nautilus_model/orders/
market_to_limit.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::{UUID4, UnixNanos, correctness::FAILED};
23use rust_decimal::Decimal;
24use serde::{Deserialize, Serialize};
25use ustr::Ustr;
26
27use super::{Order, OrderAny, OrderCore, check_display_qty, check_time_in_force};
28use crate::{
29    enums::{
30        ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSide,
31        TimeInForce, TrailingOffsetType, TriggerType,
32    },
33    events::{OrderEventAny, OrderInitialized, OrderUpdated},
34    identifiers::{
35        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
36        StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
37    },
38    orders::OrderError,
39    types::{Currency, Money, Price, Quantity, quantity::check_positive_quantity},
40};
41
42#[derive(Clone, Debug, Serialize, Deserialize)]
43#[cfg_attr(
44    feature = "python",
45    pyo3::pyclass(module = "nautilus_trader.model", from_py_object)
46)]
47#[cfg_attr(
48    feature = "python",
49    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
50)]
51pub struct MarketToLimitOrder {
52    core: OrderCore,
53    pub price: Option<Price>,
54    pub expire_time: Option<UnixNanos>,
55    pub is_post_only: bool,
56    pub display_qty: Option<Quantity>,
57}
58
59impl MarketToLimitOrder {
60    /// Creates a new [`MarketToLimitOrder`] instance.
61    ///
62    /// # Errors
63    ///
64    /// Returns an error if:
65    /// - The `quantity` is not positive.
66    /// - The `display_qty` (when provided) exceeds `quantity`.
67    /// - The `time_in_force` is `GTD` **and** `expire_time` is `None` or zero.
68    /// - The order metadata violates an [`OrderInitialized::new_checked`] invariant.
69    #[expect(clippy::too_many_arguments)]
70    pub fn new_checked(
71        trader_id: TraderId,
72        strategy_id: StrategyId,
73        instrument_id: InstrumentId,
74        client_order_id: ClientOrderId,
75        order_side: OrderSide,
76        quantity: Quantity,
77        time_in_force: TimeInForce,
78        expire_time: Option<UnixNanos>,
79        post_only: bool,
80        reduce_only: bool,
81        quote_quantity: bool,
82        display_qty: Option<Quantity>,
83        contingency_type: Option<ContingencyType>,
84        order_list_id: Option<OrderListId>,
85        linked_order_ids: Option<Vec<ClientOrderId>>,
86        parent_order_id: Option<ClientOrderId>,
87        exec_algorithm_id: Option<ExecAlgorithmId>,
88        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
89        exec_spawn_id: Option<ClientOrderId>,
90        tags: Option<Vec<Ustr>>,
91        init_id: UUID4,
92        ts_init: UnixNanos,
93    ) -> Result<Self, OrderError> {
94        check_positive_quantity(quantity, stringify!(quantity))?;
95        check_display_qty(display_qty, quantity)?;
96        check_time_in_force(time_in_force, expire_time)?;
97
98        let init_order = OrderInitialized::new_checked(
99            trader_id,
100            strategy_id,
101            instrument_id,
102            client_order_id,
103            order_side,
104            OrderType::MarketToLimit,
105            quantity,
106            time_in_force,
107            post_only,
108            reduce_only,
109            quote_quantity,
110            false,
111            init_id,
112            ts_init,
113            ts_init,
114            None,
115            None,
116            None,
117            None,
118            None,
119            None,
120            None,
121            expire_time,
122            display_qty,
123            None,
124            None,
125            contingency_type,
126            order_list_id,
127            linked_order_ids,
128            parent_order_id,
129            exec_algorithm_id,
130            exec_algorithm_params,
131            exec_spawn_id,
132            tags,
133        )?;
134
135        Ok(Self {
136            core: OrderCore::new(init_order),
137            price: None, // Price will be determined on fill
138            expire_time,
139            is_post_only: post_only,
140            display_qty,
141        })
142    }
143
144    /// Creates a new [`MarketToLimitOrder`] instance.
