nautilus_serialization/arrow/
order_event.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_model::events::{
17    OrderAccepted, OrderCancelRejected, OrderCanceled, OrderDenied, OrderEmulated, OrderExpired,
18    OrderFillVoided, OrderFilled, OrderInitialized, OrderModifyRejected, OrderPendingCancel,
19    OrderPendingUpdate, OrderRejected, OrderReleased, OrderSubmitted, OrderTriggered, OrderUpdated,
20};
21
22use super::json::{JsonFieldSpec, impl_json_arrow};
23
24const ORDER_INITIALIZED_FIELDS: &[JsonFieldSpec] = &[
25    JsonFieldSpec::utf8("trader_id", false),
26    JsonFieldSpec::utf8("strategy_id", false),
27    JsonFieldSpec::utf8("instrument_id", false),
28    JsonFieldSpec::utf8("client_order_id", false),
29    JsonFieldSpec::utf8("order_side", false),
30    JsonFieldSpec::utf8("order_type", false),
31    JsonFieldSpec::utf8("quantity", false),
32    JsonFieldSpec::utf8("time_in_force", false),
33    JsonFieldSpec::boolean("post_only", false),
34    JsonFieldSpec::boolean("reduce_only", false),
35    JsonFieldSpec::boolean("quote_quantity", false),
36    JsonFieldSpec::boolean("reconciliation", false),
37    JsonFieldSpec::utf8("event_id", false),
38    JsonFieldSpec::u64("ts_event", false),
39    JsonFieldSpec::u64("ts_init", false),
40    JsonFieldSpec::utf8("price", true),
41    JsonFieldSpec::utf8("trigger_price", true),
42    JsonFieldSpec::utf8("trigger_type", true),
43    JsonFieldSpec::utf8("limit_offset", true),
44    JsonFieldSpec::utf8("trailing_offset", true),
45    JsonFieldSpec::utf8("trailing_offset_type", true),
46    JsonFieldSpec::u64("expire_time", true),
47    JsonFieldSpec::utf8("display_qty", true),
48    JsonFieldSpec::utf8("emulation_trigger", true),
49    JsonFieldSpec::utf8("trigger_instrument_id", true),
50    JsonFieldSpec::utf8("contingency_type", true),
51    JsonFieldSpec::utf8("order_list_id", true),
52    JsonFieldSpec::utf8_json("linked_order_ids", true),
53    JsonFieldSpec::utf8("parent_order_id", true),
54    JsonFieldSpec::utf8("exec_algorithm_id", true),
55    JsonFieldSpec::utf8_json("exec_algorithm_params", true),
56    JsonFieldSpec::utf8("exec_spawn_id", true),
57    JsonFieldSpec::utf8_json("tags", true),
58    // Appended (not inserted) so older batches without this column fail with a clean
59    // `MissingColumn` error rather than silently reading a shifted column.
