nautilus_model/orders/
market.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::{
17    fmt::Display,
18    ops::{Deref, DerefMut},
19};
20
21use indexmap::IndexMap;
22use nautilus_core::{
23    UUID4, UnixNanos,
24    correctness::{FAILED, check_predicate_false},
25};
26use rust_decimal::Decimal;
27use serde::{Deserialize, Serialize};
28use ustr::Ustr;
29
30use super::{Order, OrderAny, OrderCore};
31use crate::{
32    enums::{
33        ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSide,
34        TimeInForce, TrailingOffsetType, TriggerType,
35    },
36    events::{OrderEventAny, OrderInitialized, OrderUpdated},
37    identifiers::{
38        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
39        StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
40    },
41    orders::OrderError,
42    types::{Currency, Money, Price, Quantity, quantity::check_positive_quantity},
43};
44
45#[derive(Clone, Debug, Serialize, Deserialize)]
46#[cfg_attr(
47    feature = "python",
48    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
49)]
50pub struct MarketOrder {
51    core: OrderCore,
52    pub protection_price: Option<Price>,
53}
54
55impl MarketOrder {
56    /// Creates a new [`MarketOrder`] instance.
57    ///
58    /// # Errors
59    ///
60    /// Returns an error if:
61    /// - The `quantity` is not positive.
62    /// - The `time_in_force` is GTD (invalid for market orders).
63    #[allow(clippy::too_many_arguments)]
64    pub fn new_checked(
65        trader_id: TraderId,
66        strategy_id: StrategyId,
67        instrument_id: InstrumentId,
68        client_order_id: ClientOrderId,
69        order_side: OrderSide,
70        quantity: Quantity,
71        time_in_force: TimeInForce,
72        init_id: UUID4,
73        ts_init: UnixNanos,
74        reduce_only: bool,
75        quote_quantity: bool,
76        contingency_type: Option<ContingencyType>,
77        order_list_id: Option<OrderListId>,
78        linked_order_ids: Option<Vec<ClientOrderId>>,
79        parent_order_id: Option<ClientOrderId>,
80        exec_algorithm_id: Option<ExecAlgorithmId>,
81        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
82        exec_spawn_id: Option<ClientOrderId>,
83        tags: Option<Vec<Ustr>>,
84    ) -> anyhow::Result<Self> {
85        check_positive_quantity(quantity, stringify!(quantity))?;
86        check_predicate_false(
87            time_in_force == TimeInForce::Gtd,
88            "GTD not supported for Market orders",
89        )?;
90
91        let init_order = OrderInitialized::new(
92            trader_id,
93            strategy_id,
94            instrument_id,
95            client_order_id,
96            order_side,
97            OrderType::Market,
98            quantity,
99            time_in_force,
100            false,
101            reduce_only,
102            quote_quantity,
103            false,
104            init_id,
105            ts_init,
106            ts_init,
107            None,
108            None,
109            Some(TriggerType::NoTrigger),
110            None,
111            None,
112            None,
113            None,
114            None,
115            None,
116            None,
117            contingency_type,
118            order_list_id,
119            linked_order_ids,
120            parent_order_id,
121            exec_algorithm_id,
122            exec_algorithm_params,
123            exec_spawn_id,
124            tags,
125        );
126
127        Ok(Self {
128            core: OrderCore::new(init_order),
129            protection_price: None,
130        })
131    }
132
133    /// Creates a new [`MarketOrder`] instance.
134    ///
135    /// # Panics
136    ///
137    /// Panics if any order validation fails (see [`MarketOrder::new_checked`]).
