nautilus_model/orders/
limit.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::{
17    fmt::Display,
18    ops::{Deref, DerefMut},
19};
20
21use indexmap::IndexMap;
22use nautilus_core::{UUID4, UnixNanos, correctness::FAILED};
23use rust_decimal::Decimal;
24use serde::{Deserialize, Serialize};
25use ustr::Ustr;
26
27use super::{Order, OrderAny, OrderCore, check_display_qty, check_time_in_force};
28use crate::{
29    enums::{
30        ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSide,
31        TimeInForce, TrailingOffsetType, TriggerType,
32    },
33    events::{OrderEventAny, OrderInitialized, OrderUpdated},
34    identifiers::{
35        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
36        StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
37    },
38    orders::OrderError,
39    types::{Currency, Money, Price, Quantity, quantity::check_positive_quantity},
40};
41
42#[derive(Clone, Debug, Serialize, Deserialize)]
43#[cfg_attr(
44    feature = "python",
45    pyo3::pyclass(module = "posei_trader.core.nautilus_pyo3.model")
46)]
47pub struct LimitOrder {
48    core: OrderCore,
49    pub price: Price,
50    pub expire_time: Option<UnixNanos>,
51    pub is_post_only: bool,
52    pub display_qty: Option<Quantity>,
53    pub trigger_instrument_id: Option<InstrumentId>,
54}
55
56impl LimitOrder {
57    /// Creates a new [`LimitOrder`] instance.
58    ///
59    /// # Errors
60    ///
61    /// Returns an error if:
62    /// - The `quantity` is not positive.
63    /// - The `display_qty` (when provided) exceeds `quantity`.
64    /// - The `time_in_force` is GTD and the `expire_time` is `None` or zero.
65    #[allow(clippy::too_many_arguments)]
66    pub fn new_checked(
67        trader_id: TraderId,
68        strategy_id: StrategyId,
69        instrument_id: InstrumentId,
70        client_order_id: ClientOrderId,
71        order_side: OrderSide,
72        quantity: Quantity,
73        price: Price,
74        time_in_force: TimeInForce,
75        expire_time: Option<UnixNanos>,
76        post_only: bool,
77        reduce_only: bool,
78        quote_quantity: bool,
79        display_qty: Option<Quantity>,
80        emulation_trigger: Option<TriggerType>,
81        trigger_instrument_id: Option<InstrumentId>,
82        contingency_type: Option<ContingencyType>,
83        order_list_id: Option<OrderListId>,
84        linked_order_ids: Option<Vec<ClientOrderId>>,
85        parent_order_id: Option<ClientOrderId>,
86        exec_algorithm_id: Option<ExecAlgorithmId>,
87        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
88        exec_spawn_id: Option<ClientOrderId>,
89        tags: Option<Vec<Ustr>>,
90        init_id: UUID4,
91        ts_init: UnixNanos,
92    ) -> anyhow::Result<Self> {
93        check_positive_quantity(quantity, stringify!(quantity))?;
94        check_display_qty(display_qty, quantity)?;
95        check_time_in_force(time_in_force, expire_time)?;
96
97        let init_order = OrderInitialized::new(
98            trader_id,
99            strategy_id,
100            instrument_id,
101            client_order_id,
102            order_side,
103            OrderType::Limit,
104            quantity,
105            time_in_force,
106            post_only,
107            reduce_only,
108            quote_quantity,
109            false,
110            init_id,
111            ts_init, // ts_event timestamp identical to ts_init
112            ts_init,
113            Some(price),
114            None,
115            None,
116            None,
117            None,
118            None,
119            expire_time,
120            display_qty,
121            emulation_trigger,
122            trigger_instrument_id,
123            contingency_type,
124            order_list_id,
125            linked_order_ids,
126            parent_order_id,
127            exec_algorithm_id,
128            exec_algorithm_params,
129            exec_spawn_id,
130            tags,
131        );
132
133        Ok(Self {
134            core: OrderCore::new(init_order),
135            price,
136            expire_time: expire_time.or(Some(UnixNanos::default())),
137            is_post_only: post_only,
138            display_qty,
139            trigger_instrument_id,
140        })
141    }
142
143    /// Creates a new [`LimitOrder`] instance.
144    ///
145    /// # Panics
146    ///
147    /// Panics if any order validation fails (see [`LimitOrder::new_checked`]).
