nautilus_model/events/order/
rejected.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, serialization::from_bool_as_u8};
20use rust_decimal::Decimal;
21use serde::{Deserialize, Serialize};
22use ustr::Ustr;
23
24use crate::{
25    enums::{
26        ContingencyType, LiquiditySide, OrderSide, OrderType, TimeInForce, TrailingOffsetType,
27        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/// Represents an event where an order has been rejected by the trading venue.
38#[repr(C)]
39#[derive(Clone, Copy, PartialEq, Eq, Default, Serialize, Deserialize, Builder)]
40#[builder(default)]
41#[serde(tag = "type")]
42#[cfg_attr(
43    feature = "python",
44    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
45)]
46pub struct OrderRejected {
47    /// The trader ID associated with the event.
48    pub trader_id: TraderId,
49    /// The strategy ID associated with the event.
50    pub strategy_id: StrategyId,
51    /// The instrument ID associated with the event.
52    pub instrument_id: InstrumentId,
53    /// The client order ID associated with the event.
54    pub client_order_id: ClientOrderId,
55    /// The account ID associated with the event.
56    pub account_id: AccountId,
57    /// The reason the order was rejected.
58    pub reason: Ustr,
59    /// The unique identifier for the event.
60    pub event_id: UUID4,
61    /// UNIX timestamp (nanoseconds) when the event occurred.
62    pub ts_event: UnixNanos,
63    /// UNIX timestamp (nanoseconds) when the event was initialized.
64    pub ts_init: UnixNanos,
65    /// If the event was generated during reconciliation.
66    #[serde(deserialize_with = "from_bool_as_u8")]
67    pub reconciliation: u8, // TODO: Change to bool once Cython removed
68    /// If the order was rejected because it was post-only and would execute immediately as a taker.
69    #[serde(default, deserialize_with = "from_bool_as_u8")]
70    pub due_post_only: u8, // TODO: Change to bool once Cython removed
71}
72
73impl OrderRejected {
74    /// Creates a new [`OrderRejected`] instance.
75    #[allow(clippy::too_many_arguments)]
76    pub fn new(
77        trader_id: TraderId,
78        strategy_id: StrategyId,
79        instrument_id: InstrumentId,
80        client_order_id: ClientOrderId,
81        account_id: AccountId,
82        reason: Ustr,
83        event_id: UUID4,
84        ts_event: UnixNanos,
85        ts_init: UnixNanos,
86        reconciliation: bool,
87        due_post_only: bool,
88    ) -> Self {
89        Self {
90            trader_id,
91            strategy_id,
92            instrument_id,
93            client_order_id,
94            account_id,
95            reason,
96            event_id,
97            ts_event,
98            ts_init,
99            reconciliation: u8::from(reconciliation),
100            due_post_only: u8::from(due_post_only),
101        }
102    }
103}
104
105impl Debug for OrderRejected {
106    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
107        write!(
108            f,
109            "{}(trader_id={}, strategy_id={}, instrument_id={}, client_order_id={}, account_id={}, reason='{}', event_id={}, ts_event={}, ts_init={})",
110            stringify!(OrderRejected),
111            self.trader_id,
112            self.strategy_id,
113            self.instrument_id,
114            self.client_order_id,
115            self.account_id,
116            self.reason,
117            self.event_id,
118            self.ts_event,
119            self.ts_init
120        )
121    }
122}
123
124impl Display for OrderRejected {
125    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
126        write!(
127            f,
128            "{}(instrument_id={}, client_order_id={}, account_id={}, reason='{}', ts_event={})",
129            stringify!(OrderRejected),
130            self.instrument_id,
131            self.client_order_id,
132            self.account_id,
133            self.reason,
134            self.ts_event
135        )
136    }
137}
138
139impl OrderEvent for OrderRejected {
140    fn id(&self) -> UUID4 {
141        self.event_id
142    }
143
144    fn kind(&self) -> &str {
145        stringify!(OrderRejected)
146    }
147
148    fn order_type(&self) -> Option<OrderType> {
149        None
150    }
151
152    fn order_side(&self) -> Option<OrderSide> {
153        None
154    }
155
156    fn trader_id(&self) -> TraderId {
157        self.trader_id
158    }
159
160    fn strategy_id(&self) -> StrategyId {
161        self.strategy_id
162    }
163
164    fn instrument_id(&self) -> InstrumentId {
165        self.instrument_id
