nautilus_model/events/position/
snapshot.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::UnixNanos;
17use serde::{Deserialize, Serialize};
18
19use crate::{
20    enums::{OrderSide, PositionSide},
21    identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TraderId},
22    position::Position,
23    types::{Currency, Money, Quantity},
24};
25
26/// Represents a position state snapshot as a certain instant.
27#[derive(Clone, Debug, PartialEq, Serialize, Deserialize)]
28#[cfg_attr(
29    feature = "python",
30    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
31)]
32pub struct PositionSnapshot {
33    /// The trader ID associated with the snapshot.
34    pub trader_id: TraderId,
35    /// The strategy ID associated with the snapshot.
36    pub strategy_id: StrategyId,
37    /// The instrument ID associated with the snapshot.
38    pub instrument_id: InstrumentId,
39    /// The position ID associated with the snapshot.
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 entry direction from open.
48    pub entry: OrderSide,
49    /// The position side.
50    pub side: PositionSide,
51    /// The position signed quantity (positive for LONG, negative for SHOT).
52    pub signed_qty: f64,
53    /// The position open quantity.
54    pub quantity: Quantity,
55    /// The peak directional quantity reached by the position.
56    pub peak_qty: Quantity,
57    /// The position quote currency.
58    pub quote_currency: Currency,
59    /// The position base currency.
60    pub base_currency: Option<Currency>,
61    /// The position settlement currency.
62    pub settlement_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: Option<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: Option<Money>,
73    /// The commissions for the position.
74    pub commissions: Vec<Money>,
75    /// The open duration for the position (nanoseconds).
76    pub duration_ns: Option<u64>,
77    /// UNIX timestamp (nanoseconds) when the position opened.
78    pub ts_opened: UnixNanos,
79    /// UNIX timestamp (nanoseconds) when the position closed.
80    pub ts_closed: Option<UnixNanos>,
81    /// UNIX timestamp (nanoseconds) when the snapshot was initialized.
82    pub ts_init: UnixNanos,
83    /// UNIX timestamp (nanoseconds) when the last position event occurred.
84    pub ts_last: UnixNanos,
85}
86
87impl PositionSnapshot {
88    pub fn from(position: &Position, unrealized_pnl: Option<Money>) -> Self {
89        Self {
90            trader_id: position.trader_id,
91            strategy_id: position.strategy_id,
92            instrument_id: position.instrument_id,
93            position_id: position.id,
94            account_id: position.account_id,
95            opening_order_id: position.opening_order_id,
96            closing_order_id: position.closing_order_id,
97            entry: position.entry,
98            side: position.side,
99            signed_qty: position.signed_qty,
100            quantity: position.quantity,
101            peak_qty: position.peak_qty,
102            quote_currency: position.quote_currency,
103            base_currency: position.base_currency,
104            settlement_currency: position.settlement_currency,
105            avg_px_open: position.avg_px_open,
106            avg_px_close: position.avg_px_close,
107            realized_return: Some(position.realized_return), // TODO: Standardize
108            realized_pnl: position.realized_pnl,
109            unrealized_pnl,
110            commissions: position.commissions.values().copied().collect(), // TODO: Optimize
111            duration_ns: Some(position.duration_ns),                       // TODO: Standardize
112            ts_opened: position.ts_opened,
113            ts_closed: position.ts_closed,
114            ts_init: position.ts_init,
115            ts_last: position.ts_last,
116        }
117    }
118}
119
120#[cfg(test)]
121mod tests {
122    use nautilus_core::UnixNanos;
123    use rstest::*;
124
125    use super::*;
126    use crate::{
127        enums::{LiquiditySide, OrderSide, OrderType, PositionSide},
128        events::OrderFilled,
129        identifiers::{
130            AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TradeId, TraderId,
131            VenueOrderId,
132        },
133        instruments::{InstrumentAny, stubs::audusd_sim},
134        position::Position,
135        types::{Currency, Money, Price, Quantity},
136    };
137
138    fn create_test_position_snapshot() -> PositionSnapshot {
139        PositionSnapshot {
140            trader_id: TraderId::from("TRADER-001"),
141            strategy_id: StrategyId::from("EMA-CROSS"),
142            instrument_id: InstrumentId::from("EURUSD.SIM"),
