nautilus_model/reports/
mass_status.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 indexmap::IndexMap;
17use nautilus_core::{UUID4, UnixNanos};
18use serde::{Deserialize, Serialize};
19
20use crate::{
21    identifiers::{AccountId, ClientId, InstrumentId, Venue, VenueOrderId},
22    reports::{fill::FillReport, order::OrderStatusReport, position::PositionStatusReport},
23};
24
25/// Represents an execution mass status report for an execution client - including
26/// status of all orders, trades for those orders and open positions.
27#[derive(Clone, Debug, PartialEq, Serialize, Deserialize)]
28#[serde(tag = "type")]
29#[cfg_attr(
30    feature = "python",
31    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
32)]
33pub struct ExecutionMassStatus {
34    /// The client ID for the report.
35    pub client_id: ClientId,
36    /// The account ID for the report.
37    pub account_id: AccountId,
38    /// The venue for the report.
39    pub venue: Venue,
40    /// The report ID.
41    pub report_id: UUID4,
42    /// UNIX timestamp (nanoseconds) when the object was initialized.
43    pub ts_init: UnixNanos,
44    /// The order status reports.
45    order_reports: IndexMap<VenueOrderId, OrderStatusReport>,
46    /// The fill reports.
47    fill_reports: IndexMap<VenueOrderId, Vec<FillReport>>,
48    /// The position status reports.
49    position_reports: IndexMap<InstrumentId, Vec<PositionStatusReport>>,
50}
51
52impl ExecutionMassStatus {
53    /// Creates a new execution mass status report.
54    #[must_use]
55    pub fn new(
56        client_id: ClientId,
57        account_id: AccountId,
58        venue: Venue,
59        ts_init: UnixNanos,
60        report_id: Option<UUID4>,
61    ) -> Self {
62        Self {
63            client_id,
64            account_id,
65            venue,
66            report_id: report_id.unwrap_or_default(),
67            ts_init,
68            order_reports: IndexMap::new(),
69            fill_reports: IndexMap::new(),
70            position_reports: IndexMap::new(),
71        }
72    }
73
74    /// Get a copy of the order reports map.
75    #[must_use]
76    pub fn order_reports(&self) -> IndexMap<VenueOrderId, OrderStatusReport> {
77        self.order_reports.clone()
78    }
79
80    /// Get a copy of the fill reports map.
81    #[must_use]
82    pub fn fill_reports(&self) -> IndexMap<VenueOrderId, Vec<FillReport>> {
83        self.fill_reports.clone()
84    }
85
86    /// Get a copy of the position reports map.
87    #[must_use]
88    pub fn position_reports(&self) -> IndexMap<InstrumentId, Vec<PositionStatusReport>> {
89        self.position_reports.clone()
90    }
91
92    /// Add order reports to the mass status.
93    pub fn add_order_reports(&mut self, reports: Vec<OrderStatusReport>) {
94        for report in reports {
95            self.order_reports.insert(report.venue_order_id, report);
96        }
97    }
98
99    /// Add fill reports to the mass status.
100    pub fn add_fill_reports(&mut self, reports: Vec<FillReport>) {
101        for report in reports {
102            self.fill_reports
103                .entry(report.venue_order_id)
104                .or_default()
105                .push(report);
106        }
107    }
108
109    /// Add position reports to the mass status.