138    #[allow(clippy::too_many_arguments)]
139    pub fn new(
140        trader_id: TraderId,
141        strategy_id: StrategyId,
142        instrument_id: InstrumentId,
143        client_order_id: ClientOrderId,
144        order_side: OrderSide,
145        quantity: Quantity,
146        time_in_force: TimeInForce,
147        init_id: UUID4,
148        ts_init: UnixNanos,
149        reduce_only: bool,
150        quote_quantity: bool,
151        contingency_type: Option<ContingencyType>,
152        order_list_id: Option<OrderListId>,
153        linked_order_ids: Option<Vec<ClientOrderId>>,
154        parent_order_id: Option<ClientOrderId>,
155        exec_algorithm_id: Option<ExecAlgorithmId>,
156        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
157        exec_spawn_id: Option<ClientOrderId>,
158        tags: Option<Vec<Ustr>>,
159    ) -> Self {
160        Self::new_checked(
161            trader_id,
162            strategy_id,
163            instrument_id,
164            client_order_id,
165            order_side,
166            quantity,
167            time_in_force,
168            init_id,
169            ts_init,
170            reduce_only,
171            quote_quantity,
172            contingency_type,
173            order_list_id,
174            linked_order_ids,
175            parent_order_id,
176            exec_algorithm_id,
177            exec_algorithm_params,
178            exec_spawn_id,
179            tags,
180        )
181        .expect(FAILED)
182    }
183}
184
185impl Deref for MarketOrder {
186    type Target = OrderCore;
187
188    fn deref(&self) -> &Self::Target {
189        &self.core
190    }
191}
192
193impl DerefMut for MarketOrder {
194    fn deref_mut(&mut self) -> &mut Self::Target {
195        &mut self.core
196    }
197}
198
199impl PartialEq for MarketOrder {
200    fn eq(&self, other: &Self) -> bool {
201        self.client_order_id == other.client_order_id
202    }
203}
204
205impl Order for MarketOrder {
206    fn into_any(self) -> OrderAny {
207        OrderAny::Market(self)
208    }
209
210    fn status(&self) -> OrderStatus {
211        self.status
212    }
213
214    fn trader_id(&self) -> TraderId {
215        self.trader_id
216    }
217
218    fn strategy_id(&self) -> StrategyId {
219        self.strategy_id
220    }
221
222    fn instrument_id(&self) -> InstrumentId {
223        self.instrument_id
224    }
225
226    fn symbol(&self) -> Symbol {
227        self.instrument_id.symbol
228    }
229
230    fn venue(&self) -> Venue {
231        self.instrument_id.venue
232    }
233
234    fn client_order_id(&self) -> ClientOrderId {
235        self.client_order_id
236    }
237
238    fn venue_order_id(&self) -> Option<VenueOrderId> {
239        self.venue_order_id
240    }
241
242    fn position_id(&self) -> Option<PositionId> {
243        self.position_id
244    }
245
246    fn account_id(&self) -> Option<AccountId> {
247        self.account_id
248    }
249
250    fn last_trade_id(&self) -> Option<TradeId> {
251        self.last_trade_id
252    }
253
254    fn order_side(&self) -> OrderSide {
255        self.side
256    }
257
258    fn order_type(&self) -> OrderType {
259        self.order_type
260    }
261
262    fn quantity(&self) -> Quantity {
263        self.quantity
264    }
265
266    fn time_in_force(&self) -> TimeInForce {
267        self.time_in_force
268    }
269
270    fn expire_time(&self) -> Option<UnixNanos> {
271        None
272    }
273
274    fn price(&self) -> Option<Price> {
275        self.protection_price
276    }
277
278    fn trigger_price(&self) -> Option<Price> {
279        None
280    }
281
282    fn trigger_type(&self) -> Option<TriggerType> {
283        None
284    }
285
286    fn liquidity_side(&self) -> Option<LiquiditySide> {
287        self.liquidity_side
288    }
289
290    fn is_post_only(&self) -> bool {
291        false
292    }
293
294    fn is_reduce_only(&self) -> bool {
295        self.is_reduce_only
296    }
297
298    fn is_quote_quantity(&self) -> bool {
299        self.is_quote_quantity
300    }
301
302    fn has_price(&self) -> bool {
303        self.protection_price.is_some()
304    }
305
306    fn display_qty(&self) -> Option<Quantity> {
307        None
308    }
309
310    fn limit_offset(&self) -> Option<Decimal> {
311        None
312    }
313
314    fn trailing_offset(&self) -> Option<Decimal> {
