nautilus_model/events/position/
changed.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 nautilus_core::{UUID4, UnixNanos};
17use rust_decimal::Decimal;
18use serde::{Deserialize, Serialize};
19
20use crate::{
21    enums::{OrderSide, PositionSide},
22    events::OrderFilled,
23    identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TraderId},
24    position::Position,
25    types::{Currency, Money, Price, Quantity},
26};
27
28/// Represents an event where a position has changed.
29#[repr(C)]
30#[derive(Clone, PartialEq, Debug, Serialize, Deserialize)]
31#[cfg_attr(
32    feature = "python",
33    pyo3::pyclass(module = "nautilus_trader.model", from_py_object)
34)]
35#[cfg_attr(
36    feature = "python",
37    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
38)]
39pub struct PositionChanged {
40    /// The trader ID associated with the event.
41    pub trader_id: TraderId,
42    /// The strategy ID associated with the event.
43    pub strategy_id: StrategyId,
44    /// The instrument ID associated with the event.
45    pub instrument_id: InstrumentId,
46    /// The position ID associated with the event.
47    pub position_id: PositionId,
48    /// The account ID associated with the position.
49    pub account_id: AccountId,
50    /// The client order ID for the order which opened the position.
51    pub opening_order_id: ClientOrderId,
52    /// The position entry order side.
53    pub entry: OrderSide,
54    /// The position side.
55    pub side: PositionSide,
56    /// The current signed quantity (positive for position side `LONG`, negative for `SHORT`).
57    pub signed_qty: Decimal,
58    /// The current open quantity.
59    pub quantity: Quantity,
60    /// The peak directional quantity reached by the position.
61    pub peak_quantity: Quantity,
62    /// The last fill quantity for the position.
63    pub last_qty: Quantity,
64    /// The last fill price for the position.
65    pub last_px: Price,
66    /// The position quote currency.
67    pub currency: Currency,
68    /// The average open price.
69    pub avg_px_open: Decimal,
70    /// The average close price.
71    pub avg_px_close: Option<Decimal>,
72    /// The realized return for the position.
73    pub realized_return: f64,
74    /// The realized PnL for the position (including commissions).
75    pub realized_pnl: Option<Money>,
76    /// The unrealized PnL for the position (including commissions).
77    pub unrealized_pnl: Money,
78    /// The unique identifier for the event.
79    pub event_id: UUID4,
80    /// UNIX timestamp (nanoseconds) when the position was opened.
81    pub ts_opened: UnixNanos,
82    /// UNIX timestamp (nanoseconds) when the event occurred.
83    pub ts_event: UnixNanos,
84    /// UNIX timestamp (nanoseconds) when the event was initialized.
85    pub ts_init: UnixNanos,
86}
87
88impl PositionChanged {
89    #[must_use]
90    pub fn create(
91        position: &Position,
92        fill: &OrderFilled,
93        event_id: UUID4,
94        ts_init: UnixNanos,
95    ) -> Self {
96        Self {
97            trader_id: position.trader_id,
98            strategy_id: position.strategy_id,
99            instrument_id: position.instrument_id,
100            position_id: position.id,
101            account_id: position.account_id,
102            opening_order_id: position.opening_order_id,
103            entry: position.entry,
104            side: position.side,
105            signed_qty: position.signed_qty,
106            quantity: position.quantity,
107            peak_quantity: position.peak_qty,
108            last_qty: fill.last_qty,
109            last_px: fill.last_px,
110            currency: position.quote_currency,
111            avg_px_open: position.avg_px_open,
112            avg_px_close: position.avg_px_close,
113            realized_return: position.realized_return,
114            realized_pnl: position.realized_pnl,
115            unrealized_pnl: Money::zero(position.quote_currency),
116            event_id,
117            ts_opened: position.ts_opened,
118            ts_event: fill.ts_event,
119            ts_init,
120        }
121    }
122}
123
124#[cfg(test)]
125mod tests {
126    use nautilus_core::UnixNanos;
127    use rstest::*;
128    use rust_decimal_macros::dec;
129
130    use super::*;
131    use crate::{
132        enums::{OrderSide, PositionSide},
133        events::{OrderFilled, order::spec::OrderFilledSpec},
134        identifiers::{
135            AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TradeId, TraderId,
136            VenueOrderId,
137        },
138        instruments::{InstrumentAny, stubs::audusd_sim},
139        position::Position,
140        types::{Currency, Money, Price, Quantity},
141    };
142
143    fn create_test_position_changed() -> PositionChanged {
144        PositionChanged {
145            trader_id: TraderId::from("TRADER-001"),
146            strategy_id: StrategyId::from("EMA-CROSS"),
147            instrument_id: InstrumentId::from("EURUSD.SIM"),
148            position_id: PositionId::from("P-001"),
149            account_id: AccountId::from("SIM-001"),
150            opening_order_id: ClientOrderId::from("O-19700101-000000-001-001-1"),
151            entry: OrderSide::Buy,
