nautilus_model/events/position/
changed.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 nautilus_core::{UUID4, UnixNanos};
17use serde::{Deserialize, Serialize};
18
19use crate::{
20    enums::{OrderSide, PositionSide},
21    events::OrderFilled,
22    identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TraderId},
23    position::Position,
24    types::{Currency, Money, Price, Quantity},
25};
26
27/// Represents an event where a position has changed.
28#[repr(C)]
29#[derive(Clone, PartialEq, Debug, Serialize, Deserialize)]
30#[cfg_attr(
31    feature = "python",
32    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model", from_py_object)
33)]
34#[cfg_attr(
35    feature = "python",
36    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
37)]
38pub struct PositionChanged {
39    /// The trader ID associated with the event.
40    pub trader_id: TraderId,
41    /// The strategy ID associated with the event.
42    pub strategy_id: StrategyId,
43    /// The instrument ID associated with the event.
44    pub instrument_id: InstrumentId,
45    /// The position ID associated with the event.
46    pub position_id: PositionId,
47    /// The account ID associated with the position.
48    pub account_id: AccountId,
49    /// The client order ID for the order which opened the position.
50    pub opening_order_id: ClientOrderId,
51    /// The position entry order side.
52    pub entry: OrderSide,
53    /// The position side.
54    pub side: PositionSide,
55    /// The current signed quantity (positive for position side `LONG`, negative for `SHORT`).
56    pub signed_qty: f64,
57    /// The current open quantity.
58    pub quantity: Quantity,
59    /// The peak directional quantity reached by the position.
60    pub peak_quantity: Quantity,
61    /// The last fill quantity for the position.
62    pub last_qty: Quantity,
63    /// The last fill price for the position.
64    pub last_px: Price,
65    /// The position quote currency.
66    pub currency: Currency,
67    /// The average open price.
68    pub avg_px_open: f64,
69    /// The average close price.
70    pub avg_px_close: Option<f64>,
71    /// The realized return for the position.
72    pub realized_return: f64,
73    /// The realized PnL for the position (including commissions).
74    pub realized_pnl: Option<Money>,
75    /// The unrealized PnL for the position (including commissions).
76    pub unrealized_pnl: Money,
77    /// The unique identifier for the event.
78    pub event_id: UUID4,
79    /// UNIX timestamp (nanoseconds) when the position was opened.
80    pub ts_opened: UnixNanos,
81    /// UNIX timestamp (nanoseconds) when the event occurred.
82    pub ts_event: UnixNanos,
83    /// UNIX timestamp (nanoseconds) when the event was initialized.
84    pub ts_init: UnixNanos,
85}
86
87impl PositionChanged {
88    #[must_use]
89    pub fn create(
90        position: &Position,
91        fill: &OrderFilled,
92        event_id: UUID4,
93        ts_init: UnixNanos,
94    ) -> Self {
95        Self {
96            trader_id: position.trader_id,
97            strategy_id: position.strategy_id,
98            instrument_id: position.instrument_id,
99            position_id: position.id,
100            account_id: position.account_id,
101            opening_order_id: position.opening_order_id,
102            entry: position.entry,
103            side: position.side,
104            signed_qty: position.signed_qty,
105            quantity: position.quantity,
106            peak_quantity: position.peak_qty,
107            last_qty: fill.last_qty,
108            last_px: fill.last_px,
109            currency: position.quote_currency,
110            avg_px_open: position.avg_px_open,
111            avg_px_close: position.avg_px_close,
112            realized_return: position.realized_return,
113            realized_pnl: position.realized_pnl,
114            unrealized_pnl: Money::new(0.0, position.quote_currency),
115            event_id,
116            ts_opened: position.ts_opened,
117            ts_event: fill.ts_event,
118            ts_init,
119        }
120    }
121}
122
123#[cfg(test)]
124mod tests {
125    use nautilus_core::UnixNanos;
126    use rstest::*;
127
128    use super::*;
129    use crate::{
130        enums::{LiquiditySide, OrderSide, OrderType, PositionSide},
131        events::OrderFilled,
132        identifiers::{
133            AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TradeId, TraderId,
134            VenueOrderId,
135        },
136        instruments::{InstrumentAny, stubs::audusd_sim},
137        position::Position,
138        types::{Currency, Money, Price, Quantity},
139    };
140
141    fn create_test_position_changed() -> PositionChanged {
142        PositionChanged {
143            trader_id: TraderId::from("TRADER-001"),
144            strategy_id: StrategyId::from("EMA-CROSS"),
145            instrument_id: InstrumentId::from("EURUSD.SIM"),
146            position_id: PositionId::from("P-001"),
147            account_id: AccountId::from("SIM-001"),
148            opening_order_id: ClientOrderId::from("O-19700101-000000-001-001-1"),
149            entry: OrderSide::Buy,
150            side: PositionSide::Long,
151            signed_qty: 150.0,
152            quantity: Quantity::from("150"),
153            peak_quantity: Quantity::from("150"),
