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 std::fmt::Display;
17
18use indexmap::IndexMap;
19use nautilus_core::{UUID4, UnixNanos};
20use serde::{Deserialize, Serialize};
21
22use crate::{
23    identifiers::{AccountId, ClientId, InstrumentId, Venue, VenueOrderId},
24    reports::{fill::FillReport, order::OrderStatusReport, position::PositionStatusReport},
25};
26
27/// Represents an execution mass status report for an execution client - including
28/// status of all orders, trades for those orders and open positions.
29#[derive(Clone, Debug, PartialEq, Serialize, Deserialize)]
30#[serde(tag = "type")]
31#[cfg_attr(
32    feature = "python",
33    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
34)]
35pub struct ExecutionMassStatus {
36    /// The client ID for the report.
37    pub client_id: ClientId,
38    /// The account ID for the report.
39    pub account_id: AccountId,
40    /// The venue for the report.
41    pub venue: Venue,
42    /// The report ID.
43    pub report_id: UUID4,
44    /// UNIX timestamp (nanoseconds) when the object was initialized.
45    pub ts_init: UnixNanos,
46    /// The order status reports.
47    order_reports: IndexMap<VenueOrderId, OrderStatusReport>,
48    /// The fill reports.
49    fill_reports: IndexMap<VenueOrderId, Vec<FillReport>>,
50    /// The position status reports.
51    position_reports: IndexMap<InstrumentId, Vec<PositionStatusReport>>,
52}
53
54impl ExecutionMassStatus {
55    /// Creates a new execution mass status report.
56    #[must_use]
57    pub fn new(
58        client_id: ClientId,
59        account_id: AccountId,
60        venue: Venue,
61        ts_init: UnixNanos,
62        report_id: Option<UUID4>,
63    ) -> Self {
64        Self {
65            client_id,
66            account_id,
67            venue,
68            report_id: report_id.unwrap_or_default(),
69            ts_init,
70            order_reports: IndexMap::new(),
71            fill_reports: IndexMap::new(),
72            position_reports: IndexMap::new(),
73        }
74    }
75
76    /// Get a copy of the order reports map.
77    #[must_use]
78    pub fn order_reports(&self) -> IndexMap<VenueOrderId, OrderStatusReport> {
79        self.order_reports.clone()
80    }
81
82    /// Get a copy of the fill reports map.
83    #[must_use]
84    pub fn fill_reports(&self) -> IndexMap<VenueOrderId, Vec<FillReport>> {
85        self.fill_reports.clone()
86    }
87
88    /// Get a copy of the position reports map.
89    #[must_use]
90    pub fn position_reports(&self) -> IndexMap<InstrumentId, Vec<PositionStatusReport>> {
91        self.position_reports.clone()
92    }
93
94    /// Add order reports to the mass status.
95    pub fn add_order_reports(&mut self, reports: Vec<OrderStatusReport>) {
96        for report in reports {
97            self.order_reports.insert(report.venue_order_id, report);
98        }
99    }
100
101    /// Add fill reports to the mass status.
102    pub fn add_fill_reports(&mut self, reports: Vec<FillReport>) {
103        for report in reports {
104            self.fill_reports
105                .entry(report.venue_order_id)
106                .or_default()
107                .push(report);
108        }
109    }
110
111    /// Add position reports to the mass status.
112    pub fn add_position_reports(&mut self, reports: Vec<PositionStatusReport>) {
113        for report in reports {
114            self.position_reports
115                .entry(report.instrument_id)
116                .or_default()
117                .push(report);
118        }
119    }
120}
121
122impl Display for ExecutionMassStatus {
123    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
124        write!(
125            f,
126            "ExecutionMassStatus(client_id={}, account_id={}, venue={}, order_reports={:?}, fill_reports={:?}, position_reports={:?}, report_id={}, ts_init={})",
127            self.client_id,
128            self.account_id,
129            self.venue,
130            self.order_reports,
131            self.fill_reports,
132            self.position_reports,
133            self.report_id,
134            self.ts_init,
135        )
136    }
137}
138
139#[cfg(test)]
140mod tests {
141    use nautilus_core::UnixNanos;
142    use rstest::*;
143
144    use super::*;
145    use crate::{
146        enums::{
147            LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSideSpecified, TimeInForce,
148        },
149        identifiers::{
150            AccountId, ClientId, InstrumentId, PositionId, TradeId, Venue, VenueOrderId,
151        },
152        reports::{fill::FillReport, order::OrderStatusReport, position::PositionStatusReport},
153        types::{Currency, Money, Price, Quantity},
154    };
155
156    fn test_execution_mass_status() -> ExecutionMassStatus {
157        ExecutionMassStatus::new(
158            ClientId::from("IB"),
159            AccountId::from("IB-DU123456"),
160            Venue::from("NASDAQ"),
