apple_quant_algorithmic/order_manager/

working.rs

use smallvec::SmallVec;
use thiserror::Error;

use crate::{
	backend::{LocalOrderId, OrderId, OrderIdError, OrdersBackend, RemoteOrderId},
	instrument::InstrumentSpec,
	order::{
		DeferredOrderActions, DesiredVolumeOrderError, OrderGoal, PartialOrderFill,
		RemoteTimingCondition, dependency::remote::RemoteOrderAction,
	},
	price::{AbsolutePrice, BidAskPriceSpread},
	timestamp::{TickTimestamp, Timestamp},
	volume::{
		DirectionalExposure, DirectionalIntentVolume, DirectionlessVolume,
		ZeroableDirectionalIntentVolume,
	},
};

use super::{CompletedRemoteOrders, OrdersCapacitySpec, PendingRemoteOrder};

#[derive(Debug, Error)]
pub enum WorkingRemoteOrderSubmitError {
	#[error("{0:?}")]
	DesiredVolumeOrder(#[from] DesiredVolumeOrderError),

	#[error("{0:?}")]
	OrderId(#[from] OrderIdError),
}

#[derive(Debug, Clone, PartialEq, Eq, Hash)]
pub struct WorkingRemoteOrder<IS: InstrumentSpec, CS: OrdersCapacitySpec> {
	pub(crate) local_order_id: LocalOrderId,
	pub(crate) remote_order_id: RemoteOrderId,
	pub(crate) dependencies: SmallVec<
		[(
			RemoteTimingCondition,
			RemoteOrderAction<IS>,
		); CS::DEPENDENCY],
	>,
	pub(crate) order_goal: OrderGoal<IS>,
	pub(crate) desired_directional_intent_volume: DirectionalIntentVolume<IS>,
	pub(crate) booking_timestamp: Timestamp,
	pub(crate) partial_order_fills: SmallVec<[PartialOrderFill<IS>; CS::PARTIAL_FILL]>,

	pub(crate) armed_directional_exposure: ZeroableDirectionalIntentVolume<IS>,
	pub(crate) effective_directional_exposure: ZeroableDirectionalIntentVolume<IS>,
	pub(crate) rest_at: Option<AbsolutePrice<IS>>,
}

impl<IS: InstrumentSpec, CS: OrdersCapacitySpec> WorkingRemoteOrder<IS, CS> {
	pub(crate) fn get_fully_filled(&self) -> Option<BidAskPriceSpread<IS>> {
		let mut filled_volume = ZeroableDirectionalIntentVolume::ZERO;

		let mut iter_partial_order_fills = self
			.partial_order_fills
			.iter();

		let Some(mut bid_ask_price_spread) = iter_partial_order_fills
			.next()
			.map(|partial_order_fill| {
				filled_volume += partial_order_fill
					.directional_intent_volume
					.as_zeroable();

				BidAskPriceSpread {
					ask_price: partial_order_fill.price,
					bid_price: partial_order_fill.price,
				}
			})
		else {
			return None;
		};

		for partial_order_fill in iter_partial_order_fills {
			filled_volume += partial_order_fill
				.directional_intent_volume
				.as_zeroable();

			if partial_order_fill.price > bid_ask_price_spread.ask_price {
				bid_ask_price_spread.ask_price = partial_order_fill.price;
			}

			if partial_order_fill.price < bid_ask_price_spread.bid_price {
				bid_ask_price_spread.bid_price = partial_order_fill.price;
			}
		}

		if filled_volume
			< self
				.desired_directional_intent_volume
				.as_zeroable()
		{
			return None;
		}

		Some(bid_ask_price_spread)
	}

	pub(crate) fn modify_volume(
		&mut self,
		directional_exposure: &mut DirectionalExposure<IS>,
		volume: &DirectionlessVolume<IS>,
	) {
		let Some(desired_volume_delta) = (self.desired_directional_intent_volume
			- DirectionalIntentVolume {
				directional_intent: self
					.desired_directional_intent_volume
					.directional_intent,
				directionless_volume: *volume,
			})
		else {
			return;
		};

		let desired_volume_delta = desired_volume_delta
			.as_zeroable()
			.as_flipped();

		directional_exposure.change_armed_directional_exposure(&desired_volume_delta);

		self.desired_directional_intent_volume
			.directionless_volume = *volume;

		self.armed_directional_exposure += desired_volume_delta;

		if let Some(directional_intent_volume) = self
			.armed_directional_exposure
			.directional_intent_volume()
		{
			if directional_intent_volume.directional_intent
				!= self
					.desired_directional_intent_volume
					.directional_intent
			{
				unimplemented!()
			}
		} else {
			unimplemented!()
		}
	}
}

impl<IS: InstrumentSpec, CS: OrdersCapacitySpec> WorkingRemoteOrder<IS, CS> {
	pub(crate) fn new(
		local_order_id: LocalOrderId,
		remote_order_id: RemoteOrderId,
		dependencies: impl IntoIterator<
			Item = (
				RemoteTimingCondition,
				RemoteOrderAction<IS>,
			),
		>,
		order_goal: OrderGoal<IS>,
		desired_directional_intent_volume: DirectionalIntentVolume<IS>,
		booking_timestamp: Timestamp,
		rest_at: Option<AbsolutePrice<IS>>,
	) -> Self {
		Self {
			local_order_id,
			remote_order_id,
			dependencies: dependencies
				.into_iter()
				.collect(),
			order_goal,
			desired_directional_intent_volume,
			booking_timestamp,
			partial_order_fills: SmallVec::default(),
			armed_directional_exposure: desired_directional_intent_volume.as_zeroable(),
			effective_directional_exposure: ZeroableDirectionalIntentVolume::ZERO,
			rest_at,
		}
	}
}