166    }
167
168    fn trade_id(&self) -> Option<TradeId> {
169        None
170    }
171
172    fn currency(&self) -> Option<Currency> {
173        None
174    }
175
176    fn client_order_id(&self) -> ClientOrderId {
177        self.client_order_id
178    }
179
180    fn reason(&self) -> Option<Ustr> {
181        Some(self.reason)
182    }
183
184    fn quantity(&self) -> Option<Quantity> {
185        None
186    }
187
188    fn time_in_force(&self) -> Option<TimeInForce> {
189        None
190    }
191
192    fn liquidity_side(&self) -> Option<LiquiditySide> {
193        None
194    }
195
196    fn post_only(&self) -> Option<bool> {
197        None
198    }
199
200    fn reduce_only(&self) -> Option<bool> {
201        None
202    }
203
204    fn quote_quantity(&self) -> Option<bool> {
205        None
206    }
207
208    fn reconciliation(&self) -> bool {
209        false
210    }
211
212    fn price(&self) -> Option<Price> {
213        None
214    }
215
216    fn last_px(&self) -> Option<Price> {
217        None
218    }
219
220    fn last_qty(&self) -> Option<Quantity> {
221        None
222    }
223
224    fn trigger_price(&self) -> Option<Price> {
225        None
226    }
227
228    fn trigger_type(&self) -> Option<TriggerType> {
229        None
230    }
231
232    fn limit_offset(&self) -> Option<Decimal> {
233        None
234    }
235
236    fn trailing_offset(&self) -> Option<Decimal> {
237        None
238    }
239
240    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
241        None
242    }
243
244    fn expire_time(&self) -> Option<UnixNanos> {
245        None
246    }
247
248    fn display_qty(&self) -> Option<Quantity> {
249        None
250    }
251
252    fn emulation_trigger(&self) -> Option<TriggerType> {
253        None
254    }
255
256    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
257        None
258    }
259
260    fn contingency_type(&self) -> Option<ContingencyType> {
261        None
262    }
263
264    fn order_list_id(&self) -> Option<OrderListId> {
265        None
266    }
267
268    fn linked_order_ids(&self) -> Option<Vec<ClientOrderId>> {
269        None
270    }
271
272    fn parent_order_id(&self) -> Option<ClientOrderId> {
273        None
274    }
275
276    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
277        None
278    }
279
280    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
281        None
282    }
283
284    fn venue_order_id(&self) -> Option<VenueOrderId> {
285        None
286    }
287
288    fn account_id(&self) -> Option<AccountId> {
289        Some(self.account_id)
290    }
291
292    fn position_id(&self) -> Option<PositionId> {
293        None
294    }
295
296    fn commission(&self) -> Option<Money> {
297        None
298    }
299
300    fn ts_event(&self) -> UnixNanos {
301        self.ts_event
302    }
303
304    fn ts_init(&self) -> UnixNanos {
305        self.ts_init
306    }
307}
308
309////////////////////////////////////////////////////////////////////////////////
310// Tests
311////////////////////////////////////////////////////////////////////////////////
312#[cfg(test)]
313mod tests {
314    use nautilus_core::UnixNanos;
315    use rstest::rstest;
316    use ustr::Ustr;
317
318    use super::*;
319    use crate::{
320        events::order::stubs::*,
321        identifiers::{AccountId, ClientOrderId, InstrumentId, StrategyId, TraderId},
322    };
323
324    fn create_test_order_rejected() -> OrderRejected {
325        OrderRejected::new(
326            TraderId::from("TRADER-001"),
327            StrategyId::from("EMA-CROSS"),
328            InstrumentId::from("EURUSD.SIM"),
329            ClientOrderId::from("O-19700101-000000-001-001-1"),
330            AccountId::from("SIM-001"),
331            Ustr::from("INSUFFICIENT_MARGIN"),
332            Default::default(),
333            UnixNanos::from(1_000_000_000),
334            UnixNanos::from(2_000_000_000),
335            false,
336            false,
337        )
338    }
339
340    #[rstest]
341    fn test_order_rejected_new() {
342        let order_rejected = create_test_order_rejected();
343
344        assert_eq!(order_rejected.trader_id, TraderId::from("TRADER-001"));
345        assert_eq!(order_rejected.strategy_id, StrategyId::from("EMA-CROSS"));
346        assert_eq!(
347            order_rejected.instrument_id,
348            InstrumentId::from("EURUSD.SIM")
349        );
350        assert_eq!(
351            order_rejected.client_order_id,
352            ClientOrderId::from("O-19700101-000000-001-001-1")
353        );