60    JsonFieldSpec::utf8("activation_price", true),
61];
62
63const ORDER_DENIED_FIELDS: &[JsonFieldSpec] = &[
64    JsonFieldSpec::utf8("trader_id", false),
65    JsonFieldSpec::utf8("strategy_id", false),
66    JsonFieldSpec::utf8("instrument_id", false),
67    JsonFieldSpec::utf8("client_order_id", false),
68    JsonFieldSpec::utf8("reason", false),
69    JsonFieldSpec::utf8("event_id", false),
70    JsonFieldSpec::u64("ts_event", false),
71    JsonFieldSpec::u64("ts_init", false),
72];
73
74const ORDER_EMULATED_FIELDS: &[JsonFieldSpec] = &[
75    JsonFieldSpec::utf8("trader_id", false),
76    JsonFieldSpec::utf8("strategy_id", false),
77    JsonFieldSpec::utf8("instrument_id", false),
78    JsonFieldSpec::utf8("client_order_id", false),
79    JsonFieldSpec::utf8("event_id", false),
80    JsonFieldSpec::u64("ts_event", false),
81    JsonFieldSpec::u64("ts_init", false),
82];
83
84const ORDER_SUBMITTED_FIELDS: &[JsonFieldSpec] = &[
85    JsonFieldSpec::utf8("trader_id", false),
86    JsonFieldSpec::utf8("strategy_id", false),
87    JsonFieldSpec::utf8("instrument_id", false),
88    JsonFieldSpec::utf8("client_order_id", false),
89    JsonFieldSpec::utf8("account_id", false),
90    JsonFieldSpec::utf8("event_id", false),
91    JsonFieldSpec::u64("ts_event", false),
92    JsonFieldSpec::u64("ts_init", false),
93];
94
95const ORDER_ACCEPTED_FIELDS: &[JsonFieldSpec] = &[
96    JsonFieldSpec::utf8("trader_id", false),
97    JsonFieldSpec::utf8("strategy_id", false),
98    JsonFieldSpec::utf8("instrument_id", false),
99    JsonFieldSpec::utf8("client_order_id", false),
100    JsonFieldSpec::utf8("venue_order_id", false),
101    JsonFieldSpec::utf8("account_id", false),
102    JsonFieldSpec::utf8("event_id", false),
103    JsonFieldSpec::u64("ts_event", false),
104    JsonFieldSpec::u64("ts_init", false),
105    JsonFieldSpec::boolean("reconciliation", false),
106];
107
108const ORDER_REJECTED_FIELDS: &[JsonFieldSpec] = &[
109    JsonFieldSpec::utf8("trader_id", false),
110    JsonFieldSpec::utf8("strategy_id", false),
111    JsonFieldSpec::utf8("instrument_id", false),
112    JsonFieldSpec::utf8("client_order_id", false),
113    JsonFieldSpec::utf8("account_id", false),
114    JsonFieldSpec::utf8("reason", false),
115    JsonFieldSpec::utf8("event_id", false),
116    JsonFieldSpec::u64("ts_event", false),
117    JsonFieldSpec::u64("ts_init", false),
118    JsonFieldSpec::boolean("reconciliation", false),
119    JsonFieldSpec::boolean("due_post_only", false),
120];
121
122const ORDER_PENDING_CANCEL_FIELDS: &[JsonFieldSpec] = &[
123    JsonFieldSpec::utf8("trader_id", false),
124    JsonFieldSpec::utf8("strategy_id", false),
125    JsonFieldSpec::utf8("instrument_id", false),
126    JsonFieldSpec::utf8("client_order_id", false),
127    JsonFieldSpec::utf8("account_id", true),
128    JsonFieldSpec::utf8("event_id", false),
129    JsonFieldSpec::u64("ts_event", false),
130    JsonFieldSpec::u64("ts_init", false),
131    JsonFieldSpec::boolean("reconciliation", false),
132    JsonFieldSpec::utf8("venue_order_id", true),
133];
134
135const ORDER_CANCELED_FIELDS: &[JsonFieldSpec] = &[
136    JsonFieldSpec::utf8("trader_id", false),
137    JsonFieldSpec::utf8("strategy_id", false),
138    JsonFieldSpec::utf8("instrument_id", false),
139    JsonFieldSpec::utf8("client_order_id", false),
140    JsonFieldSpec::utf8("event_id", false),
141    JsonFieldSpec::u64("ts_event", false),
142    JsonFieldSpec::u64("ts_init", false),
143    JsonFieldSpec::boolean("reconciliation", false),
144    JsonFieldSpec::utf8("venue_order_id", true),