145    ///
146    /// # Panics
147    ///
148    /// Panics if any order validation fails (see [`MarketToLimitOrder::new_checked`]).
149    #[expect(clippy::too_many_arguments)]
150    #[must_use]
151    pub fn new(
152        trader_id: TraderId,
153        strategy_id: StrategyId,
154        instrument_id: InstrumentId,
155        client_order_id: ClientOrderId,
156        order_side: OrderSide,
157        quantity: Quantity,
158        time_in_force: TimeInForce,
159        expire_time: Option<UnixNanos>,
160        post_only: bool,
161        reduce_only: bool,
162        quote_quantity: bool,
163        display_qty: Option<Quantity>,
164        contingency_type: Option<ContingencyType>,
165        order_list_id: Option<OrderListId>,
166        linked_order_ids: Option<Vec<ClientOrderId>>,
167        parent_order_id: Option<ClientOrderId>,
168        exec_algorithm_id: Option<ExecAlgorithmId>,
169        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
170        exec_spawn_id: Option<ClientOrderId>,
171        tags: Option<Vec<Ustr>>,
172        init_id: UUID4,
173        ts_init: UnixNanos,
174    ) -> Self {
175        Self::new_checked(
176            trader_id,
177            strategy_id,
178            instrument_id,
179            client_order_id,
180            order_side,
181            quantity,
182            time_in_force,
183            expire_time,
184            post_only,
185            reduce_only,
186            quote_quantity,
187            display_qty,
188            contingency_type,
189            order_list_id,
190            linked_order_ids,
191            parent_order_id,
192            exec_algorithm_id,
193            exec_algorithm_params,
194            exec_spawn_id,
195            tags,
196            init_id,
197            ts_init,
198        )
199        .unwrap_or_else(|e| panic!("{FAILED}: {e}"))
200    }
201}
202
203impl PartialEq for MarketToLimitOrder {
204    fn eq(&self, other: &Self) -> bool {
205        self.client_order_id == other.client_order_id
206    }
207}
208
209impl Deref for MarketToLimitOrder {
210    type Target = OrderCore;
211
212    fn deref(&self) -> &Self::Target {
213        &self.core
214    }
215}
216
217impl DerefMut for MarketToLimitOrder {
218    fn deref_mut(&mut self) -> &mut Self::Target {
219        &mut self.core
220    }
221}
222
223impl Order for MarketToLimitOrder {
224    fn into_any(self) -> OrderAny {
225        OrderAny::MarketToLimit(self)
226    }
227
228    fn status(&self) -> OrderStatus {
229        self.status
230    }
231
232    fn trader_id(&self) -> TraderId {
233        self.trader_id
234    }
235
236    fn strategy_id(&self) -> StrategyId {
237        self.strategy_id
238    }
239
240    fn instrument_id(&self) -> InstrumentId {
241        self.instrument_id
242    }
243
244    fn symbol(&self) -> Symbol {
245        self.instrument_id.symbol
246    }
247
248    fn venue(&self) -> Venue {
249        self.instrument_id.venue
250    }
251
252    fn client_order_id(&self) -> ClientOrderId {
253        self.client_order_id
254    }
255
256    fn venue_order_id(&self) -> Option<VenueOrderId> {
257        self.venue_order_id
258    }
259
260    fn position_id(&self) -> Option<PositionId> {
261        self.position_id
262    }
263
264    fn account_id(&self) -> Option<AccountId> {
265        self.account_id
266    }
267
268    fn last_trade_id(&self) -> Option<TradeId> {
269        self.last_trade_id
270    }
271
272    fn order_side(&self) -> OrderSide {
273        self.side
274    }
275
276    fn order_type(&self) -> OrderType {
277        self.order_type
278    }
279
280    fn quantity(&self) -> Quantity {
281        self.quantity
282    }
283
284    fn time_in_force(&self) -> TimeInForce {
285        self.time_in_force
286    }
287
288    fn expire_time(&self) -> Option<UnixNanos> {
289        self.expire_time
290    }
291
292    fn price(&self) -> Option<Price> {
293        self.price
294    }
295
296    fn trigger_price(&self) -> Option<Price> {
297        None
298    }
299
300    fn trigger_type(&self) -> Option<TriggerType> {
301        None
302    }
303
304    fn liquidity_side(&self) -> Option<LiquiditySide> {
305        self.liquidity_side
306    }
307
