nautilus_model/orders/
market.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::{
17    fmt::Display,
18    ops::{Deref, DerefMut},
19};
20
21use indexmap::IndexMap;
22use nautilus_core::{
23    UUID4, UnixNanos,
24    correctness::{FAILED, check_predicate_false},
25};
26use rust_decimal::Decimal;
27use serde::{Deserialize, Serialize};
28use ustr::Ustr;
29
30use super::{Order, OrderAny, OrderCore};
31use crate::{
32    enums::{
33        ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSide,
34        TimeInForce, TrailingOffsetType, TriggerType,
35    },
36    events::{OrderEventAny, OrderInitialized, OrderUpdated},
37    identifiers::{
38        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
39        StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
40    },
41    orders::OrderError,
42    types::{Currency, Money, Price, Quantity, quantity::check_positive_quantity},
43};
44
45#[derive(Clone, Debug, Serialize, Deserialize)]
46#[cfg_attr(
47    feature = "python",
48    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model", from_py_object)
49)]
50#[cfg_attr(
51    feature = "python",
52    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
53)]
54pub struct MarketOrder {
55    core: OrderCore,
56    pub protection_price: Option<Price>,
57}
58
59impl MarketOrder {
60    /// Creates a new [`MarketOrder`] instance.
61    ///
62    /// # Errors
63    ///
64    /// Returns an error if:
65    /// - The `quantity` is not positive.
66    /// - The `time_in_force` is GTD (invalid for market orders).
67    #[expect(clippy::too_many_arguments)]
68    pub fn new_checked(
69        trader_id: TraderId,
70        strategy_id: StrategyId,
71        instrument_id: InstrumentId,
72        client_order_id: ClientOrderId,
73        order_side: OrderSide,
74        quantity: Quantity,
75        time_in_force: TimeInForce,
76        init_id: UUID4,
77        ts_init: UnixNanos,
78        reduce_only: bool,
79        quote_quantity: bool,
80        contingency_type: Option<ContingencyType>,
81        order_list_id: Option<OrderListId>,
82        linked_order_ids: Option<Vec<ClientOrderId>>,
83        parent_order_id: Option<ClientOrderId>,
84        exec_algorithm_id: Option<ExecAlgorithmId>,
85        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
86        exec_spawn_id: Option<ClientOrderId>,
87        tags: Option<Vec<Ustr>>,
88    ) -> Result<Self, OrderError> {
89        check_positive_quantity(quantity, stringify!(quantity))?;
90        check_predicate_false(
91            time_in_force == TimeInForce::Gtd,
92            "GTD not supported for Market orders",
93        )?;
94
95        let init_order = OrderInitialized::new(
96            trader_id,
97            strategy_id,
98            instrument_id,
99            client_order_id,
100            order_side,
101            OrderType::Market,
102            quantity,
103            time_in_force,
104            false,
105            reduce_only,
106            quote_quantity,
107            false,
108            init_id,
109            ts_init,
110            ts_init,
111            None,
112            None,
113            Some(TriggerType::NoTrigger),
114            None,
115            None,
116            None,
117            None,
118            None,
119            None,
120            None,
121            contingency_type,
122            order_list_id,
123            linked_order_ids,
124            parent_order_id,
125            exec_algorithm_id,
126            exec_algorithm_params,
127            exec_spawn_id,
128            tags,
129        );
130
131        Ok(Self {
132            core: OrderCore::new(init_order),
133            protection_price: None,
134        })
135    }
136
137    /// Creates a new [`MarketOrder`] instance.
138    ///
139    /// # Panics
140    ///
141    /// Panics if any order validation fails (see [`MarketOrder::new_checked`]).
