nautilus_model/orders/
market_if_touched.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 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::{CorrectnessError, FAILED},
25};
26use rust_decimal::Decimal;
27use serde::{Deserialize, Serialize};
28use ustr::Ustr;
29
30use super::{Order, OrderAny, OrderCore, OrderError, check_time_in_force};
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    types::{Currency, Money, Price, Quantity, quantity::check_positive_quantity},
42};
43
44#[derive(Clone, Debug, Serialize, Deserialize)]
45#[cfg_attr(
46    feature = "python",
47    pyo3::pyclass(module = "nautilus_trader.model", from_py_object)
48)]
49#[cfg_attr(
50    feature = "python",
51    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
52)]
53pub struct MarketIfTouchedOrder {
54    pub trigger_price: Price,
55    pub trigger_type: TriggerType,
56    pub expire_time: Option<UnixNanos>,
57    pub trigger_instrument_id: Option<InstrumentId>,
58    pub is_triggered: bool,
59    pub ts_triggered: Option<UnixNanos>,
60    core: OrderCore,
61}
62
63impl MarketIfTouchedOrder {
64    /// Creates a new [`MarketIfTouchedOrder`] instance.
65    ///
66    /// # Errors
67    ///
68    /// Returns an error if:
69    /// - The `quantity` is not positive.
70    /// - The `time_in_force` is GTD and the `expire_time` is `None` or zero.
71    /// - The order metadata violates an [`OrderInitialized::new_checked`] invariant.
72    #[expect(clippy::too_many_arguments)]
73    pub fn new_checked(
74        trader_id: TraderId,
75        strategy_id: StrategyId,
76        instrument_id: InstrumentId,
77        client_order_id: ClientOrderId,
78        order_side: OrderSide,
79        quantity: Quantity,
80        trigger_price: Price,
81        trigger_type: TriggerType,
82        time_in_force: TimeInForce,
83        expire_time: Option<UnixNanos>,
84        reduce_only: bool,
85        quote_quantity: bool,
86        emulation_trigger: Option<TriggerType>,
87        trigger_instrument_id: Option<InstrumentId>,
88        contingency_type: Option<ContingencyType>,
89        order_list_id: Option<OrderListId>,
90        linked_order_ids: Option<Vec<ClientOrderId>>,
91        parent_order_id: Option<ClientOrderId>,
92        exec_algorithm_id: Option<ExecAlgorithmId>,
93        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
94        exec_spawn_id: Option<ClientOrderId>,
95        tags: Option<Vec<Ustr>>,
96        init_id: UUID4,
97        ts_init: UnixNanos,
98    ) -> Result<Self, OrderError> {
99        check_positive_quantity(quantity, stringify!(quantity))?;
100        check_time_in_force(time_in_force, expire_time)?;
101
102        let init_order = OrderInitialized::new_checked(
103            trader_id,
104            strategy_id,
105            instrument_id,
106            client_order_id,
107            order_side,
108            OrderType::MarketIfTouched,
109            quantity,
110            time_in_force,
111            false,
112            reduce_only,
113            quote_quantity,
114            false,
115            init_id,
116            ts_init,
117            ts_init,
118            None,
119            None,
120            Some(trigger_price),
121            Some(trigger_type),
122            None,
123            None,
124            None,
125            expire_time,
126            None,
127            emulation_trigger,
128            trigger_instrument_id,
129            contingency_type,
130            order_list_id,
131            linked_order_ids,
132            parent_order_id,
133            exec_algorithm_id,
134            exec_algorithm_params,
135            exec_spawn_id,
136            tags,
137        )?;
138
139        Ok(Self {
140            core: OrderCore::new(init_order),
141            trigger_price,
142            trigger_type,
143            expire_time,
144            trigger_instrument_id,
145            is_triggered: false,
146            ts_triggered: None,
147        })
148    }
149
150    /// Creates a new [`MarketIfTouchedOrder`] instance.