110    pub fn add_position_reports(&mut self, reports: Vec<PositionStatusReport>) {
111        for report in reports {
112            self.position_reports
113                .entry(report.instrument_id)
114                .or_default()
115                .push(report);
116        }
117    }
118}
119
120impl std::fmt::Display for ExecutionMassStatus {
121    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
122        write!(
123            f,
124            "ExecutionMassStatus(client_id={}, account_id={}, venue={}, order_reports={:?}, fill_reports={:?}, position_reports={:?}, report_id={}, ts_init={})",
125            self.client_id,
126            self.account_id,
127            self.venue,
128            self.order_reports,
129            self.fill_reports,
130            self.position_reports,
131            self.report_id,
132            self.ts_init,
133        )
134    }
135}
136
137////////////////////////////////////////////////////////////////////////////////
138// Tests
139////////////////////////////////////////////////////////////////////////////////
140#[cfg(test)]
141mod tests {
142    use nautilus_core::UnixNanos;
143    use rstest::*;
144
145    use super::*;
146    use crate::{
147        enums::{
148            LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSideSpecified, TimeInForce,
149        },
150        identifiers::{
151            AccountId, ClientId, InstrumentId, PositionId, TradeId, Venue, VenueOrderId,
152        },
153        reports::{fill::FillReport, order::OrderStatusReport, position::PositionStatusReport},
154        types::{Currency, Money, Price, Quantity},
155    };
156
157    fn test_execution_mass_status() -> ExecutionMassStatus {
158        ExecutionMassStatus::new(
159            ClientId::from("IB"),
160            AccountId::from("IB-DU123456"),
161            Venue::from("NASDAQ"),
162            UnixNanos::from(1_000_000_000),
163            None,
164        )
165    }
166
167    fn create_test_order_report() -> OrderStatusReport {
168        OrderStatusReport::new(
169            AccountId::from("IB-DU123456"),
170            InstrumentId::from("AAPL.NASDAQ"),
171            None,
172            VenueOrderId::from("1"),
173            OrderSide::Buy,
174            OrderType::Limit,
175            TimeInForce::Gtc,
176            OrderStatus::Accepted,
177            Quantity::from("100"),
178            Quantity::from("0"),
179            UnixNanos::from(1_000_000_000),
180            UnixNanos::from(2_000_000_000),
181            UnixNanos::from(3_000_000_000),
182            None,
183        )
184    }
185
186    fn create_test_fill_report() -> FillReport {
187        FillReport::new(
188            AccountId::from("IB-DU123456"),
189            InstrumentId::from("AAPL.NASDAQ"),
190            VenueOrderId::from("1"),
191            TradeId::from("T-001"),
192            OrderSide::Buy,
193            Quantity::from("50"),
194            Price::from("150.00"),
195            Money::new(1.0, Currency::USD()),
196            LiquiditySide::Taker,
197            None,
198            None,
199            UnixNanos::from(1_500_000_000),
200            UnixNanos::from(2_500_000_000),
201            None,
202        )
203    }
204
205    fn create_test_position_report() -> PositionStatusReport {
206        PositionStatusReport::new(
207            AccountId::from("IB-DU123456"),
208            InstrumentId::from("AAPL.NASDAQ"),
209            PositionSideSpecified::Long,
210            Quantity::from("50"),
211            Some(PositionId::from("P-001")),
212            UnixNanos::from(2_000_000_000),
213            UnixNanos::from(3_000_000_000),
214            None,
215        )
216    }
217
218    #[rstest]
219    fn test_execution_mass_status_new() {
220        let mass_status = test_execution_mass_status();
221
222        assert_eq!(mass_status.client_id, ClientId::from("IB"));
223        assert_eq!(mass_status.account_id, AccountId::from("IB-DU123456"));
224        assert_eq!(mass_status.venue, Venue::from("NASDAQ"));
225        assert_eq!(mass_status.ts_init, UnixNanos::from(1_000_000_000));
226        assert!(mass_status.order_reports().is_empty());
227        assert!(mass_status.fill_reports().is_empty());
228        assert!(mass_status.position_reports().is_empty());
229    }
230
231    #[rstest]
232    fn test_execution_mass_status_with_generated_report_id() {
233        let mass_status = ExecutionMassStatus::new(
234            ClientId::from("IB"),
235            AccountId::from("IB-DU123456"),
236            Venue::from("NASDAQ"),
237            UnixNanos::from(1_000_000_000),
238            None, // No report ID provided, should generate one
239        );
240
241        // Should have a generated UUID
242        assert_ne!(
243            mass_status.report_id.to_string(),
244            "00000000-0000-0000-0000-000000000000"
245        );
246    }
247
248    #[rstest]
249    fn test_add_order_reports() {
250        let mut mass_status = test_execution_mass_status();
251        let order_report1 = create_test_order_report();
252        let order_report2 = OrderStatusReport::new(
253            AccountId::from("IB-DU123456"),
254            InstrumentId::from("MSFT.NASDAQ"),
255            None,