143            position_id: PositionId::from("P-001"),
144            account_id: AccountId::from("SIM-001"),
145            opening_order_id: ClientOrderId::from("O-19700101-000000-001-001-1"),
146            closing_order_id: Some(ClientOrderId::from("O-19700101-000000-001-001-2")),
147            entry: OrderSide::Buy,
148            side: PositionSide::Long,
149            signed_qty: 100.0,
150            quantity: Quantity::from("100"),
151            peak_qty: Quantity::from("100"),
152            quote_currency: Currency::USD(),
153            base_currency: Some(Currency::EUR()),
154            settlement_currency: Currency::USD(),
155            avg_px_open: 1.0500,
156            avg_px_close: Some(1.0600),
157            realized_return: Some(0.0095),
158            realized_pnl: Some(Money::new(100.0, Currency::USD())),
159            unrealized_pnl: Some(Money::new(50.0, Currency::USD())),
160            commissions: vec![Money::new(2.0, Currency::USD())],
161            duration_ns: Some(3_600_000_000_000), // 1 hour in nanoseconds
162            ts_opened: UnixNanos::from(1_000_000_000),
163            ts_closed: Some(UnixNanos::from(4_600_000_000)),
164            ts_init: UnixNanos::from(2_000_000_000),
165            ts_last: UnixNanos::from(4_600_000_000),
166        }
167    }
168
169    fn create_test_order_filled() -> OrderFilled {
170        OrderFilled::new(
171            TraderId::from("TRADER-001"),
172            StrategyId::from("EMA-CROSS"),
173            InstrumentId::from("AUD/USD.SIM"),
174            ClientOrderId::from("O-19700101-000000-001-001-1"),
175            VenueOrderId::from("1"),
176            AccountId::from("SIM-001"),
177            TradeId::from("T-001"),
178            OrderSide::Buy,
179            OrderType::Market,
180            Quantity::from("100"),
181            Price::from("0.8000"),
182            Currency::USD(),
183            LiquiditySide::Taker,
184            Default::default(),
185            UnixNanos::from(1_000_000_000),
186            UnixNanos::from(2_000_000_000),
187            false,
188            Some(PositionId::from("P-001")),
189            Some(Money::new(2.0, Currency::USD())),
190        )
191    }
192
193    #[rstest]
194    fn test_position_snapshot_new() {
195        let snapshot = create_test_position_snapshot();
196
197        assert_eq!(snapshot.trader_id, TraderId::from("TRADER-001"));
198        assert_eq!(snapshot.strategy_id, StrategyId::from("EMA-CROSS"));
199        assert_eq!(snapshot.instrument_id, InstrumentId::from("EURUSD.SIM"));
200        assert_eq!(snapshot.position_id, PositionId::from("P-001"));
201        assert_eq!(snapshot.account_id, AccountId::from("SIM-001"));
202        assert_eq!(
203            snapshot.opening_order_id,
204            ClientOrderId::from("O-19700101-000000-001-001-1")
205        );
206        assert_eq!(
207            snapshot.closing_order_id,
208            Some(ClientOrderId::from("O-19700101-000000-001-001-2"))
209        );
210        assert_eq!(snapshot.entry, OrderSide::Buy);
211        assert_eq!(snapshot.side, PositionSide::Long);
212        assert_eq!(snapshot.signed_qty, 100.0);
213        assert_eq!(snapshot.quantity, Quantity::from("100"));
214        assert_eq!(snapshot.peak_qty, Quantity::from("100"));
215        assert_eq!(snapshot.quote_currency, Currency::USD());
216        assert_eq!(snapshot.base_currency, Some(Currency::EUR()));
217        assert_eq!(snapshot.settlement_currency, Currency::USD());
218        assert_eq!(snapshot.avg_px_open, 1.0500);
219        assert_eq!(snapshot.avg_px_close, Some(1.0600));
220        assert_eq!(snapshot.realized_return, Some(0.0095));
221        assert_eq!(
222            snapshot.realized_pnl,
223            Some(Money::new(100.0, Currency::USD()))
224        );
225        assert_eq!(
226            snapshot.unrealized_pnl,
227            Some(Money::new(50.0, Currency::USD()))
228        );
229        assert_eq!(snapshot.commissions, vec![Money::new(2.0, Currency::USD())]);
230        assert_eq!(snapshot.duration_ns, Some(3_600_000_000_000));
231        assert_eq!(snapshot.ts_opened, UnixNanos::from(1_000_000_000));
232        assert_eq!(snapshot.ts_closed, Some(UnixNanos::from(4_600_000_000)));
233        assert_eq!(snapshot.ts_init, UnixNanos::from(2_000_000_000));
234        assert_eq!(snapshot.ts_last, UnixNanos::from(4_600_000_000));
235    }
236
237    #[rstest]
238    fn test_position_snapshot_from() {
239        let instrument = audusd_sim();
240        let fill = create_test_order_filled();
241        let position = Position::new(&InstrumentAny::CurrencyPair(instrument), fill);