151    ///
152    /// # Panics
153    ///
154    /// Panics if any order validation fails (see [`MarketIfTouchedOrder::new_checked`]).
155    #[expect(clippy::too_many_arguments)]
156    #[must_use]
157    pub fn new(
158        trader_id: TraderId,
159        strategy_id: StrategyId,
160        instrument_id: InstrumentId,
161        client_order_id: ClientOrderId,
162        order_side: OrderSide,
163        quantity: Quantity,
164        trigger_price: Price,
165        trigger_type: TriggerType,
166        time_in_force: TimeInForce,
167        expire_time: Option<UnixNanos>,
168        reduce_only: bool,
169        quote_quantity: bool,
170        emulation_trigger: Option<TriggerType>,
171        trigger_instrument_id: Option<InstrumentId>,
172        contingency_type: Option<ContingencyType>,
173        order_list_id: Option<OrderListId>,
174        linked_order_ids: Option<Vec<ClientOrderId>>,
175        parent_order_id: Option<ClientOrderId>,
176        exec_algorithm_id: Option<ExecAlgorithmId>,
177        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
178        exec_spawn_id: Option<ClientOrderId>,
179        tags: Option<Vec<Ustr>>,
180        init_id: UUID4,
181        ts_init: UnixNanos,
182    ) -> Self {
183        Self::new_checked(
184            trader_id,
185            strategy_id,
186            instrument_id,
187            client_order_id,
188            order_side,
189            quantity,
190            trigger_price,
191            trigger_type,
192            time_in_force,
193            expire_time,
194            reduce_only,
195            quote_quantity,
196            emulation_trigger,
197            trigger_instrument_id,
198            contingency_type,
199            order_list_id,
200            linked_order_ids,
201            parent_order_id,
202            exec_algorithm_id,
203            exec_algorithm_params,
204            exec_spawn_id,
205            tags,
206            init_id,
207            ts_init,
208        )
209        .unwrap_or_else(|e| panic!("{FAILED}: {e}"))
210    }
211}
212
213impl PartialEq for MarketIfTouchedOrder {
214    fn eq(&self, other: &Self) -> bool {
215        self.client_order_id == other.client_order_id
216    }
217}
218
219impl Deref for MarketIfTouchedOrder {
220    type Target = OrderCore;
221
222    fn deref(&self) -> &Self::Target {
223        &self.core
224    }
225}
226
227impl DerefMut for MarketIfTouchedOrder {
228    fn deref_mut(&mut self) -> &mut Self::Target {
229        &mut self.core
230    }
231}
232
233impl Order for MarketIfTouchedOrder {
234    fn into_any(self) -> OrderAny {
235        OrderAny::MarketIfTouched(self)
236    }
237
238    fn status(&self) -> OrderStatus {
239        self.status
240    }
241
242    fn trader_id(&self) -> TraderId {
243        self.trader_id
244    }
245
246    fn strategy_id(&self) -> StrategyId {
247        self.strategy_id
248    }
249
250    fn instrument_id(&self) -> InstrumentId {
251        self.instrument_id
252    }
253
254    fn symbol(&self) -> Symbol {
255        self.instrument_id.symbol
256    }
257
258    fn venue(&self) -> Venue {
259        self.instrument_id.venue
260    }
261
262    fn client_order_id(&self) -> ClientOrderId {
263        self.client_order_id
264    }
265
266    fn venue_order_id(&self) -> Option<VenueOrderId> {
267        self.venue_order_id
268    }
269
270    fn position_id(&self) -> Option<PositionId> {
271        self.position_id
272    }
273
274    fn account_id(&self) -> Option<AccountId> {
275        self.account_id
276    }
277
278    fn last_trade_id(&self) -> Option<TradeId> {
279        self.last_trade_id
280    }
281
282    fn order_side(&self) -> OrderSide {
283        self.side
284    }
285
286    fn order_type(&self) -> OrderType {
287        self.order_type
288    }
289
290    fn quantity(&self) -> Quantity {
291        self.quantity
292    }
293
294    fn time_in_force(&self) -> TimeInForce {
295        self.time_in_force
296    }
297
298    fn expire_time(&self) -> Option<UnixNanos> {
299        self.expire_time
300    }
301
302    fn price(&self) -> Option<Price> {
303        None
304    }
305
306    fn trigger_price(&self) -> Option<Price> {
307        Some(self.trigger_price)
308    }
309
310    fn trigger_type(&self) -> Option<TriggerType> {