354        assert_eq!(order_rejected.account_id, AccountId::from("SIM-001"));
355        assert_eq!(order_rejected.reason, Ustr::from("INSUFFICIENT_MARGIN"));
356        assert_eq!(order_rejected.ts_event, UnixNanos::from(1_000_000_000));
357        assert_eq!(order_rejected.ts_init, UnixNanos::from(2_000_000_000));
358        assert_eq!(order_rejected.reconciliation, 0);
359        assert_eq!(order_rejected.due_post_only, 0);
360    }
361
362    #[rstest]
363    fn test_order_rejected_new_with_reconciliation() {
364        let order_rejected = OrderRejected::new(
365            TraderId::from("TRADER-001"),
366            StrategyId::from("EMA-CROSS"),
367            InstrumentId::from("EURUSD.SIM"),
368            ClientOrderId::from("O-19700101-000000-001-001-1"),
369            AccountId::from("SIM-001"),
370            Ustr::from("INVALID_PRICE"),
371            Default::default(),
372            UnixNanos::from(1_000_000_000),
373            UnixNanos::from(2_000_000_000),
374            true,
375            false,
376        );
377
378        assert_eq!(order_rejected.reconciliation, 1);
379    }
380
381    #[rstest]
382    fn test_order_rejected_clone() {
383        let order_rejected1 = create_test_order_rejected();
384        let order_rejected2 = order_rejected1;
385
386        assert_eq!(order_rejected1, order_rejected2);
387    }
388
389    #[rstest]
390    fn test_order_rejected_debug() {
391        let order_rejected = create_test_order_rejected();
392        let debug_str = format!("{order_rejected:?}");
393
394        assert!(debug_str.contains("OrderRejected"));
395        assert!(debug_str.contains("TRADER-001"));
396        assert!(debug_str.contains("EMA-CROSS"));
397        assert!(debug_str.contains("EURUSD.SIM"));
398        assert!(debug_str.contains("O-19700101-000000-001-001-1"));
399        assert!(debug_str.contains("INSUFFICIENT_MARGIN"));
400    }
401
402    #[rstest]
403    fn test_order_rejected_display(order_rejected_insufficient_margin: OrderRejected) {
404        let display = format!("{order_rejected_insufficient_margin}");
405        assert_eq!(
406            display,
407            "OrderRejected(instrument_id=BTCUSDT.COINBASE, client_order_id=O-19700101-000000-001-001-1, \
408        account_id=SIM-001, reason='INSUFFICIENT_MARGIN', ts_event=0)"
409        );
410    }
411
412    #[rstest]
413    fn test_order_rejected_partial_eq() {
414        let order_rejected1 = create_test_order_rejected();
415        let mut order_rejected2 = create_test_order_rejected();
416        order_rejected2.event_id = order_rejected1.event_id; // Make event_ids equal
417        let mut order_rejected3 = create_test_order_rejected();
418        order_rejected3.reason = Ustr::from("INVALID_ORDER");
419
420        assert_eq!(order_rejected1, order_rejected2);
421        assert_ne!(order_rejected1, order_rejected3);
422    }
423
424    #[rstest]
425    fn test_order_rejected_default() {
426        let order_rejected = OrderRejected::default();
427
428        assert_eq!(order_rejected.trader_id, TraderId::default());
429        assert_eq!(order_rejected.strategy_id, StrategyId::default());
430        assert_eq!(order_rejected.instrument_id, InstrumentId::default());
431        assert_eq!(order_rejected.client_order_id, ClientOrderId::default());
432        assert_eq!(order_rejected.account_id, AccountId::default());
433        assert_eq!(order_rejected.reconciliation, 0);
434        assert_eq!(order_rejected.due_post_only, 0);
435    }
436
437    #[rstest]
438    fn test_order_rejected_order_event_trait() {
439        let order_rejected = create_test_order_rejected();
440
441        assert_eq!(order_rejected.id(), order_rejected.event_id);
442        assert_eq!(order_rejected.kind(), "OrderRejected");
443        assert_eq!(order_rejected.order_type(), None);
444        assert_eq!(order_rejected.order_side(), None);
445        assert_eq!(order_rejected.trader_id(), TraderId::from("TRADER-001"));
446        assert_eq!(order_rejected.strategy_id(), StrategyId::from("EMA-CROSS"));
447        assert_eq!(
448            order_rejected.instrument_id(),
449            InstrumentId::from("EURUSD.SIM")
450        );
451        assert_eq!(order_rejected.trade_id(), None);
452        assert_eq!(order_rejected.currency(), None);
453        assert_eq!(
454            order_rejected.client_order_id(),
455            ClientOrderId::from("O-19700101-000000-001-001-1")
456        );
457        assert_eq!(
458            order_rejected.reason(),
459            Some(Ustr::from("INSUFFICIENT_MARGIN"))
