nautilus_model/orders/
trailing_stop_market.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};
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    orders::{OrderError, check_display_qty, check_time_in_force},
42    types::{Currency, Money, Price, Quantity, quantity::check_positive_quantity},
43};
44
45#[derive(Clone, Debug, Serialize, Deserialize)]
46#[cfg_attr(
47    feature = "python",
48    pyo3::pyclass(module = "nautilus_trader.model", from_py_object)
49)]
50#[cfg_attr(
51    feature = "python",
52    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
53)]
54pub struct TrailingStopMarketOrder {
55    core: OrderCore,
56    pub activation_price: Option<Price>,
57    pub trigger_price: Option<Price>,
58    pub trigger_type: TriggerType,
59    pub trailing_offset: Decimal,
60    pub trailing_offset_type: TrailingOffsetType,
61    pub expire_time: Option<UnixNanos>,
62    pub display_qty: Option<Quantity>,
63    pub trigger_instrument_id: Option<InstrumentId>,
64    pub is_activated: bool,
65    pub is_triggered: bool,
66    pub ts_triggered: Option<UnixNanos>,
67}
68
69impl TrailingStopMarketOrder {
70    /// Creates a new [`TrailingStopMarketOrder`] instance.
71    ///
72    /// # Errors
73    ///
74    /// Returns an error if:
75    /// - The `quantity` is not positive.
76    /// - The `display_qty` (when provided) exceeds `quantity`.
77    /// - The `time_in_force` is `GTD` **and** `expire_time` is `None` or zero.
78    /// - The order metadata violates an [`OrderInitialized::new_checked`] invariant.
79    #[expect(clippy::too_many_arguments)]
80    pub fn new_checked(
81        trader_id: TraderId,
82        strategy_id: StrategyId,
83        instrument_id: InstrumentId,
84        client_order_id: ClientOrderId,
85        order_side: OrderSide,
86        quantity: Quantity,
87        activation_price: Option<Price>,
88        trigger_price: Option<Price>,
89        trigger_type: TriggerType,
90        trailing_offset: Decimal,
91        trailing_offset_type: TrailingOffsetType,
92        time_in_force: TimeInForce,
93        expire_time: Option<UnixNanos>,
94        reduce_only: bool,
95        quote_quantity: bool,
96        display_qty: Option<Quantity>,
97        emulation_trigger: Option<TriggerType>,
98        trigger_instrument_id: Option<InstrumentId>,
99        contingency_type: Option<ContingencyType>,
100        order_list_id: Option<OrderListId>,
101        linked_order_ids: Option<Vec<ClientOrderId>>,
102        parent_order_id: Option<ClientOrderId>,
103        exec_algorithm_id: Option<ExecAlgorithmId>,
104        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
105        exec_spawn_id: Option<ClientOrderId>,
106        tags: Option<Vec<Ustr>>,
107        init_id: UUID4,
108        ts_init: UnixNanos,
109    ) -> Result<Self, OrderError> {
110        check_positive_quantity(quantity, stringify!(quantity))?;
111        check_display_qty(display_qty, quantity)?;
112        check_time_in_force(time_in_force, expire_time)?;
113
114        let init_order = OrderInitialized::new_checked(
115            trader_id,
116            strategy_id,
117            instrument_id,
118            client_order_id,
119            order_side,
120            OrderType::TrailingStopMarket,
121            quantity,
122            time_in_force,
123            /*post_only=*/ false,
124            reduce_only,
125            quote_quantity,
126            /*is_close=*/ false,
127            init_id,
128            ts_init,
129            ts_init,
130            /*price=*/ None,
131            activation_price,
132            trigger_price,
133            Some(trigger_type),
134            /*limit_offset=*/ None,
135            Some(trailing_offset),
136            Some(trailing_offset_type),
137            expire_time,
138            display_qty,
139            emulation_trigger,
140            trigger_instrument_id,
141            contingency_type,
142            order_list_id,
143            linked_order_ids,
144            parent_order_id,
145            exec_algorithm_id,
146            exec_algorithm_params,
147            exec_spawn_id,
148            tags,
149        )?;
150
151        Ok(Self {
152            core: OrderCore::new(init_order),
153            activation_price,
154            trigger_price,
155            trigger_type,
156            trailing_offset,
157            trailing_offset_type,
158            expire_time,
159            display_qty,
160            trigger_instrument_id,
161            is_activated: false,
162            is_triggered: false,
163            ts_triggered: None,
164        })
165    }
166
167    /// Creates a new [`TrailingStopMarketOrder`] instance.
