nautilus_model/orders/
any.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.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 enum_dispatch::enum_dispatch;
19use serde::{Deserialize, Serialize};
20use thiserror::Error;
21
22use super::{
23    Order, OrderError, limit::LimitOrder, limit_if_touched::LimitIfTouchedOrder,
24    market::MarketOrder, market_if_touched::MarketIfTouchedOrder,
25    market_to_limit::MarketToLimitOrder, stop_limit::StopLimitOrder, stop_market::StopMarketOrder,
26    trailing_stop_limit::TrailingStopLimitOrder, trailing_stop_market::TrailingStopMarketOrder,
27};
28use crate::{events::OrderEventAny, identifiers::OrderListId, types::Price};
29
30/// Error returned when [`OrderAny::from_events`] cannot replay order events.
31#[derive(Debug, Error)]
32pub enum OrderReplayError {
33    /// No events were supplied.
34    #[error("No order events provided to create OrderAny")]
35    EmptyInput,
36    /// The first event was not an initialization event.
37    #[error("First event must be `OrderInitialized`")]
38    WrongFirstEvent,
39    /// The initialization event could not be converted into an order.
40    #[error("Invalid `OrderInitialized` event: {source}")]
41    InvalidInitialization {
42        /// The source order conversion error.
43        #[source]
44        source: OrderError,
45    },
46    /// A later event could not be applied to the initialized order.
47    #[error("{source}")]
48    ApplyFailed {
49        /// The source event application error.
50        #[source]
51        source: OrderError,
52    },
53}
54
55#[derive(Clone, Debug, Serialize, Deserialize)]
56#[enum_dispatch(Order)]
57pub enum OrderAny {
58    Limit(LimitOrder),
59    LimitIfTouched(LimitIfTouchedOrder),
60    Market(MarketOrder),
61    MarketIfTouched(MarketIfTouchedOrder),
62    MarketToLimit(MarketToLimitOrder),
63    StopLimit(StopLimitOrder),
64    StopMarket(StopMarketOrder),
65    TrailingStopLimit(TrailingStopLimitOrder),
66    TrailingStopMarket(TrailingStopMarketOrder),
67}
68
69impl OrderAny {
70    /// Creates a new [`OrderAny`] instance from the given `events`.
71    ///
72    /// # Errors
73    ///
74    /// Returns an error if:
75    /// - The `events` is empty.
76    /// - The first event is not `OrderInitialized`.
77    /// - The initialization event violates an order invariant
78    ///   (e.g. missing required price/trigger fields, invalid quantity, invalid TIF/expire combo).
79    /// - Any subsequent event has an invalid state transition when applied to the order.
80    ///
81    pub fn from_events(events: Vec<OrderEventAny>) -> Result<Self, OrderReplayError> {
82        let Some(init_event) = events.first() else {
83            return Err(OrderReplayError::EmptyInput);
84        };
85
86        let OrderEventAny::Initialized(init) = init_event else {
87            return Err(OrderReplayError::WrongFirstEvent);
88        };
89
90        let mut order = Self::try_from(init.clone())
91            .map_err(|source| OrderReplayError::InvalidInitialization { source })?;
92
93        for event in events.into_iter().skip(1) {
94            order
95                .apply(event)
96                .map_err(|source| OrderReplayError::ApplyFailed { source })?;
97        }
98
99        Ok(order)
100    }
101
102    /// Returns a reference to the [`crate::events::OrderInitialized`] event.
103    ///
104    /// This is always the first event in the order's event list (invariant).
105    ///
106    /// # Panics
107    ///
108    /// Panics if the first event is not `OrderInitialized` (violates invariant).
109    #[must_use]
110    pub fn init_event(&self) -> &crate::events::OrderInitialized {
111        match self
112            .events()
113            .first()
114            .expect("Order invariant violated: no events")
115        {
116            OrderEventAny::Initialized(init) => init,
117            _ => panic!("Order invariant violated: first event must be OrderInitialized"),
118        }
119    }
120
121    // TODO: Does not update the OrderInitialized event in the order's
122    // event history. The init event will still carry the original
123    // order_list_id (typically None). Address with fluent builder API.