148    #[allow(clippy::too_many_arguments)]
149    pub fn new(
150        trader_id: TraderId,
151        strategy_id: StrategyId,
152        instrument_id: InstrumentId,
153        client_order_id: ClientOrderId,
154        order_side: OrderSide,
155        quantity: Quantity,
156        price: Price,
157        time_in_force: TimeInForce,
158        expire_time: Option<UnixNanos>,
159        post_only: bool,
160        reduce_only: bool,
161        quote_quantity: bool,
162        display_qty: Option<Quantity>,
163        emulation_trigger: Option<TriggerType>,
164        trigger_instrument_id: Option<InstrumentId>,
165        contingency_type: Option<ContingencyType>,
166        order_list_id: Option<OrderListId>,
167        linked_order_ids: Option<Vec<ClientOrderId>>,
168        parent_order_id: Option<ClientOrderId>,
169        exec_algorithm_id: Option<ExecAlgorithmId>,
170        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
171        exec_spawn_id: Option<ClientOrderId>,
172        tags: Option<Vec<Ustr>>,
173        init_id: UUID4,
174        ts_init: UnixNanos,
175    ) -> Self {
176        Self::new_checked(
177            trader_id,
178            strategy_id,
179            instrument_id,
180            client_order_id,
181            order_side,
182            quantity,
183            price,
184            time_in_force,
185            expire_time,
186            post_only,
187            reduce_only,
188            quote_quantity,
189            display_qty,
190            emulation_trigger,
191            trigger_instrument_id,
192            contingency_type,
193            order_list_id,
194            linked_order_ids,
195            parent_order_id,
196            exec_algorithm_id,
197            exec_algorithm_params,
198            exec_spawn_id,
199            tags,
200            init_id,
201            ts_init,
202        )
203        .expect(FAILED)
204    }
205}
206
207impl Deref for LimitOrder {
208    type Target = OrderCore;
209
210    fn deref(&self) -> &Self::Target {
211        &self.core
212    }
213}
214
215impl DerefMut for LimitOrder {
216    fn deref_mut(&mut self) -> &mut Self::Target {
217        &mut self.core
218    }
219}
220
221impl PartialEq for LimitOrder {
222    fn eq(&self, other: &Self) -> bool {
223        self.client_order_id == other.client_order_id
224    }
225}
226
227impl Order for LimitOrder {
228    fn into_any(self) -> OrderAny {
229        OrderAny::Limit(self)
230    }
231
232    fn status(&self) -> OrderStatus {
233        self.status
234    }
235
236    fn trader_id(&self) -> TraderId {
237        self.trader_id
238    }
239
240    fn strategy_id(&self) -> StrategyId {
241        self.strategy_id
242    }
243
244    fn instrument_id(&self) -> InstrumentId {
245        self.instrument_id
246    }
247
248    fn symbol(&self) -> Symbol {
249        self.instrument_id.symbol
250    }
251
252    fn venue(&self) -> Venue {
253        self.instrument_id.venue
254    }
255
256    fn client_order_id(&self) -> ClientOrderId {
257        self.client_order_id
258    }
259
260    fn venue_order_id(&self) -> Option<VenueOrderId> {
261        self.venue_order_id
262    }
263
264    fn position_id(&self) -> Option<PositionId> {
265        self.position_id
266    }
267
268    fn account_id(&self) -> Option<AccountId> {
269        self.account_id
270    }
271
272    fn last_trade_id(&self) -> Option<TradeId> {
273        self.last_trade_id
274    }
275
276    fn order_side(&self) -> OrderSide {
277        self.side
278    }
279
280    fn order_type(&self) -> OrderType {
281        self.order_type
282    }
283
284    fn quantity(&self) -> Quantity {
285        self.quantity
286    }
287
288    fn time_in_force(&self) -> TimeInForce {
289        self.time_in_force
290    }
291
292    fn expire_time(&self) -> Option<UnixNanos> {
293        self.expire_time
294    }
295
296    fn price(&self) -> Option<Price> {
297        Some(self.price)
298    }
299
300    fn trigger_price(&self) -> Option<Price> {
301        None
302    }
303
304    fn trigger_type(&self) -> Option<TriggerType> {
305        None
306    }
307
308    fn liquidity_side(&self) -> Option<LiquiditySide> {
309        self.liquidity_side
310    }
311
312    fn is_post_only(&self) -> bool {
313        self.is_post_only
314    }
315
316    fn is_reduce_only(&self) -> bool {
317        self.is_reduce_only
318    }
319
320    fn is_quote_quantity(&self) -> bool {
321        self.is_quote_quantity
322    }
323
324    fn has_price(&self) -> bool {
325        true
326    }
327
328    fn display_qty(&self) -> Option<Quantity> {
329        self.display_qty
330    }
331
332    fn limit_offset(&self) -> Option<Decimal> {