/// Unordered list of working remote orders. These include all unfilled resting orders, partially filled resting orders, and market orders that have not been matched. All orders in `working_remote_orders` have been recognized by the matching engine and the client has received that the matching engine knows these orders. Only when the client is aware that the order is 100% filled will it state transition to [`filled_remote_orders`].
#[derive(Debug)]
pub struct WorkingRemoteOrders<IS: InstrumentSpec, CS: OrdersCapacitySpec>(
	SmallVec<[WorkingRemoteOrder<IS, CS>; CS::WORKING_REMOTE]>,
);

impl<IS: InstrumentSpec, CS: OrdersCapacitySpec> WorkingRemoteOrders<IS, CS> {
	pub(crate) fn submit<OB: OrdersBackend<IS>>(
		&mut self,
		directional_exposure: &mut DirectionalExposure<IS>,
		tick_timestamp: &TickTimestamp,
		pending_remote_order: PendingRemoteOrder<IS, CS>,
		remote_order_id: RemoteOrderId,
	) -> Result<(), WorkingRemoteOrderSubmitError>
	where
		IS: Send,
	{
		let PendingRemoteOrder {
			submission_timestamp: _,
			local_order_id,
			dependencies,
			order_goal,
			desired_directional_intent_volume,
			rest_at,
		} = pending_remote_order;

		let booking_timestamp = tick_timestamp.timestamp();

		let working_remote_order = WorkingRemoteOrder::new(
			local_order_id,
			remote_order_id,
			dependencies,
			order_goal,
			desired_directional_intent_volume,
			booking_timestamp,
			rest_at,
		);

		directional_exposure
			.change_armed_directional_exposure(&working_remote_order.armed_directional_exposure);

		self.0
			.push(working_remote_order);

		Ok(())
	}

	pub fn get(
		&self,
		order_id: impl Into<OrderId>,
	) -> Result<&WorkingRemoteOrder<IS, CS>, OrderIdError> {
		match &order_id.into() {
			OrderId::Local(local_order_id) => self.get_with_local(local_order_id),
			OrderId::Remote(remote_order_id) => self.get_with_remote(remote_order_id),
		}
	}

	pub fn get_with_local(
		&self,
		local_order_id: &LocalOrderId,
	) -> Result<&WorkingRemoteOrder<IS, CS>, OrderIdError> {
		let Some(working_remote_order) = self
			.0
			.iter()
			.find(|working_remote_order| &working_remote_order.local_order_id == local_order_id)
		else {
			return local_order_id.err_invalid();
		};

		Ok(working_remote_order)
	}

	pub fn get_with_remote(
		&self,
		remote_order_id: &RemoteOrderId,
	) -> Result<&WorkingRemoteOrder<IS, CS>, OrderIdError> {
		let Some(working_remote_order) = self
			.0
			.iter()
			.find(|working_remote_order| &working_remote_order.remote_order_id == remote_order_id)
		else {
			return remote_order_id.err_invalid();
		};

		Ok(working_remote_order)
	}

	pub(crate) fn get_mut(
		&mut self,
		order_id: impl Into<OrderId>,
	) -> Result<&mut WorkingRemoteOrder<IS, CS>, OrderIdError> {
		match &order_id.into() {
			OrderId::Local(local_order_id) => self.get_mut_with_local(local_order_id),
			OrderId::Remote(remote_order_id) => self.get_mut_with_remote(remote_order_id),
		}
	}

	pub(crate) fn get_mut_with_local(
		&mut self,
		local_order_id: &LocalOrderId,
	) -> Result<&mut WorkingRemoteOrder<IS, CS>, OrderIdError> {
		let Some(working_remote_order) = self
			.0
			.iter_mut()
			.find(|working_remote_order| &working_remote_order.local_order_id == local_order_id)
		else {
			return local_order_id.err_invalid();
		};

		Ok(working_remote_order)
	}

	pub(crate) fn get_mut_with_remote(
		&mut self,
		remote_order_id: &RemoteOrderId,
	) -> Result<&mut WorkingRemoteOrder<IS, CS>, OrderIdError> {
		let Some(working_remote_order) = self
			.0
			.iter_mut()
			.find(|working_remote_order| &working_remote_order.remote_order_id == remote_order_id)
		else {
			return remote_order_id.err_invalid();
		};

