_order_id(&self) -> ClientOrderId {
303        self.client_order_id
304    }
305
306    fn reason(&self) -> Option<Ustr> {
307        None
308    }
309
310    fn quantity(&self) -> Option<Quantity> {
311        Some(self.last_qty)
312    }
313
314    fn time_in_force(&self) -> Option<TimeInForce> {
315        None
316    }
317
318    fn liquidity_side(&self) -> Option<LiquiditySide> {
319        Some(self.liquidity_side)
320    }
321
322    fn post_only(&self) -> Option<bool> {
323        None
324    }
325
326    fn reduce_only(&self) -> Option<bool> {
327        None
328    }
329
330    fn quote_quantity(&self) -> Option<bool> {
331        None
332    }
333
334    fn reconciliation(&self) -> bool {
335        self.reconciliation
336    }
337
338    fn price(&self) -> Option<Price> {
339        None
340    }
341
342    fn last_px(&self) -> Option<Price> {
343        Some(self.last_px)
344    }
345
346    fn last_qty(&self) -> Option<Quantity> {
347        Some(self.last_qty)
348    }
349
350    fn trigger_price(&self) -> Option<Price> {
351        None
352    }
353
354    fn trigger_type(&self) -> Option<TriggerType> {
355        None
356    }
357
358    fn limit_offset(&self) -> Option<Decimal> {
359        None
360    }
361
362    fn trailing_offset(&self) -> Option<Decimal> {
363        None
364    }
365
366    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
367        None
368    }
369
370    fn expire_time(&self) -> Option<UnixNanos> {
371        None
372    }
373
374    fn display_qty(&self) -> Option<Quantity> {
375        None
376    }
377
378    fn emulation_trigger(&self) -> Option<TriggerType> {
379        None
380    }
381
382    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
383        None
384    }
385
386    fn contingency_type(&self) -> Option<ContingencyType> {
387        None
388    }
389
390    fn order_list_id(&self) -> Option<OrderListId> {
391        None
392    }
393
394    fn linked_order_ids(&self) -> Option<Vec<ClientOrderId>> {
395        None
396    }
397
398    fn parent_order_id(&self) -> Option<ClientOrderId> {
399        None
400    }
401
402    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
403        None
404    }
405
406    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
407        None
408    }
409
410    fn venue_order_id(&self) -> Option<VenueOrderId> {
411        Some(self.venue_order_id)
412    }
413
414    fn account_id(&self) -> Option<AccountId> {
415        Some(self.account_id)
416    }
417
418    fn position_id(&self) -> Option<PositionId> {
419        self.position_id
420    }
421
422    fn commission(&self) -> Option<Money> {
423        self.commission
424    }
425
426    fn ts_event(&self) -> UnixNanos {
427        self.ts_event
428    }
429
430    fn ts_init(&self) -> UnixNanos {
431        self.ts_init
432    }
433}
434
435#[cfg(test)]
436mod tests {
437    use nautilus_core::UnixNanos;
438    use rstest::rstest;
439
440    use super::*;
441    use crate::{
442        enums::{LiquiditySide, OrderSide, OrderSideSpecified, OrderType},
443        events::order::stubs::*,
444        identifiers::{
445            AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TradeId, TraderId,
446            VenueOrderId,
447        },
448        types::{Currency, Money, Price, Quantity},
449    };
450
451    fn create_test_order_filled() -> OrderFilled {
452        OrderFilled::new(
453            TraderId::from("TRADER-001"),
454            StrategyId::from("EMA-CROSS"),
455            InstrumentId::from("EURUSD.SIM"),
456            ClientOrderId::from("O-19700101-000000-001-001-1"),
457            VenueOrderId::from("V-001"),
458            AccountId::from("SIM-001"),
459            TradeId::from("T-001"),
460            OrderSide::Buy,
