nautilus_model/orders/
mod.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
16//! Order types for the trading domain model.
17
18pub mod any;
19pub mod builder;
20pub mod default;
21pub mod limit;
22pub mod limit_if_touched;
23pub mod list;
24pub mod market;
25pub mod market_if_touched;
26pub mod market_to_limit;
27pub mod stop_limit;
28pub mod stop_market;
29pub mod trailing_stop_limit;
30pub mod trailing_stop_market;
31
32#[cfg(any(test, feature = "stubs"))]
33pub mod stubs;
34
35// Re-exports
36use anyhow::anyhow;
37use enum_dispatch::enum_dispatch;
38use indexmap::IndexMap;
39use nautilus_core::{UUID4, UnixNanos};
40use rust_decimal::Decimal;
41use serde::{Deserialize, Serialize};
42use ustr::Ustr;
43
44pub use crate::orders::{
45    any::{LimitOrderAny, OrderAny, PassiveOrderAny, StopOrderAny},
46    builder::OrderTestBuilder,
47    limit::LimitOrder,
48    limit_if_touched::LimitIfTouchedOrder,
49    list::OrderList,
50    market::MarketOrder,
51    market_if_touched::MarketIfTouchedOrder,
52    market_to_limit::MarketToLimitOrder,
53    stop_limit::StopLimitOrder,
54    stop_market::StopMarketOrder,
55    trailing_stop_limit::TrailingStopLimitOrder,
56    trailing_stop_market::TrailingStopMarketOrder,
57};
58use crate::{
59    enums::{
60        ContingencyType, LiquiditySide, OrderSide, OrderSideSpecified, OrderStatus, OrderType,
61        PositionSide, TimeInForce, TrailingOffsetType, TriggerType,
62    },
63    events::{
64        OrderAccepted, OrderCancelRejected, OrderCanceled, OrderDenied, OrderEmulated,
65        OrderEventAny, OrderExpired, OrderFilled, OrderInitialized, OrderModifyRejected,
66        OrderPendingCancel, OrderPendingUpdate, OrderRejected, OrderReleased, OrderSubmitted,
67        OrderTriggered, OrderUpdated,
68    },
69    identifiers::{
70        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
71        StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
72    },
73    orderbook::OwnBookOrder,
74    types::{Currency, Money, Price, Quantity},
75};
76
77#[allow(dead_code)] // TODO: Will be used
78const STOP_ORDER_TYPES: &[OrderType] = &[
79    OrderType::StopMarket,
80    OrderType::StopLimit,
81    OrderType::MarketIfTouched,
82    OrderType::LimitIfTouched,
83];
84
85#[allow(dead_code)] // TODO: Will be used
86const LIMIT_ORDER_TYPES: &[OrderType] = &[
87    OrderType::Limit,
88    OrderType::StopLimit,
89    OrderType::LimitIfTouched,
90    OrderType::MarketIfTouched,
91];
92
93#[allow(dead_code)] // TODO: Will be used
94const LOCAL_ACTIVE_ORDER_STATUS: &[OrderStatus] = &[
95    OrderStatus::Initialized,
96    OrderStatus::Emulated,
97    OrderStatus::Released,
98];
99
100#[derive(thiserror::Error, Debug)]
101pub enum OrderError {
102    #[error("Order not found: {0}")]
103    NotFound(ClientOrderId),
104    #[error("Order invariant failed: must have a side for this operation")]
105    NoOrderSide,
106    #[error("Invalid event for order type")]
107    InvalidOrderEvent,
108    #[error("Invalid order state transition")]
109    InvalidStateTransition,
110    #[error("Order was already initialized")]
111    AlreadyInitialized,
112    #[error("Order had no previous state")]
113    NoPreviousState,
114    #[error("{0}")]
115    Invariant(#[from] anyhow::Error),
116}
117
118/// Converts an IndexMap with `Ustr` keys and values to `String` keys and values.
119#[must_use]
120pub fn ustr_indexmap_to_str(h: IndexMap<Ustr, Ustr>) -> IndexMap<String, String> {
121    h.into_iter()
122        .map(|(k, v)| (k.to_string(), v.to_string()))
123        .collect()
124}
125
126/// Converts an IndexMap with `String` keys and values to `Ustr` keys and values.
127#[must_use]
128pub fn str_indexmap_to_ustr(h: IndexMap<String, String>) -> IndexMap<Ustr, Ustr> {
129    h.into_iter()
130        .map(|(k, v)| (Ustr::from(&k), Ustr::from(&v)))
131        .collect()
132}
133
134#[inline]
135pub(crate) fn check_display_qty(
136    display_qty: Option<Quantity>,
137    quantity: Quantity,
138) -> Result<(), OrderError> {
139    if let Some(q) = display_qty {
140        if q > quantity {
141            return Err(OrderError::Invariant(anyhow!(
142                "`display_qty` may not exceed `quantity`"
143            )));
144        }
145    }
146    Ok(())
147}
148
149#[inline]
150pub(crate) fn check_time_in_force(
151    time_in_force: TimeInForce,
152    expire_time: Option<UnixNanos>,
153) -> Result<(), OrderError> {
154    if time_in_force == TimeInForce::Gtd && expire_time.unwrap_or_default() == 0 {
155        return Err(OrderError::Invariant(anyhow!(
156            "`expire_time` is required for `GTD` order"
157        )));
158    }
159    Ok(())
160}
161
162impl OrderStatus {
163    /// Transitions the order state machine based on the given `event`.
