nautilus_serialization/arrow/
position_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::{PositionAdjusted, PositionChanged, PositionClosed, PositionOpened};
17
18use super::json::{JsonFieldSpec, impl_json_arrow};
19
20const POSITION_OPENED_FIELDS: &[JsonFieldSpec] = &[
21    JsonFieldSpec::utf8("trader_id", false),
22    JsonFieldSpec::utf8("strategy_id", false),
23    JsonFieldSpec::utf8("instrument_id", false),
24    JsonFieldSpec::utf8("position_id", false),
25    JsonFieldSpec::utf8("account_id", false),
26    JsonFieldSpec::utf8("opening_order_id", false),
27    JsonFieldSpec::utf8("entry", false),
28    JsonFieldSpec::utf8("side", false),
29    JsonFieldSpec::f64("signed_qty", false),
30    JsonFieldSpec::utf8("quantity", false),
31    JsonFieldSpec::utf8("last_qty", false),
32    JsonFieldSpec::utf8("last_px", false),
33    JsonFieldSpec::utf8("currency", false),
34    JsonFieldSpec::f64("avg_px_open", false),
35    JsonFieldSpec::utf8("realized_pnl", true),
36    JsonFieldSpec::utf8("event_id", false),
37    JsonFieldSpec::u64("ts_event", false),
38    JsonFieldSpec::u64("ts_init", false),
39];
40
41const POSITION_CHANGED_FIELDS: &[JsonFieldSpec] = &[
42    JsonFieldSpec::utf8("trader_id", false),
43    JsonFieldSpec::utf8("strategy_id", false),
44    JsonFieldSpec::utf8("instrument_id", false),
45    JsonFieldSpec::utf8("position_id", false),
46    JsonFieldSpec::utf8("account_id", false),
47    JsonFieldSpec::utf8("opening_order_id", false),
48    JsonFieldSpec::utf8("entry", false),
49    JsonFieldSpec::utf8("side", false),
50    JsonFieldSpec::f64("signed_qty", false),
51    JsonFieldSpec::utf8("quantity", false),
52    JsonFieldSpec::utf8("peak_quantity", false),
53    JsonFieldSpec::utf8("last_qty", false),
54    JsonFieldSpec::utf8("last_px", false),
55    JsonFieldSpec::utf8("currency", false),
56    JsonFieldSpec::f64("avg_px_open", false),
57    JsonFieldSpec::f64("avg_px_close", true),
58    JsonFieldSpec::f64("realized_return", false),
59    JsonFieldSpec::utf8("realized_pnl", true),
60    JsonFieldSpec::utf8("unrealized_pnl", false),
61    JsonFieldSpec::utf8("event_id", false),
62    JsonFieldSpec::u64("ts_opened", false),
63    JsonFieldSpec::u64("ts_event", false),
64    JsonFieldSpec::u64("ts_init", false),
65];
66
67const POSITION_CLOSED_FIELDS: &[JsonFieldSpec] = &[
68    JsonFieldSpec::utf8("trader_id", false),
69    JsonFieldSpec::utf8("strategy_id", false),
70    JsonFieldSpec::utf8("instrument_id", false),
71    JsonFieldSpec::utf8("position_id", false),
72    JsonFieldSpec::utf8("account_id", false),
73    JsonFieldSpec::utf8("opening_order_id", false),
74    JsonFieldSpec::utf8("closing_order_id", true),
75    JsonFieldSpec::utf8("entry", false),
76    JsonFieldSpec::utf8("side", false),
77    JsonFieldSpec::f64("signed_qty", false),
78    JsonFieldSpec::utf8("quantity", false),
79    JsonFieldSpec::utf8("peak_quantity", false),
80    JsonFieldSpec::utf8("last_qty", false),
81    JsonFieldSpec::utf8("last_px", false),
82    JsonFieldSpec::utf8("currency", false),
83    JsonFieldSpec::f64("avg_px_open", false),
84    JsonFieldSpec::f64("avg_px_close", true),
85    JsonFieldSpec::f64("realized_return", false),
86    JsonFieldSpec::utf8("realized_pnl", true),
87    JsonFieldSpec::utf8("unrealized_pnl", false),
88    JsonFieldSpec::u64("duration", false),
89    JsonFieldSpec::utf8("event_id", false),
90    JsonFieldSpec::u64("ts_opened", false),
91    JsonFieldSpec::u64("ts_closed", true),
92    JsonFieldSpec::u64("ts_event", false),
93    JsonFieldSpec::u64("ts_init", false),
94];
95
96const POSITION_ADJUSTED_FIELDS: &[JsonFieldSpec] = &[
97    JsonFieldSpec::utf8("trader_id", false),
98    JsonFieldSpec::utf8("strategy_id", false),
99    JsonFieldSpec::utf8("instrument_id", false),