315        None
316    }
317
318    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
319        None
320    }
321
322    fn emulation_trigger(&self) -> Option<TriggerType> {
323        None
324    }
325
326    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
327        None
328    }
329
330    fn contingency_type(&self) -> Option<ContingencyType> {
331        self.contingency_type
332    }
333
334    fn order_list_id(&self) -> Option<OrderListId> {
335        self.order_list_id
336    }
337
338    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
339        self.linked_order_ids.as_deref()
340    }
341
342    fn parent_order_id(&self) -> Option<ClientOrderId> {
343        self.parent_order_id
344    }
345
346    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
347        self.exec_algorithm_id
348    }
349
350    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
351        self.exec_algorithm_params.as_ref()
352    }
353
354    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
355        self.exec_spawn_id
356    }
357
358    fn tags(&self) -> Option<&[Ustr]> {
359        self.tags.as_deref()
360    }
361
362    fn filled_qty(&self) -> Quantity {
363        self.filled_qty
364    }
365
366    fn leaves_qty(&self) -> Quantity {
367        self.leaves_qty
368    }
369
370    fn overfill_qty(&self) -> Quantity {
371        self.overfill_qty
372    }
373
374    fn avg_px(&self) -> Option<f64> {
375        self.avg_px
376    }
377
378    fn slippage(&self) -> Option<f64> {
379        self.slippage
380    }
381
382    fn init_id(&self) -> UUID4 {
383        self.init_id
384    }
385
386    fn ts_init(&self) -> UnixNanos {
387        self.ts_init
388    }
389
390    fn ts_submitted(&self) -> Option<UnixNanos> {
391        self.ts_submitted
392    }
393
394    fn ts_accepted(&self) -> Option<UnixNanos> {
395        self.ts_accepted
396    }
397
398    fn ts_closed(&self) -> Option<UnixNanos> {
399        self.ts_closed
400    }
401
402    fn ts_last(&self) -> UnixNanos {
403        self.ts_last
404    }
405
406    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
407        if let OrderEventAny::Updated(ref event) = event {
408            self.update(event);
409        };
410
411        self.core.apply(event)?;
412
413        Ok(())
414    }
415
416    fn update(&mut self, event: &OrderUpdated) {
417        assert!(event.price.is_none(), "{}", OrderError::InvalidOrderEvent);
418        assert!(
419            event.trigger_price.is_none(),
420            "{}",
421            OrderError::InvalidOrderEvent
422        );
423
424        self.protection_price = event.protection_price;
425        self.quantity = event.quantity;
426        self.leaves_qty = self.quantity.saturating_sub(self.filled_qty);
427    }
428
429    fn events(&self) -> Vec<&OrderEventAny> {
430        self.events.iter().collect()
431    }
432
433    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
434        self.venue_order_ids.iter().collect()
435    }
436
437    fn trade_ids(&self) -> Vec<&TradeId> {
438        self.trade_ids.iter().collect()
439    }
440
441    fn commissions(&self) -> &IndexMap<Currency, Money> {
442        &self.commissions
443    }
444
445    fn is_triggered(&self) -> Option<bool> {
446        None
447    }
448
449    fn set_position_id(&mut self, position_id: Option<PositionId>) {
450        self.position_id = position_id;
451    }
452
453    fn set_quantity(&mut self, quantity: Quantity) {
454        self.quantity = quantity;
455    }
456
457    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
458        self.leaves_qty = leaves_qty;
459    }
460
461    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
462        self.emulation_trigger = emulation_trigger;
463    }
464
465    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
466        self.is_quote_quantity = is_quote_quantity;
467    }
468
469    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
470        self.liquidity_side = Some(liquidity_side);
471    }
472
473    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
474        self.core.would_reduce_only(side, position_qty)
475    }
476
477    fn previous_status(&self) -> Option<OrderStatus> {
478        self.core.previous_status
479    }
480}
481
482impl Display for MarketOrder {
483    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