461            OrderType::Market,
462            Quantity::from("100"),
463            Price::from("1.0500"),
464            Currency::USD(),
465            LiquiditySide::Taker,
466            Default::default(),
467            UnixNanos::from(1_000_000_000),
468            UnixNanos::from(2_000_000_000),
469            false,
470            Some(PositionId::from("P-001")),
471            Some(Money::new(2.5, Currency::USD())),
472        )
473    }
474
475    #[rstest]
476    fn test_order_filled_new() {
477        let order_filled = create_test_order_filled();
478
479        assert_eq!(order_filled.trader_id, TraderId::from("TRADER-001"));
480        assert_eq!(order_filled.strategy_id, StrategyId::from("EMA-CROSS"));
481        assert_eq!(order_filled.instrument_id, InstrumentId::from("EURUSD.SIM"));
482        assert_eq!(
483            order_filled.client_order_id,
484            ClientOrderId::from("O-19700101-000000-001-001-1")
485        );
486        assert_eq!(order_filled.venue_order_id, VenueOrderId::from("V-001"));
487        assert_eq!(order_filled.account_id, AccountId::from("SIM-001"));
488        assert_eq!(order_filled.trade_id, TradeId::from("T-001"));
489        assert_eq!(order_filled.order_side, OrderSide::Buy);
490        assert_eq!(order_filled.order_type, OrderType::Market);
491        assert_eq!(order_filled.last_qty, Quantity::from("100"));
492        assert_eq!(order_filled.last_px, Price::from("1.0500"));
493        assert_eq!(order_filled.currency, Currency::USD());
494        assert_eq!(order_filled.liquidity_side, LiquiditySide::Taker);
495        assert_eq!(order_filled.position_id, Some(PositionId::from("P-001")));
496        assert_eq!(
497            order_filled.commission,
498            Some(Money::new(2.5, Currency::USD()))
499        );
500        assert!(!order_filled.reconciliation);
501    }
502
503    #[rstest]
504    fn test_order_filled_display(order_filled: OrderFilled) {
505        let display = format!("{order_filled}");
506        assert_eq!(
507            display,
508            "OrderFilled(instrument_id=BTCUSDT.COINBASE, client_order_id=O-19700101-000000-001-001-1, \
509            venue_order_id=123456, account_id=SIM-001, trade_id=1, position_id=P-001, \
510            order_side=BUY, order_type=LIMIT, last_qty=0.561, last_px=22_000 USDT, \
511            commission=12.20000000 USDT, liquidity_side=TAKER, ts_event=0)"
512        );
513    }
514
515    #[rstest]
516    fn test_order_filled_is_buy(order_filled: OrderFilled) {
517        assert!(order_filled.is_buy());
518        assert!(!order_filled.is_sell());
519    }
520
521    #[rstest]
522    fn test_order_filled_is_sell() {
523        let mut order_filled = create_test_order_filled();
524        order_filled.order_side = OrderSide::Sell;
525
526        assert!(order_filled.is_sell());
527        assert!(!order_filled.is_buy());
528    }
529
530    #[rstest]
531    fn test_order_filled_specified_side() {
532        let buy_order = create_test_order_filled();
533        assert_eq!(buy_order.specified_side(), OrderSideSpecified::Buy);
534
535        let mut sell_order = create_test_order_filled();
536        sell_order.order_side = OrderSide::Sell;
537        assert_eq!(sell_order.specified_side(), OrderSideSpecified::Sell);
538    }
539
540    #[rstest]
541    fn test_order_filled_default() {
542        let order_filled = OrderFilled::default();
543
544        assert_eq!(order_filled.trader_id, TraderId::default());
545        assert_eq!(order_filled.strategy_id, StrategyId::default());
546        assert_eq!(order_filled.instrument_id, InstrumentId::default());
547        assert_eq!(order_filled.client_order_id, ClientOrderId::default());
548        assert_eq!(order_filled.venue_order_id, VenueOrderId::default());