256            VenueOrderId::from("2"),
257            OrderSide::Sell,
258            OrderType::Market,
259            TimeInForce::Ioc,
260            OrderStatus::Filled,
261            Quantity::from("200"),
262            Quantity::from("200"),
263            UnixNanos::from(1_000_000_000),
264            UnixNanos::from(2_000_000_000),
265            UnixNanos::from(3_000_000_000),
266            None,
267        );
268
269        mass_status.add_order_reports(vec![order_report1.clone(), order_report2.clone()]);
270
271        let order_reports = mass_status.order_reports();
272        assert_eq!(order_reports.len(), 2);
273        assert_eq!(
274            order_reports.get(&VenueOrderId::from("1")),
275            Some(&order_report1)
276        );
277        assert_eq!(
278            order_reports.get(&VenueOrderId::from("2")),
279            Some(&order_report2)
280        );
281    }
282
283    #[rstest]
284    fn test_add_fill_reports() {
285        let mut mass_status = test_execution_mass_status();
286        let fill_report1 = create_test_fill_report();
287        let fill_report2 = FillReport::new(
288            AccountId::from("IB-DU123456"),
289            InstrumentId::from("AAPL.NASDAQ"),
290            VenueOrderId::from("1"), // Same venue order ID
291            TradeId::from("T-002"),
292            OrderSide::Buy,
293            Quantity::from("50"),
294            Price::from("151.00"),
295            Money::new(1.5, Currency::USD()),
296            LiquiditySide::Maker,
297            None,
298            None,
299            UnixNanos::from(1_600_000_000),
300            UnixNanos::from(2_600_000_000),
301            None,
302        );
303
304        mass_status.add_fill_reports(vec![fill_report1.clone(), fill_report2.clone()]);
305
306        let fill_reports = mass_status.fill_reports();
307        assert_eq!(fill_reports.len(), 1); // One entry because same venue order ID
308
309        let fills_for_order = fill_reports.get(&VenueOrderId::from("1")).unwrap();
310        assert_eq!(fills_for_order.len(), 2);
311        assert_eq!(fills_for_order[0], fill_report1);
312        assert_eq!(fills_for_order[1], fill_report2);
313    }
314
315    #[rstest]
316    fn test_add_position_reports() {
317        let mut mass_status = test_execution_mass_status();
318        let position_report1 = create_test_position_report();
319        let position_report2 = PositionStatusReport::new(
320            AccountId::from("IB-DU123456"),
321            InstrumentId::from("AAPL.NASDAQ"), // Same instrument ID
322            PositionSideSpecified::Short,
323            Quantity::from("25"),
324            None,
325            UnixNanos::from(2_100_000_000),
326            UnixNanos::from(3_100_000_000),
327            None,
328        );
329        let position_report3 = PositionStatusReport::new(
330            AccountId::from("IB-DU123456"),
331            InstrumentId::from("MSFT.NASDAQ"), // Different instrument
332            PositionSideSpecified::Long,
333            Quantity::from("100"),
334            None,
335            UnixNanos::from(2_200_000_000),
336            UnixNanos::from(3_200_000_000),
337            None,
338        );
339
340        mass_status.add_position_reports(vec![
341            position_report1.clone(),
342            position_report2.clone(),
343            position_report3.clone(),
344        ]);
345
346        let position_reports = mass_status.position_reports();
347        assert_eq!(position_reports.len(), 2); // Two instruments
348
349        // Check AAPL positions
350        let aapl_positions = position_reports
351            .get(&InstrumentId::from("AAPL.NASDAQ"))
352            .unwrap();
353        assert_eq!(aapl_positions.len(), 2);
354        assert_eq!(aapl_positions[0], position_report1);
355        assert_eq!(aapl_positions[1], position_report2);
356
357        // Check MSFT positions
358        let msft_positions = position_reports
359            .get(&InstrumentId::from("MSFT.NASDAQ"))
360            .unwrap();
361        assert_eq!(msft_positions.len(), 1);
362        assert_eq!(msft_positions[0], position_report3);
363    }
364
365    #[rstest]
366    fn test_add_multiple_fills_for_different_orders() {
367        let mut mass_status = test_execution_mass_status();
368        let fill_report1 = create_test_fill_report(); // venue_order_id = "1"
369        let fill_report2 = FillReport::new(
370            AccountId::from("IB-DU123456"),
371            InstrumentId::from("MSFT.NASDAQ"),
372            VenueOrderId::from("2"), // Different venue order ID
373            TradeId::from("T-003"),
374            OrderSide::Sell,
375            Quantity::from("75"),
376            Price::from("300.00"),
377            Money::new(2.0, Currency::USD()),
378            LiquiditySide::Taker,
379            None,
380            None,
381            UnixNanos::from(1_700_000_000),
382            UnixNanos::from(2_700_000_000),
383            None,
384        );
385
386        mass_status.add_fill_reports(vec![fill_report1.clone(), fill_report2.clone()]);
387
388        let fill_reports = mass_status.fill_reports();
389        assert_eq!(fill_reports.len(), 2); // Two different venue order IDs
390