168    ///
169    /// # Panics
170    ///
171    /// Panics if any order validation fails (see [`TrailingStopMarketOrder::new_checked`]).
172    #[expect(clippy::too_many_arguments)]
173    #[must_use]
174    pub fn new(
175        trader_id: TraderId,
176        strategy_id: StrategyId,
177        instrument_id: InstrumentId,
178        client_order_id: ClientOrderId,
179        order_side: OrderSide,
180        quantity: Quantity,
181        activation_price: Option<Price>,
182        trigger_price: Price,
183        trigger_type: TriggerType,
184        trailing_offset: Decimal,
185        trailing_offset_type: TrailingOffsetType,
186        time_in_force: TimeInForce,
187        expire_time: Option<UnixNanos>,
188        reduce_only: bool,
189        quote_quantity: bool,
190        display_qty: Option<Quantity>,
191        emulation_trigger: Option<TriggerType>,
192        trigger_instrument_id: Option<InstrumentId>,
193        contingency_type: Option<ContingencyType>,
194        order_list_id: Option<OrderListId>,
195        linked_order_ids: Option<Vec<ClientOrderId>>,
196        parent_order_id: Option<ClientOrderId>,
197        exec_algorithm_id: Option<ExecAlgorithmId>,
198        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
199        exec_spawn_id: Option<ClientOrderId>,
200        tags: Option<Vec<Ustr>>,
201        init_id: UUID4,
202        ts_init: UnixNanos,
203    ) -> Self {
204        Self::new_checked(
205            trader_id,
206            strategy_id,
207            instrument_id,
208            client_order_id,
209            order_side,
210            quantity,
211            activation_price,
212            Some(trigger_price),
213            trigger_type,
214            trailing_offset,
215            trailing_offset_type,
216            time_in_force,
217            expire_time,
218            reduce_only,
219            quote_quantity,
220            display_qty,
221            emulation_trigger,
222            trigger_instrument_id,
223            contingency_type,
224            order_list_id,
225            linked_order_ids,
226            parent_order_id,
227            exec_algorithm_id,
228            exec_algorithm_params,
229            exec_spawn_id,
230            tags,
231            init_id,
232            ts_init,
233        )
234        .unwrap_or_else(|e| panic!("{FAILED}: {e}"))
235    }
236
237    #[must_use]
238    pub fn has_activation_price(&self) -> bool {
239        self.activation_price.is_some()
240    }
241
242    pub fn set_activated(&mut self) {
243        debug_assert!(!self.is_activated, "double activation");
244        self.is_activated = true;
245    }
246}
247
248impl PartialEq for TrailingStopMarketOrder {
249    fn eq(&self, other: &Self) -> bool {
250        self.client_order_id == other.client_order_id
251    }
252}
253
254impl Deref for TrailingStopMarketOrder {
255    type Target = OrderCore;
256    fn deref(&self) -> &Self::Target {
257        &self.core
258    }
259}
260
261impl DerefMut for TrailingStopMarketOrder {
262    fn deref_mut(&mut self) -> &mut Self::Target {
263        &mut self.core
264    }
265}
266
267impl Order for TrailingStopMarketOrder {
268    fn into_any(self) -> OrderAny {
269        OrderAny::TrailingStopMarket(self)
270    }
271
272    fn status(&self) -> OrderStatus {
273        self.status
274    }
275
276    fn trader_id(&self) -> TraderId {
277        self.trader_id
278    }
279
280    fn strategy_id(&self) -> StrategyId {
281        self.strategy_id
282    }
283
284    fn instrument_id(&self) -> InstrumentId {
285        self.instrument_id
286    }
287
288    fn symbol(&self) -> Symbol {
289        self.instrument_id.symbol
290    }
291
292    fn venue(&self) -> Venue {
293        self.instrument_id.venue
294    }
295
296    fn client_order_id(&self) -> ClientOrderId {
297        self.client_order_id
298    }
299
300    fn venue_order_id(&self) -> Option<VenueOrderId> {
301        self.venue_order_id
302    }
303
304    fn position_id(&self) -> Option<PositionId> {
305        self.position_id
306    }
307
308    fn account_id(&self) -> Option<AccountId> {
309        self.account_id
310    }
311
312    fn last_trade_id(&self) -> Option<TradeId> {
313        self.last_trade_id
314    }
315
316    fn order_side(&self) -> OrderSide {
317        self.side
318    }
319
320    fn order_type(&self) -> OrderType {
321        self.order_type
322    }
323
324    fn quantity(&self) -> Quantity {
325        self.quantity
326    }
327
328    fn time_in_force(&self) -> TimeInForce {
329        self.time_in_force
330    }
331
332    fn expire_time(&self) -> Option<UnixNanos> {
333        self.expire_time
334    }
335
336    fn price(&self) -> Option<Price> {
