nautilus_model/reports/
order.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::{UUID4, UnixNanos};
19use rust_decimal::Decimal;
20use serde::{Deserialize, Serialize};
21
22use crate::{
23    enums::{
24        ContingencyType, OrderSide, OrderStatus, OrderType, TimeInForce, TrailingOffsetType,
25        TriggerType,
26    },
27    identifiers::{AccountId, ClientOrderId, InstrumentId, OrderListId, PositionId, VenueOrderId},
28    types::{Price, Quantity},
29};
30
31/// Represents an order status at a point in time.
32#[derive(Clone, Debug, PartialEq, Serialize, Deserialize)]
33#[serde(tag = "type")]
34#[cfg_attr(
35    feature = "python",
36    pyo3::pyclass(module = "posei_trader.core.nautilus_pyo3.model")
37)]
38pub struct OrderStatusReport {
39    /// The account ID associated with the position.
40    pub account_id: AccountId,
41    /// The instrument ID associated with the event.
42    pub instrument_id: InstrumentId,
43    /// The client order ID.
44    pub client_order_id: Option<ClientOrderId>,
45    /// The venue assigned order ID.
46    pub venue_order_id: VenueOrderId,
47    /// The order side.
48    pub order_side: OrderSide,
49    /// The order type.
50    pub order_type: OrderType,
51    /// The order time in force.
52    pub time_in_force: TimeInForce,
53    /// The order status.
54    pub order_status: OrderStatus,
55    /// The order quantity.
56    pub quantity: Quantity,
57    /// The order total filled quantity.
58    pub filled_qty: Quantity,
59    /// The unique identifier for the event.
60    pub report_id: UUID4,
61    /// UNIX timestamp (nanoseconds) when the order was accepted.
62    pub ts_accepted: UnixNanos,
63    /// UNIX timestamp (nanoseconds) when the last event occurred.
64    pub ts_last: UnixNanos,
65    /// UNIX timestamp (nanoseconds) when the event was initialized.
66    pub ts_init: UnixNanos,
67    /// The order list ID associated with the order.
68    pub order_list_id: Option<OrderListId>,
69    /// The position ID associated with the order (assigned by the venue).
70    pub venue_position_id: Option<PositionId>,
71    /// The orders contingency type.
72    pub contingency_type: ContingencyType,
73    /// The order expiration (UNIX epoch nanoseconds), zero for no expiration.
74    pub expire_time: Option<UnixNanos>,
75    /// The order price (LIMIT).
76    pub price: Option<Price>,
77    /// The order trigger price (STOP).
78    pub trigger_price: Option<Price>,
79    /// The trigger type for the order.
80    pub trigger_type: Option<TriggerType>,
81    /// The trailing offset for the orders limit price.
82    pub limit_offset: Option<Decimal>,
83    /// The trailing offset for the orders trigger price (STOP).
84    pub trailing_offset: Option<Decimal>,
85    /// The trailing offset type.
86    pub trailing_offset_type: TrailingOffsetType,
87    /// The order average fill price.
88    pub avg_px: Option<f64>,
89    /// The quantity of the `LIMIT` order to display on the public book (iceberg).
90    pub display_qty: Option<Quantity>,
91    /// If the order will only provide liquidity (make a market).
92    pub post_only: bool,
93    /// If the order carries the 'reduce-only' execution instruction.
94    pub reduce_only: bool,
95    /// The reason for order cancellation.
96    pub cancel_reason: Option<String>,
97    /// UNIX timestamp (nanoseconds) when the order was triggered.
98    pub ts_triggered: Option<UnixNanos>,
99}
100
101impl OrderStatusReport {
102    /// Creates a new [`OrderStatusReport`] instance with required fields.
103    #[allow(clippy::too_many_arguments)]
104    #[must_use]
105    pub fn new(
106        account_id: AccountId,
107        instrument_id: InstrumentId,
108        client_order_id: Option<ClientOrderId>,
109        venue_order_id: VenueOrderId,
110        order_side: OrderSide,
111        order_type: OrderType,
112        time_in_force: TimeInForce,
113        order_status: OrderStatus,
114        quantity: Quantity,
115        filled_qty: Quantity,
116        ts_accepted: UnixNanos,
117        ts_last: UnixNanos,
118        ts_init: UnixNanos,
119        report_id: Option<UUID4>,
120    ) -> Self {
121        Self {
122            account_id,
123            instrument_id,
124            client_order_id,
125            venue_order_id,
126            order_side,
127            order_type,
128            time_in_force,
129            order_status,
130            quantity,
131            filled_qty,
132            report_id: report_id.unwrap_or_default(),
133            ts_accepted,
134            ts_last,
135            ts_init,
136            order_list_id: None,
137            venue_position_id: None,
138            contingency_type: ContingencyType::default(),
139            expire_time: None,
140            price: None,
141            trigger_price: None,
142            trigger_type: None,
143            limit_offset: None,
144            trailing_offset: None,
145            trailing_offset_type: TrailingOffsetType::default(),
146            avg_px: None,
147            display_qty: None,
148            post_only: false,
149            reduce_only: false,
150            cancel_reason: None,
151            ts_triggered: None,
152        }
153    }
154
155    /// Sets the client order ID.
156    #[must_use]
157    pub const fn with_client_order_id(mut self, client_order_id: ClientOrderId) -> Self {
158        self.client_order_id = Some(client_order_id);
159        self
160    }
161
162    /// Sets the order list ID.
