nautilus_model/events/position/
closed.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 nautilus_core::{
17    UUID4,
18    nanos::{DurationNanos, UnixNanos},
19};
20
21use crate::{
22    enums::{OrderSide, PositionSide},
23    events::OrderFilled,
24    identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TraderId},
25    position::Position,
26    types::{Currency, Money, Price, Quantity},
27};
28
29/// Represents an event where a position has been closed.
30#[repr(C)]
31#[derive(Clone, PartialEq, Debug)]
32pub struct PositionClosed {
33    /// The trader ID associated with the event.
34    pub trader_id: TraderId,
35    /// The strategy ID associated with the event.
36    pub strategy_id: StrategyId,
37    /// The instrument ID associated with the event.
38    pub instrument_id: InstrumentId,
39    /// The position ID associated with the event.
40    pub position_id: PositionId,
41    /// The account ID associated with the position.
42    pub account_id: AccountId,
43    /// The client order ID for the order which opened the position.
44    pub opening_order_id: ClientOrderId,
45    /// The client order ID for the order which closed the position.
46    pub closing_order_id: Option<ClientOrderId>,
47    /// The position entry order side.
48    pub entry: OrderSide,
49    /// The position side.
50    pub side: PositionSide,
51    /// The current signed quantity (positive for position side `LONG`, negative for `SHORT`).
52    pub signed_qty: f64,
53    /// The current open quantity.
54    pub quantity: Quantity,
55    /// The peak directional quantity reached by the position.
56    pub peak_quantity: Quantity,
57    /// The last fill quantity for the position.
58    pub last_qty: Quantity,
59    /// The last fill price for the position.
60    pub last_px: Price,
61    /// The position quote currency.
62    pub currency: Currency,
63    /// The average open price.
64    pub avg_px_open: f64,
65    /// The average closing price.
66    pub avg_px_close: Option<f64>,
67    /// The realized return for the position.
68    pub realized_return: f64,
69    /// The realized PnL for the position (including commissions).
70    pub realized_pnl: Option<Money>,
71    /// The unrealized PnL for the position (including commissions).
72    pub unrealized_pnl: Money,
73    /// The total open duration (nanoseconds).
74    pub duration: DurationNanos,
75    /// The unique identifier for the event.
76    pub event_id: UUID4,
77    /// UNIX timestamp (nanoseconds) when the position was opened.
78    pub ts_opened: UnixNanos,
79    /// UNIX timestamp (nanoseconds) when the position was closed.
80    pub ts_closed: Option<UnixNanos>,
81    /// UNIX timestamp (nanoseconds) when the event occurred.
82    pub ts_event: UnixNanos,
83    /// UNIX timestamp (nanoseconds) when the event was initialized.
84    pub ts_init: UnixNanos,
85}
86
87impl PositionClosed {
88    pub fn create(
89        position: &Position,
90        fill: &OrderFilled,
91        event_id: UUID4,
92        ts_init: UnixNanos,
93    ) -> Self {
94        Self {
95            trader_id: position.trader_id,
96            strategy_id: position.strategy_id,
97            instrument_id: position.instrument_id,
98            position_id: position.id,
99            account_id: position.account_id,
100            opening_order_id: position.opening_order_id,
101            closing_order_id: position.closing_order_id,
102            entry: position.entry,
103            side: position.side,
104            signed_qty: position.signed_qty,
105            quantity: position.quantity,
106            peak_quantity: position.peak_qty,
107            last_qty: fill.last_qty,
108            last_px: fill.last_px,
109            currency: position.quote_currency,
110            avg_px_open: position.avg_px_open,
111            avg_px_close: position.avg_px_close,
112            realized_return: position.realized_return,
113            realized_pnl: position.realized_pnl,
114            unrealized_pnl: Money::new(0.0, position.quote_currency),
115            duration: position.duration_ns,
116            event_id,
117            ts_opened: position.ts_opened,
118            ts_closed: position.ts_closed,
119            ts_event: fill.ts_event,
120            ts_init,
121        }
122    }
123}
124
125#[cfg(test)]
126mod tests {
127    use nautilus_core::UnixNanos;
128    use rstest::*;
129
130    use super::*;
131    use crate::{
132        enums::{LiquiditySide, OrderSide, OrderType, PositionSide},
133        events::OrderFilled,
134        identifiers::{
135            AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TradeId, TraderId,
136            VenueOrderId,
137        },
138        instruments::{InstrumentAny, stubs::audusd_sim},
139        position::Position,
140        types::{Currency, Money, Price, Quantity},
141    };
142
143    fn create_test_position_closed() -> PositionClosed {