337        None
338    }
339
340    fn trigger_price(&self) -> Option<Price> {
341        self.trigger_price
342    }
343
344    fn activation_price(&self) -> Option<Price> {
345        self.activation_price
346    }
347
348    fn trigger_type(&self) -> Option<TriggerType> {
349        Some(self.trigger_type)
350    }
351
352    fn liquidity_side(&self) -> Option<LiquiditySide> {
353        self.liquidity_side
354    }
355
356    fn is_post_only(&self) -> bool {
357        false
358    }
359
360    fn is_reduce_only(&self) -> bool {
361        self.is_reduce_only
362    }
363
364    fn is_quote_quantity(&self) -> bool {
365        self.is_quote_quantity
366    }
367
368    fn has_price(&self) -> bool {
369        false
370    }
371
372    fn display_qty(&self) -> Option<Quantity> {
373        self.display_qty
374    }
375
376    fn limit_offset(&self) -> Option<Decimal> {
377        None
378    }
379
380    fn trailing_offset(&self) -> Option<Decimal> {
381        Some(self.trailing_offset)
382    }
383
384    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
385        Some(self.trailing_offset_type)
386    }
387
388    fn emulation_trigger(&self) -> Option<TriggerType> {
389        self.emulation_trigger
390    }
391
392    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
393        self.trigger_instrument_id
394    }
395
396    fn contingency_type(&self) -> Option<ContingencyType> {
397        self.contingency_type
398    }
399
400    fn order_list_id(&self) -> Option<OrderListId> {
401        self.order_list_id
402    }
403
404    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
405        self.linked_order_ids.as_deref()
406    }
407
408    fn parent_order_id(&self) -> Option<ClientOrderId> {
409        self.parent_order_id
410    }
411
412    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
413        self.exec_algorithm_id
414    }
415
416    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
417        self.exec_algorithm_params.as_ref()
418    }
419
420    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
421        self.exec_spawn_id
422    }
423
424    fn tags(&self) -> Option<&[Ustr]> {
425        self.tags.as_deref()
426    }
427
428    fn filled_qty(&self) -> Quantity {
429        self.filled_qty
430    }
431
432    fn voided_qty(&self) -> Quantity {
433        self.voided_qty
434    }
435
436    fn non_reopened_voided_qty(&self) -> Quantity {
437        self.non_reopened_voided_qty
438    }
439
440    fn leaves_qty(&self) -> Quantity {
441        self.leaves_qty
442    }
443
444    fn overfill_qty(&self) -> Quantity {
445        self.overfill_qty
446    }
447
448    fn avg_px(&self) -> Option<Decimal> {
449        self.avg_px
450    }
451
452    fn slippage(&self) -> Option<Decimal> {
453        self.slippage
454    }
455
456    fn init_id(&self) -> UUID4 {
457        self.init_id
458    }
459
460    fn ts_init(&self) -> UnixNanos {
461        self.ts_init
462    }
463
464    fn ts_submitted(&self) -> Option<UnixNanos> {
465        self.ts_submitted
466    }
467
468    fn ts_accepted(&self) -> Option<UnixNanos> {
469        self.ts_accepted
470    }
471
472    fn ts_closed(&self) -> Option<UnixNanos> {
473        self.ts_closed
474    }
475
476    fn ts_last(&self) -> UnixNanos {
477        self.ts_last
478    }
479
480    fn events(&self) -> Vec<&OrderEventAny> {
481        self.events.iter().collect()
482    }
483
484    fn last_event(&self) -> &OrderEventAny {
485        self.events
486            .last()
487            .expect("Order invariant violated: no events")
488    }
489
490    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
491        self.venue_order_ids.iter().collect()
492    }
493
494    fn trade_ids(&self) -> Vec<&TradeId> {
495        self.trade_ids.iter().collect()
496    }
497
498    fn commissions(&self) -> &IndexMap<Currency, Money> {
499        &self.commissions
500    }
501
502    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
503        let updates_slippage = matches!(
504            event,
505            OrderEventAny::Filled(_) | OrderEventAny::FillVoided(_),
506        );
507        let is_order_triggered = matches!(event, OrderEventAny::Triggered(_));
508        let ts_event = if is_order_triggered {
509            Some(event.ts_event())
510        } else {
511            None
512        };
513
514        self.core.apply(event.clone())?;
515
516        if let OrderEventAny::Updated(ref event) = event {
517            self.update(event);
518        }
519
520        if is_order_triggered {
521            self.is_triggered = true;
522            self.ts_triggered = ts_event;
523        }
524
525        if updates_slippage && let Some(trigger_price) = self.trigger_price {