		Ok(working_remote_order)
	}

	pub(crate) fn remove(
		&mut self,
		directional_exposure: &mut DirectionalExposure<IS>,
		order_id: impl Into<OrderId>,
	) -> Result<WorkingRemoteOrder<IS, CS>, OrderIdError>
	where
		IS: Send,
	{
		let order_id = order_id.into();

		let idx = match order_id {
			OrderId::Local(local_order_id) => self
				.0
				.iter()
				.position(|working_remote_order| {
					working_remote_order.local_order_id == local_order_id
				}),
			OrderId::Remote(remote_order_id) => self
				.0
				.iter()
				.position(|working_remote_order| {
					working_remote_order.remote_order_id == remote_order_id
				}),
		};

		let Some(idx) = idx else {
			return order_id.err_invalid();
		};

		let mut working_remote_order = self.0.swap_remove(idx);

		directional_exposure.change_armed_directional_exposure(
			&working_remote_order
				.armed_directional_exposure
				.as_flipped(),
		);

		working_remote_order.armed_directional_exposure = ZeroableDirectionalIntentVolume::ZERO;

		Ok(working_remote_order)
	}

	pub(crate) fn processed<OB: OrdersBackend<IS>>(
		&mut self,
		remote_order_id: &RemoteOrderId,
	) -> Result<(), OrderIdError>
	where
		IS: Send,
	{
		let working_remote_order = self.get_mut_with_remote(remote_order_id)?;

		let Some(rest_at) = &working_remote_order.rest_at else {
			return Ok(());
		};

		let bid_ask_price_spread = BidAskPriceSpread {
			ask_price: *rest_at,
			bid_price: *rest_at,
		};

		for (_, remote_order_action) in working_remote_order
			.dependencies
			.iter_mut()
		{
			remote_order_action.parent_processed(&bid_ask_price_spread);
		}

		Ok(())
	}

	pub(crate) fn partial_fill<OB: OrdersBackend<IS>>(
		&mut self,
		tick_timestamp: &TickTimestamp,
		completed_remote_orders: &mut CompletedRemoteOrders<IS, CS>,
		deferred_order_actions: &mut DeferredOrderActions<IS>,
		directional_exposure: &mut DirectionalExposure<IS>,
		partial_order_fill: PartialOrderFill<IS>,
		remote_order_id: &RemoteOrderId,
	) -> Result<(), OrderIdError>
	where
		IS: Send,
	{
		let working_remote_order = self.get_mut_with_remote(remote_order_id)?;

		working_remote_order.armed_directional_exposure -= partial_order_fill
			.directional_intent_volume
			.as_zeroable();

		directional_exposure.change_armed_directional_exposure(
			&partial_order_fill
				.directional_intent_volume
				.as_zeroable()
				.as_flipped(),
		);

		working_remote_order.effective_directional_exposure += partial_order_fill
			.directional_intent_volume
			.as_zeroable();

		directional_exposure.change_effective_directional_exposure(
			&partial_order_fill
				.directional_intent_volume
				.as_zeroable(),
		);

		working_remote_order
			.partial_order_fills
			.push(partial_order_fill);

		for (remote_timing_condition, remote_order_action) in working_remote_order
			.dependencies
			.iter()
		{
			if remote_timing_condition != &RemoteTimingCondition::PartialFill {
				continue;
			}

			deferred_order_actions.push(
				remote_order_action
					.clone()
					.into_order_action(),
			);
		}

		let Some(bid_ask_price_spread) = working_remote_order.get_fully_filled() else {
			return Ok(());
		};

		let mut working_remote_order = self.remove(
			directional_exposure,
			remote_order_id,
		)?;

		if working_remote_order
			.rest_at
			.is_none()
		{
			for (_, remote_order_action) in working_remote_order
				.dependencies
				.iter_mut()
			{
				remote_order_action.parent_processed(&bid_ask_price_spread);
			}
		}

		for (remote_timing_condition, remote_order_action) in working_remote_order
			.dependencies
			.iter()
		{
			if remote_timing_condition != &RemoteTimingCondition::FullyFilled {
				continue;
			}

			deferred_order_actions.push(
				remote_order_action
					.clone()
					.into_order_action(),
			);
		}

		completed_remote_orders.submit::<OB>(
			tick_timestamp,
			working_remote_order,
		);

		Ok(())
	}

	pub(crate) async fn modify_volume<OB: OrdersBackend<IS>>(
		&mut self,
		orders_backend: &mut OB,
		directional_exposure: &mut DirectionalExposure<IS>,
		local_order_id: &LocalOrderId,
		volume: &DirectionlessVolume<IS>,
	) -> Result<(), OrderIdError>
	where
		IS: Send,
	{
		let working_remote_order = self.get_mut_with_local(local_order_id)?;

		working_remote_order.modify_volume(directional_exposure, volume);

		orders_backend
			.modify_order_volume(
				&working_remote_order.remote_order_id,
				volume,
			)
			.await;

		Ok(())
	}
}

impl<IS: InstrumentSpec, CS: OrdersCapacitySpec> Default for WorkingRemoteOrders<IS, CS> {
	fn default() -> Self {
		Self(SmallVec::default())
	}
}