484        write!(
485            f,
486            "MarketOrder(\
487            {} {} {} @ {} {}, \
488            status={}, \
489            client_order_id={}, \
490            venue_order_id={}, \
491            position_id={}, \
492            exec_algorithm_id={}, \
493            exec_spawn_id={}, \
494            tags={:?}\
495            )",
496            self.side,
497            self.quantity.to_formatted_string(),
498            self.instrument_id,
499            self.order_type,
500            self.time_in_force,
501            self.status,
502            self.client_order_id,
503            self.venue_order_id.map_or_else(
504                || "None".to_string(),
505                |venue_order_id| format!("{venue_order_id}")
506            ),
507            self.position_id.map_or_else(
508                || "None".to_string(),
509                |position_id| format!("{position_id}")
510            ),
511            self.exec_algorithm_id
512                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
513            self.exec_spawn_id
514                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
515            self.tags
516        )
517    }
518}
519
520impl From<OrderInitialized> for MarketOrder {
521    fn from(event: OrderInitialized) -> Self {
522        Self::new(
523            event.trader_id,
524            event.strategy_id,
525            event.instrument_id,
526            event.client_order_id,
527            event.order_side,
528            event.quantity,
529            event.time_in_force,
530            event.event_id,
531            event.ts_event,
532            event.reduce_only,
533            event.quote_quantity,
534            event.contingency_type,
535            event.order_list_id,
536            event.linked_order_ids,
537            event.parent_order_id,
538            event.exec_algorithm_id,
539            event.exec_algorithm_params,
540            event.exec_spawn_id,
541            event.tags,
542        )
543    }
544}
545
546#[cfg(test)]
547mod tests {
548    use rstest::rstest;
549
550    use crate::{
551        enums::{OrderSide, OrderType, TimeInForce},
552        events::{OrderEventAny, OrderUpdated, order::initialized::OrderInitializedBuilder},
553        instruments::{CurrencyPair, stubs::*},
554        orders::{MarketOrder, Order, builder::OrderTestBuilder, stubs::TestOrderStubs},
555        types::{Price, Quantity},
556    };
557
558    #[rstest]
559    #[should_panic(
560        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
561    )]
562    fn test_positive_quantity_condition(audusd_sim: CurrencyPair) {
563        let _ = OrderTestBuilder::new(OrderType::Market)
564            .instrument_id(audusd_sim.id)
565            .side(OrderSide::Buy)
566            .quantity(Quantity::from(0))
567            .build();
568    }
569
570    #[rstest]
571    #[should_panic(expected = "GTD not supported for Market orders")]
572    fn test_gtd_condition(audusd_sim: CurrencyPair) {
573        let _ = OrderTestBuilder::new(OrderType::Market)
574            .instrument_id(audusd_sim.id)
575            .side(OrderSide::Buy)
576            .quantity(Quantity::from(100))
577            .time_in_force(TimeInForce::Gtd)
578            .build();
579    }
580    #[rstest]
581    fn test_market_order_creation(audusd_sim: CurrencyPair) {
582        // Create a MarketOrder with specific parameters
583        let order = OrderTestBuilder::new(OrderType::Market)
584            .instrument_id(audusd_sim.id)
585            .quantity(Quantity::from(10))
586            .side(OrderSide::Buy)
587            .time_in_force(TimeInForce::Ioc)
588            .build();
589
590        // Assert that the MarketOrder-specific fields are correctly set
591        assert_eq!(order.time_in_force(), TimeInForce::Ioc);
592        assert_eq!(order.order_type(), OrderType::Market);
593        assert!(order.price().is_none());
594    }
595
596    #[rstest]
597    fn test_market_order_update(audusd_sim: CurrencyPair) {
598        // Create and accept a basic MarketOrder
599        let order = OrderTestBuilder::new(OrderType::Market)
600            .instrument_id(audusd_sim.id)
601            .quantity(Quantity::from(10))
602            .side(OrderSide::Buy)
603            .build();
604