526            self.core.set_slippage(trigger_price);
527        }
528
529        Ok(())
530    }
531
532    fn update(&mut self, event: &OrderUpdated) {
533        assert!(event.price.is_none(), "{}", OrderError::InvalidOrderEvent);
534
535        if event.trigger_price.is_some() {
536            self.trigger_price = event.trigger_price;
537        }
538
539        self.core.apply_updated_quantity(event.quantity);
540    }
541
542    fn is_triggered(&self) -> Option<bool> {
543        Some(self.is_triggered)
544    }
545
546    fn set_position_id(&mut self, position_id: Option<PositionId>) {
547        self.position_id = position_id;
548    }
549
550    fn set_quantity(&mut self, quantity: Quantity) {
551        self.quantity = quantity;
552    }
553
554    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
555        self.leaves_qty = leaves_qty;
556    }
557
558    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
559        self.emulation_trigger = emulation_trigger;
560    }
561
562    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
563        self.is_quote_quantity = is_quote_quantity;
564    }
565
566    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
567        self.liquidity_side = Some(liquidity_side);
568    }
569
570    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
571        self.core.would_reduce_only(side, position_qty)
572    }
573
574    fn previous_status(&self) -> Option<OrderStatus> {
575        self.core.previous_status
576    }
577}
578
579impl Display for TrailingStopMarketOrder {
580    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
581        write!(
582            f,
583            "TrailingStopMarketOrder({} {} {} {} {}, status={}, client_order_id={}, venue_order_id={}, position_id={}, exec_algorithm_id={}, exec_spawn_id={}, tags={:?}, activation_price={:?}, is_activated={})",
584            self.side,
585            self.quantity.to_formatted_string(),
586            self.instrument_id,
587            self.order_type,
588            self.time_in_force,
589            self.status,
590            self.client_order_id,
591            self.venue_order_id
592                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
593            self.position_id
594                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
595            self.exec_algorithm_id
596                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
597            self.exec_spawn_id
598                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
599            self.tags,
600            self.activation_price,
601            self.is_activated
602        )
603    }
604}
605
606impl TryFrom<OrderInitialized> for TrailingStopMarketOrder {
607    type Error = OrderError;
608
609    fn try_from(event: OrderInitialized) -> Result<Self, Self::Error> {
610        let trigger_type =
611            event
612                .trigger_type
613                .ok_or_else(|| CorrectnessError::PredicateViolation {
614                    message:
615                        "`trigger_type` is required for `TrailingStopMarketOrder` initialization"
616                            .to_string(),
617                })?;
618        let trailing_offset =
619            event
620                .trailing_offset
621                .ok_or_else(|| CorrectnessError::PredicateViolation {
622                    message:
623                        "`trailing_offset` is required for `TrailingStopMarketOrder` initialization"
624                            .to_string(),
625                })?;
626        let trailing_offset_type = event.trailing_offset_type.ok_or_else(|| {
627            CorrectnessError::PredicateViolation {
628                message: "`trailing_offset_type` is required for `TrailingStopMarketOrder` initialization"
629                    .to_string(),
630            }
631        })?;
632        Self::new_checked(
633            event.trader_id,
634            event.strategy_id,
635            event.instrument_id,
636            event.client_order_id,
637            event.order_side,
638            event.quantity,
639            event.activation_price,
640            event.trigger_price,
641            trigger_type,
642            trailing_offset,
643            trailing_offset_type,
644            event.time_in_force,
645            event.expire_time,
646            event.reduce_only,
647            event.quote_quantity,
648            event.display_qty,
649            event.emulation_trigger,
650            event.trigger_instrument_id,
651            event.contingency_type,
652            event.order_list_id,
653            event.linked_order_ids,
654            event.parent_order_id,
