nautilus_model/orders/
stubs.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::{collections::HashMap, str::FromStr};
17
18use nautilus_core::{UUID4, UnixNanos};
19
20use super::any::OrderAny;
21use crate::{
22    enums::{LiquiditySide, OrderType},
23    events::{OrderAccepted, OrderEventAny, OrderFilled, OrderSubmitted},
24    identifiers::{
25        AccountId, ClientOrderId, InstrumentId, PositionId, TradeId, Venue, VenueOrderId,
26    },
27    instruments::{Instrument, InstrumentAny},
28    orders::{Order, OrderTestBuilder},
29    types::{Money, Price, Quantity},
30};
31
32// Test Event Stubs
33#[derive(Debug)]
34pub struct TestOrderEventStubs;
35
36impl TestOrderEventStubs {
37    pub fn submitted(order: &OrderAny, account_id: AccountId) -> OrderEventAny {
38        let event = OrderSubmitted::new(
39            order.trader_id(),
40            order.strategy_id(),
41            order.instrument_id(),
42            order.client_order_id(),
43            account_id,
44            UUID4::new(),
45            UnixNanos::default(),
46            UnixNanos::default(),
47        );
48        OrderEventAny::Submitted(event)
49    }
50
51    pub fn accepted(
52        order: &OrderAny,
53        account_id: AccountId,
54        venue_order_id: VenueOrderId,
55    ) -> OrderEventAny {
56        let event = OrderAccepted::new(
57            order.trader_id(),
58            order.strategy_id(),
59            order.instrument_id(),
60            order.client_order_id(),
61            venue_order_id,
62            account_id,
63            UUID4::new(),
64            UnixNanos::default(),
65            UnixNanos::default(),
66            false,
67        );
68        OrderEventAny::Accepted(event)
69    }
70
71    /// # Panics
72    ///
73    /// Panics if parsing the fallback price string fails or unwrapping default values fails.
74    #[allow(clippy::too_many_arguments)]
75    pub fn filled(
76        order: &OrderAny,
77        instrument: &InstrumentAny,
78        trade_id: Option<TradeId>,
79        position_id: Option<PositionId>,
80        last_px: Option<Price>,
81        last_qty: Option<Quantity>,
82        liquidity_side: Option<LiquiditySide>,
83        commission: Option<Money>,
84        ts_filled_ns: Option<UnixNanos>,
85        account_id: Option<AccountId>,
86    ) -> OrderEventAny {
87        let venue_order_id = order.venue_order_id().unwrap_or_default();
88        let account_id = account_id
89            .or(order.account_id())
90            .unwrap_or(AccountId::from("SIM-001"));
91        let trade_id = trade_id.unwrap_or(TradeId::new(
92            order.client_order_id().as_str().replace('O', "E").as_str(),
93        ));
94        let liquidity_side = liquidity_side.unwrap_or(LiquiditySide::Maker);
95        let event = UUID4::new();
96        let position_id = position_id
97            .or_else(|| order.position_id())
98            .unwrap_or(PositionId::new("1"));
99        let commission = commission.unwrap_or(Money::from("2 USD"));
100        let last_px = last_px.unwrap_or(Price::from_str("1.0").unwrap());
101        let last_qty = last_qty.unwrap_or(order.quantity());
102        let event = OrderFilled::new(
103            order.trader_id(),
104            order.strategy_id(),
105            instrument.id(),
106            order.client_order_id(),
107            venue_order_id,
108            account_id,
109            trade_id,
110            order.order_side(),
111            order.order_type(),
112            last_qty,
113            last_px,
114            instrument.quote_currency(),
115            liquidity_side,
116            event,
117            ts_filled_ns.unwrap_or_default(),
118            UnixNanos::default(),
119            false,
120            Some(position_id),
121            Some(commission),
122        );
123        OrderEventAny::Filled(event)
124    }
125}
126
127#[derive(Debug)]
128pub struct TestOrderStubs;
129
130impl TestOrderStubs {
131    /// # Panics
132    ///
133    /// Panics if applying the accepted event via `new_order.apply(...)` fails.
134    pub fn make_accepted_order(order: &OrderAny) -> OrderAny {
135        let mut new_order = order.clone();
136        let accepted_event = TestOrderEventStubs::accepted(
137            &new_order,
138            AccountId::from("SIM-001"),
139            VenueOrderId::from("V-001"),
140        );
141        new_order.apply(accepted_event).unwrap();
142        new_order
143    }
144
145    /// # Panics
146    ///
147    /// Panics if applying the filled event via `accepted_order.apply(...)` fails.
148    pub fn make_filled_order(
149        order: &OrderAny,
150        instrument: &InstrumentAny,
151        liquidity_side: LiquiditySide,
152    ) -> OrderAny {
153        let mut accepted_order = TestOrderStubs::make_accepted_order(order);
154        let fill = TestOrderEventStubs::filled(
155            &accepted_order,
156            instrument,
157            None,
158            None,
159            None,
160            None,
161            Some(liquidity_side),
162            None,
163            None,
164            None,
165        );
166        accepted_order.apply(fill).unwrap();
167        accepted_order
168    }
169}
170
171#[derive(Debug)]
172pub struct TestOrdersGenerator {
173    order_type: OrderType,
174    venue_instruments: HashMap<Venue, u32>,
175    orders_per_instrument: u32,
176}
177
178impl TestOrdersGenerator {
179    pub fn new(order_type: OrderType) -> Self {
180        Self {
181            order_type,
182            venue_instruments: HashMap::new(),
183            orders_per_instrument: 5,
184        }
185    }
186
187    pub fn set_orders_per_instrument(&mut self, total_orders: u32) {
188        self.orders_per_instrument = total_orders;
189    }
190
191    pub fn add_venue_and_total_instruments(&mut self, venue: Venue, total_instruments: u32) {
192        self.venue_instruments.insert(venue, total_instruments);
193    }
194
195    fn generate_order(&self, instrument_id: InstrumentId, client_order_id_index: u32) -> OrderAny {
196        let client_order_id =
197            ClientOrderId::from(format!("O-{}-{}", instrument_id, client_order_id_index));
198        OrderTestBuilder::new(self.order_type)
199            .quantity(Quantity::from("1"))
200            .price(Price::from("1"))
201            .instrument_id(instrument_id)
202            .client_order_id(client_order_id)
203            .build()
204    }
205
206    pub fn build(&self) -> Vec<OrderAny> {
207        let mut orders = Vec::new();
208        for (venue, total_instruments) in self.venue_instruments.iter() {
209            for i in 0..*total_instruments {
210                let instrument_id = InstrumentId::from(format!("SYMBOL-{}.{}", i, venue));
211                for order_index in 0..self.orders_per_instrument {
212                    let order = self.generate_order(instrument_id, order_index);
213                    orders.push(order);
214                }
215            }
216        }
217        orders
218    }
219}
220
221pub fn create_order_list_sample(
222    total_venues: u8,
223    total_instruments: u32,
224    orders_per_instrument: u32,
225) -> Vec<OrderAny> {
226    // Create Limit orders list from order generator with spec:
227    // x venues * x instruments * x orders per instrument
228    let mut order_generator = TestOrdersGenerator::new(OrderType::Limit);
229    for i in 0..total_venues {
230        let venue = Venue::from(format!("VENUE-{}", i));
231        order_generator.add_venue_and_total_instruments(venue, total_instruments);
232    }
233    order_generator.set_orders_per_instrument(orders_per_instrument);
234
235    order_generator.build()
236}
nautilus_model/orders/stubs.rs

nautilus_model/orders/
stubs.rs