164    ///
165    /// # Errors
166    ///
167    /// Returns an error if the state transition is invalid from the current status.
168    #[rustfmt::skip]
169    pub fn transition(&mut self, event: &OrderEventAny) -> Result<Self, OrderError> {
170        let new_state = match (self, event) {
171            (Self::Initialized, OrderEventAny::Denied(_)) => Self::Denied,
172            (Self::Initialized, OrderEventAny::Emulated(_)) => Self::Emulated,  // Emulated orders
173            (Self::Initialized, OrderEventAny::Released(_)) => Self::Released,  // Emulated orders
174            (Self::Initialized, OrderEventAny::Submitted(_)) => Self::Submitted,
175            (Self::Initialized, OrderEventAny::Rejected(_)) => Self::Rejected,  // External orders
176            (Self::Initialized, OrderEventAny::Accepted(_)) => Self::Accepted,  // External orders
177            (Self::Initialized, OrderEventAny::Canceled(_)) => Self::Canceled,  // External orders
178            (Self::Initialized, OrderEventAny::Expired(_)) => Self::Expired,  // External orders
179            (Self::Initialized, OrderEventAny::Triggered(_)) => Self::Triggered, // External orders
180            (Self::Emulated, OrderEventAny::Canceled(_)) => Self::Canceled,  // Emulated orders
181            (Self::Emulated, OrderEventAny::Expired(_)) => Self::Expired,  // Emulated orders
182            (Self::Emulated, OrderEventAny::Released(_)) => Self::Released,  // Emulated orders
183            (Self::Released, OrderEventAny::Submitted(_)) => Self::Submitted,  // Emulated orders
184            (Self::Released, OrderEventAny::Denied(_)) => Self::Denied,  // Emulated orders
185            (Self::Released, OrderEventAny::Canceled(_)) => Self::Canceled,  // Execution algo
186            (Self::Submitted, OrderEventAny::PendingUpdate(_)) => Self::PendingUpdate,
187            (Self::Submitted, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,
188            (Self::Submitted, OrderEventAny::Rejected(_)) => Self::Rejected,
189            (Self::Submitted, OrderEventAny::Canceled(_)) => Self::Canceled,  // FOK and IOC cases
190            (Self::Submitted, OrderEventAny::Accepted(_)) => Self::Accepted,
191            (Self::Submitted, OrderEventAny::Filled(_)) => Self::Filled,
192            (Self::Submitted, OrderEventAny::Updated(_)) => Self::Submitted,
193            (Self::Accepted, OrderEventAny::Rejected(_)) => Self::Rejected,  // StopLimit order
194            (Self::Accepted, OrderEventAny::PendingUpdate(_)) => Self::PendingUpdate,
195            (Self::Accepted, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,
196            (Self::Accepted, OrderEventAny::Canceled(_)) => Self::Canceled,
197            (Self::Accepted, OrderEventAny::Triggered(_)) => Self::Triggered,
198            (Self::Accepted, OrderEventAny::Expired(_)) => Self::Expired,
199            (Self::Accepted, OrderEventAny::Filled(_)) => Self::Filled,
200            (Self::Accepted, OrderEventAny::Updated(_)) => Self::Accepted,  // Updates should preserve state
201            (Self::Canceled, OrderEventAny::Filled(_)) => Self::Filled,  // Real world possibility
202            (Self::PendingUpdate, OrderEventAny::Rejected(_)) => Self::Rejected,
203            (Self::PendingUpdate, OrderEventAny::Accepted(_)) => Self::Accepted,
204            (Self::PendingUpdate, OrderEventAny::Canceled(_)) => Self::Canceled,
205            (Self::PendingUpdate, OrderEventAny::Expired(_)) => Self::Expired,
206            (Self::PendingUpdate, OrderEventAny::Triggered(_)) => Self::Triggered,
207            (Self::PendingUpdate, OrderEventAny::PendingUpdate(_)) => Self::PendingUpdate,  // Allow multiple requests
208            (Self::PendingUpdate, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,
209            (Self::PendingUpdate, OrderEventAny::Filled(_)) => Self::Filled,
210            (Self::PendingCancel, OrderEventAny::Rejected(_)) => Self::Rejected,
211            (Self::PendingCancel, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,  // Allow multiple requests
212            (Self::PendingCancel, OrderEventAny::Canceled(_)) => Self::Canceled,
213            (Self::PendingCancel, OrderEventAny::Expired(_)) => Self::Expired,
214            (Self::PendingCancel, OrderEventAny::Accepted(_)) => Self::Accepted,  // Allow failed cancel requests
215            (Self::PendingCancel, OrderEventAny::Filled(_)) => Self::Filled,
216            (Self::Triggered, OrderEventAny::Rejected(_)) => Self::Rejected,
217            (Self::Triggered, OrderEventAny::PendingUpdate(_)) => Self::PendingUpdate,
218            (Self::Triggered, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,
219            (Self::Triggered, OrderEventAny::Canceled(_)) => Self::Canceled,
220            (Self::Triggered, OrderEventAny::Expired(_)) => Self::Expired,
221            (Self::Triggered, OrderEventAny::Filled(_)) => Self::Filled,
222            (Self::PartiallyFilled, OrderEventAny::PendingUpdate(_)) => Self::PendingUpdate,
223            (Self::PartiallyFilled, OrderEventAny::PendingCancel(_)) => Self::PendingCancel,
224            (Self::PartiallyFilled, OrderEventAny::Canceled(_)) => Self::Canceled,
225            (Self::PartiallyFilled, OrderEventAny::Expired(_)) => Self::Expired,
226            (Self::PartiallyFilled, OrderEventAny::Filled(_)) => Self::Filled,
227            (Self::PartiallyFilled, OrderEventAny::Accepted(_)) => Self::Accepted,
228            _ => return Err(OrderError::InvalidStateTransition),
229        };
230        Ok(new_state)
231    }
232}
233
234#[enum_dispatch]
235pub trait Order: 'static + Send {
236    fn into_any(self) -> OrderAny;
237    fn status(&self) -> OrderStatus;
238    fn trader_id(&self) -> TraderId;