308    fn is_post_only(&self) -> bool {
309        self.is_post_only
310    }
311
312    fn is_reduce_only(&self) -> bool {
313        self.is_reduce_only
314    }
315
316    fn is_quote_quantity(&self) -> bool {
317        self.is_quote_quantity
318    }
319
320    fn has_price(&self) -> bool {
321        self.price.is_some()
322    }
323
324    fn display_qty(&self) -> Option<Quantity> {
325        self.display_qty
326    }
327
328    fn limit_offset(&self) -> Option<Decimal> {
329        None
330    }
331
332    fn trailing_offset(&self) -> Option<Decimal> {
333        None
334    }
335
336    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
337        None
338    }
339
340    fn emulation_trigger(&self) -> Option<TriggerType> {
341        None
342    }
343
344    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
345        None
346    }
347
348    fn contingency_type(&self) -> Option<ContingencyType> {
349        self.contingency_type
350    }
351
352    fn order_list_id(&self) -> Option<OrderListId> {
353        self.order_list_id
354    }
355
356    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
357        self.linked_order_ids.as_deref()
358    }
359
360    fn parent_order_id(&self) -> Option<ClientOrderId> {
361        self.parent_order_id
362    }
363
364    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
365        self.exec_algorithm_id
366    }
367
368    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
369        self.exec_algorithm_params.as_ref()
370    }
371
372    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
373        self.exec_spawn_id
374    }
375
376    fn tags(&self) -> Option<&[Ustr]> {
377        self.tags.as_deref()
378    }
379
380    fn filled_qty(&self) -> Quantity {
381        self.filled_qty
382    }
383
384    fn voided_qty(&self) -> Quantity {
385        self.voided_qty
386    }
387
388    fn non_reopened_voided_qty(&self) -> Quantity {
389        self.non_reopened_voided_qty
390    }
391
392    fn leaves_qty(&self) -> Quantity {
393        self.leaves_qty
394    }
395
396    fn overfill_qty(&self) -> Quantity {
397        self.overfill_qty
398    }
399
400    fn avg_px(&self) -> Option<Decimal> {
401        self.avg_px
402    }
403
404    fn slippage(&self) -> Option<Decimal> {
405        self.slippage
406    }
407
408    fn init_id(&self) -> UUID4 {
409        self.init_id
410    }
411
412    fn ts_init(&self) -> UnixNanos {
413        self.ts_init
414    }
415
416    fn ts_submitted(&self) -> Option<UnixNanos> {
417        self.ts_submitted
418    }
419
420    fn ts_accepted(&self) -> Option<UnixNanos> {
421        self.ts_accepted
422    }
423
424    fn ts_closed(&self) -> Option<UnixNanos> {
425        self.ts_closed
426    }
427
428    fn ts_last(&self) -> UnixNanos {
429        self.ts_last
430    }
431
432    fn events(&self) -> Vec<&OrderEventAny> {
433        self.events.iter().collect()
434    }
435
436    fn last_event(&self) -> &OrderEventAny {
437        self.events
438            .last()
439            .expect("Order invariant violated: no events")
440    }
441
442    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
443        self.venue_order_ids.iter().collect()
444    }
445
446    fn trade_ids(&self) -> Vec<&TradeId> {
447        self.trade_ids.iter().collect()
448    }
449
450    fn commissions(&self) -> &IndexMap<Currency, Money> {
451        &self.commissions
452    }
453
454    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
455        let updates_slippage = matches!(
456            event,
457            OrderEventAny::Filled(_) | OrderEventAny::FillVoided(_),
458        );
459
460        self.core.apply(event.clone())?;
461
462        if let OrderEventAny::Updated(ref event) = event {
463            self.update(event);
464        }
465
466        if updates_slippage && let Some(price) = self.price {
467            self.core.set_slippage(price);
468        }
469
470        Ok(())
471    }
472
473    fn update(&mut self, event: &OrderUpdated) {
474        assert!(
475            event.trigger_price.is_none(),
476            "{}",
477            OrderError::InvalidOrderEvent
478        );
479
480        if let Some(price) = event.price {
481            self.price = Some(price);
482        }