161            UnixNanos::from(1_000_000_000),
162            None,
163        )
164    }
165
166    fn create_test_order_report() -> OrderStatusReport {
167        OrderStatusReport::new(
168            AccountId::from("IB-DU123456"),
169            InstrumentId::from("AAPL.NASDAQ"),
170            None,
171            VenueOrderId::from("1"),
172            OrderSide::Buy,
173            OrderType::Limit,
174            TimeInForce::Gtc,
175            OrderStatus::Accepted,
176            Quantity::from("100"),
177            Quantity::from("0"),
178            UnixNanos::from(1_000_000_000),
179            UnixNanos::from(2_000_000_000),
180            UnixNanos::from(3_000_000_000),
181            None,
182        )
183    }
184
185    fn create_test_fill_report() -> FillReport {
186        FillReport::new(
187            AccountId::from("IB-DU123456"),
188            InstrumentId::from("AAPL.NASDAQ"),
189            VenueOrderId::from("1"),
190            TradeId::from("T-001"),
191            OrderSide::Buy,
192            Quantity::from("50"),
193            Price::from("150.00"),
194            Money::new(1.0, Currency::USD()),
195            LiquiditySide::Taker,
196            None,
197            None,
198            UnixNanos::from(1_500_000_000),
199            UnixNanos::from(2_500_000_000),
200            None,
201        )
202    }
203
204    fn create_test_position_report() -> PositionStatusReport {
205        PositionStatusReport::new(
206            AccountId::from("IB-DU123456"),
207            InstrumentId::from("AAPL.NASDAQ"),
208            PositionSideSpecified::Long,
209            Quantity::from("50"),
210            UnixNanos::from(2_000_000_000),
211            UnixNanos::from(3_000_000_000),
212            None,                            // report_id
213            Some(PositionId::from("P-001")), // venue_position_id
214            None,                            // avg_px_open
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            UnixNanos::from(2_100_000_000),
325            UnixNanos::from(3_100_000_000),
326            None,
327            None,
328            None,
329        );
330        let position_report3 = PositionStatusReport::new(
331            AccountId::from("IB-DU123456"),
332            InstrumentId::from("MSFT.NASDAQ"), // Different instrument
333            PositionSideSpecified::Long,
334            Quantity::from("100"),
335            UnixNanos::from(2_200_000_000),
336            UnixNanos::from(3_200_000_000),
337            None,
338            None,
339            None,
340        );
341
342        mass_status.add_position_reports(vec![
343            position_report1.clone(),
344            position_report2.clone(),
345            position_report3.clone(),
346        ]);
347
348        let position_reports = mass_status.position_reports();
349        assert_eq!(position_reports.len(), 2); // Two instruments
350
351        // Check AAPL positions
352        let aapl_positions = position_reports
353            .get(&InstrumentId::from("AAPL.NASDAQ"))
354            .unwrap();
355        assert_eq!(aapl_positions.len(), 2);
356        assert_eq!(aapl_positions[0], position_report1);
357        assert_eq!(aapl_positions[1], position_report2);
358
359        // Check MSFT positions
360        let msft_positions = position_reports
361            .get(&InstrumentId::from("MSFT.NASDAQ"))
362            .unwrap();
363        assert_eq!(msft_positions.len(), 1);
364        assert_eq!(msft_positions[0], position_report3);
365    }
366
367    #[rstest]
368    fn test_add_multiple_fills_for_different_orders() {
369        let mut mass_status = test_execution_mass_status();
370        let fill_report1 = create_test_fill_report(); // venue_order_id = "1"
371        let fill_report2 = FillReport::new(
372            AccountId::from("IB-DU123456"),
373            InstrumentId::from("MSFT.NASDAQ"),
374            VenueOrderId::from("2"), // Different venue order ID
375            TradeId::from("T-003"),
376            OrderSide::Sell,
377            Quantity::from("75"),
378            Price::from("300.00"),
379            Money::new(2.0, Currency::USD()),
380            LiquiditySide::Taker,
381            None,
382            None,
383            UnixNanos::from(1_700_000_000),
384            UnixNanos::from(2_700_000_000),
385            None,
386        );
387
388        mass_status.add_fill_reports(vec![fill_report1.clone(), fill_report2.clone()]);
389
390        let fill_reports = mass_status.fill_reports();
391        assert_eq!(fill_reports.len(), 2); // Two different venue order IDs
392
393        let fills_order_1 = fill_reports.get(&VenueOrderId::from("1")).unwrap();
394        assert_eq!(fills_order_1.len(), 1);
395        assert_eq!(fills_order_1[0], fill_report1);
396
397        let fills_order_2 = fill_reports.get(&VenueOrderId::from("2")).unwrap();
398        assert_eq!(fills_order_2.len(), 1);