124    pub fn set_order_list_id(&mut self, id: OrderListId) {
125        match self {
126            Self::Limit(o) => o.order_list_id = Some(id),
127            Self::LimitIfTouched(o) => o.order_list_id = Some(id),
128            Self::Market(o) => o.order_list_id = Some(id),
129            Self::MarketIfTouched(o) => o.order_list_id = Some(id),
130            Self::MarketToLimit(o) => o.order_list_id = Some(id),
131            Self::StopLimit(o) => o.order_list_id = Some(id),
132            Self::StopMarket(o) => o.order_list_id = Some(id),
133            Self::TrailingStopLimit(o) => o.order_list_id = Some(id),
134            Self::TrailingStopMarket(o) => o.order_list_id = Some(id),
135        }
136    }
137}
138
139impl PartialEq for OrderAny {
140    fn eq(&self, other: &Self) -> bool {
141        self.client_order_id() == other.client_order_id()
142    }
143}
144
145// TODO: fix equality
146impl Eq for OrderAny {}
147
148impl Display for OrderAny {
149    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
150        write!(
151            f,
152            "{}",
153            match self {
154                Self::Limit(order) => order.to_string(),
155                Self::LimitIfTouched(order) => order.to_string(),
156                Self::Market(order) => order.to_string(),
157                Self::MarketIfTouched(order) => order.to_string(),
158                Self::MarketToLimit(order) => order.to_string(),
159                Self::StopLimit(order) => order.to_string(),
160                Self::StopMarket(order) => order.to_string(),
161                Self::TrailingStopLimit(order) => order.to_string(),
162                Self::TrailingStopMarket(order) => order.to_string(),
163            }
164        )
165    }
166}
167
168impl TryFrom<OrderAny> for PassiveOrderAny {
169    type Error = String;
170
171    fn try_from(order: OrderAny) -> Result<Self, Self::Error> {
172        match order {
173            OrderAny::Limit(_) => Ok(Self::Limit(LimitOrderAny::try_from(order)?)),
174            OrderAny::LimitIfTouched(_) => Ok(Self::Stop(StopOrderAny::try_from(order)?)),
175            OrderAny::MarketIfTouched(_) => Ok(Self::Stop(StopOrderAny::try_from(order)?)),
176            OrderAny::StopLimit(_) => Ok(Self::Stop(StopOrderAny::try_from(order)?)),
177            OrderAny::StopMarket(_) => Ok(Self::Stop(StopOrderAny::try_from(order)?)),
178            OrderAny::TrailingStopLimit(_) => Ok(Self::Stop(StopOrderAny::try_from(order)?)),
179            OrderAny::TrailingStopMarket(_) => Ok(Self::Stop(StopOrderAny::try_from(order)?)),
180            OrderAny::MarketToLimit(_) => Ok(Self::Limit(LimitOrderAny::try_from(order)?)),
181            OrderAny::Market(_) => Ok(Self::Limit(LimitOrderAny::try_from(order)?)),
182        }
183    }
184}
185
186impl From<PassiveOrderAny> for OrderAny {
187    fn from(order: PassiveOrderAny) -> Self {
188        match order {
189            PassiveOrderAny::Limit(order) => order.into(),
190            PassiveOrderAny::Stop(order) => order.into(),
191        }
192    }
193}
194
195impl TryFrom<OrderAny> for StopOrderAny {
196    type Error = String;
197
198    fn try_from(order: OrderAny) -> Result<Self, Self::Error> {
199        match order {
200            OrderAny::LimitIfTouched(order) => Ok(Self::LimitIfTouched(order)),
201            OrderAny::MarketIfTouched(order) => Ok(Self::MarketIfTouched(order)),
202            OrderAny::StopLimit(order) => Ok(Self::StopLimit(order)),
203            OrderAny::StopMarket(order) => Ok(Self::StopMarket(order)),
204            OrderAny::TrailingStopLimit(order) => Ok(Self::TrailingStopLimit(order)),
205            OrderAny::TrailingStopMarket(order) => Ok(Self::TrailingStopMarket(order)),
206            _ => Err(format!(
207                "Cannot convert {:?} order to StopOrderAny: order type does not have a stop/trigger price",
208                order.order_type()
209            )),
210        }
211    }
212}
213
214impl From<StopOrderAny> for OrderAny {
215    fn from(order: StopOrderAny) -> Self {
216        match order {
217            StopOrderAny::LimitIfTouched(order) => Self::LimitIfTouched(order),
218            StopOrderAny::MarketIfTouched(order) => Self::MarketIfTouched(order),
219            StopOrderAny::StopLimit(order) => Self::StopLimit(order),
220            StopOrderAny::StopMarket(order) => Self::StopMarket(order),