333        None
334    }
335
336    fn trailing_offset(&self) -> Option<Decimal> {
337        None
338    }
339
340    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
341        None
342    }
343
344    fn emulation_trigger(&self) -> Option<TriggerType> {
345        self.emulation_trigger
346    }
347
348    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
349        self.trigger_instrument_id
350    }
351
352    fn contingency_type(&self) -> Option<ContingencyType> {
353        self.contingency_type
354    }
355
356    fn order_list_id(&self) -> Option<OrderListId> {
357        self.order_list_id
358    }
359
360    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
361        self.linked_order_ids.as_deref()
362    }
363
364    fn parent_order_id(&self) -> Option<ClientOrderId> {
365        self.parent_order_id
366    }
367
368    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
369        self.exec_algorithm_id
370    }
371
372    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
373        self.exec_algorithm_params.as_ref()
374    }
375
376    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
377        self.exec_spawn_id
378    }
379
380    fn tags(&self) -> Option<&[Ustr]> {
381        self.tags.as_deref()
382    }
383
384    fn filled_qty(&self) -> Quantity {
385        self.filled_qty
386    }
387
388    fn leaves_qty(&self) -> Quantity {
389        self.leaves_qty
390    }
391
392    fn avg_px(&self) -> Option<f64> {
393        self.avg_px
394    }
395
396    fn slippage(&self) -> Option<f64> {
397        self.slippage
398    }
399
400    fn init_id(&self) -> UUID4 {
401        self.init_id
402    }
403
404    fn ts_init(&self) -> UnixNanos {
405        self.ts_init
406    }
407
408    fn ts_submitted(&self) -> Option<UnixNanos> {
409        self.ts_submitted
410    }
411
412    fn ts_accepted(&self) -> Option<UnixNanos> {
413        self.ts_accepted
414    }
415
416    fn ts_closed(&self) -> Option<UnixNanos> {
417        self.ts_closed
418    }
419
420    fn ts_last(&self) -> UnixNanos {
421        self.ts_last
422    }
423
424    fn events(&self) -> Vec<&OrderEventAny> {
425        self.events.iter().collect()
426    }
427
428    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
429        self.venue_order_ids.iter().collect()
430    }
431
432    fn trade_ids(&self) -> Vec<&TradeId> {
433        self.trade_ids.iter().collect()
434    }
435
436    fn commissions(&self) -> &IndexMap<Currency, Money> {
437        &self.commissions
438    }
439
440    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
441        if let OrderEventAny::Updated(ref event) = event {
442            self.update(event);
443        };
444        let is_order_filled = matches!(event, OrderEventAny::Filled(_));
445
446        self.core.apply(event)?;
447
448        if is_order_filled {
449            self.core.set_slippage(self.price);
450        };
451
452        Ok(())
453    }
454
455    fn update(&mut self, event: &OrderUpdated) {
456        assert!(
457            event.trigger_price.is_none(),
458            "{}",
459            OrderError::InvalidOrderEvent
460        );
461
462        if let Some(price) = event.price {
463            self.price = price;
464        }
465
466        self.quantity = event.quantity;
467        self.leaves_qty = self.quantity - self.filled_qty;
468    }
469
470    fn is_triggered(&self) -> Option<bool> {
471        None
472    }
473
474    fn set_position_id(&mut self, position_id: Option<PositionId>) {
475        self.position_id = position_id;
476    }
477
478    fn set_quantity(&mut self, quantity: Quantity) {
479        self.quantity = quantity;
480    }
481
482    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
483        self.leaves_qty = leaves_qty;
484    }
485
486    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
487        self.emulation_trigger = emulation_trigger;
488    }
489
490    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
491        self.is_quote_quantity = is_quote_quantity;
492    }
493
494    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
495        self.liquidity_side = Some(liquidity_side)
496    }
497
498    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
499        self.core.would_reduce_only(side, position_qty)
500    }
501
502    fn previous_status(&self) -> Option<OrderStatus> {
503        self.core.previous_status
504    }
505}
506
507impl Display for LimitOrder {
508    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
509        write!(
510            f,
511            "LimitOrder(\
512            {} {} {} {} @ {} {}, \
513            status={}, \
514            client_order_id={}, \