399        assert_eq!(fills_order_2[0], fill_report2);
400    }
401
402    #[rstest]
403    fn test_comprehensive_mass_status() {
404        let mut mass_status = test_execution_mass_status();
405
406        // Add various reports
407        let order_report = create_test_order_report();
408        let fill_report = create_test_fill_report();
409        let position_report = create_test_position_report();
410
411        mass_status.add_order_reports(vec![order_report.clone()]);
412        mass_status.add_fill_reports(vec![fill_report.clone()]);
413        mass_status.add_position_reports(vec![position_report.clone()]);
414
415        // Verify all reports are present
416        assert_eq!(mass_status.order_reports().len(), 1);
417        assert_eq!(mass_status.fill_reports().len(), 1);
418        assert_eq!(mass_status.position_reports().len(), 1);
419
420        // Verify specific content
421        assert_eq!(
422            mass_status.order_reports().get(&VenueOrderId::from("1")),
423            Some(&order_report)
424        );
425        assert_eq!(
426            mass_status
427                .fill_reports()
428                .get(&VenueOrderId::from("1"))
429                .unwrap()[0],
430            fill_report
431        );
432        assert_eq!(
433            mass_status
434                .position_reports()
435                .get(&InstrumentId::from("AAPL.NASDAQ"))
436                .unwrap()[0],
437            position_report
438        );
439    }
440
441    #[rstest]
442    fn test_display() {
443        let mass_status = test_execution_mass_status();
444        let display_str = format!("{mass_status}");
445
446        assert!(display_str.contains("ExecutionMassStatus"));
447        assert!(display_str.contains("IB"));
448        assert!(display_str.contains("IB-DU123456"));
449        assert!(display_str.contains("NASDAQ"));
450    }
451
452    #[rstest]
453    fn test_clone_and_equality() {
454        let mass_status1 = test_execution_mass_status();
455        let mass_status2 = mass_status1.clone();
456
457        assert_eq!(mass_status1, mass_status2);
458    }
459
460    #[rstest]
461    fn test_serialization_roundtrip() {
462        let original = test_execution_mass_status();
463
464        // Test JSON serialization
465        let json = serde_json::to_string(&original).unwrap();
466        let deserialized: ExecutionMassStatus = serde_json::from_str(&json).unwrap();
467        assert_eq!(original, deserialized);
468    }
469
470    #[rstest]
471    fn test_empty_mass_status_accessors() {
472        let mass_status = test_execution_mass_status();
473
474        // All collections should be empty initially
475        assert!(mass_status.order_reports().is_empty());
476        assert!(mass_status.fill_reports().is_empty());
477        assert!(mass_status.position_reports().is_empty());
478    }
479
480    #[rstest]
481    fn test_add_empty_reports() {
482        let mut mass_status = test_execution_mass_status();
483
484        // Adding empty vectors should work without issues
485        mass_status.add_order_reports(vec![]);
486        mass_status.add_fill_reports(vec![]);
487        mass_status.add_position_reports(vec![]);
488
489        // Should still be empty
490        assert!(mass_status.order_reports().is_empty());
491        assert!(mass_status.fill_reports().is_empty());
492        assert!(mass_status.position_reports().is_empty());
493    }
494
495    #[rstest]
496    fn test_overwrite_order_reports() {
497        let mut mass_status = test_execution_mass_status();
498        let venue_order_id = VenueOrderId::from("1");
499
500        // Add first order report
501        let order_report1 = create_test_order_report();
502        mass_status.add_order_reports(vec![order_report1.clone()]);
503
504        // Add second order report with same venue order ID (should overwrite)
505        let order_report2 = OrderStatusReport::new(
506            AccountId::from("IB-DU123456"),
507            InstrumentId::from("AAPL.NASDAQ"),
508            None,
509            venue_order_id,
510            OrderSide::Sell, // Different side
511            OrderType::Market,
512            TimeInForce::Ioc,
513            OrderStatus::Filled,
514            Quantity::from("200"),
515            Quantity::from("200"),
516            UnixNanos::from(1_000_000_000),
517            UnixNanos::from(2_000_000_000),
518            UnixNanos::from(3_000_000_000),
519            None,
520        );
521        mass_status.add_order_reports(vec![order_report2.clone()]);
522
523        // Should have only one report (the latest one)
524        let order_reports = mass_status.order_reports();
525        assert_eq!(order_reports.len(), 1);
526        assert_eq!(order_reports.get(&venue_order_id), Some(&order_report2));
527        assert_ne!(order_reports.get(&venue_order_id), Some(&order_report1));
528    }
529}
nautilus_model/reports/mass_status.rs

nautilus_model/reports/
mass_status.rs