221            StopOrderAny::TrailingStopLimit(order) => Self::TrailingStopLimit(order),
222            StopOrderAny::TrailingStopMarket(order) => Self::TrailingStopMarket(order),
223        }
224    }
225}
226
227impl TryFrom<OrderAny> for LimitOrderAny {
228    type Error = String;
229
230    fn try_from(order: OrderAny) -> Result<Self, Self::Error> {
231        match order {
232            OrderAny::Limit(order) => Ok(Self::Limit(order)),
233            OrderAny::MarketToLimit(order) => Ok(Self::MarketToLimit(order)),
234            OrderAny::StopLimit(order) => Ok(Self::StopLimit(order)),
235            OrderAny::TrailingStopLimit(order) => Ok(Self::TrailingStopLimit(order)),
236            OrderAny::Market(order) => Ok(Self::MarketOrderWithProtection(order)),
237            _ => Err(format!(
238                "Cannot convert {:?} order to LimitOrderAny: order type does not have a limit price",
239                order.order_type()
240            )),
241        }
242    }
243}
244
245impl From<LimitOrderAny> for OrderAny {
246    fn from(order: LimitOrderAny) -> Self {
247        match order {
248            LimitOrderAny::Limit(order) => Self::Limit(order),
249            LimitOrderAny::MarketToLimit(order) => Self::MarketToLimit(order),
250            LimitOrderAny::StopLimit(order) => Self::StopLimit(order),
251            LimitOrderAny::TrailingStopLimit(order) => Self::TrailingStopLimit(order),
252            LimitOrderAny::MarketOrderWithProtection(order) => Self::Market(order),
253        }
254    }
255}
256
257#[derive(Clone, Debug)]
258#[enum_dispatch(Order)]
259pub enum PassiveOrderAny {
260    Limit(LimitOrderAny),
261    Stop(StopOrderAny),
262}
263
264impl PassiveOrderAny {
265    #[must_use]
266    pub fn to_any(&self) -> OrderAny {
267        match self {
268            Self::Limit(order) => order.clone().into(),
269            Self::Stop(order) => order.clone().into(),
270        }
271    }
272}
273
274// TODO: Derive equality
275impl PartialEq for PassiveOrderAny {
276    fn eq(&self, rhs: &Self) -> bool {
277        match self {
278            Self::Limit(order) => order.client_order_id() == rhs.client_order_id(),
279            Self::Stop(order) => order.client_order_id() == rhs.client_order_id(),
280        }
281    }
282}
283
284#[derive(Clone, Debug)]
285#[enum_dispatch(Order)]
286pub enum LimitOrderAny {
287    Limit(LimitOrder),
288    MarketToLimit(MarketToLimitOrder),
289    StopLimit(StopLimitOrder),
290    TrailingStopLimit(TrailingStopLimitOrder),
291    MarketOrderWithProtection(MarketOrder),
292}
293
294impl LimitOrderAny {
295    /// Returns the limit price for this order.
296    ///
297    /// # Panics
298    ///
299    /// Panics if the `MarketToLimit` order price is not set.
300    #[must_use]
301    pub fn limit_px(&self) -> Price {
302        match self {
303            Self::Limit(order) => order.price,
304            Self::MarketToLimit(order) => order.price.expect("MarketToLimit order price not set"),
305            Self::StopLimit(order) => order.price,
306            Self::TrailingStopLimit(order) => {
307                order.price.expect("TrailingStopLimit order price not set")
308            }
309            Self::MarketOrderWithProtection(order) => {
310                order.protection_price.expect("No price for order")
311            }
312        }
313    }
314}
315
316impl PartialEq for LimitOrderAny {
317    fn eq(&self, rhs: &Self) -> bool {
318        match self {
319            Self::Limit(order) => order.client_order_id == rhs.client_order_id(),
320            Self::MarketToLimit(order) => order.client_order_id == rhs.client_order_id(),
321            Self::StopLimit(order) => order.client_order_id == rhs.client_order_id(),
322            Self::TrailingStopLimit(order) => order.client_order_id == rhs.client_order_id(),
323            Self::MarketOrderWithProtection(order) => {
324                order.client_order_id == rhs.client_order_id()
325            }
326        }
327    }
328}
329
330#[derive(Clone, Debug)]
331#[enum_dispatch(Order)]
332pub enum StopOrderAny {
333    LimitIfTouched(LimitIfTouchedOrder),
334    MarketIfTouched(MarketIfTouchedOrder),
335    StopLimit(StopLimitOrder),
336    StopMarket(StopMarketOrder),
337    TrailingStopLimit(TrailingStopLimitOrder),