311        Some(self.trigger_type)
312    }
313
314    fn liquidity_side(&self) -> Option<LiquiditySide> {
315        self.liquidity_side
316    }
317
318    fn is_post_only(&self) -> bool {
319        false
320    }
321
322    fn is_reduce_only(&self) -> bool {
323        self.is_reduce_only
324    }
325
326    fn is_quote_quantity(&self) -> bool {
327        self.is_quote_quantity
328    }
329
330    fn has_price(&self) -> bool {
331        false
332    }
333
334    fn display_qty(&self) -> Option<Quantity> {
335        None
336    }
337
338    fn limit_offset(&self) -> Option<Decimal> {
339        None
340    }
341
342    fn trailing_offset(&self) -> Option<Decimal> {
343        None
344    }
345
346    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
347        None
348    }
349
350    fn emulation_trigger(&self) -> Option<TriggerType> {
351        self.emulation_trigger
352    }
353
354    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
355        self.trigger_instrument_id
356    }
357
358    fn contingency_type(&self) -> Option<ContingencyType> {
359        self.contingency_type
360    }
361
362    fn order_list_id(&self) -> Option<OrderListId> {
363        self.order_list_id
364    }
365
366    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
367        self.linked_order_ids.as_deref()
368    }
369
370    fn parent_order_id(&self) -> Option<ClientOrderId> {
371        self.parent_order_id
372    }
373
374    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
375        self.exec_algorithm_id
376    }
377
378    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
379        self.exec_algorithm_params.as_ref()
380    }
381
382    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
383        self.exec_spawn_id
384    }
385
386    fn tags(&self) -> Option<&[Ustr]> {
387        self.tags.as_deref()
388    }
389
390    fn filled_qty(&self) -> Quantity {
391        self.filled_qty
392    }
393
394    fn voided_qty(&self) -> Quantity {
395        self.voided_qty
396    }
397
398    fn non_reopened_voided_qty(&self) -> Quantity {
399        self.non_reopened_voided_qty
400    }
401
402    fn leaves_qty(&self) -> Quantity {
403        self.leaves_qty
404    }
405
406    fn overfill_qty(&self) -> Quantity {
407        self.overfill_qty
408    }
409
410    fn avg_px(&self) -> Option<Decimal> {
411        self.avg_px
412    }
413
414    fn slippage(&self) -> Option<Decimal> {
415        self.slippage
416    }
417
418    fn init_id(&self) -> UUID4 {
419        self.init_id
420    }
421
422    fn ts_init(&self) -> UnixNanos {
423        self.ts_init
424    }
425
426    fn ts_submitted(&self) -> Option<UnixNanos> {
427        self.ts_submitted
428    }
429
430    fn ts_accepted(&self) -> Option<UnixNanos> {
431        self.ts_accepted
432    }
433
434    fn ts_closed(&self) -> Option<UnixNanos> {
435        self.ts_closed
436    }
437
438    fn ts_last(&self) -> UnixNanos {
439        self.ts_last
440    }
441
442    fn events(&self) -> Vec<&OrderEventAny> {
443        self.events.iter().collect()
444    }
445
446    fn last_event(&self) -> &OrderEventAny {
447        self.events
448            .last()
449            .expect("Order invariant violated: no events")
450    }
451
452    fn commissions(&self) -> &IndexMap<Currency, Money> {
453        &self.commissions
454    }
455
456    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
457        self.venue_order_ids.iter().collect()
458    }
459
460    fn trade_ids(&self) -> Vec<&TradeId> {
461        self.trade_ids.iter().collect()
462    }
463
464    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
465        let updates_slippage = matches!(
466            event,
467            OrderEventAny::Filled(_) | OrderEventAny::FillVoided(_),
468        );
469        let is_order_triggered = matches!(event, OrderEventAny::Triggered(_));
470        let ts_event = if is_order_triggered {
471            Some(event.ts_event())
472        } else {
473            None
474        };
475
476        self.core.apply(event.clone())?;
477
478        if let OrderEventAny::Updated(ref event) = event {
479            self.update(event);
480        }
481
482        if is_order_triggered {
483            self.is_triggered = true;
484            self.ts_triggered = ts_event;
485        }
486