460        );
461        assert_eq!(order_rejected.quantity(), None);
462        assert_eq!(order_rejected.time_in_force(), None);
463        assert_eq!(order_rejected.liquidity_side(), None);
464        assert_eq!(order_rejected.post_only(), None);
465        assert_eq!(order_rejected.reduce_only(), None);
466        assert_eq!(order_rejected.quote_quantity(), None);
467        assert!(!order_rejected.reconciliation());
468        assert_eq!(order_rejected.venue_order_id(), None);
469        assert_eq!(
470            order_rejected.account_id(),
471            Some(AccountId::from("SIM-001"))
472        );
473        assert_eq!(order_rejected.position_id(), None);
474        assert_eq!(order_rejected.commission(), None);
475        assert_eq!(order_rejected.ts_event(), UnixNanos::from(1_000_000_000));
476        assert_eq!(order_rejected.ts_init(), UnixNanos::from(2_000_000_000));
477    }
478
479    #[rstest]
480    fn test_order_rejected_different_reasons() {
481        let mut insufficient_margin = create_test_order_rejected();
482        insufficient_margin.reason = Ustr::from("INSUFFICIENT_MARGIN");
483
484        let mut invalid_price = create_test_order_rejected();
485        invalid_price.reason = Ustr::from("INVALID_PRICE");
486
487        let mut market_closed = create_test_order_rejected();
488        market_closed.reason = Ustr::from("MARKET_CLOSED");
489
490        assert_ne!(insufficient_margin, invalid_price);
491        assert_ne!(invalid_price, market_closed);
492        assert_eq!(
493            insufficient_margin.reason,
494            Ustr::from("INSUFFICIENT_MARGIN")
495        );
496        assert_eq!(invalid_price.reason, Ustr::from("INVALID_PRICE"));
497        assert_eq!(market_closed.reason, Ustr::from("MARKET_CLOSED"));
498    }
499
500    #[rstest]
501    fn test_order_rejected_timestamps() {
502        let order_rejected = create_test_order_rejected();
503
504        assert_eq!(order_rejected.ts_event, UnixNanos::from(1_000_000_000));
505        assert_eq!(order_rejected.ts_init, UnixNanos::from(2_000_000_000));
506        assert!(order_rejected.ts_event < order_rejected.ts_init);
507    }
508
509    #[rstest]
510    fn test_order_rejected_serialization() {
511        let original = create_test_order_rejected();
512
513        let json = serde_json::to_string(&original).unwrap();
514        let deserialized: OrderRejected = serde_json::from_str(&json).unwrap();
515
516        assert_eq!(original, deserialized);
517    }
518
519    #[rstest]
520    fn test_order_rejected_different_accounts() {
521        let mut live_account = create_test_order_rejected();
522        live_account.account_id = AccountId::from("LIVE-001");
523
524        let mut sim_account = create_test_order_rejected();
525        sim_account.account_id = AccountId::from("SIM-001");
526
527        assert_ne!(live_account, sim_account);
528        assert_eq!(live_account.account_id, AccountId::from("LIVE-001"));
529        assert_eq!(sim_account.account_id, AccountId::from("SIM-001"));
530    }
531
532    #[rstest]
533    fn test_order_rejected_different_instruments() {
534        let mut btc_order = create_test_order_rejected();
535        btc_order.instrument_id = InstrumentId::from("BTCUSD.COINBASE");
536
537        let mut eth_order = create_test_order_rejected();
538        eth_order.instrument_id = InstrumentId::from("ETHUSD.COINBASE");
539
540        assert_ne!(btc_order, eth_order);
541        assert_eq!(
542            btc_order.instrument_id,
543            InstrumentId::from("BTCUSD.COINBASE")
544        );
545        assert_eq!(
546            eth_order.instrument_id,
547            InstrumentId::from("ETHUSD.COINBASE")
548        );
549    }
550
551    #[rstest]
552    fn test_order_rejected_with_due_post_only() {
553        let order_rejected = OrderRejected::new(
554            TraderId::from("TRADER-001"),
555            StrategyId::from("EMA-CROSS"),
556            InstrumentId::from("EURUSD.SIM"),
557            ClientOrderId::from("O-19700101-000000-001-001-1"),
558            AccountId::from("SIM-001"),
559            Ustr::from("POST_ONLY_WOULD_EXECUTE"),
560            Default::default(),
561            UnixNanos::from(1_000_000_000),
562            UnixNanos::from(2_000_000_000),
563            false,
564            true,
565        );
566
567        assert_eq!(order_rejected.due_post_only, 1);
568        assert_eq!(order_rejected.reason, Ustr::from("POST_ONLY_WOULD_EXECUTE"));
569    }
570}
nautilus_model/events/order/rejected.rs

nautilus_model/events/order/
rejected.rs