655            event.exec_algorithm_id,
656            event.exec_algorithm_params,
657            event.exec_spawn_id,
658            event.tags,
659            event.event_id,
660            event.ts_event,
661        )
662    }
663}
664
665#[cfg(test)]
666mod tests {
667    use rstest::rstest;
668    use rust_decimal::Decimal;
669    use rust_decimal_macros::dec;
670
671    use super::*;
672    use crate::{
673        enums::{TimeInForce, TrailingOffsetType, TriggerType},
674        events::order::spec::{OrderFilledSpec, OrderInitializedSpec},
675        identifiers::InstrumentId,
676        instruments::{CurrencyPair, stubs::*},
677        orders::{builder::OrderTestBuilder, stubs::TestOrderStubs},
678        types::{Price, Quantity},
679    };
680
681    #[rstest]
682    fn test_initialize(audusd_sim: CurrencyPair) {
683        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
684            .instrument_id(audusd_sim.id)
685            .side(OrderSide::Buy)
686            .trigger_price(Price::from("0.68000"))
687            .trailing_offset(dec!(10))
688            .trailing_offset_type(TrailingOffsetType::Price)
689            .quantity(Quantity::from(1))
690            .build();
691
692        assert_eq!(order.trigger_price(), Some(Price::from("0.68000")));
693        assert_eq!(order.price(), None);
694
695        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
696
697        assert_eq!(order.is_triggered(), Some(false));
698        assert_eq!(order.filled_qty(), Quantity::from(0));
699        assert_eq!(order.leaves_qty(), Quantity::from(1));
700
701        assert_eq!(order.display_qty(), None);
702        assert_eq!(order.trigger_instrument_id(), None);
703        assert_eq!(order.order_list_id(), None);
704    }
705
706    #[rstest]
707    fn test_display(audusd_sim: CurrencyPair) {
708        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
709            .instrument_id(audusd_sim.id)
710            .side(OrderSide::Buy)
711            .trigger_price(Price::from("0.68000"))
712            .trigger_type(TriggerType::LastPrice)
713            .trailing_offset(dec!(10))
714            .trailing_offset_type(TrailingOffsetType::Price)
715            .quantity(Quantity::from(1))
716            .build();
717
718        assert_eq!(
719            order.to_string(),
720            "TrailingStopMarketOrder(BUY 1 AUD/USD.SIM TRAILING_STOP_MARKET 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, activation_price=None, is_activated=false)"
721        );
722    }
723
724    #[rstest]
725    #[should_panic(expected = "Condition failed: `display_qty` may not exceed `quantity`")]
726    fn test_display_qty_gt_quantity_err(audusd_sim: CurrencyPair) {
727        let _ = OrderTestBuilder::new(OrderType::TrailingStopMarket)
728            .instrument_id(audusd_sim.id)
729            .side(OrderSide::Buy)
730            .trigger_price(Price::from("0.68000"))
731            .trigger_type(TriggerType::LastPrice)
732            .trailing_offset(dec!(10))
733            .trailing_offset_type(TrailingOffsetType::Price)
734            .quantity(Quantity::from(1))
735            .display_qty(Quantity::from(2))
736            .build();
737    }
738
739    #[rstest]
740    #[should_panic(
741        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
742    )]
743    fn test_quantity_zero_err(audusd_sim: CurrencyPair) {
744        let _ = OrderTestBuilder::new(OrderType::TrailingStopMarket)
745            .instrument_id(audusd_sim.id)
746            .side(OrderSide::Buy)
747            .trigger_price(Price::from("0.68000"))
748            .trigger_type(TriggerType::LastPrice)
749            .trailing_offset(dec!(10))
750            .trailing_offset_type(TrailingOffsetType::Price)
751            .quantity(Quantity::from(0))
752            .build();
753    }
754
755    #[rstest]
756    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
757    fn test_gtd_without_expire_err(audusd_sim: CurrencyPair) {
758        let _ = OrderTestBuilder::new(OrderType::TrailingStopMarket)
759            .instrument_id(audusd_sim.id)
760            .side(OrderSide::Buy)
761            .trigger_price(Price::from("0.68000"))
762            .trigger_type(TriggerType::LastPrice)
763            .trailing_offset(dec!(10))
764            .trailing_offset_type(TrailingOffsetType::Price)
765            .time_in_force(TimeInForce::Gtd)
766            .quantity(Quantity::from(1))
767            .build();
768    }
769    #[rstest]
770    fn test_trailing_stop_market_order_update() {
771        // Create and accept a basic trailing stop market order
772        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
773            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