142    #[expect(clippy::too_many_arguments)]
143    #[must_use]
144    pub fn new(
145        trader_id: TraderId,
146        strategy_id: StrategyId,
147        instrument_id: InstrumentId,
148        client_order_id: ClientOrderId,
149        order_side: OrderSide,
150        quantity: Quantity,
151        time_in_force: TimeInForce,
152        init_id: UUID4,
153        ts_init: UnixNanos,
154        reduce_only: bool,
155        quote_quantity: bool,
156        contingency_type: Option<ContingencyType>,
157        order_list_id: Option<OrderListId>,
158        linked_order_ids: Option<Vec<ClientOrderId>>,
159        parent_order_id: Option<ClientOrderId>,
160        exec_algorithm_id: Option<ExecAlgorithmId>,
161        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
162        exec_spawn_id: Option<ClientOrderId>,
163        tags: Option<Vec<Ustr>>,
164    ) -> Self {
165        Self::new_checked(
166            trader_id,
167            strategy_id,
168            instrument_id,
169            client_order_id,
170            order_side,
171            quantity,
172            time_in_force,
173            init_id,
174            ts_init,
175            reduce_only,
176            quote_quantity,
177            contingency_type,
178            order_list_id,
179            linked_order_ids,
180            parent_order_id,
181            exec_algorithm_id,
182            exec_algorithm_params,
183            exec_spawn_id,
184            tags,
185        )
186        .unwrap_or_else(|e| panic!("{FAILED}: {e}"))
187    }
188}
189
190impl Deref for MarketOrder {
191    type Target = OrderCore;
192
193    fn deref(&self) -> &Self::Target {
194        &self.core
195    }
196}
197
198impl DerefMut for MarketOrder {
199    fn deref_mut(&mut self) -> &mut Self::Target {
200        &mut self.core
201    }
202}
203
204impl PartialEq for MarketOrder {
205    fn eq(&self, other: &Self) -> bool {
206        self.client_order_id == other.client_order_id
207    }
208}
209
210impl Order for MarketOrder {
211    fn into_any(self) -> OrderAny {
212        OrderAny::Market(self)
213    }
214
215    fn status(&self) -> OrderStatus {
216        self.status
217    }
218
219    fn trader_id(&self) -> TraderId {
220        self.trader_id
221    }
222
223    fn strategy_id(&self) -> StrategyId {
224        self.strategy_id
225    }
226
227    fn instrument_id(&self) -> InstrumentId {
228        self.instrument_id
229    }
230
231    fn symbol(&self) -> Symbol {
232        self.instrument_id.symbol
233    }
234
235    fn venue(&self) -> Venue {
236        self.instrument_id.venue
237    }
238
239    fn client_order_id(&self) -> ClientOrderId {
240        self.client_order_id
241    }
242
243    fn venue_order_id(&self) -> Option<VenueOrderId> {
244        self.venue_order_id
245    }
246
247    fn position_id(&self) -> Option<PositionId> {
248        self.position_id
249    }
250
251    fn account_id(&self) -> Option<AccountId> {
252        self.account_id
253    }
254
255    fn last_trade_id(&self) -> Option<TradeId> {
256        self.last_trade_id
257    }
258
259    fn order_side(&self) -> OrderSide {
260        self.side
261    }
262
263    fn order_type(&self) -> OrderType {
264        self.order_type
265    }
266
267    fn quantity(&self) -> Quantity {
268        self.quantity
269    }
270
271    fn time_in_force(&self) -> TimeInForce {
272        self.time_in_force
273    }
274
275    fn expire_time(&self) -> Option<UnixNanos> {
276        None
277    }
278
279    fn price(&self) -> Option<Price> {
280        self.protection_price
281    }
282
283    fn trigger_price(&self) -> Option<Price> {
284        None
285    }
286
287    fn trigger_type(&self) -> Option<TriggerType> {
288        None
289    }
290
291    fn liquidity_side(&self) -> Option<LiquiditySide> {
292        self.liquidity_side
293    }
294
295    fn is_post_only(&self) -> bool {
296        false
297    }
298
299    fn is_reduce_only(&self) -> bool {
300        self.is_reduce_only
301    }
302
303    fn is_quote_quantity(&self) -> bool {
304        self.is_quote_quantity
305    }
306
307    fn has_price(&self) -> bool {
308        self.protection_price.is_some()
309    }
310
311    fn display_qty(&self) -> Option<Quantity> {
312        None
313    }
314
315    fn limit_offset(&self) -> Option<Decimal> {
316        None
317    }
318