239    fn strategy_id(&self) -> StrategyId;
240    fn instrument_id(&self) -> InstrumentId;
241    fn symbol(&self) -> Symbol;
242    fn venue(&self) -> Venue;
243    fn client_order_id(&self) -> ClientOrderId;
244    fn venue_order_id(&self) -> Option<VenueOrderId>;
245    fn position_id(&self) -> Option<PositionId>;
246    fn account_id(&self) -> Option<AccountId>;
247    fn last_trade_id(&self) -> Option<TradeId>;
248    fn order_side(&self) -> OrderSide;
249    fn order_type(&self) -> OrderType;
250    fn quantity(&self) -> Quantity;
251    fn time_in_force(&self) -> TimeInForce;
252    fn expire_time(&self) -> Option<UnixNanos>;
253    fn price(&self) -> Option<Price>;
254    fn trigger_price(&self) -> Option<Price>;
255    fn trigger_type(&self) -> Option<TriggerType>;
256    fn liquidity_side(&self) -> Option<LiquiditySide>;
257    fn is_post_only(&self) -> bool;
258    fn is_reduce_only(&self) -> bool;
259    fn is_quote_quantity(&self) -> bool;
260    fn display_qty(&self) -> Option<Quantity>;
261    fn limit_offset(&self) -> Option<Decimal>;
262    fn trailing_offset(&self) -> Option<Decimal>;
263    fn trailing_offset_type(&self) -> Option<TrailingOffsetType>;
264    fn emulation_trigger(&self) -> Option<TriggerType>;
265    fn trigger_instrument_id(&self) -> Option<InstrumentId>;
266    fn contingency_type(&self) -> Option<ContingencyType>;
267    fn order_list_id(&self) -> Option<OrderListId>;
268    fn linked_order_ids(&self) -> Option<&[ClientOrderId]>;
269    fn parent_order_id(&self) -> Option<ClientOrderId>;
270    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId>;
271    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>>;
272    fn exec_spawn_id(&self) -> Option<ClientOrderId>;
273    fn tags(&self) -> Option<&[Ustr]>;
274    fn filled_qty(&self) -> Quantity;
275    fn leaves_qty(&self) -> Quantity;
276    fn avg_px(&self) -> Option<f64>;
277    fn slippage(&self) -> Option<f64>;
278    fn init_id(&self) -> UUID4;
279    fn ts_init(&self) -> UnixNanos;
280    fn ts_submitted(&self) -> Option<UnixNanos>;
281    fn ts_accepted(&self) -> Option<UnixNanos>;
282    fn ts_closed(&self) -> Option<UnixNanos>;
283    fn ts_last(&self) -> UnixNanos;
284
285    fn order_side_specified(&self) -> OrderSideSpecified {
286        self.order_side().as_specified()
287    }
288    fn commissions(&self) -> &IndexMap<Currency, Money>;
289
290    /// Applies the `event` to the order.
291    ///
292    /// # Errors
293    ///
294    /// Returns an error if the event is invalid for the current order status.
295    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError>;
296    fn update(&mut self, event: &OrderUpdated);
297
298    fn events(&self) -> Vec<&OrderEventAny>;
299
300    fn last_event(&self) -> &OrderEventAny {
301        // SAFETY: Unwrap safe as `Order` specification guarantees at least one event (`OrderInitialized`)
302        self.events().last().unwrap()
303    }
304
305    fn event_count(&self) -> usize {
306        self.events().len()
307    }
308
309    fn venue_order_ids(&self) -> Vec<&VenueOrderId>;
310
311    fn trade_ids(&self) -> Vec<&TradeId>;
312
313    fn has_price(&self) -> bool;
314
315    fn is_buy(&self) -> bool {
316        self.order_side() == OrderSide::Buy
317    }
318
319    fn is_sell(&self) -> bool {
320        self.order_side() == OrderSide::Sell
321    }
322
323    fn is_passive(&self) -> bool {
324        self.order_type() != OrderType::Market
325    }
326
327    fn is_aggressive(&self) -> bool {
328        self.order_type() == OrderType::Market
329    }
330
331    fn is_emulated(&self) -> bool {
332        self.status() == OrderStatus::Emulated
333    }
334
335    fn is_active_local(&self) -> bool {
336        matches!(
337            self.status(),
338            OrderStatus::Initialized | OrderStatus::Emulated | OrderStatus::Released
339        )
340    }
341
342    fn is_primary(&self) -> bool {
343        // TODO: Guarantee `exec_spawn_id` is some if `exec_algorithm_id` is some
344        self.exec_algorithm_id().is_some()
345            && self.client_order_id() == self.exec_spawn_id().unwrap()
346    }
347
348    fn is_secondary(&self) -> bool {
349        // TODO: Guarantee `exec_spawn_id` is some if `exec_algorithm_id` is some
350        self.exec_algorithm_id().is_some()
351            && self.client_order_id() != self.exec_spawn_id().unwrap()
352    }
353
354    fn is_contingency(&self) -> bool {
355        self.contingency_type().is_some()
356    }
357
358    fn is_parent_order(&self) -> bool {
359        match self.contingency_type() {
360            Some(c) => c == ContingencyType::Oto,
361            None => false,
362        }
363    }
364
365    fn is_child_order(&self) -> bool {
366        self.parent_order_id().is_some()
367    }
368
369    fn is_open(&self) -> bool {
370        if let Some(emulation_trigger) = self.emulation_trigger() {
371            if emulation_trigger != TriggerType::NoTrigger {
372                return false;
373            }
374        }
375
376        matches!(
377            self.status(),
378            OrderStatus::Accepted
379                | OrderStatus::Triggered
380                | OrderStatus::PendingCancel
381                | OrderStatus::PendingUpdate
382                | OrderStatus::PartiallyFilled
383        )
384    }
385
386    fn is_canceled(&self) -> bool {
387        self.status() == OrderStatus::Canceled
388    }
389
390    fn is_closed(&self) -> bool {
391        matches!(
392            self.status(),
393            OrderStatus::Denied
394                | OrderStatus::Rejected
395                | OrderStatus::Canceled
396                | OrderStatus::Expired
397                | OrderStatus::Filled
398        )
399    }
400