487        if updates_slippage {
488            self.core.set_slippage(self.trigger_price);
489        }
490
491        Ok(())
492    }
493
494    fn update(&mut self, event: &OrderUpdated) {
495        assert!(event.price.is_none(), "{}", OrderError::InvalidOrderEvent);
496
497        if let Some(trigger_price) = event.trigger_price {
498            self.trigger_price = trigger_price;
499        }
500
501        self.core.apply_updated_quantity(event.quantity);
502    }
503
504    fn is_triggered(&self) -> Option<bool> {
505        Some(self.is_triggered)
506    }
507
508    fn set_position_id(&mut self, position_id: Option<PositionId>) {
509        self.position_id = position_id;
510    }
511
512    fn set_quantity(&mut self, quantity: Quantity) {
513        self.quantity = quantity;
514    }
515
516    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
517        self.leaves_qty = leaves_qty;
518    }
519
520    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
521        self.emulation_trigger = emulation_trigger;
522    }
523
524    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
525        self.is_quote_quantity = is_quote_quantity;
526    }
527
528    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
529        self.liquidity_side = Some(liquidity_side);
530    }
531
532    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
533        self.core.would_reduce_only(side, position_qty)
534    }
535
536    fn previous_status(&self) -> Option<OrderStatus> {
537        self.core.previous_status
538    }
539}
540
541impl TryFrom<OrderInitialized> for MarketIfTouchedOrder {
542    type Error = OrderError;
543
544    fn try_from(event: OrderInitialized) -> Result<Self, Self::Error> {
545        let trigger_price =
546            event
547                .trigger_price
548                .ok_or_else(|| CorrectnessError::PredicateViolation {
549                    message:
550                        "`trigger_price` is required for `MarketIfTouchedOrder` initialization"
551                            .to_string(),
552                })?;
553        let trigger_type =
554            event
555                .trigger_type
556                .ok_or_else(|| CorrectnessError::PredicateViolation {
557                    message: "`trigger_type` is required for `MarketIfTouchedOrder` initialization"
558                        .to_string(),
559                })?;
560        Self::new_checked(
561            event.trader_id,
562            event.strategy_id,
563            event.instrument_id,
564            event.client_order_id,
565            event.order_side,
566            event.quantity,
567            trigger_price,
568            trigger_type,
569            event.time_in_force,
570            event.expire_time,
571            event.reduce_only,
572            event.quote_quantity,
573            event.emulation_trigger,
574            event.trigger_instrument_id,
575            event.contingency_type,
576            event.order_list_id,
577            event.linked_order_ids,
578            event.parent_order_id,
579            event.exec_algorithm_id,
580            event.exec_algorithm_params,
581            event.exec_spawn_id,
582            event.tags,
583            event.event_id,
584            event.ts_event,
585        )
586    }
587}
588
589impl Display for MarketIfTouchedOrder {
590    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
591        write!(
592            f,
593            "MarketIfTouchedOrder(\
594                side={}, \
595                qty={}, \
596                instrument={}, \
597                tif={}, \
598                trigger_price={}, \
599                trigger_type={}, \
600                status={}\
601            )",
602            self.side,
603            self.quantity,
604            self.instrument_id,
605            self.time_in_force,
606            self.trigger_price,
607            self.trigger_type,
608            self.status
609        )
610    }
611}
612
613#[cfg(test)]
614mod tests {
615    use rstest::rstest;
616    use rust_decimal_macros::dec;
617
618    use super::*;
619    use crate::{
620        enums::{OrderSide, OrderType, TimeInForce, TriggerType},
621        events::order::spec::{OrderFilledSpec, OrderInitializedSpec},
622        identifiers::{InstrumentId, TradeId, VenueOrderId},
