nautilus_execution/models/
fill.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Posei Systems Pty Ltd. All rights reserved.
3//  https://poseitrader.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::fmt::Display;
17
18use nautilus_core::correctness::{FAILED, check_in_range_inclusive_f64};
19use rand::{Rng, SeedableRng, rngs::StdRng};
20
21#[derive(Debug, Clone)]
22pub struct FillModel {
23    /// The probability of limit order filling if the market rests on its price.
24    prob_fill_on_limit: f64,
25    /// The probability of stop orders filling if the market rests on its price.
26    prob_fill_on_stop: f64,
27    /// The probability of order fill prices slipping by one tick.
28    prob_slippage: f64,
29    /// Random number generator
30    rng: StdRng,
31}
32
33impl FillModel {
34    /// Creates a new [`FillModel`] instance.
35    ///
36    /// # Errors
37    ///
38    /// Returns an error if any probability parameter is out of range [0.0, 1.0].
39    ///
40    /// # Panics
41    ///
42    /// Panics if probability checks fail.
43    pub fn new(
44        prob_fill_on_limit: f64,
45        prob_fill_on_stop: f64,
46        prob_slippage: f64,
47        random_seed: Option<u64>,
48    ) -> anyhow::Result<Self> {
49        check_in_range_inclusive_f64(prob_fill_on_limit, 0.0, 1.0, "prob_fill_on_limit")
50            .expect(FAILED);
51        check_in_range_inclusive_f64(prob_fill_on_stop, 0.0, 1.0, "prob_fill_on_stop")
52            .expect(FAILED);
53        check_in_range_inclusive_f64(prob_slippage, 0.0, 1.0, "prob_slippage").expect(FAILED);
54        let rng = match random_seed {
55            Some(seed) => StdRng::seed_from_u64(seed),
56            None => StdRng::from_os_rng(),
57        };
58        Ok(Self {
59            prob_fill_on_limit,
60            prob_fill_on_stop,
61            prob_slippage,
62            rng,
63        })
64    }
65
66    pub fn is_limit_filled(&mut self) -> bool {
67        self.event_success(self.prob_fill_on_limit)
68    }
69
70    pub fn is_stop_filled(&mut self) -> bool {
71        self.event_success(self.prob_fill_on_stop)
72    }
73
74    pub fn is_slipped(&mut self) -> bool {
75        self.event_success(self.prob_slippage)
76    }
77
78    fn event_success(&mut self, probability: f64) -> bool {
79        match probability {
80            0.0 => false,
81            1.0 => true,
82            _ => self.rng.random_bool(probability),
83        }
84    }
85}
86
87impl Display for FillModel {
88    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
89        write!(
90            f,
91            "FillModel(prob_fill_on_limit: {}, prob_fill_on_stop: {}, prob_slippage: {})",
92            self.prob_fill_on_limit, self.prob_fill_on_stop, self.prob_slippage
93        )
94    }
95}
96
97impl Default for FillModel {
98    /// Creates a new default [`FillModel`] instance.
99    fn default() -> Self {
100        Self::new(0.5, 0.5, 0.1, None).unwrap()
101    }
102}
103
104////////////////////////////////////////////////////////////////////////////////
105// Tests
106////////////////////////////////////////////////////////////////////////////////
107#[cfg(test)]
108mod tests {
109    use rstest::{fixture, rstest};
110
111    use super::*;
112
113    #[fixture]
114    fn fill_model() -> FillModel {
115        let seed = 42;
116        FillModel::new(0.5, 0.5, 0.1, Some(seed)).unwrap()
117    }
118
119    #[rstest]
120    #[should_panic(
121        expected = "Condition failed: invalid f64 for 'prob_fill_on_limit' not in range [0, 1], was 1.1"
122    )]
123    fn test_fill_model_param_prob_fill_on_limit_error() {
124        let _ = super::FillModel::new(1.1, 0.5, 0.1, None).unwrap();
125    }
126
127    #[rstest]
128    #[should_panic(
129        expected = "Condition failed: invalid f64 for 'prob_fill_on_stop' not in range [0, 1], was 1.1"
130    )]
131    fn test_fill_model_param_prob_fill_on_stop_error() {
132        let _ = super::FillModel::new(0.5, 1.1, 0.1, None).unwrap();
133    }
134
135    #[rstest]
136    #[should_panic(
137        expected = "Condition failed: invalid f64 for 'prob_slippage' not in range [0, 1], was 1.1"
138    )]
139    fn test_fill_model_param_prob_slippage_error() {
140        let _ = super::FillModel::new(0.5, 0.5, 1.1, None).unwrap();
141    }
142
143    #[rstest]
144    fn test_fill_model_is_limit_filled(mut fill_model: FillModel) {
145        // because of fixed seed this is deterministic
146        let result = fill_model.is_limit_filled();
147        assert!(!result);
148    }
149
150    #[rstest]
151    fn test_fill_model_is_stop_filled(mut fill_model: FillModel) {
152        // because of fixed seed this is deterministic
153        let result = fill_model.is_stop_filled();
154        assert!(!result);
155    }
156
157    #[rstest]
158    fn test_fill_model_is_slipped(mut fill_model: FillModel) {
159        // because of fixed seed this is deterministic
160        let result = fill_model.is_slipped();
161        assert!(!result);
162    }
163}
nautilus_execution/models/fill.rs

nautilus_execution/models/
fill.rs