515            venue_order_id={}, \
516            position_id={}, \
517            exec_algorithm_id={}, \
518            exec_spawn_id={}, \
519            tags={:?}\
520            )",
521            self.side,
522            self.quantity.to_formatted_string(),
523            self.instrument_id,
524            self.order_type,
525            self.price,
526            self.time_in_force,
527            self.status,
528            self.client_order_id,
529            self.venue_order_id.map_or_else(
530                || "None".to_string(),
531                |venue_order_id| format!("{venue_order_id}")
532            ),
533            self.position_id.map_or_else(
534                || "None".to_string(),
535                |position_id| format!("{position_id}")
536            ),
537            self.exec_algorithm_id
538                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
539            self.exec_spawn_id
540                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
541            self.tags
542        )
543    }
544}
545
546impl From<OrderInitialized> for LimitOrder {
547    fn from(event: OrderInitialized) -> Self {
548        Self::new(
549            event.trader_id,
550            event.strategy_id,
551            event.instrument_id,
552            event.client_order_id,
553            event.order_side,
554            event.quantity,
555            event
556                .price // TODO: Improve this error, model order domain errors
557                .expect("Error initializing order: `price` was `None` for `LimitOrder"),
558            event.time_in_force,
559            event.expire_time,
560            event.post_only,
561            event.reduce_only,
562            event.quote_quantity,
563            event.display_qty,
564            event.emulation_trigger,
565            event.trigger_instrument_id,
566            event.contingency_type,
567            event.order_list_id,
568            event.linked_order_ids,
569            event.parent_order_id,
570            event.exec_algorithm_id,
571            event.exec_algorithm_params,
572            event.exec_spawn_id,
573            event.tags,
574            event.event_id,
575            event.ts_event,
576        )
577    }
578}
579
580////////////////////////////////////////////////////////////////////////////////
581// Tests
582////////////////////////////////////////////////////////////////////////////////
583#[cfg(test)]
584mod tests {
585    use nautilus_core::UnixNanos;
586    use rstest::rstest;
587
588    use crate::{
589        enums::{OrderSide, OrderType, TimeInForce},
590        events::{OrderEventAny, OrderUpdated},
591        identifiers::InstrumentId,
592        instruments::{CurrencyPair, stubs::*},
593        orders::{Order, OrderTestBuilder, stubs::TestOrderStubs},
594        types::{Price, Quantity},
595    };
596
597    #[rstest]
598    fn test_initialize(_audusd_sim: CurrencyPair) {
599        let order = OrderTestBuilder::new(OrderType::Limit)
600            .instrument_id(_audusd_sim.id)
601            .side(OrderSide::Buy)
602            .price(Price::from("0.68000"))
603            .quantity(Quantity::from(1))
604            .build();
605
606        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
607
608        assert_eq!(order.filled_qty(), Quantity::from(0));
609        assert_eq!(order.leaves_qty(), Quantity::from(1));
610
611        assert_eq!(order.display_qty(), None);
612        assert_eq!(order.trigger_instrument_id(), None);
613        assert_eq!(order.order_list_id(), None);
614    }
615
616    #[rstest]
617    fn test_display(audusd_sim: CurrencyPair) {
618        let order = OrderTestBuilder::new(OrderType::Limit)
619            .instrument_id(audusd_sim.id)
620            .side(OrderSide::Buy)
621            .price(Price::from("1.00000"))
622            .quantity(Quantity::from(100_000))
623            .build();
624
625        assert_eq!(
626            order.to_string(),
627            "LimitOrder(BUY 100_000 AUD/USD.SIM LIMIT @ 1.00000 GTC, \
628            status=INITIALIZED, client_order_id=O-19700101-000000-001-001-1, \
629            venue_order_id=None, position_id=None, exec_algorithm_id=None, \
630            exec_spawn_id=None, tags=None)"
631        );
632    }
633
634    #[rstest]
635    #[should_panic(
636        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
637    )]
638    fn test_positive_quantity_condition(audusd_sim: CurrencyPair) {
639        let _ = OrderTestBuilder::new(OrderType::Limit)
640            .instrument_id(audusd_sim.id)
641            .side(OrderSide::Buy)
642            .price(Price::from("0.8"))
643            .quantity(Quantity::from(0))