338    TrailingStopMarket(TrailingStopMarketOrder),
339}
340
341impl StopOrderAny {
342    #[must_use]
343    pub fn stop_px(&self) -> Option<Price> {
344        match self {
345            Self::LimitIfTouched(o) => Some(o.trigger_price),
346            Self::MarketIfTouched(o) => Some(o.trigger_price),
347            Self::StopLimit(o) => Some(o.trigger_price),
348            Self::StopMarket(o) => Some(o.trigger_price),
349            Self::TrailingStopLimit(o) => o.activation_price.or(o.trigger_price),
350            Self::TrailingStopMarket(o) => o.activation_price.or(o.trigger_price),
351        }
352    }
353}
354
355// TODO: Derive equality
356impl PartialEq for StopOrderAny {
357    fn eq(&self, rhs: &Self) -> bool {
358        match self {
359            Self::LimitIfTouched(order) => order.client_order_id == rhs.client_order_id(),
360            Self::StopLimit(order) => order.client_order_id == rhs.client_order_id(),
361            Self::StopMarket(order) => order.client_order_id == rhs.client_order_id(),
362            Self::MarketIfTouched(order) => order.client_order_id == rhs.client_order_id(),
363            Self::TrailingStopLimit(order) => order.client_order_id == rhs.client_order_id(),
364            Self::TrailingStopMarket(order) => order.client_order_id == rhs.client_order_id(),
365        }
366    }
367}
368
369#[cfg(test)]
370mod tests {
371    use rstest::rstest;
372    use rust_decimal::Decimal;
373    use rust_decimal_macros::dec;
374
375    use super::*;
376    use crate::{
377        enums::{OrderSide, OrderType, TrailingOffsetType, TriggerType},
378        events::{
379            OrderEventAny, OrderInitialized, OrderUpdated, order::spec::OrderInitializedSpec,
380        },
381        identifiers::{ClientOrderId, InstrumentId, StrategyId},
382        orders::{OrderError, builder::OrderTestBuilder},
383        types::{Price, Quantity},
384    };
385
386    #[rstest]
387    fn test_order_any_equality() {
388        // Create two orders with different types but same client_order_id
389        let client_order_id = ClientOrderId::from("ORDER-001");
390
391        let market_order = OrderTestBuilder::new(OrderType::Market)
392            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
393            .quantity(Quantity::from(10))
394            .client_order_id(client_order_id)
395            .build();
396
397        let limit_order = OrderTestBuilder::new(OrderType::Limit)
398            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
399            .quantity(Quantity::from(10))
400            .price(Price::new(100.0, 2))
401            .client_order_id(client_order_id)
402            .build();
403
404        // They should be equal because they have the same client_order_id
405        assert_eq!(market_order, limit_order);
406    }
407
408    #[rstest]
409    fn test_order_any_conversion_from_events() {
410        // Create an OrderInitialized event
411        let init_event = OrderInitializedSpec::builder()
412            .order_type(OrderType::Market)
413            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
414            .quantity(Quantity::from(10))
415            .build();
416
417        // Create a vector of events
418        let events = vec![OrderEventAny::Initialized(init_event.clone())];
419
420        // Create OrderAny from events
421        let order = OrderAny::from_events(events).unwrap();
422
423        // Verify the order was created properly
424        assert_eq!(order.order_type(), OrderType::Market);
425        assert_eq!(order.instrument_id(), init_event.instrument_id);
426        assert_eq!(order.quantity(), init_event.quantity);
427    }
428
429    #[rstest]
430    fn test_order_any_from_events_empty_error() {
431        let events: Vec<OrderEventAny> = vec![];
432        let err = OrderAny::from_events(events).expect_err("empty events should fail");
433
434        assert!(matches!(err, OrderReplayError::EmptyInput));
435        assert_eq!(
436            err.to_string(),
437            "No order events provided to create OrderAny"
438        );
439    }
440
441    #[rstest]
442    fn test_order_any_from_events_invalid_init_returns_error() {
443        // Limit order with `price = None` violates `LimitOrder` invariants. Previously this
444        // panicked inside `From<OrderInitialized>`; `from_events` must now surface it as `Err`.