549        assert_eq!(order_filled.account_id, AccountId::default());
550        assert_eq!(order_filled.trade_id, TradeId::default());
551        assert_eq!(order_filled.order_side, OrderSide::Buy);
552        assert_eq!(order_filled.order_type, OrderType::Market);
553        assert_eq!(order_filled.currency, Currency::USD());
554        assert_eq!(order_filled.liquidity_side, LiquiditySide::Taker);
555        assert_eq!(order_filled.position_id, None);
556        assert_eq!(order_filled.commission, None);
557        assert!(!order_filled.reconciliation);
558    }
559
560    #[rstest]
561    fn test_order_filled_order_event_trait() {
562        let order_filled = create_test_order_filled();
563
564        assert_eq!(order_filled.id(), order_filled.event_id);
565        assert_eq!(order_filled.kind(), "OrderFilled");
566        assert_eq!(order_filled.order_type(), Some(OrderType::Market));
567        assert_eq!(order_filled.order_side(), Some(OrderSide::Buy));
568        assert_eq!(order_filled.trader_id(), TraderId::from("TRADER-001"));
569        assert_eq!(order_filled.strategy_id(), StrategyId::from("EMA-CROSS"));
570        assert_eq!(
571            order_filled.instrument_id(),
572            InstrumentId::from("EURUSD.SIM")
573        );
574        assert_eq!(order_filled.trade_id(), Some(TradeId::from("T-001")));
575        assert_eq!(order_filled.currency(), Some(Currency::USD()));
576        assert_eq!(
577            order_filled.client_order_id(),
578            ClientOrderId::from("O-19700101-000000-001-001-1")
579        );
580        assert_eq!(order_filled.reason(), None);
581        assert_eq!(order_filled.quantity(), Some(Quantity::from("100")));
582        assert_eq!(order_filled.liquidity_side(), Some(LiquiditySide::Taker));
583        assert!(!order_filled.reconciliation());
584        assert_eq!(
585            order_filled.venue_order_id(),
586            Some(VenueOrderId::from("V-001"))
587        );
588        assert_eq!(order_filled.account_id(), Some(AccountId::from("SIM-001")));
589        assert_eq!(order_filled.position_id(), Some(PositionId::from("P-001")));
590        assert_eq!(
591            order_filled.commission(),
592            Some(Money::new(2.5, Currency::USD()))
593        );
594        assert_eq!(order_filled.last_px(), Some(Price::from("1.0500")));
595        assert_eq!(order_filled.last_qty(), Some(Quantity::from("100")));
596    }
597
598    #[rstest]
599    fn test_order_filled_different_order_types() {
600        let mut market_order = create_test_order_filled();
601        market_order.order_type = OrderType::Market;
602
603        let mut limit_order = create_test_order_filled();
604        limit_order.order_type = OrderType::Limit;
605
606        let mut stop_order = create_test_order_filled();
607        stop_order.order_type = OrderType::StopMarket;
608
609        assert_ne!(market_order, limit_order);
610        assert_ne!(limit_order, stop_order);
611        assert_eq!(market_order.order_type, OrderType::Market);
612        assert_eq!(limit_order.order_type, OrderType::Limit);
613        assert_eq!(stop_order.order_type, OrderType::StopMarket);
614    }
615
616    #[rstest]
617    fn test_order_filled_different_liquidity_sides() {
618        let mut taker = create_test_order_filled();
619        taker.liquidity_side = LiquiditySide::Taker;
620
621        let mut maker = create_test_order_filled();
622        maker.liquidity_side = LiquiditySide::Maker;
623
624        assert_ne!(taker, maker);
625        assert_eq!(taker.liquidity_side, LiquiditySide::Taker);
626        assert_eq!(maker.liquidity_side, LiquiditySide::Maker);
627    }
628
629    #[rstest]
630    fn test_order_filled_without_position_id() {
631        let mut order_filled = create_test_order_filled();