152            side: PositionSide::Long,
153            signed_qty: dec!(150.0),
154            quantity: Quantity::from("150"),
155            peak_quantity: Quantity::from("150"),
156            last_qty: Quantity::from("50"),
157            last_px: Price::from("1.0550"),
158            currency: Currency::USD(),
159            avg_px_open: dec!(1.0525),
160            avg_px_close: None,
161            realized_return: 0.0,
162            realized_pnl: None,
163            unrealized_pnl: Money::new(75.0, Currency::USD()),
164            event_id: UUID4::default(),
165            ts_opened: UnixNanos::from(1_000_000_000),
166            ts_event: UnixNanos::from(1_500_000_000),
167            ts_init: UnixNanos::from(2_500_000_000),
168        }
169    }
170
171    fn create_test_order_filled() -> OrderFilled {
172        OrderFilledSpec::builder()
173            .strategy_id(StrategyId::from("EMA-CROSS"))
174            .instrument_id(InstrumentId::from("AUD/USD.SIM"))
175            .client_order_id(ClientOrderId::from("O-19700101-000000-001-001-2"))
176            .venue_order_id(VenueOrderId::from("2"))
177            .trade_id(TradeId::from("T-002"))
178            .last_qty(Quantity::from("50"))
179            .last_px(Price::from("0.8050"))
180            .ts_event(UnixNanos::from(1_500_000_000))
181            .ts_init(UnixNanos::from(2_500_000_000))
182            .position_id(PositionId::from("P-001"))
183            .commission(Money::new(1.0, Currency::USD()))
184            .build()
185    }
186
187    #[rstest]
188    fn test_position_changed_create() {
189        let instrument = audusd_sim();
190        let initial_fill = OrderFilledSpec::builder()
191            .strategy_id(StrategyId::from("EMA-CROSS"))
192            .instrument_id(InstrumentId::from("AUD/USD.SIM"))
193            .client_order_id(ClientOrderId::from("O-19700101-000000-001-001-1"))
194            .venue_order_id(VenueOrderId::from("1"))
195            .trade_id(TradeId::from("T-001"))
196            .last_qty(Quantity::from("100"))
197            .last_px(Price::from("0.8000"))
198            .ts_event(UnixNanos::from(1_000_000_000))
199            .ts_init(UnixNanos::from(2_000_000_000))
200            .position_id(PositionId::from("P-001"))
201            .commission(Money::new(2.0, Currency::USD()))
202            .build();
203
204        let position = Position::new(&InstrumentAny::CurrencyPair(instrument), initial_fill);
205        let change_fill = create_test_order_filled();
206        let event_id = UUID4::default();
207        let ts_init = UnixNanos::from(3_000_000_000);
208
209        let position_changed = PositionChanged::create(&position, &change_fill, event_id, ts_init);
210
211        assert_eq!(position_changed.trader_id, position.trader_id);
212        assert_eq!(position_changed.strategy_id, position.strategy_id);
213        assert_eq!(position_changed.instrument_id, position.instrument_id);
214        assert_eq!(position_changed.position_id, position.id);
215        assert_eq!(position_changed.account_id, position.account_id);
216        assert_eq!(position_changed.opening_order_id, position.opening_order_id);
217        assert_eq!(position_changed.entry, position.entry);
218        assert_eq!(position_changed.side, position.side);
219        assert_eq!(position_changed.signed_qty, position.signed_qty);
220        assert_eq!(position_changed.quantity, position.quantity);
221        assert_eq!(position_changed.peak_quantity, position.peak_qty);
222        assert_eq!(position_changed.last_qty, change_fill.last_qty);
223        assert_eq!(position_changed.last_px, change_fill.last_px);
224        assert_eq!(position_changed.currency, position.quote_currency);
225        assert_eq!(position_changed.avg_px_open, position.avg_px_open);
226        assert_eq!(position_changed.avg_px_close, position.avg_px_close);
227        assert_eq!(position_changed.realized_return, position.realized_return);
228        assert_eq!(position_changed.realized_pnl, position.realized_pnl);
229        assert_eq!(
230            position_changed.unrealized_pnl,
231            Money::new(0.0, position.quote_currency)
232        );
233        assert_eq!(position_changed.event_id, event_id);
234        assert_eq!(position_changed.ts_opened, position.ts_opened);
235        assert_eq!(position_changed.ts_event, change_fill.ts_event);
236        assert_eq!(position_changed.ts_init, ts_init);
237    }
238
239    #[rstest]
240    fn test_position_changed_different_sides() {
241        let mut long_position = create_test_position_changed();
242        long_position.side = PositionSide::Long;
243        long_position.signed_qty = dec!(150.0);
244
245        let mut short_position = create_test_position_changed();
246        short_position.side = PositionSide::Short;
247        short_position.signed_qty = dec!(-150.0);
248
249        assert_eq!(long_position.side, PositionSide::Long);
250        assert_eq!(long_position.signed_qty, dec!(150.0));
251
252        assert_eq!(short_position.side, PositionSide::Short);
253        assert_eq!(short_position.signed_qty, dec!(-150.0));
254    }
255}
nautilus_model/events/position/changed.rs

nautilus_model/events/position/
changed.rs