391        let fills_order_1 = fill_reports.get(&VenueOrderId::from("1")).unwrap();
392        assert_eq!(fills_order_1.len(), 1);
393        assert_eq!(fills_order_1[0], fill_report1);
394
395        let fills_order_2 = fill_reports.get(&VenueOrderId::from("2")).unwrap();
396        assert_eq!(fills_order_2.len(), 1);
397        assert_eq!(fills_order_2[0], fill_report2);
398    }
399
400    #[rstest]
401    fn test_comprehensive_mass_status() {
402        let mut mass_status = test_execution_mass_status();
403
404        // Add various reports
405        let order_report = create_test_order_report();
406        let fill_report = create_test_fill_report();
407        let position_report = create_test_position_report();
408
409        mass_status.add_order_reports(vec![order_report.clone()]);
410        mass_status.add_fill_reports(vec![fill_report.clone()]);
411        mass_status.add_position_reports(vec![position_report.clone()]);
412
413        // Verify all reports are present
414        assert_eq!(mass_status.order_reports().len(), 1);
415        assert_eq!(mass_status.fill_reports().len(), 1);
416        assert_eq!(mass_status.position_reports().len(), 1);
417
418        // Verify specific content
419        assert_eq!(
420            mass_status.order_reports().get(&VenueOrderId::from("1")),
421            Some(&order_report)
422        );
423        assert_eq!(
424            mass_status
425                .fill_reports()
426                .get(&VenueOrderId::from("1"))
427                .unwrap()[0],
428            fill_report
429        );
430        assert_eq!(
431            mass_status
432                .position_reports()
433                .get(&InstrumentId::from("AAPL.NASDAQ"))
434                .unwrap()[0],
435            position_report
436        );
437    }
438
439    #[rstest]
440    fn test_display() {
441        let mass_status = test_execution_mass_status();
442        let display_str = format!("{mass_status}");
443
444        assert!(display_str.contains("ExecutionMassStatus"));
445        assert!(display_str.contains("IB"));
446        assert!(display_str.contains("IB-DU123456"));
447        assert!(display_str.contains("NASDAQ"));
448    }
449
450    #[rstest]
451    fn test_clone_and_equality() {
452        let mass_status1 = test_execution_mass_status();
453        let mass_status2 = mass_status1.clone();
454
455        assert_eq!(mass_status1, mass_status2);
456    }
457
458    #[rstest]
459    fn test_serialization_roundtrip() {
460        let original = test_execution_mass_status();
461
462        // Test JSON serialization
463        let json = serde_json::to_string(&original).unwrap();
464        let deserialized: ExecutionMassStatus = serde_json::from_str(&json).unwrap();
465        assert_eq!(original, deserialized);
466    }
467
468    #[rstest]
469    fn test_empty_mass_status_accessors() {
470        let mass_status = test_execution_mass_status();
471
472        // All collections should be empty initially
473        assert!(mass_status.order_reports().is_empty());
474        assert!(mass_status.fill_reports().is_empty());
475        assert!(mass_status.position_reports().is_empty());
476    }
477
478    #[rstest]
479    fn test_add_empty_reports() {
480        let mut mass_status = test_execution_mass_status();
481
482        // Adding empty vectors should work without issues
483        mass_status.add_order_reports(vec![]);
484        mass_status.add_fill_reports(vec![]);
485        mass_status.add_position_reports(vec![]);
486
487        // Should still be empty
488        assert!(mass_status.order_reports().is_empty());
489        assert!(mass_status.fill_reports().is_empty());
490        assert!(mass_status.position_reports().is_empty());
491    }
492
493    #[rstest]
494    fn test_overwrite_order_reports() {
495        let mut mass_status = test_execution_mass_status();
496        let venue_order_id = VenueOrderId::from("1");
497
498        // Add first order report
499        let order_report1 = create_test_order_report();
500        mass_status.add_order_reports(vec![order_report1.clone()]);
501
502        // Add second order report with same venue order ID (should overwrite)
503        let order_report2 = OrderStatusReport::new(
504            AccountId::from("IB-DU123456"),
505            InstrumentId::from("AAPL.NASDAQ"),
506            None,
507            venue_order_id,
508            OrderSide::Sell, // Different side
509            OrderType::Market,
510            TimeInForce::Ioc,
511            OrderStatus::Filled,
512            Quantity::from("200"),
513            Quantity::from("200"),
514            UnixNanos::from(1_000_000_000),
515            UnixNanos::from(2_000_000_000),
516            UnixNanos::from(3_000_000_000),
517            None,
518        );
519        mass_status.add_order_reports(vec![order_report2.clone()]);
520
521        // Should have only one report (the latest one)
522        let order_reports = mass_status.order_reports();
523        assert_eq!(order_reports.len(), 1);
524        assert_eq!(order_reports.get(&venue_order_id), Some(&order_report2));
525        assert_ne!(order_reports.get(&venue_order_id), Some(&order_report1));
526    }
527}
nautilus_model/reports/mass_status.rs

nautilus_model/reports/
mass_status.rs