144        PositionClosed {
145            trader_id: TraderId::from("TRADER-001"),
146            strategy_id: StrategyId::from("EMA-CROSS"),
147            instrument_id: InstrumentId::from("EURUSD.SIM"),
148            position_id: PositionId::from("P-001"),
149            account_id: AccountId::from("SIM-001"),
150            opening_order_id: ClientOrderId::from("O-19700101-000000-001-001-1"),
151            closing_order_id: Some(ClientOrderId::from("O-19700101-000000-001-001-2")),
152            entry: OrderSide::Buy,
153            side: PositionSide::Flat,
154            signed_qty: 0.0,
155            quantity: Quantity::from("0"),
156            peak_quantity: Quantity::from("150"),
157            last_qty: Quantity::from("150"),
158            last_px: Price::from("1.0600"),
159            currency: Currency::USD(),
160            avg_px_open: 1.0525,
161            avg_px_close: Some(1.0600),
162            realized_return: 0.0071,
163            realized_pnl: Some(Money::new(112.50, Currency::USD())),
164            unrealized_pnl: Money::new(0.0, Currency::USD()),
165            duration: 3_600_000_000_000, // 1 hour in nanoseconds
166            event_id: Default::default(),
167            ts_opened: UnixNanos::from(1_000_000_000),
168            ts_closed: Some(UnixNanos::from(4_600_000_000)),
169            ts_event: UnixNanos::from(4_600_000_000),
170            ts_init: UnixNanos::from(5_000_000_000),
171        }
172    }
173
174    fn create_test_order_filled() -> OrderFilled {
175        OrderFilled::new(
176            TraderId::from("TRADER-001"),
177            StrategyId::from("EMA-CROSS"),
178            InstrumentId::from("EURUSD.SIM"),
179            ClientOrderId::from("O-19700101-000000-001-001-2"),
180            VenueOrderId::from("2"),
181            AccountId::from("SIM-001"),
182            TradeId::from("T-002"),
183            OrderSide::Sell,
184            OrderType::Market,
185            Quantity::from("150"),
186            Price::from("1.0600"),
187            Currency::USD(),
188            LiquiditySide::Taker,
189            Default::default(),
190            UnixNanos::from(4_600_000_000),
191            UnixNanos::from(5_000_000_000),
192            false,
193            Some(PositionId::from("P-001")),
194            Some(Money::new(2.5, Currency::USD())),
195        )
196    }
197
198    #[rstest]
199    fn test_position_closed_new() {
200        let position_closed = create_test_position_closed();
201
202        assert_eq!(position_closed.trader_id, TraderId::from("TRADER-001"));
203        assert_eq!(position_closed.strategy_id, StrategyId::from("EMA-CROSS"));
204        assert_eq!(
205            position_closed.instrument_id,
206            InstrumentId::from("EURUSD.SIM")
207        );
208        assert_eq!(position_closed.position_id, PositionId::from("P-001"));
209        assert_eq!(position_closed.account_id, AccountId::from("SIM-001"));
210        assert_eq!(
211            position_closed.opening_order_id,
212            ClientOrderId::from("O-19700101-000000-001-001-1")
213        );
214        assert_eq!(
215            position_closed.closing_order_id,
216            Some(ClientOrderId::from("O-19700101-000000-001-001-2"))
217        );
218        assert_eq!(position_closed.entry, OrderSide::Buy);
219        assert_eq!(position_closed.side, PositionSide::Flat);
220        assert_eq!(position_closed.signed_qty, 0.0);
221        assert_eq!(position_closed.quantity, Quantity::from("0"));
222        assert_eq!(position_closed.peak_quantity, Quantity::from("150"));
223        assert_eq!(position_closed.last_qty, Quantity::from("150"));
224        assert_eq!(position_closed.last_px, Price::from("1.0600"));
225        assert_eq!(position_closed.currency, Currency::USD());
226        assert_eq!(position_closed.avg_px_open, 1.0525);
227        assert_eq!(position_closed.avg_px_close, Some(1.0600));
228        assert_eq!(position_closed.realized_return, 0.0071);
229        assert_eq!(
230            position_closed.realized_pnl,
231            Some(Money::new(112.50, Currency::USD()))
232        );
233        assert_eq!(
234            position_closed.unrealized_pnl,
235            Money::new(0.0, Currency::USD())
236        );
237        assert_eq!(position_closed.duration, 3_600_000_000_000);
238        assert_eq!(position_closed.ts_opened, UnixNanos::from(1_000_000_000));
239        assert_eq!(
240            position_closed.ts_closed,
241            Some(UnixNanos::from(4_600_000_000))
242        );
243        assert_eq!(position_closed.ts_event, UnixNanos::from(4_600_000_000));
244        assert_eq!(position_closed.ts_init, UnixNanos::from(5_000_000_000));
245    }
246
247    #[rstest]
248    fn test_position_closed_create() {
249        let instrument = audusd_sim();
250        let initial_fill = OrderFilled::new(
251            TraderId::from("TRADER-001"),