445        let init_event = OrderInitializedSpec::builder()
446            .order_type(OrderType::Limit)
447            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
448            .quantity(Quantity::from(10))
449            .build();
450
451        let events = vec![OrderEventAny::Initialized(init_event)];
452        let err =
453            OrderAny::from_events(events).expect_err("invalid initialization should fail replay");
454
455        match &err {
456            OrderReplayError::InvalidInitialization { source } => {
457                assert_eq!(
458                    source.to_string(),
459                    "`price` is required for `LimitOrder` initialization",
460                );
461            }
462            _ => panic!("expected InvalidInitialization, was {err:?}"),
463        }
464        assert_eq!(
465            err.to_string(),
466            "Invalid `OrderInitialized` event: `price` is required for `LimitOrder` initialization",
467        );
468    }
469
470    #[rstest]
471    #[case::buy(
472        OrderSide::Buy,
473        Price::from("100.00"),
474        Price::from("101.00"),
475        "BUY Limit-If-Touched"
476    )]
477    #[case::sell(
478        OrderSide::Sell,
479        Price::from("100.00"),
480        Price::from("99.00"),
481        "SELL Limit-If-Touched"
482    )]
483    fn test_order_any_from_events_invalid_predicate_returns_error(
484        #[case] side: OrderSide,
485        #[case] price: Price,
486        #[case] trigger_price: Price,
487        #[case] expected_msg: &str,
488    ) {
489        // LimitIfTouched enforces `trigger_price <= price` for BUY and `trigger_price >= price`
490        // for SELL inside `new_checked`. Reconciliation must see violations as `Err` rather
491        // than panicking, on either side.
492        let init_event = OrderInitializedSpec::builder()
493            .order_type(OrderType::LimitIfTouched)
494            .order_side(side)
495            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
496            .quantity(Quantity::from(10))
497            .price(price)
498            .trigger_price(trigger_price)
499            .trigger_type(TriggerType::LastPrice)
500            .build();
501
502        let events = vec![OrderEventAny::Initialized(init_event)];
503        let err =
504            OrderAny::from_events(events).expect_err("invalid initialization should fail replay");
505
506        assert!(matches!(
507            err,
508            OrderReplayError::InvalidInitialization { .. }
509        ));
510        let msg = err.to_string();
511        assert!(
512            msg.contains("Invalid `OrderInitialized` event") && msg.contains(expected_msg),
513            "unexpected error message: {msg}"
514        );
515    }
516
517    fn make_init_with_optional_fields(
518        order_type: OrderType,
519        price: Option<Price>,
520        trigger_price: Option<Price>,
521        trigger_type: Option<TriggerType>,
522        limit_offset: Option<Decimal>,
523        trailing_offset: Option<Decimal>,
524        trailing_offset_type: Option<TrailingOffsetType>,
525    ) -> OrderInitialized {
526        OrderInitializedSpec::builder()
527            .order_type(order_type)
528            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
529            .quantity(Quantity::from(10))
530            .maybe_price(price)
531            .maybe_trigger_price(trigger_price)
532            .maybe_trigger_type(trigger_type)
533            .maybe_limit_offset(limit_offset)
534            .maybe_trailing_offset(trailing_offset)
535            .maybe_trailing_offset_type(trailing_offset_type)
536            .build()
537    }
538
539    #[rstest]
540    #[case::lit_missing_price(
541        make_init_with_optional_fields(
542            OrderType::LimitIfTouched,
543            None,
544            Some(Price::from("100.00")),
545            Some(TriggerType::LastPrice),
546            None,
547            None,
548            None,
549        ),
550        "`price` is required for `LimitIfTouchedOrder`"
551    )]
552    #[case::lit_missing_trigger_price(
553        make_init_with_optional_fields(
554            OrderType::LimitIfTouched,
555            Some(Price::from("100.00")),
556            None,
557            Some(TriggerType::LastPrice),
558            None,
559            None,
560            None,
561        ),
562        "`trigger_price` is required for `LimitIfTouchedOrder`"
563    )]
564    #[case::lit_missing_trigger_type(
565        make_init_with_optional_fields(
566            OrderType::LimitIfTouched,
567            Some(Price::from("100.00")),
568            Some(Price::from("99.00")),
569            None,
570            None,
571            None,
572            None,
573        ),
574        "`trigger_type` is required for `LimitIfTouchedOrder`"
575    )]
576    #[case::stop_limit_missing_price(
577        make_init_with_optional_fields(
578            OrderType::StopLimit,
579            None,
580            Some(Price::from("100.00")),
581            Some(TriggerType::LastPrice),
582            None,
583            None,
584            None,
585        ),
586        "`price` is required for `StopLimitOrder`"
587    )]
588    #[case::stop_limit_missing_trigger_price(