401    fn is_inflight(&self) -> bool {
402        if let Some(emulation_trigger) = self.emulation_trigger() {
403            if emulation_trigger != TriggerType::NoTrigger {
404                return false;
405            }
406        }
407
408        matches!(
409            self.status(),
410            OrderStatus::Submitted | OrderStatus::PendingCancel | OrderStatus::PendingUpdate
411        )
412    }
413
414    fn is_pending_update(&self) -> bool {
415        self.status() == OrderStatus::PendingUpdate
416    }
417
418    fn is_pending_cancel(&self) -> bool {
419        self.status() == OrderStatus::PendingCancel
420    }
421
422    fn is_spawned(&self) -> bool {
423        self.exec_spawn_id()
424            .is_some_and(|exec_spawn_id| exec_spawn_id != self.client_order_id())
425    }
426
427    fn to_own_book_order(&self) -> OwnBookOrder {
428        OwnBookOrder::new(
429            self.trader_id(),
430            self.client_order_id(),
431            self.venue_order_id(),
432            self.order_side().as_specified(),
433            self.price().expect("`OwnBookOrder` must have a price"), // TBD
434            self.quantity(),
435            self.order_type(),
436            self.time_in_force(),
437            self.status(),
438            self.ts_last(),
439            self.ts_submitted().unwrap_or_default(),
440            self.ts_accepted().unwrap_or_default(),
441            self.ts_init(),
442        )
443    }
444
445    fn is_triggered(&self) -> Option<bool>; // TODO: Temporary on trait
446    fn set_position_id(&mut self, position_id: Option<PositionId>);
447    fn set_quantity(&mut self, quantity: Quantity);
448    fn set_leaves_qty(&mut self, leaves_qty: Quantity);
449    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>);
450    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool);
451    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide);
452    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool;
453    fn previous_status(&self) -> Option<OrderStatus>;
454}
455
456impl<T> From<&T> for OrderInitialized
457where
458    T: Order,
459{
460    fn from(order: &T) -> Self {
461        Self {
462            trader_id: order.trader_id(),
463            strategy_id: order.strategy_id(),
464            instrument_id: order.instrument_id(),
465            client_order_id: order.client_order_id(),
466            order_side: order.order_side(),
467            order_type: order.order_type(),
468            quantity: order.quantity(),
469            price: order.price(),
470            trigger_price: order.trigger_price(),
471            trigger_type: order.trigger_type(),
472            time_in_force: order.time_in_force(),
473            expire_time: order.expire_time(),
474            post_only: order.is_post_only(),
475            reduce_only: order.is_reduce_only(),
476            quote_quantity: order.is_quote_quantity(),
477            display_qty: order.display_qty(),
478            limit_offset: order.limit_offset(),
479            trailing_offset: order.trailing_offset(),
480            trailing_offset_type: order.trailing_offset_type(),
481            emulation_trigger: order.emulation_trigger(),
482            trigger_instrument_id: order.trigger_instrument_id(),
483            contingency_type: order.contingency_type(),
484            order_list_id: order.order_list_id(),
485            linked_order_ids: order.linked_order_ids().map(|x| x.to_vec()),
486            parent_order_id: order.parent_order_id(),
487            exec_algorithm_id: order.exec_algorithm_id(),
488            exec_algorithm_params: order.exec_algorithm_params().map(|x| x.to_owned()),
489            exec_spawn_id: order.exec_spawn_id(),
490            tags: order.tags().map(|x| x.to_vec()),
491            event_id: order.init_id(),
492            ts_event: order.ts_init(),
493            ts_init: order.ts_init(),
494            reconciliation: false,
495        }
496    }
497}
498
499#[derive(Clone, Debug, Serialize, Deserialize)]
500pub struct OrderCore {
501    pub events: Vec<OrderEventAny>,
502    pub commissions: IndexMap<Currency, Money>,
503    pub venue_order_ids: Vec<VenueOrderId>,
504    pub trade_ids: Vec<TradeId>,
505    pub previous_status: Option<OrderStatus>,
506    pub status: OrderStatus,
507    pub trader_id: TraderId,
508    pub strategy_id: StrategyId,
509    pub instrument_id: InstrumentId,
510    pub client_order_id: ClientOrderId,
511    pub venue_order_id: Option<VenueOrderId>,
512    pub position_id: Option<PositionId>,
513    pub account_id: Option<AccountId>,
514    pub last_trade_id: Option<TradeId>,
515    pub side: OrderSide,
516    pub order_type: OrderType,
517    pub quantity: Quantity,
518    pub time_in_force: TimeInForce,
519    pub liquidity_side: Option<LiquiditySide>,
520    pub is_reduce_only: bool,
521    pub is_quote_quantity: bool,
522    pub emulation_trigger: Option<TriggerType>,
523    pub contingency_type: Option<ContingencyType>,
524    pub order_list_id: Option<OrderListId>,
525    pub linked_order_ids: Option<Vec<ClientOrderId>>,
526    pub parent_order_id: Option<ClientOrderId>,
527    pub exec_algorithm_id: Option<ExecAlgorithmId>,
528    pub exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
529    pub exec_spawn_id: Option<ClientOrderId>,
530    pub tags: Option<Vec<Ustr>>,
531    pub filled_qty: Quantity,
532    pub leaves_qty: Quantity,
533    pub avg_px: Option<f64>,
534    pub slippage: Option<f64>,
535    pub init_id: UUID4,
536    pub ts_init: UnixNanos,
537    pub ts_submitted: Option<UnixNanos>,
538    pub ts_accepted: Option<UnixNanos>,
539    pub ts_closed: Option<UnixNanos>,
540    pub ts_last: UnixNanos,
541}
542
543impl OrderCore {
544    /// Creates a new [`OrderCore`] instance.
