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            UnixNanos::from(2_000_000_000),
212            UnixNanos::from(3_000_000_000),
213            None,                            // report_id
214            Some(PositionId::from("P-001")), // venue_position_id
215            None,                            // avg_px_open
216        )
217    }
218
219    #[rstest]
220    fn test_execution_mass_status_new() {
221        let mass_status = test_execution_mass_status();
222
223        assert_eq!(mass_status.client_id, ClientId::from("IB"));
224        assert_eq!(mass_status.account_id, AccountId::from("IB-DU123456"));
225        assert_eq!(mass_status.venue, Venue::from("NASDAQ"));
226        assert_eq!(mass_status.ts_init, UnixNanos::from(1_000_000_000));
227        assert!(mass_status.order_reports().is_empty());
228        assert!(mass_status.fill_reports().is_empty());
229        assert!(mass_status.position_reports().is_empty());
230    }
231
232    #[rstest]
233    fn test_execution_mass_status_with_generated_report_id() {
234        let mass_status = ExecutionMassStatus::new(
235            ClientId::from("IB"),
236            AccountId::from("IB-DU123456"),
237            Venue::from("NASDAQ"),
238            UnixNanos::from(1_000_000_000),
239            None, // No report ID provided, should generate one
240        );
241
242        // Should have a generated UUID
243        assert_ne!(
244            mass_status.report_id.to_string(),
245            "00000000-0000-0000-0000-000000000000"
246        );
247    }
248
249    #[rstest]
250    fn test_add_order_reports() {
251        let mut mass_status = test_execution_mass_status();
252        let order_report1 = create_test_order_report();
253        let order_report2 = OrderStatusReport::new(
254            AccountId::from("IB-DU123456"),
255            InstrumentId::from("MSFT.NASDAQ"),
256            None,
257            VenueOrderId::from("2"),
258            OrderSide::Sell,
259            OrderType::Market,
260            TimeInForce::Ioc,
261            OrderStatus::Filled,
262            Quantity::from("200"),
263            Quantity::from("200"),
264            UnixNanos::from(1_000_000_000),
265            UnixNanos::from(2_000_000_000),
266            UnixNanos::from(3_000_000_000),
267            None,
268        );
269
270        mass_status.add_order_reports(vec![order_report1.clone(), order_report2.clone()]);
271
272        let order_reports = mass_status.order_reports();
273        assert_eq!(order_reports.len(), 2);
274        assert_eq!(
275            order_reports.get(&VenueOrderId::from("1")),
276            Some(&order_report1)
277        );
278        assert_eq!(
279            order_reports.get(&VenueOrderId::from("2")),
280            Some(&order_report2)
281        );
282    }
283
284    #[rstest]
285    fn test_add_fill_reports() {
286        let mut mass_status = test_execution_mass_status();
287        let fill_report1 = create_test_fill_report();
288        let fill_report2 = FillReport::new(
289            AccountId::from("IB-DU123456"),
290            InstrumentId::from("AAPL.NASDAQ"),
291            VenueOrderId::from("1"), // Same venue order ID
292            TradeId::from("T-002"),
293            OrderSide::Buy,
294            Quantity::from("50"),
295            Price::from("151.00"),
296            Money::new(1.5, Currency::USD()),
297            LiquiditySide::Maker,
298            None,
299            None,
300            UnixNanos::from(1_600_000_000),
301            UnixNanos::from(2_600_000_000),
302            None,
303        );
304
305        mass_status.add_fill_reports(vec![fill_report1.clone(), fill_report2.clone()]);
306
307        let fill_reports = mass_status.fill_reports();
308        assert_eq!(fill_reports.len(), 1); // One entry because same venue order ID
309
310        let fills_for_order = fill_reports.get(&VenueOrderId::from("1")).unwrap();
311        assert_eq!(fills_for_order.len(), 2);
312        assert_eq!(fills_for_order[0], fill_report1);
313        assert_eq!(fills_for_order[1], fill_report2);
314    }
315
316    #[rstest]
317    fn test_add_position_reports() {