589        make_init_with_optional_fields(
590            OrderType::StopLimit,
591            Some(Price::from("100.00")),
592            None,
593            Some(TriggerType::LastPrice),
594            None,
595            None,
596            None,
597        ),
598        "`trigger_price` is required for `StopLimitOrder`"
599    )]
600    #[case::stop_limit_missing_trigger_type(
601        make_init_with_optional_fields(
602            OrderType::StopLimit,
603            Some(Price::from("100.00")),
604            Some(Price::from("99.00")),
605            None,
606            None,
607            None,
608            None,
609        ),
610        "`trigger_type` is required for `StopLimitOrder`"
611    )]
612    #[case::stop_market_missing_trigger_price(
613        make_init_with_optional_fields(
614            OrderType::StopMarket,
615            None,
616            None,
617            Some(TriggerType::LastPrice),
618            None,
619            None,
620            None,
621        ),
622        "`trigger_price` is required for `StopMarketOrder`"
623    )]
624    #[case::stop_market_missing_trigger_type(
625        make_init_with_optional_fields(
626            OrderType::StopMarket,
627            None,
628            Some(Price::from("100.00")),
629            None,
630            None,
631            None,
632            None,
633        ),
634        "`trigger_type` is required for `StopMarketOrder`"
635    )]
636    #[case::mit_missing_trigger_price(
637        make_init_with_optional_fields(
638            OrderType::MarketIfTouched,
639            None,
640            None,
641            Some(TriggerType::LastPrice),
642            None,
643            None,
644            None,
645        ),
646        "`trigger_price` is required for `MarketIfTouchedOrder`"
647    )]
648    #[case::mit_missing_trigger_type(
649        make_init_with_optional_fields(
650            OrderType::MarketIfTouched,
651            None,
652            Some(Price::from("100.00")),
653            None,
654            None,
655            None,
656            None,
657        ),
658        "`trigger_type` is required for `MarketIfTouchedOrder`"
659    )]
660    #[case::tsl_missing_trigger_type(
661        make_init_with_optional_fields(
662            OrderType::TrailingStopLimit,
663            Some(Price::from("100.00")), Some(Price::from("99.00")), None,
664            Some(dec!(1)), Some(dec!(1)), Some(TrailingOffsetType::Price),
665        ),
666        "`trigger_type` is required for `TrailingStopLimitOrder`",
667    )]
668    #[case::tsl_missing_limit_offset(
669        make_init_with_optional_fields(
670            OrderType::TrailingStopLimit,
671            Some(Price::from("100.00")), Some(Price::from("99.00")), Some(TriggerType::LastPrice),
672            None, Some(dec!(1)), Some(TrailingOffsetType::Price),
673        ),
674        "`limit_offset` is required for `TrailingStopLimitOrder`",
675    )]
676    #[case::tsl_missing_trailing_offset(
677        make_init_with_optional_fields(
678            OrderType::TrailingStopLimit,
679            Some(Price::from("100.00")), Some(Price::from("99.00")), Some(TriggerType::LastPrice),
680            Some(dec!(1)), None, Some(TrailingOffsetType::Price),
681        ),
682        "`trailing_offset` is required for `TrailingStopLimitOrder`",
683    )]
684    #[case::tsl_missing_trailing_offset_type(
685        make_init_with_optional_fields(
686            OrderType::TrailingStopLimit,
687            Some(Price::from("100.00")), Some(Price::from("99.00")), Some(TriggerType::LastPrice),
688            Some(dec!(1)), Some(dec!(1)), None,
689        ),
690        "`trailing_offset_type` is required for `TrailingStopLimitOrder`",
691    )]
692    #[case::tsm_missing_trigger_type(
693        make_init_with_optional_fields(
694            OrderType::TrailingStopMarket,
695            None, Some(Price::from("100.00")), None,
696            None, Some(dec!(1)), Some(TrailingOffsetType::Price),
697        ),
698        "`trigger_type` is required for `TrailingStopMarketOrder`",
699    )]
700    #[case::tsm_missing_trailing_offset(
701        make_init_with_optional_fields(
702            OrderType::TrailingStopMarket,
703            None,
704            Some(Price::from("100.00")),
705            Some(TriggerType::LastPrice),
706            None,
707            None,
708            Some(TrailingOffsetType::Price),
709        ),
710        "`trailing_offset` is required for `TrailingStopMarketOrder`"
711    )]
712    #[case::tsm_missing_trailing_offset_type(
713        make_init_with_optional_fields(
714            OrderType::TrailingStopMarket,
715            None, Some(Price::from("100.00")), Some(TriggerType::LastPrice),
716            None, Some(dec!(1)), None,
717        ),
718        "`trailing_offset_type` is required for `TrailingStopMarketOrder`",
719    )]
720    fn test_order_any_from_events_missing_required_field_returns_error(
721        #[case] init: OrderInitialized,
722        #[case] expected_field_msg: &str,
723    ) {
724        // Each case omits exactly one required field for its order type. `from_events` must
725        // surface the per-type `TryFrom` error rather than panicking inside `OrderAny::from`.