545    pub fn new(init: OrderInitialized) -> Self {
546        let events: Vec<OrderEventAny> = vec![OrderEventAny::Initialized(init.clone())];
547        Self {
548            events,
549            commissions: IndexMap::new(),
550            venue_order_ids: Vec::new(),
551            trade_ids: Vec::new(),
552            previous_status: None,
553            status: OrderStatus::Initialized,
554            trader_id: init.trader_id,
555            strategy_id: init.strategy_id,
556            instrument_id: init.instrument_id,
557            client_order_id: init.client_order_id,
558            venue_order_id: None,
559            position_id: None,
560            account_id: None,
561            last_trade_id: None,
562            side: init.order_side,
563            order_type: init.order_type,
564            quantity: init.quantity,
565            time_in_force: init.time_in_force,
566            liquidity_side: Some(LiquiditySide::NoLiquiditySide),
567            is_reduce_only: init.reduce_only,
568            is_quote_quantity: init.quote_quantity,
569            emulation_trigger: init.emulation_trigger.or(Some(TriggerType::NoTrigger)),
570            contingency_type: init
571                .contingency_type
572                .or(Some(ContingencyType::NoContingency)),
573            order_list_id: init.order_list_id,
574            linked_order_ids: init.linked_order_ids,
575            parent_order_id: init.parent_order_id,
576            exec_algorithm_id: init.exec_algorithm_id,
577            exec_algorithm_params: init.exec_algorithm_params,
578            exec_spawn_id: init.exec_spawn_id,
579            tags: init.tags,
580            filled_qty: Quantity::zero(init.quantity.precision),
581            leaves_qty: init.quantity,
582            avg_px: None,
583            slippage: None,
584            init_id: init.event_id,
585            ts_init: init.ts_event,
586            ts_submitted: None,
587            ts_accepted: None,
588            ts_closed: None,
589            ts_last: init.ts_event,
590        }
591    }
592
593    /// Applies the `event` to the order.
594    ///
595    /// # Errors
596    ///
597    /// Returns an error if the event is invalid for the current order status.
598    ///
599    /// # Panics
600    ///
601    /// Panics if `event.client_order_id()` or `event.strategy_id()` does not match the order.
602    pub fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
603        assert_eq!(self.client_order_id, event.client_order_id());
604        assert_eq!(self.strategy_id, event.strategy_id());
605
606        let new_status = self.status.transition(&event)?;
607        self.previous_status = Some(self.status);
608        self.status = new_status;
609
610        match &event {
611            OrderEventAny::Initialized(_) => return Err(OrderError::AlreadyInitialized),
612            OrderEventAny::Denied(event) => self.denied(event),
613            OrderEventAny::Emulated(event) => self.emulated(event),
614            OrderEventAny::Released(event) => self.released(event),
615            OrderEventAny::Submitted(event) => self.submitted(event),
616            OrderEventAny::Rejected(event) => self.rejected(event),
617            OrderEventAny::Accepted(event) => self.accepted(event),
618            OrderEventAny::PendingUpdate(event) => self.pending_update(event),
619            OrderEventAny::PendingCancel(event) => self.pending_cancel(event),
620            OrderEventAny::ModifyRejected(event) => self.modify_rejected(event),
621            OrderEventAny::CancelRejected(event) => self.cancel_rejected(event),
622            OrderEventAny::Updated(event) => self.updated(event),
623            OrderEventAny::Triggered(event) => self.triggered(event),
624            OrderEventAny::Canceled(event) => self.canceled(event),
625            OrderEventAny::Expired(event) => self.expired(event),
626            OrderEventAny::Filled(event) => self.filled(event),
627        }
628
629        self.ts_last = event.ts_event();
630        self.events.push(event);
631        Ok(())
632    }
633
634    fn denied(&mut self, event: &OrderDenied) {
635        self.ts_closed = Some(event.ts_event);
636    }
637
638    fn emulated(&self, _event: &OrderEmulated) {
639        // Do nothing else
640    }
641
642    fn released(&mut self, _event: &OrderReleased) {
643        self.emulation_trigger = None;
644    }
645
646    fn submitted(&mut self, event: &OrderSubmitted) {
647        self.account_id = Some(event.account_id);
648        self.ts_submitted = Some(event.ts_event);