623        instruments::{CurrencyPair, stubs::*},
624        orders::{builder::OrderTestBuilder, stubs::TestOrderStubs},
625        types::{Price, Quantity},
626    };
627
628    #[rstest]
629    fn test_initialize(audusd_sim: CurrencyPair) {
630        let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
631            .instrument_id(audusd_sim.id)
632            .side(OrderSide::Buy)
633            .trigger_price(Price::from("0.68000"))
634            .quantity(Quantity::from(1))
635            .build();
636
637        assert_eq!(order.trigger_price(), Some(Price::from("0.68000")));
638        assert_eq!(order.price(), None);
639
640        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
641
642        assert_eq!(order.is_triggered(), Some(false));
643        assert_eq!(order.filled_qty(), Quantity::from(0));
644        assert_eq!(order.leaves_qty(), Quantity::from(1));
645
646        assert_eq!(order.display_qty(), None);
647        assert_eq!(order.trigger_instrument_id(), None);
648        assert_eq!(order.order_list_id(), None);
649    }
650
651    #[rstest]
652    fn test_display(audusd_sim: CurrencyPair) {
653        let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
654            .instrument_id(audusd_sim.id)
655            .side(OrderSide::Buy)
656            .trigger_price(Price::from("30000"))
657            .trigger_type(TriggerType::LastPrice)
658            .quantity(Quantity::from(1))
659            .build();
660
661        assert_eq!(
662            order.to_string(),
663            "MarketIfTouchedOrder(\
664                side=BUY, \
665                qty=1, \
666                instrument=AUD/USD.SIM, \
667                tif=GTC, \
668                trigger_price=30000, \
669                trigger_type=LAST_PRICE, \
670                status=INITIALIZED\
671            )"
672        );
673    }
674
675    #[rstest]
676    #[should_panic(
677        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
678    )]
679    fn test_quantity_zero(audusd_sim: CurrencyPair) {
680        let _ = OrderTestBuilder::new(OrderType::MarketIfTouched)
681            .instrument_id(audusd_sim.id)
682            .side(OrderSide::Buy)
683            .trigger_price(Price::from("30000"))
684            .trigger_type(TriggerType::LastPrice)
685            .quantity(Quantity::from(0))
686            .build();
687    }
688
689    #[rstest]
690    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
691    fn test_gtd_without_expire(audusd_sim: CurrencyPair) {
692        let _ = OrderTestBuilder::new(OrderType::MarketIfTouched)
693            .instrument_id(audusd_sim.id)
694            .side(OrderSide::Buy)
695            .trigger_price(Price::from("30000"))
696            .trigger_type(TriggerType::LastPrice)
697            .quantity(Quantity::from(1))
698            .time_in_force(TimeInForce::Gtd)
699            .build();
700    }
701
702    #[rstest]
703    fn test_market_if_touched_order_update() {
704        // Create and accept a basic MarketIfTouchedOrder
705        let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
706            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
707            .quantity(Quantity::from(10))
708            .trigger_price(Price::new(100.0, 2))
709            .build();
710
711        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
712
713        // Update with new values
714        let updated_trigger_price = Price::new(95.0, 2);
715        let updated_quantity = Quantity::from(5);
716
717        let event = OrderUpdated {
718            client_order_id: accepted_order.client_order_id(),
719            strategy_id: accepted_order.strategy_id(),
720            trigger_price: Some(updated_trigger_price),
721            quantity: updated_quantity,
722            ..Default::default()
723        };
724
725        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
726
727        // Verify updates were applied correctly
728        assert_eq!(accepted_order.quantity(), updated_quantity);
729        assert_eq!(accepted_order.trigger_price(), Some(updated_trigger_price));
730    }
731
732    #[rstest]
733    fn test_market_if_touched_order_rejects_invalid_update_atomically() {
734        let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