605        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
606
607        // Update with new values
608        let updated_quantity = Quantity::from(5);
609
610        let event = OrderUpdated {
611            client_order_id: accepted_order.client_order_id(),
612            strategy_id: accepted_order.strategy_id(),
613            quantity: updated_quantity,
614            ..Default::default()
615        };
616
617        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
618
619        // Verify updates were applied correctly
620        assert_eq!(accepted_order.quantity(), updated_quantity);
621    }
622
623    #[rstest]
624    fn test_market_order_from_order_initialized(audusd_sim: CurrencyPair) {
625        // Create an OrderInitialized event with all required fields for a MarketOrder
626        let order_initialized = OrderInitializedBuilder::default()
627            .order_type(OrderType::Market)
628            .instrument_id(audusd_sim.id)
629            .quantity(Quantity::from(10))
630            .order_side(OrderSide::Buy)
631            .build()
632            .unwrap();
633
634        // Convert the OrderInitialized event into a MarketOrder
635        let order: MarketOrder = order_initialized.clone().into();
636
637        // Assert essential fields match the OrderInitialized fields
638        assert_eq!(order.trader_id(), order_initialized.trader_id);
639        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
640        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
641        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
642        assert_eq!(order.order_side(), order_initialized.order_side);
643        assert_eq!(order.quantity(), order_initialized.quantity);
644    }
645
646    #[rstest]
647    #[should_panic(
648        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
649    )]
650    fn test_market_order_invalid_quantity(audusd_sim: CurrencyPair) {
651        let _ = OrderTestBuilder::new(OrderType::Market)
652            .instrument_id(audusd_sim.id)
653            .quantity(Quantity::from(0))
654            .side(OrderSide::Buy)
655            .build();
656    }
657
658    #[rstest]
659    fn test_display(audusd_sim: CurrencyPair) {
660        let order = OrderTestBuilder::new(OrderType::Market)
661            .instrument_id(audusd_sim.id)
662            .quantity(Quantity::from(10))
663            .side(OrderSide::Buy)
664            .build();
665
666        // Assert that the display method returns a string representation of the order
667        assert_eq!(
668            order.to_string(),
669            format!(
670                "MarketOrder({} {} {} @ {} {}, status=INITIALIZED, client_order_id={}, venue_order_id=None, position_id=None, exec_algorithm_id=None, exec_spawn_id=None, tags=None)",
671                order.order_side(),
672                order.quantity().to_formatted_string(),
673                order.instrument_id(),
674                order.order_type(),
675                order.time_in_force(),
676                order.client_order_id()
677            )
678        );
679    }
680
681    #[rstest]
682    fn test_stop_market_order_protection_price_update(audusd_sim: CurrencyPair) {
683        // Create and accept a basic MarketOrder
684        let order = OrderTestBuilder::new(OrderType::Market)
685            .instrument_id(audusd_sim.id)
686            .quantity(Quantity::from(10))
687            .side(OrderSide::Buy)
688            .build();
689
690        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
691
692        // Update with new values
693        let calculated_protection_price = Price::new(95.0, 2);
694
695        let event = OrderUpdated {
696            client_order_id: accepted_order.client_order_id(),
697            strategy_id: accepted_order.strategy_id(),
698            protection_price: Some(calculated_protection_price),
699            ..Default::default()
700        };
701
702        assert_eq!(accepted_order.price(), None);
703        assert!(!accepted_order.has_price());
704
705        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
706
707        // Verify updates were applied correctly
708        assert_eq!(accepted_order.price(), Some(calculated_protection_price));
709        assert!(accepted_order.has_price());
710    }
711}
nautilus_model/orders/market.rs

nautilus_model/orders/
market.rs