774            .quantity(Quantity::from(10))
775            .trigger_price(Price::new(100.0, 2))
776            .trailing_offset(Decimal::new(5, 1)) // 0.5
777            .trailing_offset_type(TrailingOffsetType::Price)
778            .build();
779
780        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
781
782        // Update with new values
783        let updated_trigger_price = Price::new(95.0, 2);
784        let updated_quantity = Quantity::from(5);
785
786        let event = OrderUpdated {
787            client_order_id: accepted_order.client_order_id(),
788            strategy_id: accepted_order.strategy_id(),
789            trigger_price: Some(updated_trigger_price),
790            quantity: updated_quantity,
791            ..Default::default()
792        };
793
794        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
795
796        // Verify updates were applied correctly
797        assert_eq!(accepted_order.quantity(), updated_quantity);
798        assert_eq!(accepted_order.trigger_price(), Some(updated_trigger_price));
799    }
800
801    #[rstest]
802    fn test_trailing_stop_market_order_rejects_invalid_update_atomically() {
803        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
804            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
805            .quantity(Quantity::from(10))
806            .trigger_price(Price::new(100.0, 2))
807            .trailing_offset(Decimal::new(5, 1))
808            .trailing_offset_type(TrailingOffsetType::Price)
809            .build();
810        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
811        let state = (
812            accepted_order.status(),
813            accepted_order.previous_status(),
814            accepted_order.ts_last(),
815            accepted_order.events().len(),
816        );
817        let event = OrderUpdated {
818            client_order_id: accepted_order.client_order_id(),
819            strategy_id: accepted_order.strategy_id(),
820            price: Some(Price::new(95.0, 2)),
821            ..Default::default()
822        };
823
824        let result = accepted_order.apply(OrderEventAny::Updated(event));
825
826        assert!(matches!(result, Err(OrderError::InvalidOrderEvent)));
827        assert_eq!(accepted_order.status(), state.0);
828        assert_eq!(accepted_order.previous_status(), state.1);
829        assert_eq!(accepted_order.ts_last(), state.2);
830        assert_eq!(accepted_order.events().len(), state.3);
831    }
832
833    #[rstest]
834    fn test_trailing_stop_market_order_expire_time() {
835        // Create a new TrailingStopMarketOrder with an expire time
836        let expire_time = UnixNanos::from(1_234_567_890);
837        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
838            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
839            .quantity(Quantity::from(10))
840            .trigger_price(Price::new(100.0, 2))
841            .trailing_offset(Decimal::new(5, 1)) // 0.5
842            .trailing_offset_type(TrailingOffsetType::Price)
843            .expire_time(expire_time)
844            .build();
845
846        // Assert that the expire time is set correctly
847        assert_eq!(order.expire_time(), Some(expire_time));
848    }
849
850    #[rstest]
851    fn test_trailing_stop_market_order_trigger_instrument_id() {
852        // Create a new TrailingStopMarketOrder with a trigger instrument ID
853        let trigger_instrument_id = InstrumentId::from("ETH-USDT.BINANCE");
854        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
855            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
856            .quantity(Quantity::from(10))
857            .trigger_price(Price::new(100.0, 2))
858            .trailing_offset(Decimal::new(5, 1)) // 0.5
859            .trailing_offset_type(TrailingOffsetType::Price)
860            .trigger_instrument_id(trigger_instrument_id)
861            .build();
862
863        // Assert that the trigger instrument ID is set correctly
864        assert_eq!(order.trigger_instrument_id(), Some(trigger_instrument_id));
865    }
866
867    #[rstest]
868    fn test_trailing_stop_market_order_from_order_initialized() {
869        // Create an OrderInitialized event with all required fields for a TrailingStopMarketOrder
870        let order_initialized = OrderInitializedSpec::builder()
871            .trigger_price(Price::new(100.0, 2))
872            .trigger_type(TriggerType::Default)
873            .trailing_offset(Decimal::new(5, 1)) // 0.5
874            .trailing_offset_type(TrailingOffsetType::Price)
875            .order_type(OrderType::TrailingStopMarket)
876            .build();
877