483
484        self.core.apply_updated_quantity(event.quantity);
485    }
486
487    fn is_triggered(&self) -> Option<bool> {
488        None
489    }
490
491    fn set_position_id(&mut self, position_id: Option<PositionId>) {
492        self.position_id = position_id;
493    }
494
495    fn set_quantity(&mut self, quantity: Quantity) {
496        self.quantity = quantity;
497    }
498
499    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
500        self.leaves_qty = leaves_qty;
501    }
502
503    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
504        self.emulation_trigger = emulation_trigger;
505    }
506
507    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
508        self.is_quote_quantity = is_quote_quantity;
509    }
510
511    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
512        self.liquidity_side = Some(liquidity_side);
513    }
514
515    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
516        self.core.would_reduce_only(side, position_qty)
517    }
518
519    fn previous_status(&self) -> Option<OrderStatus> {
520        self.core.previous_status
521    }
522}
523
524impl Display for MarketToLimitOrder {
525    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
526        write!(
527            f,
528            "MarketToLimitOrder(\
529            {} {} {} {} {}, \
530            status={}, \
531            client_order_id={}, \
532            venue_order_id={}, \
533            position_id={}, \
534            exec_algorithm_id={}, \
535            exec_spawn_id={}, \
536            tags={:?}\
537            )",
538            self.side,
539            self.quantity.to_formatted_string(),
540            self.instrument_id,
541            self.order_type,
542            self.time_in_force,
543            self.status,
544            self.client_order_id,
545            self.venue_order_id.map_or_else(
546                || "None".to_string(),
547                |venue_order_id| format!("{venue_order_id}")
548            ),
549            self.position_id.map_or_else(
550                || "None".to_string(),
551                |position_id| format!("{position_id}")
552            ),
553            self.exec_algorithm_id
554                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
555            self.exec_spawn_id
556                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
557            self.tags
558        )
559    }
560}
561
562impl TryFrom<OrderInitialized> for MarketToLimitOrder {
563    type Error = OrderError;
564
565    fn try_from(event: OrderInitialized) -> Result<Self, Self::Error> {
566        Self::new_checked(
567            event.trader_id,
568            event.strategy_id,
569            event.instrument_id,
570            event.client_order_id,
571            event.order_side,
572            event.quantity,
573            event.time_in_force,
574            event.expire_time,
575            event.post_only,
576            event.reduce_only,
577            event.quote_quantity,
578            event.display_qty,
579            event.contingency_type,
580            event.order_list_id,
581            event.linked_order_ids,
582            event.parent_order_id,
583            event.exec_algorithm_id,
584            event.exec_algorithm_params,
585            event.exec_spawn_id,
586            event.tags,
587            event.event_id,
588            event.ts_event,
589        )
590    }
591}
592
593#[cfg(test)]
594mod tests {
595    use rstest::rstest;
596    use rust_decimal_macros::dec;
597
598    use super::*;
599    use crate::{
600        enums::{OrderSide, OrderType, TimeInForce},
601        events::order::spec::{OrderFilledSpec, OrderInitializedSpec},
602        identifiers::{InstrumentId, TradeId, VenueOrderId},
603        instruments::{CurrencyPair, stubs::*},
604        orders::{builder::OrderTestBuilder, stubs::TestOrderStubs},
605        types::{Price, Quantity},
606    };
607
608    #[rstest]
609    fn test_initialize(audusd_sim: CurrencyPair) {
610        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
611            .instrument_id(audusd_sim.id)
612            .side(OrderSide::Buy)
613            .price(Price::from("0.68000"))