649    }
650
651    fn accepted(&mut self, event: &OrderAccepted) {
652        self.venue_order_id = Some(event.venue_order_id);
653        self.ts_accepted = Some(event.ts_event);
654    }
655
656    fn rejected(&mut self, event: &OrderRejected) {
657        self.ts_closed = Some(event.ts_event);
658    }
659
660    fn pending_update(&self, _event: &OrderPendingUpdate) {
661        // Do nothing else
662    }
663
664    fn pending_cancel(&self, _event: &OrderPendingCancel) {
665        // Do nothing else
666    }
667
668    fn modify_rejected(&mut self, _event: &OrderModifyRejected) {
669        self.status = self
670            .previous_status
671            .unwrap_or_else(|| panic!("{}", OrderError::NoPreviousState));
672    }
673
674    fn cancel_rejected(&mut self, _event: &OrderCancelRejected) {
675        self.status = self
676            .previous_status
677            .unwrap_or_else(|| panic!("{}", OrderError::NoPreviousState));
678    }
679
680    fn triggered(&mut self, _event: &OrderTriggered) {}
681
682    fn canceled(&mut self, event: &OrderCanceled) {
683        self.ts_closed = Some(event.ts_event);
684    }
685
686    fn expired(&mut self, event: &OrderExpired) {
687        self.ts_closed = Some(event.ts_event);
688    }
689
690    fn updated(&mut self, event: &OrderUpdated) {
691        if let Some(venue_order_id) = &event.venue_order_id {
692            if self.venue_order_id.is_none()
693                || venue_order_id != self.venue_order_id.as_ref().unwrap()
694            {
695                self.venue_order_id = Some(*venue_order_id);
696                self.venue_order_ids.push(*venue_order_id);
697            }
698        }
699    }
700
701    fn filled(&mut self, event: &OrderFilled) {
702        if self.filled_qty + event.last_qty < self.quantity {
703            self.status = OrderStatus::PartiallyFilled;
704        } else {
705            self.status = OrderStatus::Filled;
706            self.ts_closed = Some(event.ts_event);
707        }
708
709        self.venue_order_id = Some(event.venue_order_id);
710        self.position_id = event.position_id;
711        self.trade_ids.push(event.trade_id);
712        self.last_trade_id = Some(event.trade_id);
713        self.liquidity_side = Some(event.liquidity_side);
714        self.filled_qty += event.last_qty;
715        self.leaves_qty -= event.last_qty;
716        self.ts_last = event.ts_event;
717        if self.ts_accepted.is_none() {
718            // Set ts_accepted to time of first fill if not previously set
719            self.ts_accepted = Some(event.ts_event);
720        }
721
722        self.set_avg_px(event.last_qty, event.last_px);
723    }
724
725    fn set_avg_px(&mut self, last_qty: Quantity, last_px: Price) {
726        if self.avg_px.is_none() {
727            self.avg_px = Some(last_px.as_f64());
728        }
729
730        let filled_qty = self.filled_qty.as_f64();
731        let total_qty = filled_qty + last_qty.as_f64();
732
733        let avg_px = self
734            .avg_px
735            .unwrap()
736            .mul_add(filled_qty, last_px.as_f64() * last_qty.as_f64())
737            / total_qty;
738        self.avg_px = Some(avg_px);
739    }
740
741    pub fn set_slippage(&mut self, price: Price) {
742        self.slippage = self.avg_px.and_then(|avg_px| {
743            let current_price = price.as_f64();
744            match self.side {
745                OrderSide::Buy if avg_px > current_price => Some(avg_px - current_price),
746                OrderSide::Sell if avg_px < current_price => Some(current_price - avg_px),
747                _ => None,
748            }
749        });
750    }
751
752    /// Returns the opposite order side.
753    #[must_use]
754    pub fn opposite_side(side: OrderSide) -> OrderSide {
755        match side {
756            OrderSide::Buy => OrderSide::Sell,
757            OrderSide::Sell => OrderSide::Buy,
758            OrderSide::NoOrderSide => OrderSide::NoOrderSide,
759        }
760    }
761
762    /// Returns the order side needed to close a position.
763    #[must_use]
764    pub fn closing_side(side: PositionSide) -> OrderSide {
765        match side {
766            PositionSide::Long => OrderSide::Sell,
767            PositionSide::Short => OrderSide::Buy,
768            PositionSide::Flat => OrderSide::NoOrderSide,
769            PositionSide::NoPositionSide => OrderSide::NoOrderSide,
770        }
771    }
772
773    /// # Panics
774    ///
775    /// Panics if the order side is neither `Buy` nor `Sell`.