632        order_filled.position_id = None;
633
634        assert!(order_filled.position_id.is_none());
635    }
636
637    #[rstest]
638    fn test_order_filled_without_commission() {
639        let mut order_filled = create_test_order_filled();
640        order_filled.commission = None;
641
642        assert!(order_filled.commission.is_none());
643    }
644
645    #[rstest]
646    fn test_order_filled_with_reconciliation() {
647        let mut order_filled = create_test_order_filled();
648        order_filled.reconciliation = true;
649
650        assert!(order_filled.reconciliation);
651    }
652
653    #[rstest]
654    fn test_order_filled_clone() {
655        let order_filled1 = create_test_order_filled();
656        let order_filled2 = order_filled1;
657
658        assert_eq!(order_filled1, order_filled2);
659    }
660
661    #[rstest]
662    fn test_order_filled_debug() {
663        let order_filled = create_test_order_filled();
664        let debug_str = format!("{order_filled:?}");
665
666        assert!(debug_str.contains("OrderFilled"));
667        assert!(debug_str.contains("TRADER-001"));
668        assert!(debug_str.contains("EMA-CROSS"));
669        assert!(debug_str.contains("EURUSD.SIM"));
670        assert!(debug_str.contains("P-001"));
671    }
672
673    #[rstest]
674    fn test_order_filled_partial_eq() {
675        let order_filled1 = create_test_order_filled();
676        let mut order_filled2 = create_test_order_filled();
677        order_filled2.event_id = order_filled1.event_id; // Make event_ids equal
678        let mut order_filled3 = create_test_order_filled();
679        order_filled3.trade_id = TradeId::from("T-002");
680
681        assert_eq!(order_filled1, order_filled2);
682        assert_ne!(order_filled1, order_filled3);
683    }
684
685    #[rstest]
686    fn test_order_filled_timestamps() {
687        let order_filled = create_test_order_filled();
688
689        assert_eq!(order_filled.ts_event, UnixNanos::from(1_000_000_000));
690        assert_eq!(order_filled.ts_init, UnixNanos::from(2_000_000_000));
691        assert!(order_filled.ts_event < order_filled.ts_init);
692    }
693
694    #[rstest]
695    fn test_order_filled_different_currencies() {
696        let mut usd_fill = create_test_order_filled();
697        usd_fill.currency = Currency::USD();
698
699        let mut eur_fill = create_test_order_filled();
700        eur_fill.currency = Currency::EUR();
701
702        assert_ne!(usd_fill, eur_fill);
703        assert_eq!(usd_fill.currency, Currency::USD());
704        assert_eq!(eur_fill.currency, Currency::EUR());
705    }
706
707    #[rstest]
708    fn test_order_filled_different_prices_and_quantities() {
709        let mut large_fill = create_test_order_filled();
710        large_fill.last_qty = Quantity::from("1000");
711        large_fill.last_px = Price::from("1.1000");
712
713        let mut small_fill = create_test_order_filled();
714        small_fill.last_qty = Quantity::from("100");
715        small_fill.last_px = Price::from("1.0500");
716
717        assert_ne!(large_fill, small_fill);
718        assert_eq!(large_fill.last_qty, Quantity::from("1000"));
719        assert_eq!(large_fill.last_px, Price::from("1.1000"));
720        assert_eq!(small_fill.last_qty, Quantity::from("100"));
721        assert_eq!(small_fill.last_px, Price::from("1.0500"));
722    }
723
724    #[rstest]
725    fn test_order_filled_serialization() {
726        let original = create_test_order_filled();
727
728        let json = serde_json::to_string(&original).unwrap();
729        let deserialized: OrderFilled = serde_json::from_str(&json).unwrap();
730
731        assert_eq!(original, deserialized);
732    }
733}
nautilus_model/events/order/filled.rs

nautilus_model/events/order/
filled.rs