644            .build();
645    }
646
647    #[rstest]
648    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
649    fn test_correct_expiration_with_time_in_force_gtd(audusd_sim: CurrencyPair) {
650        let _ = OrderTestBuilder::new(OrderType::Limit)
651            .instrument_id(audusd_sim.id)
652            .side(OrderSide::Buy)
653            .price(Price::from("0.8"))
654            .quantity(Quantity::from(1))
655            .time_in_force(TimeInForce::Gtd)
656            .build();
657    }
658
659    #[test]
660    fn test_limit_order_creation() {
661        let order = OrderTestBuilder::new(OrderType::Limit)
662            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
663            .quantity(Quantity::from(10))
664            .price(Price::new(100.0, 2))
665            .side(OrderSide::Buy)
666            .time_in_force(TimeInForce::Gtc)
667            .build();
668
669        assert_eq!(order.price(), Some(Price::new(100.0, 2)));
670        assert_eq!(order.quantity(), Quantity::from(10));
671        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
672        assert_eq!(order.order_side(), OrderSide::Buy);
673    }
674
675    #[test]
676    fn test_limit_order_with_expire_time() {
677        let expire_time = UnixNanos::from(1_700_000_000_000_000);
678        let order = OrderTestBuilder::new(OrderType::Limit)
679            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
680            .quantity(Quantity::from(10))
681            .price(Price::new(100.0, 2))
682            .time_in_force(TimeInForce::Gtd)
683            .expire_time(expire_time)
684            .build();
685
686        assert_eq!(order.expire_time(), Some(expire_time));
687        assert_eq!(order.time_in_force(), TimeInForce::Gtd);
688    }
689
690    #[test]
691    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
692    fn test_limit_order_missing_expire_time() {
693        let _ = OrderTestBuilder::new(OrderType::Limit)
694            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
695            .quantity(Quantity::from(10))
696            .price(Price::new(100.0, 2))
697            .time_in_force(TimeInForce::Gtd)
698            .build();
699    }
700
701    #[test]
702    fn test_limit_order_post_only() {
703        let order = OrderTestBuilder::new(OrderType::Limit)
704            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
705            .quantity(Quantity::from(10))
706            .price(Price::new(100.0, 2))
707            .post_only(true)
708            .build();
709
710        assert!(order.is_post_only());
711    }
712
713    #[test]
714    fn test_limit_order_display_quantity() {
715        let display_qty = Quantity::from(5);
716        let order = OrderTestBuilder::new(OrderType::Limit)
717            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
718            .quantity(Quantity::from(10))
719            .price(Price::new(100.0, 2))
720            .display_qty(display_qty)
721            .build();
722
723        assert_eq!(order.display_qty(), Some(display_qty));
724    }
725
726    #[test]
727    fn test_limit_order_update() {
728        let order = OrderTestBuilder::new(OrderType::Limit)
729            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
730            .quantity(Quantity::from(10))
731            .price(Price::new(100.0, 2))
732            .build();
733
734        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
735
736        let updated_price = Price::new(105.0, 2);
737        let updated_quantity = Quantity::from(5);
738
739        let event = OrderUpdated {
740            client_order_id: accepted_order.client_order_id(),
741            strategy_id: accepted_order.strategy_id(),
742            price: Some(updated_price),
743            quantity: updated_quantity,
744            ..Default::default()
745        };
746
747        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
748
749        assert_eq!(accepted_order.quantity(), updated_quantity);
750        assert_eq!(accepted_order.price(), Some(updated_price));
751    }
752
753    #[test]
754    fn test_limit_order_expire_time() {
755        let expire_time = UnixNanos::from(1_700_000_000_000_000);
756        let order = OrderTestBuilder::new(OrderType::Limit)
757            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
758            .quantity(Quantity::from(10))
759            .price(Price::new(100.0, 2))
760            .time_in_force(TimeInForce::Gtd)
761            .expire_time(expire_time)
762            .build();
763
764        assert_eq!(order.expire_time(), Some(expire_time));
765    }
766}
nautilus_model/orders/limit.rs

nautilus_model/orders/
limit.rs