242        let unrealized_pnl = Some(Money::new(75.0, Currency::USD()));
243
244        let snapshot = PositionSnapshot::from(&position, unrealized_pnl);
245
246        assert_eq!(snapshot.trader_id, position.trader_id);
247        assert_eq!(snapshot.strategy_id, position.strategy_id);
248        assert_eq!(snapshot.instrument_id, position.instrument_id);
249        assert_eq!(snapshot.position_id, position.id);
250        assert_eq!(snapshot.account_id, position.account_id);
251        assert_eq!(snapshot.opening_order_id, position.opening_order_id);
252        assert_eq!(snapshot.closing_order_id, position.closing_order_id);
253        assert_eq!(snapshot.entry, position.entry);
254        assert_eq!(snapshot.side, position.side);
255        assert_eq!(snapshot.signed_qty, position.signed_qty);
256        assert_eq!(snapshot.quantity, position.quantity);
257        assert_eq!(snapshot.peak_qty, position.peak_qty);
258        assert_eq!(snapshot.quote_currency, position.quote_currency);
259        assert_eq!(snapshot.base_currency, position.base_currency);
260        assert_eq!(snapshot.settlement_currency, position.settlement_currency);
261        assert_eq!(snapshot.avg_px_open, position.avg_px_open);
262        assert_eq!(snapshot.avg_px_close, position.avg_px_close);
263        assert_eq!(snapshot.realized_return, Some(position.realized_return));
264        assert_eq!(snapshot.realized_pnl, position.realized_pnl);
265        assert_eq!(snapshot.unrealized_pnl, unrealized_pnl);
266        assert_eq!(snapshot.duration_ns, Some(position.duration_ns));
267        assert_eq!(snapshot.ts_opened, position.ts_opened);
268        assert_eq!(snapshot.ts_closed, position.ts_closed);
269        assert_eq!(snapshot.ts_init, position.ts_init);
270        assert_eq!(snapshot.ts_last, position.ts_last);
271    }
272
273    #[rstest]
274    fn test_position_snapshot_from_with_no_unrealized_pnl() {
275        let instrument = audusd_sim();
276        let fill = create_test_order_filled();
277        let position = Position::new(&InstrumentAny::CurrencyPair(instrument), fill);
278
279        let snapshot = PositionSnapshot::from(&position, None);
280
281        assert_eq!(snapshot.unrealized_pnl, None);
282    }
283
284    #[rstest]
285    fn test_position_snapshot_clone() {
286        let snapshot1 = create_test_position_snapshot();
287        let snapshot2 = snapshot1.clone();
288
289        assert_eq!(snapshot1, snapshot2);
290    }
291
292    #[rstest]
293    fn test_position_snapshot_debug() {
294        let snapshot = create_test_position_snapshot();
295        let debug_str = format!("{snapshot:?}");
296
297        assert!(debug_str.contains("PositionSnapshot"));
298        assert!(debug_str.contains("TRADER-001"));
299        assert!(debug_str.contains("EMA-CROSS"));
300        assert!(debug_str.contains("EURUSD.SIM"));
301        assert!(debug_str.contains("P-001"));
302    }
303
304    #[rstest]
305    fn test_position_snapshot_partial_eq() {
306        let snapshot1 = create_test_position_snapshot();
307        let snapshot2 = create_test_position_snapshot();
308        let mut snapshot3 = create_test_position_snapshot();
309        snapshot3.quantity = Quantity::from("200");
310
311        assert_eq!(snapshot1, snapshot2);
312        assert_ne!(snapshot1, snapshot3);
313    }
314
315    #[rstest]
316    fn test_position_snapshot_with_commissions() {
317        let mut snapshot = create_test_position_snapshot();
318        snapshot.commissions = vec![
319            Money::new(1.0, Currency::USD()),
320            Money::new(0.5, Currency::USD()),
321        ];
322
323        assert_eq!(snapshot.commissions.len(), 2);
324        assert_eq!(snapshot.commissions[0], Money::new(1.0, Currency::USD()));
325        assert_eq!(snapshot.commissions[1], Money::new(0.5, Currency::USD()));
326    }
327
328    #[rstest]
329    fn test_position_snapshot_with_empty_commissions() {
330        let mut snapshot = create_test_position_snapshot();
331        snapshot.commissions = vec![];
332
333        assert!(snapshot.commissions.is_empty());
334    }
335
336    #[rstest]
337    fn test_position_snapshot_with_different_currencies() {
338        let mut snapshot = create_test_position_snapshot();
339        snapshot.quote_currency = Currency::EUR();
340        snapshot.base_currency = Some(Currency::USD());
341        snapshot.settlement_currency = Currency::EUR();
342
343        assert_eq!(snapshot.quote_currency, Currency::EUR());
344        assert_eq!(snapshot.base_currency, Some(Currency::USD()));
345        assert_eq!(snapshot.settlement_currency, Currency::EUR());