726        let events = vec![OrderEventAny::Initialized(init)];
727        let err =
728            OrderAny::from_events(events).expect_err("invalid initialization should fail replay");
729
730        assert!(matches!(
731            err,
732            OrderReplayError::InvalidInitialization { .. }
733        ));
734        let msg = err.to_string();
735        assert!(
736            msg.contains("Invalid `OrderInitialized` event") && msg.contains(expected_field_msg),
737            "unexpected error message: {msg}"
738        );
739    }
740
741    #[rstest]
742    fn test_order_any_from_events_wrong_first_event() {
743        // Create an event that is not OrderInitialized
744        let client_order_id = ClientOrderId::from("ORDER-001");
745        let strategy_id = StrategyId::from("STRATEGY-001");
746
747        let update_event = OrderUpdated {
748            client_order_id,
749            strategy_id,
750            quantity: Quantity::from(20),
751            ..Default::default()
752        };
753
754        // Create a vector with a non-initialization event first
755        let events = vec![OrderEventAny::Updated(update_event)];
756
757        // Attempt to create order should fail
758        let err = OrderAny::from_events(events).expect_err("wrong first event should fail replay");
759        assert!(matches!(err, OrderReplayError::WrongFirstEvent));
760        assert_eq!(err.to_string(), "First event must be `OrderInitialized`");
761    }
762
763    #[rstest]
764    fn test_order_any_from_events_apply_failure() {
765        let init_event = OrderInitializedSpec::builder()
766            .order_type(OrderType::Market)
767            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
768            .quantity(Quantity::from(10))
769            .build();
770
771        let events = vec![
772            OrderEventAny::Initialized(init_event.clone()),
773            OrderEventAny::Initialized(init_event),
774        ];
775        let err =
776            OrderAny::from_events(events).expect_err("later invalid event should fail replay");
777
778        match &err {
779            OrderReplayError::ApplyFailed { source } => {
780                assert!(matches!(source, OrderError::AlreadyInitialized));
781            }
782            _ => panic!("expected ApplyFailed, was {err:?}"),
783        }
784        assert_eq!(err.to_string(), "Order was already initialized");
785    }
786
787    #[rstest]
788    fn test_passive_order_any_conversion() {
789        // Create a limit order
790        let limit_order = OrderTestBuilder::new(OrderType::Limit)
791            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
792            .quantity(Quantity::from(10))
793            .price(Price::new(100.0, 2))
794            .build();
795
796        // Convert to PassiveOrderAny and back
797        let passive_order = PassiveOrderAny::try_from(limit_order).unwrap();
798        let order_any: OrderAny = passive_order.into();
799
800        // Verify it maintained its properties
801        assert_eq!(order_any.order_type(), OrderType::Limit);
802        assert_eq!(order_any.quantity(), Quantity::from(10));
803    }
804
805    #[rstest]
806    fn test_stop_order_any_conversion() {
807        // Create a stop market order
808        let stop_order = OrderTestBuilder::new(OrderType::StopMarket)
809            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
810            .quantity(Quantity::from(10))
811            .trigger_price(Price::new(100.0, 2))
812            .build();
813
814        // Convert to StopOrderAny and back
815        let stop_order_any = StopOrderAny::try_from(stop_order).unwrap();
816        let order_any: OrderAny = stop_order_any.into();
817
818        // Verify it maintained its properties
819        assert_eq!(order_any.order_type(), OrderType::StopMarket);
820        assert_eq!(order_any.quantity(), Quantity::from(10));
821        assert_eq!(order_any.trigger_price(), Some(Price::new(100.0, 2)));
822    }
823
824    #[rstest]
825    fn test_limit_order_any_conversion() {
826        // Create a limit order
827        let limit_order = OrderTestBuilder::new(OrderType::Limit)
828            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
829            .quantity(Quantity::from(10))
830            .price(Price::new(100.0, 2))
831            .build();
832
833        // Convert to LimitOrderAny and back
834        let limit_order_any = LimitOrderAny::try_from(limit_order).unwrap();
835        let order_any: OrderAny = limit_order_any.into();
836
837        // Verify it maintained its properties
838        assert_eq!(order_any.order_type(), OrderType::Limit);
839        assert_eq!(order_any.quantity(), Quantity::from(10));
840    }
841
842    #[rstest]
843    fn test_limit_order_any_limit_price() {