145    JsonFieldSpec::utf8("account_id", true),
146];
147
148const ORDER_CANCEL_REJECTED_FIELDS: &[JsonFieldSpec] = &[
149    JsonFieldSpec::utf8("trader_id", false),
150    JsonFieldSpec::utf8("strategy_id", false),
151    JsonFieldSpec::utf8("instrument_id", false),
152    JsonFieldSpec::utf8("client_order_id", false),
153    JsonFieldSpec::utf8("reason", false),
154    JsonFieldSpec::utf8("event_id", false),
155    JsonFieldSpec::u64("ts_event", false),
156    JsonFieldSpec::u64("ts_init", false),
157    JsonFieldSpec::boolean("reconciliation", false),
158    JsonFieldSpec::utf8("venue_order_id", true),
159    JsonFieldSpec::utf8("account_id", true),
160];
161
162const ORDER_EXPIRED_FIELDS: &[JsonFieldSpec] = &[
163    JsonFieldSpec::utf8("trader_id", false),
164    JsonFieldSpec::utf8("strategy_id", false),
165    JsonFieldSpec::utf8("instrument_id", false),
166    JsonFieldSpec::utf8("client_order_id", false),
167    JsonFieldSpec::utf8("event_id", false),
168    JsonFieldSpec::u64("ts_event", false),
169    JsonFieldSpec::u64("ts_init", false),
170    JsonFieldSpec::boolean("reconciliation", false),
171    JsonFieldSpec::utf8("venue_order_id", true),
172    JsonFieldSpec::utf8("account_id", true),
173];
174
175const ORDER_TRIGGERED_FIELDS: &[JsonFieldSpec] = &[
176    JsonFieldSpec::utf8("trader_id", false),
177    JsonFieldSpec::utf8("strategy_id", false),
178    JsonFieldSpec::utf8("instrument_id", false),
179    JsonFieldSpec::utf8("client_order_id", false),
180    JsonFieldSpec::utf8("event_id", false),
181    JsonFieldSpec::u64("ts_event", false),
182    JsonFieldSpec::u64("ts_init", false),
183    JsonFieldSpec::boolean("reconciliation", false),
184    JsonFieldSpec::utf8("venue_order_id", true),
185    JsonFieldSpec::utf8("account_id", true),
186];
187
188const ORDER_PENDING_UPDATE_FIELDS: &[JsonFieldSpec] = &[
189    JsonFieldSpec::utf8("trader_id", false),
190    JsonFieldSpec::utf8("strategy_id", false),
191    JsonFieldSpec::utf8("instrument_id", false),
192    JsonFieldSpec::utf8("client_order_id", false),
193    JsonFieldSpec::utf8("account_id", true),
194    JsonFieldSpec::utf8("event_id", false),
195    JsonFieldSpec::u64("ts_event", false),
196    JsonFieldSpec::u64("ts_init", false),
197    JsonFieldSpec::boolean("reconciliation", false),
198    JsonFieldSpec::utf8("venue_order_id", true),
199];
200
201const ORDER_RELEASED_FIELDS: &[JsonFieldSpec] = &[
202    JsonFieldSpec::utf8("trader_id", false),
203    JsonFieldSpec::utf8("strategy_id", false),
204    JsonFieldSpec::utf8("instrument_id", false),
205    JsonFieldSpec::utf8("client_order_id", false),
206    JsonFieldSpec::utf8("released_price", false),
207    JsonFieldSpec::utf8("event_id", false),
208    JsonFieldSpec::u64("ts_event", false),
209    JsonFieldSpec::u64("ts_init", false),
210];
211
212const ORDER_MODIFY_REJECTED_FIELDS: &[JsonFieldSpec] = &[
213    JsonFieldSpec::utf8("trader_id", false),
214    JsonFieldSpec::utf8("strategy_id", false),
215    JsonFieldSpec::utf8("instrument_id", false),
216    JsonFieldSpec::utf8("client_order_id", false),
217    JsonFieldSpec::utf8("reason", false),
218    JsonFieldSpec::utf8("event_id", false),
219    JsonFieldSpec::u64("ts_event", false),
220    JsonFieldSpec::u64("ts_init", false),
221    JsonFieldSpec::boolean("reconciliation", false),
222    JsonFieldSpec::utf8("venue_order_id", true),
223    JsonFieldSpec::utf8("account_id", true),
224];
225
226const ORDER_UPDATED_FIELDS: &[JsonFieldSpec] = &[
227    JsonFieldSpec::utf8("trader_id", false),
228    JsonFieldSpec::utf8("strategy_id", false),
229    JsonFieldSpec::utf8("instrument_id", false),