319    fn trailing_offset(&self) -> Option<Decimal> {
320        None
321    }
322
323    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
324        None
325    }
326
327    fn emulation_trigger(&self) -> Option<TriggerType> {
328        None
329    }
330
331    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
332        None
333    }
334
335    fn contingency_type(&self) -> Option<ContingencyType> {
336        self.contingency_type
337    }
338
339    fn order_list_id(&self) -> Option<OrderListId> {
340        self.order_list_id
341    }
342
343    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
344        self.linked_order_ids.as_deref()
345    }
346
347    fn parent_order_id(&self) -> Option<ClientOrderId> {
348        self.parent_order_id
349    }
350
351    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
352        self.exec_algorithm_id
353    }
354
355    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
356        self.exec_algorithm_params.as_ref()
357    }
358
359    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
360        self.exec_spawn_id
361    }
362
363    fn tags(&self) -> Option<&[Ustr]> {
364        self.tags.as_deref()
365    }
366
367    fn filled_qty(&self) -> Quantity {
368        self.filled_qty
369    }
370
371    fn leaves_qty(&self) -> Quantity {
372        self.leaves_qty
373    }
374
375    fn overfill_qty(&self) -> Quantity {
376        self.overfill_qty
377    }
378
379    fn avg_px(&self) -> Option<f64> {
380        self.avg_px
381    }
382
383    fn slippage(&self) -> Option<f64> {
384        self.slippage
385    }
386
387    fn init_id(&self) -> UUID4 {
388        self.init_id
389    }
390
391    fn ts_init(&self) -> UnixNanos {
392        self.ts_init
393    }
394
395    fn ts_submitted(&self) -> Option<UnixNanos> {
396        self.ts_submitted
397    }
398
399    fn ts_accepted(&self) -> Option<UnixNanos> {
400        self.ts_accepted
401    }
402
403    fn ts_closed(&self) -> Option<UnixNanos> {
404        self.ts_closed
405    }
406
407    fn ts_last(&self) -> UnixNanos {
408        self.ts_last
409    }
410
411    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
412        self.core.apply(event.clone())?;
413
414        if let OrderEventAny::Updated(ref event) = event {
415            self.update(event);
416        }
417
418        Ok(())
419    }
420
421    fn update(&mut self, event: &OrderUpdated) {
422        assert!(event.price.is_none(), "{}", OrderError::InvalidOrderEvent);
423        assert!(
424            event.trigger_price.is_none(),
425            "{}",
426            OrderError::InvalidOrderEvent
427        );
428
429        if let Some(protection_price) = event.protection_price {
430            self.protection_price = Some(protection_price);
431        }
432        self.quantity = event.quantity;
433        self.leaves_qty = self.quantity.saturating_sub(self.filled_qty);
434    }
435
436    fn events(&self) -> Vec<&OrderEventAny> {
437        self.events.iter().collect()
438    }
439
440    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
441        self.venue_order_ids.iter().collect()
442    }
443
444    fn trade_ids(&self) -> Vec<&TradeId> {
445        self.trade_ids.iter().collect()
446    }
447
448    fn commissions(&self) -> &IndexMap<Currency, Money> {
449        &self.commissions
450    }
451
452    fn is_triggered(&self) -> Option<bool> {
453        None
454    }
455
456    fn set_position_id(&mut self, position_id: Option<PositionId>) {
457        self.position_id = position_id;
458    }
459
460    fn set_quantity(&mut self, quantity: Quantity) {
461        self.quantity = quantity;
462    }
463
464    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
465        self.leaves_qty = leaves_qty;
466    }
467
468    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
469        self.emulation_trigger = emulation_trigger;
470    }
471
472    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
473        self.is_quote_quantity = is_quote_quantity;
474    }
475
476    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
477        self.liquidity_side = Some(liquidity_side);
478    }
479
480    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
481        self.core.would_reduce_only(side, position_qty)
482    }
483
484    fn previous_status(&self) -> Option<OrderStatus> {
485        self.core.previous_status