346    }
347
348    #[rstest]
349    fn test_position_snapshot_without_base_currency() {
350        let mut snapshot = create_test_position_snapshot();
351        snapshot.base_currency = None;
352
353        assert!(snapshot.base_currency.is_none());
354    }
355
356    #[rstest]
357    fn test_position_snapshot_different_position_sides() {
358        let mut long_snapshot = create_test_position_snapshot();
359        long_snapshot.side = PositionSide::Long;
360        long_snapshot.signed_qty = 100.0;
361
362        let mut short_snapshot = create_test_position_snapshot();
363        short_snapshot.side = PositionSide::Short;
364        short_snapshot.signed_qty = -100.0;
365
366        let mut flat_snapshot = create_test_position_snapshot();
367        flat_snapshot.side = PositionSide::Flat;
368        flat_snapshot.signed_qty = 0.0;
369
370        assert_eq!(long_snapshot.side, PositionSide::Long);
371        assert_eq!(short_snapshot.side, PositionSide::Short);
372        assert_eq!(flat_snapshot.side, PositionSide::Flat);
373    }
374
375    #[rstest]
376    fn test_position_snapshot_with_pnl_values() {
377        let mut snapshot = create_test_position_snapshot();
378        snapshot.realized_pnl = Some(Money::new(150.0, Currency::USD()));
379        snapshot.unrealized_pnl = Some(Money::new(-25.0, Currency::USD()));
380
381        assert_eq!(
382            snapshot.realized_pnl,
383            Some(Money::new(150.0, Currency::USD()))
384        );
385        assert_eq!(
386            snapshot.unrealized_pnl,
387            Some(Money::new(-25.0, Currency::USD()))
388        );
389    }
390
391    #[rstest]
392    fn test_position_snapshot_without_pnl_values() {
393        let mut snapshot = create_test_position_snapshot();
394        snapshot.realized_pnl = None;
395        snapshot.unrealized_pnl = None;
396
397        assert!(snapshot.realized_pnl.is_none());
398        assert!(snapshot.unrealized_pnl.is_none());
399    }
400
401    #[rstest]
402    fn test_position_snapshot_with_closing_data() {
403        let snapshot = create_test_position_snapshot();
404
405        assert!(snapshot.closing_order_id.is_some());
406        assert!(snapshot.avg_px_close.is_some());
407        assert!(snapshot.ts_closed.is_some());
408        assert!(snapshot.duration_ns.is_some());
409    }
410
411    #[rstest]
412    fn test_position_snapshot_without_closing_data() {
413        let mut snapshot = create_test_position_snapshot();
414        snapshot.closing_order_id = None;
415        snapshot.avg_px_close = None;
416        snapshot.ts_closed = None;
417
418        assert!(snapshot.closing_order_id.is_none());
419        assert!(snapshot.avg_px_close.is_none());
420        assert!(snapshot.ts_closed.is_none());
421    }
422
423    #[rstest]
424    fn test_position_snapshot_timestamps() {
425        let snapshot = create_test_position_snapshot();
426
427        assert_eq!(snapshot.ts_opened, UnixNanos::from(1_000_000_000));
428        assert_eq!(snapshot.ts_init, UnixNanos::from(2_000_000_000));
429        assert_eq!(snapshot.ts_last, UnixNanos::from(4_600_000_000));
430        assert_eq!(snapshot.ts_closed, Some(UnixNanos::from(4_600_000_000)));
431
432        assert!(snapshot.ts_opened < snapshot.ts_init);
433        assert!(snapshot.ts_init < snapshot.ts_last);
434    }
435
436    #[rstest]
437    fn test_position_snapshot_quantities() {
438        let snapshot = create_test_position_snapshot();
439
440        assert_eq!(snapshot.quantity, Quantity::from("100"));
441        assert_eq!(snapshot.peak_qty, Quantity::from("100"));
442        assert!(snapshot.peak_qty >= snapshot.quantity);
443    }
444
445    #[rstest]
446    fn test_position_snapshot_serialization() {
447        let original = create_test_position_snapshot();
448
449        // Test JSON serialization
450        let json = serde_json::to_string(&original).unwrap();
451        let deserialized: PositionSnapshot = serde_json::from_str(&json).unwrap();
452
453        assert_eq!(original, deserialized);
454    }
455
456    #[rstest]
457    fn test_position_snapshot_with_duration() {
458        let mut snapshot = create_test_position_snapshot();
459        snapshot.duration_ns = Some(7_200_000_000_000); // 2 hours
460
461        assert_eq!(snapshot.duration_ns, Some(7_200_000_000_000));
462    }
463
464    #[rstest]
465    fn test_position_snapshot_without_duration() {
466        let mut snapshot = create_test_position_snapshot();
467        snapshot.duration_ns = None;
468
469        assert!(snapshot.duration_ns.is_none());
470    }
471}
nautilus_model/events/position/snapshot.rs

nautilus_model/events/position/
snapshot.rs