230    JsonFieldSpec::utf8("client_order_id", false),
231    JsonFieldSpec::utf8("venue_order_id", true),
232    JsonFieldSpec::utf8("account_id", true),
233    JsonFieldSpec::utf8("quantity", false),
234    JsonFieldSpec::utf8("price", true),
235    JsonFieldSpec::utf8("trigger_price", true),
236    JsonFieldSpec::utf8("protection_price", true),
237    JsonFieldSpec::boolean("is_quote_quantity", false),
238    JsonFieldSpec::utf8("event_id", false),
239    JsonFieldSpec::u64("ts_event", false),
240    JsonFieldSpec::u64("ts_init", false),
241    JsonFieldSpec::boolean("reconciliation", false),
242];
243
244const ORDER_FILLED_FIELDS: &[JsonFieldSpec] = &[
245    JsonFieldSpec::utf8("trader_id", false),
246    JsonFieldSpec::utf8("strategy_id", false),
247    JsonFieldSpec::utf8("instrument_id", false),
248    JsonFieldSpec::utf8("client_order_id", false),
249    JsonFieldSpec::utf8("venue_order_id", false),
250    JsonFieldSpec::utf8("account_id", false),
251    JsonFieldSpec::utf8("trade_id", false),
252    JsonFieldSpec::utf8("order_side", false),
253    JsonFieldSpec::utf8("order_type", false),
254    JsonFieldSpec::utf8("last_qty", false),
255    JsonFieldSpec::utf8("last_px", false),
256    JsonFieldSpec::utf8("currency", false),
257    JsonFieldSpec::utf8("liquidity_side", false),
258    JsonFieldSpec::utf8("event_id", false),
259    JsonFieldSpec::u64("ts_event", false),
260    JsonFieldSpec::u64("ts_init", false),
261    JsonFieldSpec::boolean("reconciliation", false),
262    JsonFieldSpec::utf8("position_id", true),
263    JsonFieldSpec::utf8("commission", true),
264    JsonFieldSpec::utf8_json("info", true),
265];
266
267const ORDER_FILL_VOIDED_FIELDS: &[JsonFieldSpec] = &[
268    JsonFieldSpec::utf8("trader_id", false),
269    JsonFieldSpec::utf8("strategy_id", false),
270    JsonFieldSpec::utf8("instrument_id", false),
271    JsonFieldSpec::utf8("client_order_id", false),
272    JsonFieldSpec::utf8("venue_order_id", false),
273    JsonFieldSpec::utf8("account_id", false),
274    JsonFieldSpec::utf8("correction_id", false),
275    JsonFieldSpec::utf8("trade_id", false),
276    JsonFieldSpec::utf8("voided_qty", false),
277    JsonFieldSpec::utf8("commission_voided", true),
278    JsonFieldSpec::utf8("order_side", false),
279    JsonFieldSpec::utf8("order_type", false),
280    JsonFieldSpec::utf8("last_px", false),
281    JsonFieldSpec::utf8("currency", false),
282    JsonFieldSpec::utf8("liquidity_side", false),
283    JsonFieldSpec::utf8("position_id", true),
284    JsonFieldSpec::utf8("reason", true),
285    JsonFieldSpec::utf8_json("info", true),
286    JsonFieldSpec::utf8("event_id", false),
287    JsonFieldSpec::u64("ts_event", false),
288    JsonFieldSpec::u64("ts_init", false),
289    JsonFieldSpec::boolean("reconciliation", false),
290    JsonFieldSpec::boolean("is_reopened", false),
291    JsonFieldSpec::utf8("causation_id", true),
292];
293
294impl_json_arrow!(instrument OrderInitialized,
295    "OrderInitialized",
296    ORDER_INITIALIZED_FIELDS
297);
298impl_json_arrow!(instrument OrderDenied, "OrderDenied", ORDER_DENIED_FIELDS);
299impl_json_arrow!(instrument OrderEmulated, "OrderEmulated", ORDER_EMULATED_FIELDS);
300impl_json_arrow!(instrument OrderSubmitted, "OrderSubmitted", ORDER_SUBMITTED_FIELDS);
301impl_json_arrow!(instrument OrderAccepted, "OrderAccepted", ORDER_ACCEPTED_FIELDS);
302impl_json_arrow!(instrument OrderRejected, "OrderRejected", ORDER_REJECTED_FIELDS);
303impl_json_arrow!(instrument OrderPendingCancel,
304    "OrderPendingCancel",
305    ORDER_PENDING_CANCEL_FIELDS
306);