878        // Convert the OrderInitialized event into a TrailingStopMarketOrder
879        let order: TrailingStopMarketOrder = order_initialized.clone().try_into().unwrap();
880
881        // Assert essential fields match the OrderInitialized fields
882        assert_eq!(order.trader_id(), order_initialized.trader_id);
883        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
884        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
885        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
886        assert_eq!(order.order_side(), order_initialized.order_side);
887        assert_eq!(order.quantity(), order_initialized.quantity);
888
889        // Assert specific fields for TrailingStopMarketOrder
890        assert_eq!(order.trigger_price, order_initialized.trigger_price);
891        assert_eq!(order.trigger_type, order_initialized.trigger_type.unwrap());
892        assert_eq!(
893            order.trailing_offset,
894            order_initialized.trailing_offset.unwrap()
895        );
896        assert_eq!(
897            order.trailing_offset_type,
898            order_initialized.trailing_offset_type.unwrap()
899        );
900    }
901
902    #[rstest]
903    fn test_activation_price_round_trips_through_event(audusd_sim: CurrencyPair) {
904        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
905            .instrument_id(audusd_sim.id)
906            .side(OrderSide::Buy)
907            .activation_price(Price::from("0.68500"))
908            .trigger_price(Price::from("0.68000"))
909            .trailing_offset(dec!(10))
910            .trailing_offset_type(TrailingOffsetType::Price)
911            .quantity(Quantity::from(1))
912            .build();
913
914        assert_eq!(order.activation_price(), Some(Price::from("0.68500")));
915
916        // The seed event carries `activation_price`, so a replay preserves it
917        let init = order.init_event().clone();
918        assert_eq!(init.activation_price, Some(Price::from("0.68500")));
919
920        let rebuilt: TrailingStopMarketOrder = init.try_into().unwrap();
921        assert_eq!(rebuilt.activation_price, Some(Price::from("0.68500")));
922        assert_eq!(rebuilt.trigger_price, Some(Price::from("0.68000")));
923    }
924
925    #[rstest]
926    fn test_reconstruct_with_trigger_and_activation_none() {
927        let init = OrderInitializedSpec::builder()
928            .order_type(OrderType::TrailingStopMarket)
929            .trigger_type(TriggerType::Default)
930            .trailing_offset(dec!(10))
931            .trailing_offset_type(TrailingOffsetType::Price)
932            .build();
933
934        let order: TrailingStopMarketOrder = init.try_into().unwrap();
935
936        assert_eq!(order.trigger_price(), None);
937        assert_eq!(order.activation_price(), None);
938    }
939
940    #[rstest]
941    fn test_trailing_stop_market_order_sets_slippage_when_filled() {
942        // Create a trailing stop market order
943        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
944            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
945            .quantity(Quantity::from(10))
946            .side(OrderSide::Buy) // Explicitly setting Buy side
947            .trigger_price(Price::new(90.0, 2)) // Trigger price LOWER than fill price
948            .trailing_offset(Decimal::new(5, 1)) // 0.5
949            .trailing_offset_type(TrailingOffsetType::Price)
950            .build();
951
952        // Accept the order first
953        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
954
955        // Create a filled event with the correct quantity
956        let fill_quantity = accepted_order.quantity(); // Use the same quantity as the order
957        let fill_price = Price::new(98.50, 2); // Use a price HIGHER than trigger price
958
959        let order_filled_event = OrderFilledSpec::builder()
960            .client_order_id(accepted_order.client_order_id())
961            .strategy_id(accepted_order.strategy_id())
962            .instrument_id(accepted_order.instrument_id())
963            .order_side(accepted_order.order_side())
964            .last_qty(fill_quantity)
965            .last_px(fill_price)
966            .venue_order_id(VenueOrderId::from("TEST-001"))
967            .trade_id(TradeId::from("TRADE-001"))
968            .build();
969
970        // Apply the fill event
971        accepted_order
972            .apply(OrderEventAny::Filled(order_filled_event))
973            .unwrap();
974
975        // The fill triggers the slippage calculation: 98.50 - 90.0 for a buy order
976        assert_eq!(accepted_order.slippage(), Some(dec!(8.50)));
977    }
978}
nautilus_model/orders/trailing_stop_market.rs

nautilus_model/orders/
trailing_stop_market.rs