252            StrategyId::from("EMA-CROSS"),
253            InstrumentId::from("AUD/USD.SIM"),
254            ClientOrderId::from("O-19700101-000000-001-001-1"),
255            VenueOrderId::from("1"),
256            AccountId::from("SIM-001"),
257            TradeId::from("T-001"),
258            OrderSide::Buy,
259            OrderType::Market,
260            Quantity::from("100"),
261            Price::from("0.8000"),
262            Currency::USD(),
263            LiquiditySide::Taker,
264            Default::default(),
265            UnixNanos::from(1_000_000_000),
266            UnixNanos::from(2_000_000_000),
267            false,
268            Some(PositionId::from("P-001")),
269            Some(Money::new(2.0, Currency::USD())),
270        );
271
272        let position = Position::new(&InstrumentAny::CurrencyPair(instrument), initial_fill);
273        let closing_fill = create_test_order_filled();
274        let event_id = Default::default();
275        let ts_init = UnixNanos::from(6_000_000_000);
276
277        let position_closed = PositionClosed::create(&position, &closing_fill, event_id, ts_init);
278
279        assert_eq!(position_closed.trader_id, position.trader_id);
280        assert_eq!(position_closed.strategy_id, position.strategy_id);
281        assert_eq!(position_closed.instrument_id, position.instrument_id);
282        assert_eq!(position_closed.position_id, position.id);
283        assert_eq!(position_closed.account_id, position.account_id);
284        assert_eq!(position_closed.opening_order_id, position.opening_order_id);
285        assert_eq!(position_closed.closing_order_id, position.closing_order_id);
286        assert_eq!(position_closed.entry, position.entry);
287        assert_eq!(position_closed.side, position.side);
288        assert_eq!(position_closed.signed_qty, position.signed_qty);
289        assert_eq!(position_closed.quantity, position.quantity);
290        assert_eq!(position_closed.peak_quantity, position.peak_qty);
291        assert_eq!(position_closed.last_qty, closing_fill.last_qty);
292        assert_eq!(position_closed.last_px, closing_fill.last_px);
293        assert_eq!(position_closed.currency, position.quote_currency);
294        assert_eq!(position_closed.avg_px_open, position.avg_px_open);
295        assert_eq!(position_closed.avg_px_close, position.avg_px_close);
296        assert_eq!(position_closed.realized_return, position.realized_return);
297        assert_eq!(position_closed.realized_pnl, position.realized_pnl);
298        assert_eq!(
299            position_closed.unrealized_pnl,
300            Money::new(0.0, position.quote_currency)
301        );
302        assert_eq!(position_closed.duration, position.duration_ns);
303        assert_eq!(position_closed.event_id, event_id);
304        assert_eq!(position_closed.ts_opened, position.ts_opened);
305        assert_eq!(position_closed.ts_closed, position.ts_closed);
306        assert_eq!(position_closed.ts_event, closing_fill.ts_event);
307        assert_eq!(position_closed.ts_init, ts_init);
308    }
309
310    #[rstest]
311    fn test_position_closed_clone() {
312        let position_closed1 = create_test_position_closed();
313        let position_closed2 = position_closed1.clone();
314
315        assert_eq!(position_closed1, position_closed2);
316    }
317
318    #[rstest]
319    fn test_position_closed_debug() {
320        let position_closed = create_test_position_closed();
321        let debug_str = format!("{position_closed:?}");
322
323        assert!(debug_str.contains("PositionClosed"));
324        assert!(debug_str.contains("TRADER-001"));
325        assert!(debug_str.contains("EMA-CROSS"));
326        assert!(debug_str.contains("EURUSD.SIM"));
327        assert!(debug_str.contains("P-001"));
328    }
329
330    #[rstest]
331    fn test_position_closed_partial_eq() {
332        let mut position_closed1 = create_test_position_closed();
333        let mut position_closed2 = create_test_position_closed();
334        let event_id = Default::default();
335        position_closed1.event_id = event_id;
336        position_closed2.event_id = event_id;
337
338        let mut position_closed3 = create_test_position_closed();
339        position_closed3.event_id = event_id;
340        position_closed3.realized_return = 0.01;
341
342        assert_eq!(position_closed1, position_closed2);
343        assert_ne!(position_closed1, position_closed3);
344    }
345
346    #[rstest]
347    fn test_position_closed_flat_position() {
348        let position_closed = create_test_position_closed();
349
350        assert_eq!(position_closed.side, PositionSide::Flat);
351        assert_eq!(position_closed.signed_qty, 0.0);
352        assert_eq!(position_closed.quantity, Quantity::from("0"));
353        assert_eq!(
354            position_closed.unrealized_pnl,
355            Money::new(0.0, Currency::USD())