307impl_json_arrow!(instrument OrderCanceled, "OrderCanceled", ORDER_CANCELED_FIELDS);
308impl_json_arrow!(instrument OrderCancelRejected,
309    "OrderCancelRejected",
310    ORDER_CANCEL_REJECTED_FIELDS
311);
312impl_json_arrow!(instrument OrderExpired, "OrderExpired", ORDER_EXPIRED_FIELDS);
313impl_json_arrow!(instrument OrderTriggered, "OrderTriggered", ORDER_TRIGGERED_FIELDS);
314impl_json_arrow!(instrument OrderPendingUpdate,
315    "OrderPendingUpdate",
316    ORDER_PENDING_UPDATE_FIELDS
317);
318impl_json_arrow!(instrument OrderReleased, "OrderReleased", ORDER_RELEASED_FIELDS);
319impl_json_arrow!(instrument OrderModifyRejected,
320    "OrderModifyRejected",
321    ORDER_MODIFY_REJECTED_FIELDS
322);
323impl_json_arrow!(instrument OrderUpdated, "OrderUpdated", ORDER_UPDATED_FIELDS);
324impl_json_arrow!(instrument OrderFilled, "OrderFilled", ORDER_FILLED_FIELDS);
325impl_json_arrow!(instrument OrderFillVoided, "OrderFillVoided", ORDER_FILL_VOIDED_FIELDS);
326
327#[cfg(test)]
328mod tests {
329    use std::str::FromStr;
330
331    use indexmap::IndexMap;
332    use nautilus_core::UUID4;
333    use nautilus_model::{
334        events::order::{
335            spec::OrderFillVoidedSpec,
336            stubs::{
337                order_accepted, order_cancel_rejected, order_denied_max_submitted_rate,
338                order_emulated, order_expired, order_filled, order_initialized_buy_limit,
339                order_modify_rejected, order_pending_cancel, order_pending_update,
340                order_rejected_insufficient_margin, order_released, order_submitted,
341                order_triggered, order_updated,
342            },
343        },
344        identifiers::PositionId,
345        types::{Money, Quantity},
346    };
347    use rstest::rstest;
348    use rust_decimal::Decimal;
349    use ustr::Ustr;
350
351    use super::*;
352    use crate::arrow::{ArrowSchemaProvider, DecodeTypedFromRecordBatch, EncodeToRecordBatch};
353
354    #[rstest]
355    fn test_order_initialized_round_trip(order_initialized_buy_limit: OrderInitialized) {
356        let event = OrderInitialized {
357            limit_offset: Some(Decimal::from_str("0.123456789123456789").unwrap()),
358            trailing_offset: Some(Decimal::from_str("0.987654321987654321").unwrap()),
359            ..order_initialized_buy_limit
360        };
361        let metadata = event.metadata();
362        let batch =
363            OrderInitialized::encode_batch(&metadata, std::slice::from_ref(&event)).unwrap();
364        let decoded =
365            OrderInitialized::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
366
367        assert_eq!(decoded, vec![event]);
368    }
369
370    #[rstest]
371    fn test_order_filled_round_trip(order_filled: OrderFilled) {
372        let event = order_filled;
373        let metadata = event.metadata();
374        let batch = OrderFilled::encode_batch(&metadata, std::slice::from_ref(&event)).unwrap();
375        let decoded = OrderFilled::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
376
377        assert_eq!(decoded, vec![event]);
378    }
379
380    #[rstest]
381    fn test_order_fill_voided_round_trip() {
382        roundtrip(OrderFillVoidedSpec::builder().is_reopened(true).build());
383    }
384
385    #[rstest]
386    fn test_order_fill_voided_populated_optionals_round_trip() {
387        let mut event = OrderFillVoidedSpec::builder()
388            .voided_qty(Quantity::from("0.561000"))
389            .commission_voided(Money::from("12.20000000 USDT"))
390            .position_id(PositionId::from("P-001"))