318        let mut mass_status = test_execution_mass_status();
319        let position_report1 = create_test_position_report();
320        let position_report2 = PositionStatusReport::new(
321            AccountId::from("IB-DU123456"),
322            InstrumentId::from("AAPL.NASDAQ"), // Same instrument ID
323            PositionSideSpecified::Short,
324            Quantity::from("25"),
325            UnixNanos::from(2_100_000_000),
326            UnixNanos::from(3_100_000_000),
327            None,
328            None,
329            None,
330        );
331        let position_report3 = PositionStatusReport::new(
332            AccountId::from("IB-DU123456"),
333            InstrumentId::from("MSFT.NASDAQ"), // Different instrument
334            PositionSideSpecified::Long,
335            Quantity::from("100"),
336            UnixNanos::from(2_200_000_000),
337            UnixNanos::from(3_200_000_000),
338            None,
339            None,
340            None,
341        );
342
343        mass_status.add_position_reports(vec![
344            position_report1.clone(),
345            position_report2.clone(),
346            position_report3.clone(),
347        ]);
348
349        let position_reports = mass_status.position_reports();
350        assert_eq!(position_reports.len(), 2); // Two instruments
351
352        // Check AAPL positions
353        let aapl_positions = position_reports
354            .get(&InstrumentId::from("AAPL.NASDAQ"))
355            .unwrap();
356        assert_eq!(aapl_positions.len(), 2);
357        assert_eq!(aapl_positions[0], position_report1);
358        assert_eq!(aapl_positions[1], position_report2);
359
360        // Check MSFT positions
361        let msft_positions = position_reports
362            .get(&InstrumentId::from("MSFT.NASDAQ"))
363            .unwrap();
364        assert_eq!(msft_positions.len(), 1);
365        assert_eq!(msft_positions[0], position_report3);
366    }
367
368    #[rstest]
369    fn test_add_multiple_fills_for_different_orders() {
370        let mut mass_status = test_execution_mass_status();
371        let fill_report1 = create_test_fill_report(); // venue_order_id = "1"
372        let fill_report2 = FillReport::new(
373            AccountId::from("IB-DU123456"),
374            InstrumentId::from("MSFT.NASDAQ"),
375            VenueOrderId::from("2"), // Different venue order ID
376            TradeId::from("T-003"),
377            OrderSide::Sell,
378            Quantity::from("75"),
379            Price::from("300.00"),
380            Money::new(2.0, Currency::USD()),
381            LiquiditySide::Taker,
382            None,
383            None,
384            UnixNanos::from(1_700_000_000),
385            UnixNanos::from(2_700_000_000),
386            None,
387        );
388
389        mass_status.add_fill_reports(vec![fill_report1.clone(), fill_report2.clone()]);
390
391        let fill_reports = mass_status.fill_reports();
392        assert_eq!(fill_reports.len(), 2); // Two different venue order IDs
393
394        let fills_order_1 = fill_reports.get(&VenueOrderId::from("1")).unwrap();
395        assert_eq!(fills_order_1.len(), 1);
396        assert_eq!(fills_order_1[0], fill_report1);
397
398        let fills_order_2 = fill_reports.get(&VenueOrderId::from("2")).unwrap();
399        assert_eq!(fills_order_2.len(), 1);
400        assert_eq!(fills_order_2[0], fill_report2);
401    }
402
403    #[rstest]
404    fn test_comprehensive_mass_status() {
405        let mut mass_status = test_execution_mass_status();
406
407        // Add various reports
408        let order_report = create_test_order_report();
409        let fill_report = create_test_fill_report();
410        let position_report = create_test_position_report();
411
412        mass_status.add_order_reports(vec![order_report.clone()]);
413        mass_status.add_fill_reports(vec![fill_report.clone()]);
414        mass_status.add_position_reports(vec![position_report.clone()]);
415
416        // Verify all reports are present
417        assert_eq!(mass_status.order_reports().len(), 1);
418        assert_eq!(mass_status.fill_reports().len(), 1);