735            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
736            .quantity(Quantity::from(10))
737            .trigger_price(Price::new(100.0, 2))
738            .build();
739        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
740        let state = (
741            accepted_order.status(),
742            accepted_order.previous_status(),
743            accepted_order.ts_last(),
744            accepted_order.events().len(),
745        );
746        let event = OrderUpdated {
747            client_order_id: accepted_order.client_order_id(),
748            strategy_id: accepted_order.strategy_id(),
749            price: Some(Price::new(95.0, 2)),
750            ..Default::default()
751        };
752
753        let result = accepted_order.apply(OrderEventAny::Updated(event));
754
755        assert!(matches!(result, Err(OrderError::InvalidOrderEvent)));
756        assert_eq!(accepted_order.status(), state.0);
757        assert_eq!(accepted_order.previous_status(), state.1);
758        assert_eq!(accepted_order.ts_last(), state.2);
759        assert_eq!(accepted_order.events().len(), state.3);
760    }
761
762    #[rstest]
763    fn test_market_if_touched_order_from_order_initialized() {
764        // Create an OrderInitialized event with all required fields for a MarketIfTouchedOrder
765        let order_initialized = OrderInitializedSpec::builder()
766            .trigger_price(Price::new(100.0, 2))
767            .trigger_type(TriggerType::Default)
768            .order_type(OrderType::MarketIfTouched)
769            .build();
770
771        // Convert the OrderInitialized event into a MarketIfTouchedOrder
772        let order: MarketIfTouchedOrder = order_initialized.clone().try_into().unwrap();
773
774        // Assert essential fields match the OrderInitialized fields
775        assert_eq!(order.trader_id(), order_initialized.trader_id);
776        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
777        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
778        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
779        assert_eq!(order.order_side(), order_initialized.order_side);
780        assert_eq!(order.quantity(), order_initialized.quantity);
781
782        // Assert specific fields for MarketIfTouchedOrder
783        assert_eq!(
784            order.trigger_price,
785            order_initialized.trigger_price.unwrap()
786        );
787        assert_eq!(order.trigger_type, order_initialized.trigger_type.unwrap());
788    }
789
790    #[rstest]
791    fn test_market_if_touched_order_sets_slippage_when_filled() {
792        // Create a MarketIfTouchedOrder
793        let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
794            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
795            .quantity(Quantity::from(10))
796            .side(OrderSide::Buy) // Explicitly setting Buy side
797            .trigger_price(Price::new(90.0, 2)) // Trigger price LOWER than fill price
798            .build();
799
800        // Accept the order first
801        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
802
803        // Create a filled event with the correct quantity
804        let fill_quantity = accepted_order.quantity(); // Use the same quantity as the order
805        let fill_price = Price::new(98.50, 2); // Use a price HIGHER than trigger price
806
807        let order_filled_event = OrderFilledSpec::builder()
808            .client_order_id(accepted_order.client_order_id())
809            .strategy_id(accepted_order.strategy_id())
810            .instrument_id(accepted_order.instrument_id())
811            .order_side(accepted_order.order_side())
812            .last_qty(fill_quantity)
813            .last_px(fill_price)
814            .venue_order_id(VenueOrderId::from("TEST-001"))
815            .trade_id(TradeId::from("TRADE-001"))
816            .build();
817
818        // Apply the fill event
819        accepted_order
820            .apply(OrderEventAny::Filled(order_filled_event))
821            .unwrap();
822
823        // The fill triggers the slippage calculation: 98.50 - 90.0 for a buy order
824        assert_eq!(accepted_order.slippage(), Some(dec!(8.50)));
825    }
826}
nautilus_model/orders/market_if_touched.rs

nautilus_model/orders/
market_if_touched.rs