163    #[must_use]
164    pub const fn with_order_list_id(mut self, order_list_id: OrderListId) -> Self {
165        self.order_list_id = Some(order_list_id);
166        self
167    }
168
169    /// Sets the venue position ID.
170    #[must_use]
171    pub const fn with_venue_position_id(mut self, venue_position_id: PositionId) -> Self {
172        self.venue_position_id = Some(venue_position_id);
173        self
174    }
175
176    /// Sets the price.
177    #[must_use]
178    pub const fn with_price(mut self, price: Price) -> Self {
179        self.price = Some(price);
180        self
181    }
182
183    /// Sets the average price.
184    #[must_use]
185    pub const fn with_avg_px(mut self, avg_px: f64) -> Self {
186        self.avg_px = Some(avg_px);
187        self
188    }
189
190    /// Sets the trigger price.
191    #[must_use]
192    pub const fn with_trigger_price(mut self, trigger_price: Price) -> Self {
193        self.trigger_price = Some(trigger_price);
194        self
195    }
196
197    /// Sets the trigger type.
198    #[must_use]
199    pub const fn with_trigger_type(mut self, trigger_type: TriggerType) -> Self {
200        self.trigger_type = Some(trigger_type);
201        self
202    }
203
204    /// Sets the limit offset.
205    #[must_use]
206    pub const fn with_limit_offset(mut self, limit_offset: Decimal) -> Self {
207        self.limit_offset = Some(limit_offset);
208        self
209    }
210
211    /// Sets the trailing offset.
212    #[must_use]
213    pub const fn with_trailing_offset(mut self, trailing_offset: Decimal) -> Self {
214        self.trailing_offset = Some(trailing_offset);
215        self
216    }
217
218    /// Sets the trailing offset type.
219    #[must_use]
220    pub const fn with_trailing_offset_type(
221        mut self,
222        trailing_offset_type: TrailingOffsetType,
223    ) -> Self {
224        self.trailing_offset_type = trailing_offset_type;
225        self
226    }
227
228    /// Sets the display quantity.
229    #[must_use]
230    pub const fn with_display_qty(mut self, display_qty: Quantity) -> Self {
231        self.display_qty = Some(display_qty);
232        self
233    }
234
235    /// Sets the expire time.
236    #[must_use]
237    pub const fn with_expire_time(mut self, expire_time: UnixNanos) -> Self {
238        self.expire_time = Some(expire_time);
239        self
240    }
241
242    /// Sets `post_only` flag.
243    #[must_use]
244    pub const fn with_post_only(mut self, post_only: bool) -> Self {
245        self.post_only = post_only;
246        self
247    }
248
249    /// Sets `reduce_only` flag.
250    #[must_use]
251    pub const fn with_reduce_only(mut self, reduce_only: bool) -> Self {
252        self.reduce_only = reduce_only;
253        self
254    }
255
256    /// Sets cancel reason.
257    #[must_use]
258    pub fn with_cancel_reason(mut self, cancel_reason: String) -> Self {
259        self.cancel_reason = Some(cancel_reason);
260        self
261    }
262
263    /// Sets the triggered timestamp.
264    #[must_use]
265    pub const fn with_ts_triggered(mut self, ts_triggered: UnixNanos) -> Self {
266        self.ts_triggered = Some(ts_triggered);
267        self
268    }
269
270    /// Sets the contingency type.
271    #[must_use]
272    pub const fn with_contingency_type(mut self, contingency_type: ContingencyType) -> Self {
273        self.contingency_type = contingency_type;
274        self
275    }
276}
277
278impl Display for OrderStatusReport {
279    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
280        write!(
281            f,
282            "OrderStatusReport(\
283                account_id={}, \
284                instrument_id={}, \
285                venue_order_id={}, \
286                order_side={}, \
287                order_type={}, \
288                time_in_force={}, \
289                order_status={}, \
290                quantity={}, \
291                filled_qty={}, \
292                report_id={}, \
293                ts_accepted={}, \
294                ts_last={}, \
295                ts_init={}, \
296                client_order_id={:?}, \
297                order_list_id={:?}, \
298                venue_position_id={:?}, \
299                contingency_type={}, \
300                expire_time={:?}, \
301                price={:?}, \
302                trigger_price={:?}, \
303                trigger_type={:?}, \
304                limit_offset={:?}, \
305                trailing_offset={:?}, \
306                trailing_offset_type={}, \
307                avg_px={:?}, \
308                display_qty={:?}, \
309                post_only={}, \
310                reduce_only={}, \
311                cancel_reason={:?}, \
312                ts_triggered={:?}\
313            )",
314            self.account_id,
315            self.instrument_id,
316            self.venue_order_id,
317            self.order_side,
318            self.order_type,
319            self.time_in_force,
320            self.order_status,
321            self.quantity,
322            self.filled_qty,
323            self.report_id,
324            self.ts_accepted,
325            self.ts_last,
326            self.ts_init,
327            self.client_order_id,
328            self.order_list_id,
329            self.venue_position_id,
330            self.contingency_type,
331            self.expire_time,
332            self.price,
333            self.trigger_price,
334            self.trigger_type,
335            self.limit_offset,
336            self.trailing_offset,
337            self.trailing_offset_type,
338            self.avg_px,
339            self.display_qty,
340            self.post_only,
341            self.reduce_only,
342            self.cancel_reason,
343            self.ts_triggered,
344        )
345    }
346}
nautilus_model/reports/order.rs

nautilus_model/reports/
order.rs