614            .quantity(Quantity::from(1))
615            .build();
616
617        assert_eq!(order.price(), None);
618        assert_eq!(order.is_triggered(), None);
619        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
620        assert_eq!(order.is_triggered(), None);
621        assert_eq!(order.filled_qty(), Quantity::from(0));
622        assert_eq!(order.leaves_qty(), Quantity::from(1));
623        assert_eq!(order.trigger_instrument_id(), None);
624        assert_eq!(order.order_list_id(), None);
625    }
626
627    #[rstest]
628    fn test_display(audusd_sim: CurrencyPair) {
629        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
630            .instrument_id(audusd_sim.id)
631            .side(OrderSide::Buy)
632            .quantity(Quantity::from(1))
633            .build();
634
635        assert_eq!(
636            order.to_string(),
637            "MarketToLimitOrder(BUY 1 AUD/USD.SIM MARKET_TO_LIMIT GTC, status=INITIALIZED, client_order_id=O-19700101-000000-001-001-1, venue_order_id=None, position_id=None, exec_algorithm_id=None, exec_spawn_id=None, tags=None)"
638        );
639    }
640
641    #[rstest]
642    #[should_panic(
643        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
644    )]
645    fn test_quantity_zero(audusd_sim: CurrencyPair) {
646        let _ = OrderTestBuilder::new(OrderType::MarketToLimit)
647            .instrument_id(audusd_sim.id)
648            .side(OrderSide::Buy)
649            .quantity(Quantity::from(0))
650            .build();
651    }
652
653    #[rstest]
654    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
655    fn test_gtd_without_expire(audusd_sim: CurrencyPair) {
656        let _ = OrderTestBuilder::new(OrderType::MarketToLimit)
657            .instrument_id(audusd_sim.id)
658            .side(OrderSide::Buy)
659            .quantity(Quantity::from(1))
660            .time_in_force(TimeInForce::Gtd) // Missing expire_time
661            .build();
662    }
663
664    #[rstest]
665    #[should_panic(expected = "`display_qty` may not exceed `quantity`")]
666    fn test_display_qty_gt_quantity(audusd_sim: CurrencyPair) {
667        let _ = OrderTestBuilder::new(OrderType::MarketToLimit)
668            .instrument_id(audusd_sim.id)
669            .side(OrderSide::Buy)
670            .quantity(Quantity::from(1))
671            .display_qty(Quantity::from(2)) // Invalid: display > quantity
672            .build();
673    }
674
675    #[rstest]
676    fn test_market_to_limit_order_update() {
677        // Create and accept a basic MarketToLimitOrder
678        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
679            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
680            .quantity(Quantity::from(10))
681            .build();
682
683        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
684
685        // Update with new values
686        let updated_price = Price::new(95.0, 2);
687        let updated_quantity = Quantity::from(5);
688
689        let event = OrderUpdated {
690            client_order_id: accepted_order.client_order_id(),
691            strategy_id: accepted_order.strategy_id(),
692            price: Some(updated_price),
693            quantity: updated_quantity,
694            ..Default::default()
695        };
696
697        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
698
699        // Verify updates were applied correctly
700        assert_eq!(accepted_order.quantity(), updated_quantity);
701        assert_eq!(accepted_order.price(), Some(updated_price));
702    }
703
704    #[rstest]
705    fn test_market_to_limit_order_rejects_invalid_update_atomically() {
706        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
707            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
708            .quantity(Quantity::from(10))
709            .build();
710        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
711        let state = (
712            accepted_order.status(),
713            accepted_order.previous_status(),
714            accepted_order.ts_last(),
715            accepted_order.events().len(),
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(Price::new(95.0, 2)),
721            ..Default::default()
722        };
723
