nautilus-execution 0.67.0

Core execution machinery for the Nautilus trading engine
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// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

//! Execution state reconciliation.
//!
//! Pure functions for bringing the engine's local order, fill, and position state
//! into line with what the venue reports. Called at startup (mass status) and
//! continuously at runtime (open-order and position checks).
//!
//! Public entry points:
//! - [`process_mass_status_for_reconciliation`] - partial-window fill reconstruction
//! - [`process_mass_status_for_reconciliation_without_synthetic_reports`] - reconstruction that
//!   preserves the input report set when adjustment would require synthetic reports
//! - [`generate_reconciliation_order_events`] - venue-temporal event sequence for a report
//! - [`reconcile_order_report`] - core order-state reconciliation
//! - [`reconcile_fill_report`] - apply a venue fill to a cached order, with dedup
//! - [`generate_external_order_status_events`] - synthesize events for an external order
//! - [`check_position_reconciliation`] - final qty and avg-px tolerance check
//!
//! Invariants maintained across all paths:
//! 1. When enabled, synthetic adjustment aligns position quantity with the venue within instrument
//!    precision.
//! 2. When enabled, synthetic adjustment aligns average price with the venue within tolerance
//!    (default 0.01%).
//! 3. All generated fills preserve correct unrealized PnL.
//! 4. Synthetic `trade_id` and `venue_order_id` values are deterministic
//!    functions of the logical event, so restart replays dedupe.
//!
//! See `docs/concepts/execution/reconciliation.md` for the operator-facing description.

use nautilus_core::correctness::CorrectnessResult;
use nautilus_model::{
    instruments::{Instrument, InstrumentAny},
    types::{Price, fixed::FIXED_PRECISION},
};
use rust_decimal::Decimal;

mod ids;
mod orders;
mod positions;
mod types;

#[cfg(test)]
mod proptests;

#[cfg(test)]
mod tests;

pub use ids::{
    create_inferred_reconciliation_trade_id, create_position_reconciliation_venue_order_id,
    inferred_reconciliation_trade_ids, is_inferred_reconciliation_trade_id_format,
};
pub use orders::{
    create_incremental_inferred_fill, create_inferred_fill_for_qty, create_reconciliation_rejected,
    create_reconciliation_triggered, generate_external_order_status_events,
    generate_external_order_status_events_with_commission, generate_reconciliation_order_events,
    generate_reconciliation_order_pre_fill_events, generate_reconciliation_order_snapshot_events,
    generate_reconciliation_order_snapshot_events_with_commission,
    incremental_inferred_fill_price_and_liquidity, inferred_fill_price_and_liquidity,
    reconcile_fill_report, reconcile_order_report, reconcile_order_report_with_commission,
    should_reconciliation_update,
};
pub use positions::{
    calculate_reconciliation_price, check_position_reconciliation,
    fill_precedes_snapshot_reconciled_position, position_prices_match,
    process_mass_status_for_reconciliation,
    process_mass_status_for_reconciliation_without_synthetic_reports,
};
pub use types::ReconciliationResult;

/// Order tag marking a synthetic order that reconciliation creates to align a position.
pub const RECONCILIATION_ORDER_TAG: &str = "RECONCILIATION";

fn reconciliation_price(value: Decimal, instrument: &InstrumentAny) -> CorrectnessResult<Price> {
    // Reconstructed averages need not lie on price ticks, keep their representable precision
    let precision = instrument
        .price_precision()
        .max(value.normalize().scale().min(u32::from(FIXED_PRECISION)) as u8);
    Price::from_decimal_dp(value, precision)
}