844        // Create a limit order
845        let limit_order = OrderTestBuilder::new(OrderType::Limit)
846            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
847            .quantity(Quantity::from(10))
848            .price(Price::new(100.0, 2))
849            .build();
850
851        // Convert to LimitOrderAny
852        let limit_order_any = LimitOrderAny::try_from(limit_order).unwrap();
853
854        // Check limit price accessor
855        let limit_px = limit_order_any.limit_px();
856        assert_eq!(limit_px, Price::new(100.0, 2));
857    }
858
859    #[rstest]
860    fn test_stop_order_any_stop_price() {
861        // Create a stop market order
862        let stop_order = OrderTestBuilder::new(OrderType::StopMarket)
863            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
864            .quantity(Quantity::from(10))
865            .trigger_price(Price::new(100.0, 2))
866            .build();
867
868        // Convert to StopOrderAny
869        let stop_order_any = StopOrderAny::try_from(stop_order).unwrap();
870
871        // Check stop price accessor
872        let stop_px = stop_order_any.stop_px();
873        assert_eq!(stop_px, Some(Price::new(100.0, 2)));
874    }
875
876    #[rstest]
877    fn test_trailing_stop_market_order_conversion() {
878        // Create a trailing stop market order
879        let trailing_stop_order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
880            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
881            .quantity(Quantity::from(10))
882            .trigger_price(Price::new(100.0, 2))
883            .trailing_offset(Decimal::new(5, 1)) // 0.5
884            .trailing_offset_type(TrailingOffsetType::NoTrailingOffset)
885            .build();
886
887        // Convert to StopOrderAny
888        let stop_order_any = StopOrderAny::try_from(trailing_stop_order).unwrap();
889
890        // And back to OrderAny
891        let order_any: OrderAny = stop_order_any.into();
892
893        // Verify properties are preserved
894        assert_eq!(order_any.order_type(), OrderType::TrailingStopMarket);
895        assert_eq!(order_any.quantity(), Quantity::from(10));
896        assert_eq!(order_any.trigger_price(), Some(Price::new(100.0, 2)));
897        assert_eq!(order_any.trailing_offset(), Some(dec!(0.5)));
898        assert_eq!(
899            order_any.trailing_offset_type(),
900            Some(TrailingOffsetType::NoTrailingOffset)
901        );
902    }
903
904    #[rstest]
905    fn test_trailing_stop_limit_order_conversion() {
906        // Create a trailing stop limit order
907        let trailing_stop_limit = OrderTestBuilder::new(OrderType::TrailingStopLimit)
908            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
909            .quantity(Quantity::from(10))
910            .price(Price::new(99.0, 2))
911            .trigger_price(Price::new(100.0, 2))
912            .limit_offset(Decimal::new(10, 1)) // 1.0
913            .trailing_offset(Decimal::new(5, 1)) // 0.5
914            .trailing_offset_type(TrailingOffsetType::NoTrailingOffset)
915            .build();
916
917        // Convert to LimitOrderAny
918        let limit_order_any = LimitOrderAny::try_from(trailing_stop_limit).unwrap();
919
920        // Check limit price
921        assert_eq!(limit_order_any.limit_px(), Price::new(99.0, 2));
922
923        // Convert back to OrderAny
924        let order_any: OrderAny = limit_order_any.into();
925
926        // Verify properties are preserved
927        assert_eq!(order_any.order_type(), OrderType::TrailingStopLimit);
928        assert_eq!(order_any.quantity(), Quantity::from(10));
929        assert_eq!(order_any.price(), Some(Price::new(99.0, 2)));
930        assert_eq!(order_any.trigger_price(), Some(Price::new(100.0, 2)));
931        assert_eq!(order_any.trailing_offset(), Some(dec!(0.5)));
932    }
933
934    #[rstest]
935    fn test_passive_order_any_to_any() {
936        // Create a limit order
937        let limit_order = OrderTestBuilder::new(OrderType::Limit)
938            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
939            .quantity(Quantity::from(10))
940            .price(Price::new(100.0, 2))
941            .build();
942
943        // Convert to PassiveOrderAny
944        let passive_order = PassiveOrderAny::try_from(limit_order).unwrap();
945
946        // Use to_any method
947        let order_any = passive_order.to_any();
948
949        // Verify it maintained its properties
950        assert_eq!(order_any.order_type(), OrderType::Limit);
951        assert_eq!(order_any.quantity(), Quantity::from(10));
952        assert_eq!(order_any.price(), Some(Price::new(100.0, 2)));
953    }
954}
nautilus_model/orders/any.rs

nautilus_model/orders/
any.rs