391            .reason(Ustr::from("VENUE_VOID"))
392            .info(IndexMap::from([(Ustr::from("source"), Ustr::from("test"))]))
393            .is_reopened(true)
394            .build();
395        event.causation_id = Some(UUID4::new());
396
397        roundtrip(event);
398    }
399
400    fn roundtrip<T>(event: T)
401    where
402        T: ArrowSchemaProvider
403            + EncodeToRecordBatch
404            + DecodeTypedFromRecordBatch
405            + Clone
406            + PartialEq
407            + std::fmt::Debug,
408    {
409        let metadata = event.metadata();
410        let batch = T::encode_batch(&metadata, std::slice::from_ref(&event)).unwrap();
411        let decoded = T::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
412        assert_eq!(decoded, vec![event]);
413    }
414
415    #[rstest]
416    fn test_order_denied_round_trip(order_denied_max_submitted_rate: OrderDenied) {
417        roundtrip(order_denied_max_submitted_rate);
418    }
419
420    #[rstest]
421    fn test_order_submitted_round_trip(order_submitted: OrderSubmitted) {
422        roundtrip(order_submitted);
423    }
424
425    #[rstest]
426    fn test_order_accepted_round_trip(order_accepted: OrderAccepted) {
427        roundtrip(order_accepted);
428    }
429
430    #[rstest]
431    fn test_order_rejected_round_trip(order_rejected_insufficient_margin: OrderRejected) {
432        roundtrip(order_rejected_insufficient_margin);
433    }
434
435    #[rstest]
436    fn test_order_canceled_round_trip() {
437        use nautilus_model::events::OrderCanceled;
438        roundtrip(OrderCanceled::default());
439    }
440
441    #[rstest]
442    fn test_order_updated_round_trip(order_updated: OrderUpdated) {
443        roundtrip(order_updated);
444    }
445
446    #[rstest]
447    fn test_order_triggered_round_trip(order_triggered: OrderTriggered) {
448        roundtrip(order_triggered);
449    }
450
451    #[rstest]
452    fn test_order_expired_round_trip(order_expired: OrderExpired) {
453        roundtrip(order_expired);
454    }
455
456    #[rstest]
457    fn test_order_pending_update_round_trip(order_pending_update: OrderPendingUpdate) {
458        roundtrip(order_pending_update);
459    }
460
461    #[rstest]
462    fn test_order_pending_update_none_account_round_trip(order_pending_update: OrderPendingUpdate) {
463        roundtrip(OrderPendingUpdate {
464            account_id: None,
465            ..order_pending_update
466        });
467    }
468
469    #[rstest]
470    fn test_order_pending_cancel_round_trip(order_pending_cancel: OrderPendingCancel) {
471        roundtrip(order_pending_cancel);
472    }
473
474    #[rstest]
475    fn test_order_pending_cancel_none_account_round_trip(order_pending_cancel: OrderPendingCancel) {
476        roundtrip(OrderPendingCancel {
477            account_id: None,
478            ..order_pending_cancel
479        });
480    }
481
482    #[rstest]
483    fn test_order_cancel_rejected_round_trip(order_cancel_rejected: OrderCancelRejected) {
484        roundtrip(order_cancel_rejected);
485    }
486
487    #[rstest]
488    fn test_order_modify_rejected_round_trip(order_modify_rejected: OrderModifyRejected) {
489        roundtrip(order_modify_rejected);
490    }
491
492    #[rstest]
493    fn test_order_emulated_round_trip(order_emulated: OrderEmulated) {
494        roundtrip(order_emulated);
495    }
496
497    #[rstest]
498    fn test_order_released_round_trip(order_released: OrderReleased) {
499        roundtrip(order_released);
500    }
501}
nautilus_serialization/arrow/order_event.rs

nautilus_serialization/arrow/
order_event.rs