419        assert_eq!(mass_status.position_reports().len(), 1);
420
421        // Verify specific content
422        assert_eq!(
423            mass_status.order_reports().get(&VenueOrderId::from("1")),
424            Some(&order_report)
425        );
426        assert_eq!(
427            mass_status
428                .fill_reports()
429                .get(&VenueOrderId::from("1"))
430                .unwrap()[0],
431            fill_report
432        );
433        assert_eq!(
434            mass_status
435                .position_reports()
436                .get(&InstrumentId::from("AAPL.NASDAQ"))
437                .unwrap()[0],
438            position_report
439        );
440    }
441
442    #[rstest]
443    fn test_display() {
444        let mass_status = test_execution_mass_status();
445        let display_str = format!("{mass_status}");
446
447        assert!(display_str.contains("ExecutionMassStatus"));
448        assert!(display_str.contains("IB"));
449        assert!(display_str.contains("IB-DU123456"));
450        assert!(display_str.contains("NASDAQ"));
451    }
452
453    #[rstest]
454    fn test_clone_and_equality() {
455        let mass_status1 = test_execution_mass_status();
456        let mass_status2 = mass_status1.clone();
457
458        assert_eq!(mass_status1, mass_status2);
459    }
460
461    #[rstest]
462    fn test_serialization_roundtrip() {
463        let original = test_execution_mass_status();
464
465        // Test JSON serialization
466        let json = serde_json::to_string(&original).unwrap();
467        let deserialized: ExecutionMassStatus = serde_json::from_str(&json).unwrap();
468        assert_eq!(original, deserialized);
469    }
470
471    #[rstest]
472    fn test_empty_mass_status_accessors() {
473        let mass_status = test_execution_mass_status();
474
475        // All collections should be empty initially
476        assert!(mass_status.order_reports().is_empty());
477        assert!(mass_status.fill_reports().is_empty());
478        assert!(mass_status.position_reports().is_empty());
479    }
480
481    #[rstest]
482    fn test_add_empty_reports() {
483        let mut mass_status = test_execution_mass_status();
484
485        // Adding empty vectors should work without issues
486        mass_status.add_order_reports(vec![]);
487        mass_status.add_fill_reports(vec![]);
488        mass_status.add_position_reports(vec![]);
489
490        // Should still be empty
491        assert!(mass_status.order_reports().is_empty());
492        assert!(mass_status.fill_reports().is_empty());
493        assert!(mass_status.position_reports().is_empty());
494    }
495
496    #[rstest]
497    fn test_overwrite_order_reports() {
498        let mut mass_status = test_execution_mass_status();
499        let venue_order_id = VenueOrderId::from("1");
500
501        // Add first order report
502        let order_report1 = create_test_order_report();
503        mass_status.add_order_reports(vec![order_report1.clone()]);
504
505        // Add second order report with same venue order ID (should overwrite)
506        let order_report2 = OrderStatusReport::new(
507            AccountId::from("IB-DU123456"),
508            InstrumentId::from("AAPL.NASDAQ"),
509            None,
510            venue_order_id,
511            OrderSide::Sell, // Different side
512            OrderType::Market,
513            TimeInForce::Ioc,
514            OrderStatus::Filled,
515            Quantity::from("200"),
516            Quantity::from("200"),
517            UnixNanos::from(1_000_000_000),
518            UnixNanos::from(2_000_000_000),
519            UnixNanos::from(3_000_000_000),
520            None,
521        );
522        mass_status.add_order_reports(vec![order_report2.clone()]);
523
524        // Should have only one report (the latest one)
525        let order_reports = mass_status.order_reports();
526        assert_eq!(order_reports.len(), 1);
527        assert_eq!(order_reports.get(&venue_order_id), Some(&order_report2));
528        assert_ne!(order_reports.get(&venue_order_id), Some(&order_report1));
529    }
530}
nautilus_model/reports/mass_status.rs

nautilus_model/reports/
mass_status.rs