724        let result = accepted_order.apply(OrderEventAny::Updated(event));
725
726        assert!(matches!(result, Err(OrderError::InvalidOrderEvent)));
727        assert_eq!(accepted_order.status(), state.0);
728        assert_eq!(accepted_order.previous_status(), state.1);
729        assert_eq!(accepted_order.ts_last(), state.2);
730        assert_eq!(accepted_order.events().len(), state.3);
731    }
732
733    #[rstest]
734    fn test_market_to_limit_order_expire_time() {
735        // Create a new MarketToLimitOrder with an expire time
736        let expire_time = UnixNanos::from(1_234_567_890);
737        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
738            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
739            .quantity(Quantity::from(10))
740            .expire_time(expire_time)
741            .build();
742
743        // Assert that the expire time is set correctly
744        assert_eq!(order.expire_time(), Some(expire_time));
745    }
746
747    #[rstest]
748    fn test_market_to_limit_order_from_order_initialized() {
749        // Create an OrderInitialized event with all required fields for a MarketToLimitOrder
750        let order_initialized = OrderInitializedSpec::builder()
751            .order_type(OrderType::MarketToLimit)
752            .build();
753
754        // Convert the OrderInitialized event into a MarketToLimitOrder
755        let order: MarketToLimitOrder = order_initialized.clone().try_into().unwrap();
756
757        // Assert essential fields match the OrderInitialized fields
758        assert_eq!(order.trader_id(), order_initialized.trader_id);
759        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
760        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
761        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
762        assert_eq!(order.order_side(), order_initialized.order_side);
763        assert_eq!(order.quantity(), order_initialized.quantity);
764    }
765
766    #[rstest]
767    fn test_market_to_limit_order_sets_slippage_when_filled() {
768        // Create a MarketToLimitOrder
769        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
770            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
771            .quantity(Quantity::from(10))
772            .side(OrderSide::Buy)
773            .build();
774
775        // Accept the order first
776        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
777
778        // Update the order with a price
779        let price = Price::new(90.0, 2);
780        let update_event = OrderUpdated {
781            client_order_id: accepted_order.client_order_id(),
782            strategy_id: accepted_order.strategy_id(),
783            price: Some(price),
784            quantity: accepted_order.quantity(),
785            ..Default::default()
786        };
787
788        // Apply the update event to set the price
789        accepted_order
790            .apply(OrderEventAny::Updated(update_event))
791            .unwrap();
792
793        // Verify the price was set correctly
794        assert_eq!(accepted_order.price(), Some(price));
795
796        // Create a filled event with the correct quantity
797        let fill_quantity = accepted_order.quantity();
798        let fill_price = Price::new(98.50, 2);
799
800        let order_filled_event = OrderFilledSpec::builder()
801            .client_order_id(accepted_order.client_order_id())
802            .strategy_id(accepted_order.strategy_id())
803            .instrument_id(accepted_order.instrument_id())
804            .order_side(accepted_order.order_side())
805            .last_qty(fill_quantity)
806            .last_px(fill_price)
807            .venue_order_id(VenueOrderId::from("TEST-001"))
808            .trade_id(TradeId::from("TRADE-001"))
809            .build();
810
811        // Apply the fill event
812        accepted_order
813            .apply(OrderEventAny::Filled(order_filled_event))
814            .unwrap();
815
816        // The fill triggers the slippage calculation: 98.50 - 90.0 for a buy order
817        assert_eq!(accepted_order.slippage(), Some(dec!(8.50)));
818    }
819}
nautilus_model/orders/market_to_limit.rs

nautilus_model/orders/
market_to_limit.rs