486    }
487}
488
489impl Display for MarketOrder {
490    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
491        write!(
492            f,
493            "MarketOrder(\
494            {} {} {} @ {} {}, \
495            status={}, \
496            client_order_id={}, \
497            venue_order_id={}, \
498            position_id={}, \
499            exec_algorithm_id={}, \
500            exec_spawn_id={}, \
501            tags={:?}\
502            )",
503            self.side,
504            self.quantity.to_formatted_string(),
505            self.instrument_id,
506            self.order_type,
507            self.time_in_force,
508            self.status,
509            self.client_order_id,
510            self.venue_order_id.map_or_else(
511                || "None".to_string(),
512                |venue_order_id| format!("{venue_order_id}")
513            ),
514            self.position_id.map_or_else(
515                || "None".to_string(),
516                |position_id| format!("{position_id}")
517            ),
518            self.exec_algorithm_id
519                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
520            self.exec_spawn_id
521                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
522            self.tags
523        )
524    }
525}
526
527impl From<OrderInitialized> for MarketOrder {
528    fn from(event: OrderInitialized) -> Self {
529        Self::new(
530            event.trader_id,
531            event.strategy_id,
532            event.instrument_id,
533            event.client_order_id,
534            event.order_side,
535            event.quantity,
536            event.time_in_force,
537            event.event_id,
538            event.ts_event,
539            event.reduce_only,
540            event.quote_quantity,
541            event.contingency_type,
542            event.order_list_id,
543            event.linked_order_ids,
544            event.parent_order_id,
545            event.exec_algorithm_id,
546            event.exec_algorithm_params,
547            event.exec_spawn_id,
548            event.tags,
549        )
550    }
551}
552
553#[cfg(test)]
554mod tests {
555    use rstest::rstest;
556
557    use crate::{
558        enums::{OrderSide, OrderType, TimeInForce},
559        events::{OrderEventAny, OrderUpdated, order::spec::OrderInitializedSpec},
560        instruments::{CurrencyPair, stubs::*},
561        orders::{MarketOrder, Order, builder::OrderTestBuilder, stubs::TestOrderStubs},
562        types::{Price, Quantity},
563    };
564
565    #[rstest]
566    #[should_panic(
567        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
568    )]
569    fn test_positive_quantity_condition(audusd_sim: CurrencyPair) {
570        let _ = OrderTestBuilder::new(OrderType::Market)
571            .instrument_id(audusd_sim.id)
572            .side(OrderSide::Buy)
573            .quantity(Quantity::from(0))
574            .build();
575    }
576
577    #[rstest]
578    #[should_panic(expected = "GTD not supported for Market orders")]
579    fn test_gtd_condition(audusd_sim: CurrencyPair) {
580        let _ = OrderTestBuilder::new(OrderType::Market)
581            .instrument_id(audusd_sim.id)
582            .side(OrderSide::Buy)
583            .quantity(Quantity::from(100))
584            .time_in_force(TimeInForce::Gtd)
585            .build();
586    }
587    #[rstest]
588    fn test_market_order_creation(audusd_sim: CurrencyPair) {
589        // Create a MarketOrder with specific parameters
590        let order = OrderTestBuilder::new(OrderType::Market)
591            .instrument_id(audusd_sim.id)
592            .quantity(Quantity::from(10))
593            .side(OrderSide::Buy)
594            .time_in_force(TimeInForce::Ioc)
595            .build();
596
597        // Assert that the MarketOrder-specific fields are correctly set
598        assert_eq!(order.time_in_force(), TimeInForce::Ioc);
599        assert_eq!(order.order_type(), OrderType::Market);
600        assert!(order.price().is_none());
601    }
602
603    #[rstest]
604    fn test_market_order_update(audusd_sim: CurrencyPair) {
605        // Create and accept a basic MarketOrder
606        let order = OrderTestBuilder::new(OrderType::Market)
607            .instrument_id(audusd_sim.id)
608            .quantity(Quantity::from(10))
609            .side(OrderSide::Buy)