356        );
357    }
358
359    #[rstest]
360    fn test_position_closed_with_closing_order_id() {
361        let position_closed = create_test_position_closed();
362
363        assert!(position_closed.closing_order_id.is_some());
364        assert_eq!(
365            position_closed.closing_order_id,
366            Some(ClientOrderId::from("O-19700101-000000-001-001-2"))
367        );
368    }
369
370    #[rstest]
371    fn test_position_closed_without_closing_order_id() {
372        let mut position_closed = create_test_position_closed();
373        position_closed.closing_order_id = None;
374
375        assert!(position_closed.closing_order_id.is_none());
376    }
377
378    #[rstest]
379    fn test_position_closed_with_realized_pnl() {
380        let position_closed = create_test_position_closed();
381
382        assert!(position_closed.realized_pnl.is_some());
383        assert_eq!(
384            position_closed.realized_pnl,
385            Some(Money::new(112.50, Currency::USD()))
386        );
387        assert!(position_closed.realized_return > 0.0);
388    }
389
390    #[rstest]
391    fn test_position_closed_loss_scenario() {
392        let mut position_closed = create_test_position_closed();
393        position_closed.avg_px_close = Some(1.0400); // Sold below open price
394        position_closed.realized_return = -0.0119;
395        position_closed.realized_pnl = Some(Money::new(-187.50, Currency::USD()));
396
397        assert_eq!(position_closed.avg_px_close, Some(1.0400));
398        assert!(position_closed.realized_return < 0.0);
399        assert_eq!(
400            position_closed.realized_pnl,
401            Some(Money::new(-187.50, Currency::USD()))
402        );
403    }
404
405    #[rstest]
406    fn test_position_closed_duration() {
407        let position_closed = create_test_position_closed();
408
409        assert_eq!(position_closed.duration, 3_600_000_000_000); // 1 hour
410        assert!(position_closed.duration > 0);
411    }
412
413    #[rstest]
414    fn test_position_closed_timestamps() {
415        let position_closed = create_test_position_closed();
416
417        assert_eq!(position_closed.ts_opened, UnixNanos::from(1_000_000_000));
418        assert_eq!(
419            position_closed.ts_closed,
420            Some(UnixNanos::from(4_600_000_000))
421        );
422        assert_eq!(position_closed.ts_event, UnixNanos::from(4_600_000_000));
423        assert_eq!(position_closed.ts_init, UnixNanos::from(5_000_000_000));
424
425        assert!(position_closed.ts_opened < position_closed.ts_closed.unwrap());
426        assert_eq!(position_closed.ts_closed.unwrap(), position_closed.ts_event);
427        assert!(position_closed.ts_event < position_closed.ts_init);
428    }
429
430    #[rstest]
431    fn test_position_closed_peak_quantity() {
432        let position_closed = create_test_position_closed();
433
434        assert_eq!(position_closed.peak_quantity, Quantity::from("150"));
435        assert!(position_closed.peak_quantity >= position_closed.quantity);
436        assert_eq!(position_closed.last_qty, position_closed.peak_quantity);
437    }
438
439    #[rstest]
440    fn test_position_closed_different_currencies() {
441        let mut usd_position = create_test_position_closed();
442        usd_position.currency = Currency::USD();
443
444        let mut eur_position = create_test_position_closed();
445        eur_position.currency = Currency::EUR();
446        eur_position.unrealized_pnl = Money::new(0.0, Currency::EUR());
447
448        assert_eq!(usd_position.currency, Currency::USD());
449        assert_eq!(eur_position.currency, Currency::EUR());
450        assert_ne!(usd_position, eur_position);
451    }
452
453    #[rstest]
454    fn test_position_closed_entry_sides() {
455        let mut buy_entry = create_test_position_closed();
456        buy_entry.entry = OrderSide::Buy;
457
458        let mut sell_entry = create_test_position_closed();
459        sell_entry.entry = OrderSide::Sell;
460
461        assert_eq!(buy_entry.entry, OrderSide::Buy);
462        assert_eq!(sell_entry.entry, OrderSide::Sell);
463    }
464
465    #[rstest]
466    fn test_position_closed_prices() {
467        let position_closed = create_test_position_closed();
468
469        assert_eq!(position_closed.avg_px_open, 1.0525);
470        assert_eq!(position_closed.avg_px_close, Some(1.0600));
471        assert_eq!(position_closed.last_px, Price::from("1.0600"));
472
473        assert!(position_closed.avg_px_close.unwrap() > position_closed.avg_px_open);
474    }
475
476    #[rstest]
477    fn test_position_closed_without_ts_closed() {
478        let mut position_closed = create_test_position_closed();
479        position_closed.ts_closed = None;
480
481        assert!(position_closed.ts_closed.is_none());
482    }
483}
nautilus_model/events/position/closed.rs

nautilus_model/events/position/
closed.rs