776    #[must_use]
777    pub fn signed_decimal_qty(&self) -> Decimal {
778        match self.side {
779            OrderSide::Buy => self.quantity.as_decimal(),
780            OrderSide::Sell => -self.quantity.as_decimal(),
781            _ => panic!("Invalid order side"),
782        }
783    }
784
785    #[must_use]
786    pub fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
787        if side == PositionSide::Flat {
788            return false;
789        }
790
791        match (self.side, side) {
792            (OrderSide::Buy, PositionSide::Long) => false,
793            (OrderSide::Buy, PositionSide::Short) => self.leaves_qty <= position_qty,
794            (OrderSide::Sell, PositionSide::Short) => false,
795            (OrderSide::Sell, PositionSide::Long) => self.leaves_qty <= position_qty,
796            _ => true,
797        }
798    }
799
800    #[must_use]
801    pub fn commission(&self, currency: &Currency) -> Option<Money> {
802        self.commissions.get(currency).copied()
803    }
804
805    #[must_use]
806    pub fn commissions(&self) -> IndexMap<Currency, Money> {
807        self.commissions.clone()
808    }
809
810    #[must_use]
811    pub fn commissions_vec(&self) -> Vec<Money> {
812        self.commissions.values().cloned().collect()
813    }
814
815    #[must_use]
816    pub fn init_event(&self) -> Option<OrderEventAny> {
817        self.events.first().cloned()
818    }
819}
820
821////////////////////////////////////////////////////////////////////////////////
822// Tests
823////////////////////////////////////////////////////////////////////////////////
824#[cfg(test)]
825mod tests {
826    use rstest::rstest;
827    use rust_decimal_macros::dec;
828
829    use super::*;
830    use crate::{
831        enums::{OrderSide, OrderStatus, PositionSide},
832        events::order::{
833            accepted::OrderAcceptedBuilder, canceled::OrderCanceledBuilder,
834            denied::OrderDeniedBuilder, filled::OrderFilledBuilder,
835            initialized::OrderInitializedBuilder, submitted::OrderSubmittedBuilder,
836        },
837        orders::MarketOrder,
838    };
839
840    // TODO: WIP
841    // fn test_display_market_order() {
842    //     let order = MarketOrder::default();
843    //     assert_eq!(order.events().len(), 1);
844    //     assert_eq!(
845    //         stringify!(order.events().get(0)),
846    //         stringify!(OrderInitialized)
847    //     );
848    // }
849
850    #[rstest]
851    #[case(OrderSide::Buy, OrderSide::Sell)]
852    #[case(OrderSide::Sell, OrderSide::Buy)]
853    #[case(OrderSide::NoOrderSide, OrderSide::NoOrderSide)]
854    fn test_order_opposite_side(#[case] order_side: OrderSide, #[case] expected_side: OrderSide) {
855        let result = OrderCore::opposite_side(order_side);
856        assert_eq!(result, expected_side);
857    }
858
859    #[rstest]
860    #[case(PositionSide::Long, OrderSide::Sell)]
861    #[case(PositionSide::Short, OrderSide::Buy)]
862    #[case(PositionSide::NoPositionSide, OrderSide::NoOrderSide)]
863    fn test_closing_side(#[case] position_side: PositionSide, #[case] expected_side: OrderSide) {
864        let result = OrderCore::closing_side(position_side);
865        assert_eq!(result, expected_side);
866    }
867
868    #[rstest]
869    #[case(OrderSide::Buy, dec!(10_000))]
870    #[case(OrderSide::Sell, dec!(-10_000))]
871    fn test_signed_decimal_qty(#[case] order_side: OrderSide, #[case] expected: Decimal) {
872        let order: MarketOrder = OrderInitializedBuilder::default()
873            .order_side(order_side)
874            .quantity(Quantity::from(10_000))
875            .build()
876            .unwrap()
877            .into();
878
879        let result = order.signed_decimal_qty();
880        assert_eq!(result, expected);
881    }
882
883    #[rustfmt::skip]
884    #[rstest]
885    #[case(OrderSide::Buy, Quantity::from(100), PositionSide::Long, Quantity::from(50), false)]
886    #[case(OrderSide::Buy, Quantity::from(50), PositionSide::Short, Quantity::from(50), true)]
887    #[case(OrderSide::Buy, Quantity::from(50), PositionSide::Short, Quantity::from(100), true)]
888    #[case(OrderSide::Buy, Quantity::from(50), PositionSide::Flat, Quantity::from(0), false)]
889    #[case(OrderSide::Sell, Quantity::from(50), PositionSide::Flat, Quantity::from(0), false)]
890    #[case(OrderSide::Sell, Quantity::from(50), PositionSide::Long, Quantity::from(50), true)]
891    #[case(OrderSide::Sell, Quantity::from(50), PositionSide::Long, Quantity::from(100), true)]
892    #[case(OrderSide::Sell, Quantity::from(100), PositionSide::Short, Quantity::from(50), false)]
893    fn test_would_reduce_only(
894        #[case] order_side: OrderSide,
895        #[case] order_qty: Quantity,
896        #[case] position_side: PositionSide,
897        #[case] position_qty: Quantity,
898        #[case] expected: bool,
899    ) {
900        let order: MarketOrder = OrderInitializedBuilder::default()
901            .order_side(order_side)
902            .quantity(order_qty)
903            .build()
904            .unwrap()
905            .into();
906
907        assert_eq!(
908            order.would_reduce_only(position_side, position_qty),
909            expected
910        );
911    }
912
913    #[rstest]
914    fn test_order_state_transition_denied() {
915        let mut order: MarketOrder = OrderInitializedBuilder::default().build().unwrap().into();
916        let denied = OrderDeniedBuilder::default().build().unwrap();
917        let event = OrderEventAny::Denied(denied);
918
919        order.apply(event.clone()).unwrap();