154            last_qty: Quantity::from("50"),
155            last_px: Price::from("1.0550"),
156            currency: Currency::USD(),
157            avg_px_open: 1.0525,
158            avg_px_close: None,
159            realized_return: 0.0,
160            realized_pnl: None,
161            unrealized_pnl: Money::new(75.0, Currency::USD()),
162            event_id: UUID4::default(),
163            ts_opened: UnixNanos::from(1_000_000_000),
164            ts_event: UnixNanos::from(1_500_000_000),
165            ts_init: UnixNanos::from(2_500_000_000),
166        }
167    }
168
169    fn create_test_order_filled() -> OrderFilled {
170        OrderFilled::new(
171            TraderId::from("TRADER-001"),
172            StrategyId::from("EMA-CROSS"),
173            InstrumentId::from("AUD/USD.SIM"),
174            ClientOrderId::from("O-19700101-000000-001-001-2"),
175            VenueOrderId::from("2"),
176            AccountId::from("SIM-001"),
177            TradeId::from("T-002"),
178            OrderSide::Buy,
179            OrderType::Market,
180            Quantity::from("50"),
181            Price::from("0.8050"),
182            Currency::USD(),
183            LiquiditySide::Taker,
184            UUID4::default(),
185            UnixNanos::from(1_500_000_000),
186            UnixNanos::from(2_500_000_000),
187            false,
188            Some(PositionId::from("P-001")),
189            Some(Money::new(1.0, Currency::USD())),
190        )
191    }
192
193    #[rstest]
194    fn test_position_changed_create() {
195        let instrument = audusd_sim();
196        let initial_fill = OrderFilled::new(
197            TraderId::from("TRADER-001"),
198            StrategyId::from("EMA-CROSS"),
199            InstrumentId::from("AUD/USD.SIM"),
200            ClientOrderId::from("O-19700101-000000-001-001-1"),
201            VenueOrderId::from("1"),
202            AccountId::from("SIM-001"),
203            TradeId::from("T-001"),
204            OrderSide::Buy,
205            OrderType::Market,
206            Quantity::from("100"),
207            Price::from("0.8000"),
208            Currency::USD(),
209            LiquiditySide::Taker,
210            UUID4::default(),
211            UnixNanos::from(1_000_000_000),
212            UnixNanos::from(2_000_000_000),
213            false,
214            Some(PositionId::from("P-001")),
215            Some(Money::new(2.0, Currency::USD())),
216        );
217
218        let position = Position::new(&InstrumentAny::CurrencyPair(instrument), initial_fill);
219        let change_fill = create_test_order_filled();
220        let event_id = UUID4::default();
221        let ts_init = UnixNanos::from(3_000_000_000);
222
223        let position_changed = PositionChanged::create(&position, &change_fill, event_id, ts_init);
224
225        assert_eq!(position_changed.trader_id, position.trader_id);
226        assert_eq!(position_changed.strategy_id, position.strategy_id);
227        assert_eq!(position_changed.instrument_id, position.instrument_id);
228        assert_eq!(position_changed.position_id, position.id);
229        assert_eq!(position_changed.account_id, position.account_id);
230        assert_eq!(position_changed.opening_order_id, position.opening_order_id);
231        assert_eq!(position_changed.entry, position.entry);
232        assert_eq!(position_changed.side, position.side);
233        assert_eq!(position_changed.signed_qty, position.signed_qty);
234        assert_eq!(position_changed.quantity, position.quantity);
235        assert_eq!(position_changed.peak_quantity, position.peak_qty);
236        assert_eq!(position_changed.last_qty, change_fill.last_qty);
237        assert_eq!(position_changed.last_px, change_fill.last_px);
238        assert_eq!(position_changed.currency, position.quote_currency);
239        assert_eq!(position_changed.avg_px_open, position.avg_px_open);
240        assert_eq!(position_changed.avg_px_close, position.avg_px_close);
241        assert_eq!(position_changed.realized_return, position.realized_return);
242        assert_eq!(position_changed.realized_pnl, position.realized_pnl);
243        assert_eq!(
244            position_changed.unrealized_pnl,
245            Money::new(0.0, position.quote_currency)
246        );
247        assert_eq!(position_changed.event_id, event_id);
248        assert_eq!(position_changed.ts_opened, position.ts_opened);
249        assert_eq!(position_changed.ts_event, change_fill.ts_event);
250        assert_eq!(position_changed.ts_init, ts_init);
251    }
252
253    #[rstest]
254    fn test_position_changed_different_sides() {
255        let mut long_position = create_test_position_changed();
256        long_position.side = PositionSide::Long;
257        long_position.signed_qty = 150.0;
258
259        let mut short_position = create_test_position_changed();
260        short_position.side = PositionSide::Short;
261        short_position.signed_qty = -150.0;
262
263        assert_eq!(long_position.side, PositionSide::Long);
264        assert_eq!(long_position.signed_qty, 150.0);
265
266        assert_eq!(short_position.side, PositionSide::Short);
267        assert_eq!(short_position.signed_qty, -150.0);
268    }
269}
nautilus_model/events/position/changed.rs

nautilus_model/events/position/
changed.rs