610            .build();
611
612        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
613
614        // Update with new values
615        let updated_quantity = Quantity::from(5);
616
617        let event = OrderUpdated {
618            client_order_id: accepted_order.client_order_id(),
619            strategy_id: accepted_order.strategy_id(),
620            quantity: updated_quantity,
621            ..Default::default()
622        };
623
624        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
625
626        // Verify updates were applied correctly
627        assert_eq!(accepted_order.quantity(), updated_quantity);
628    }
629
630    #[rstest]
631    fn test_market_order_from_order_initialized(audusd_sim: CurrencyPair) {
632        // Create an OrderInitialized event with all required fields for a MarketOrder
633        let order_initialized = OrderInitializedSpec::builder()
634            .order_type(OrderType::Market)
635            .instrument_id(audusd_sim.id)
636            .quantity(Quantity::from(10))
637            .order_side(OrderSide::Buy)
638            .build();
639
640        // Convert the OrderInitialized event into a MarketOrder
641        let order: MarketOrder = order_initialized.clone().into();
642
643        // Assert essential fields match the OrderInitialized fields
644        assert_eq!(order.trader_id(), order_initialized.trader_id);
645        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
646        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
647        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
648        assert_eq!(order.order_side(), order_initialized.order_side);
649        assert_eq!(order.quantity(), order_initialized.quantity);
650    }
651
652    #[rstest]
653    #[should_panic(
654        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
655    )]
656    fn test_market_order_invalid_quantity(audusd_sim: CurrencyPair) {
657        let _ = OrderTestBuilder::new(OrderType::Market)
658            .instrument_id(audusd_sim.id)
659            .quantity(Quantity::from(0))
660            .side(OrderSide::Buy)
661            .build();
662    }
663
664    #[rstest]
665    fn test_display(audusd_sim: CurrencyPair) {
666        let order = OrderTestBuilder::new(OrderType::Market)
667            .instrument_id(audusd_sim.id)
668            .quantity(Quantity::from(10))
669            .side(OrderSide::Buy)
670            .build();
671
672        // Assert that the display method returns a string representation of the order
673        assert_eq!(
674            order.to_string(),
675            format!(
676                "MarketOrder({} {} {} @ {} {}, status=INITIALIZED, client_order_id={}, venue_order_id=None, position_id=None, exec_algorithm_id=None, exec_spawn_id=None, tags=None)",
677                order.order_side(),
678                order.quantity().to_formatted_string(),
679                order.instrument_id(),
680                order.order_type(),
681                order.time_in_force(),
682                order.client_order_id()
683            )
684        );
685    }
686
687    #[rstest]
688    fn test_stop_market_order_protection_price_update(audusd_sim: CurrencyPair) {
689        // Create and accept a basic MarketOrder
690        let order = OrderTestBuilder::new(OrderType::Market)
691            .instrument_id(audusd_sim.id)
692            .quantity(Quantity::from(10))
693            .side(OrderSide::Buy)
694            .build();
695
696        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
697
698        // Update with new values
699        let calculated_protection_price = Price::new(95.0, 2);
700
701        let event = OrderUpdated {
702            client_order_id: accepted_order.client_order_id(),
703            strategy_id: accepted_order.strategy_id(),
704            protection_price: Some(calculated_protection_price),
705            ..Default::default()
706        };
707
708        assert_eq!(accepted_order.price(), None);
709        assert!(!accepted_order.has_price());
710
711        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
712
713        // Verify updates were applied correctly
714        assert_eq!(accepted_order.price(), Some(calculated_protection_price));
715        assert!(accepted_order.has_price());
716    }
717}
nautilus_model/orders/market.rs

nautilus_model/orders/
market.rs