920
921        assert_eq!(order.status, OrderStatus::Denied);
922        assert!(order.is_closed());
923        assert!(!order.is_open());
924        assert_eq!(order.event_count(), 2);
925        assert_eq!(order.last_event(), &event);
926    }
927
928    #[rstest]
929    fn test_order_life_cycle_to_filled() {
930        let init = OrderInitializedBuilder::default().build().unwrap();
931        let submitted = OrderSubmittedBuilder::default().build().unwrap();
932        let accepted = OrderAcceptedBuilder::default().build().unwrap();
933        let filled = OrderFilledBuilder::default().build().unwrap();
934
935        let mut order: MarketOrder = init.clone().into();
936        order.apply(OrderEventAny::Submitted(submitted)).unwrap();
937        order.apply(OrderEventAny::Accepted(accepted)).unwrap();
938        order.apply(OrderEventAny::Filled(filled)).unwrap();
939
940        assert_eq!(order.client_order_id, init.client_order_id);
941        assert_eq!(order.status(), OrderStatus::Filled);
942        assert_eq!(order.filled_qty(), Quantity::from(100_000));
943        assert_eq!(order.leaves_qty(), Quantity::from(0));
944        assert_eq!(order.avg_px(), Some(1.0));
945        assert!(!order.is_open());
946        assert!(order.is_closed());
947        assert_eq!(order.commission(&Currency::USD()), None);
948        assert_eq!(order.commissions(), &IndexMap::new());
949    }
950
951    #[rstest]
952    fn test_order_state_transition_to_canceled() {
953        let mut order: MarketOrder = OrderInitializedBuilder::default().build().unwrap().into();
954        let submitted = OrderSubmittedBuilder::default().build().unwrap();
955        let canceled = OrderCanceledBuilder::default().build().unwrap();
956
957        order.apply(OrderEventAny::Submitted(submitted)).unwrap();
958        order.apply(OrderEventAny::Canceled(canceled)).unwrap();
959
960        assert_eq!(order.status(), OrderStatus::Canceled);
961        assert!(order.is_closed());
962        assert!(!order.is_open());
963    }
964
965    #[rstest]
966    fn test_order_life_cycle_to_partially_filled() {
967        let init = OrderInitializedBuilder::default().build().unwrap();
968        let submitted = OrderSubmittedBuilder::default().build().unwrap();
969        let accepted = OrderAcceptedBuilder::default().build().unwrap();
970        let filled = OrderFilledBuilder::default()
971            .last_qty(Quantity::from(50_000))
972            .build()
973            .unwrap();
974
975        let mut order: MarketOrder = init.clone().into();
976        order.apply(OrderEventAny::Submitted(submitted)).unwrap();
977        order.apply(OrderEventAny::Accepted(accepted)).unwrap();
978        order.apply(OrderEventAny::Filled(filled)).unwrap();
979
980        assert_eq!(order.client_order_id, init.client_order_id);
981        assert_eq!(order.status(), OrderStatus::PartiallyFilled);
982        assert_eq!(order.filled_qty(), Quantity::from(50_000));
983        assert_eq!(order.leaves_qty(), Quantity::from(50_000));
984        assert!(order.is_open());
985        assert!(!order.is_closed());
986    }
987
988    #[rstest]
989    fn test_order_commission_calculation() {
990        let mut order: MarketOrder = OrderInitializedBuilder::default().build().unwrap().into();
991        order
992            .commissions
993            .insert(Currency::USD(), Money::new(10.0, Currency::USD()));
994
995        assert_eq!(
996            order.commission(&Currency::USD()),
997            Some(Money::new(10.0, Currency::USD()))
998        );
999        assert_eq!(
1000            order.commissions_vec(),
1001            vec![Money::new(10.0, Currency::USD())]
1002        );
1003    }
1004
1005    #[rstest]
1006    fn test_order_is_primary() {
1007        let order: MarketOrder = OrderInitializedBuilder::default()
1008            .exec_algorithm_id(Some(ExecAlgorithmId::from("ALGO-001")))
1009            .exec_spawn_id(Some(ClientOrderId::from("O-001")))
1010            .client_order_id(ClientOrderId::from("O-001"))
1011            .build()
1012            .unwrap()
1013            .into();
1014
1015        assert!(order.is_primary());
1016        assert!(!order.is_secondary());
1017    }
1018
1019    #[rstest]
1020    fn test_order_is_secondary() {
1021        let order: MarketOrder = OrderInitializedBuilder::default()
1022            .exec_algorithm_id(Some(ExecAlgorithmId::from("ALGO-001")))
1023            .exec_spawn_id(Some(ClientOrderId::from("O-002")))
1024            .client_order_id(ClientOrderId::from("O-001"))
1025            .build()
1026            .unwrap()
1027            .into();
1028
1029        assert!(!order.is_primary());
1030        assert!(order.is_secondary());
1031    }
1032
1033    #[rstest]
1034    fn test_order_is_contingency() {
1035        let order: MarketOrder = OrderInitializedBuilder::default()
1036            .contingency_type(Some(ContingencyType::Oto))
1037            .build()
1038            .unwrap()
1039            .into();
1040
1041        assert!(order.is_contingency());
1042        assert!(order.is_parent_order());
1043        assert!(!order.is_child_order());
1044    }
1045
1046    #[rstest]
1047    fn test_order_is_child_order() {
1048        let order: MarketOrder = OrderInitializedBuilder::default()
1049            .parent_order_id(Some(ClientOrderId::from("PARENT-001")))
1050            .build()
1051            .unwrap()
1052            .into();
1053
1054        assert!(order.is_child_order());
1055        assert!(!order.is_parent_order());
1056    }
1057}
nautilus_model/orders/mod.rs

nautilus_model/orders/
mod.rs