100    JsonFieldSpec::utf8("position_id", false),
101    JsonFieldSpec::utf8("account_id", false),
102    JsonFieldSpec::utf8("adjustment_type", false),
103    JsonFieldSpec::utf8("quantity_change", true),
104    JsonFieldSpec::utf8("pnl_change", true),
105    JsonFieldSpec::utf8("reason", true),
106    JsonFieldSpec::utf8("event_id", false),
107    JsonFieldSpec::u64("ts_event", false),
108    JsonFieldSpec::u64("ts_init", false),
109];
110
111impl_json_arrow!(instrument PositionOpened, "PositionOpened", POSITION_OPENED_FIELDS);
112impl_json_arrow!(instrument PositionChanged, "PositionChanged", POSITION_CHANGED_FIELDS);
113impl_json_arrow!(instrument PositionClosed, "PositionClosed", POSITION_CLOSED_FIELDS);
114impl_json_arrow!(instrument PositionAdjusted,
115    "PositionAdjusted",
116    POSITION_ADJUSTED_FIELDS
117);
118
119#[cfg(test)]
120mod tests {
121    use std::str::FromStr;
122
123    use nautilus_core::{DurationNanos, UUID4, UnixNanos};
124    use nautilus_model::{
125        enums::{OrderSide, PositionAdjustmentType, PositionSide},
126        identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TraderId},
127        types::{Currency, Money, Price, Quantity},
128    };
129    use rstest::rstest;
130    use rust_decimal::Decimal;
131    use ustr::Ustr;
132
133    use super::*;
134    use crate::arrow::{DecodeTypedFromRecordBatch, EncodeToRecordBatch};
135
136    #[rstest]
137    fn test_position_adjusted_round_trip() {
138        let event = PositionAdjusted::new(
139            TraderId::from("TRADER-001"),
140            StrategyId::from("EMA-CROSS"),
141            InstrumentId::from("BTCUSDT.BINANCE"),
142            PositionId::from("P-001"),
143            AccountId::from("BINANCE-001"),
144            PositionAdjustmentType::Funding,
145            Some(Decimal::from_str("-0.123456789123456789").unwrap()),
146            Some(Money::new(-5.50, Currency::USD())),
147            Some(Ustr::from("funding_2024_01_15_08:00")),
148            UUID4::default(),
149            UnixNanos::from(1_000_000_000),
150            UnixNanos::from(2_000_000_000),
151        );
152        let metadata = event.metadata();
153        let batch = PositionAdjusted::encode_batch(&metadata, &[event]).unwrap();
154        let decoded =
155            PositionAdjusted::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
156
157        assert_eq!(decoded, vec![event]);
158    }
159
160    #[rstest]
161    fn test_position_opened_round_trip() {
162        let event = PositionOpened {
163            trader_id: TraderId::from("TRADER-001"),
164            strategy_id: StrategyId::from("EMA-CROSS"),
165            instrument_id: InstrumentId::from("EURUSD.SIM"),
166            position_id: PositionId::from("P-001"),
167            account_id: AccountId::from("SIM-001"),
168            opening_order_id: ClientOrderId::from("O-19700101-000000-001-001-1"),
169            entry: OrderSide::Buy,
170            side: PositionSide::Long,
171            signed_qty: 150.0,
172            quantity: Quantity::from("150"),
173            last_qty: Quantity::from("150"),
174            last_px: Price::from("1.0525"),
175            currency: Currency::USD(),
176            avg_px_open: 1.0525,
177            realized_pnl: Some(Money::new(-1.25, Currency::USD())),
178            event_id: UUID4::default(),
179            ts_event: UnixNanos::from(1_000_000_000),
180            ts_init: UnixNanos::from(1_000_000_001),
181        };
182        let metadata = event.metadata();
183        let batch = PositionOpened::encode_batch(&metadata, std::slice::from_ref(&event)).unwrap();
184        let decoded = PositionOpened::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
185
186        assert_eq!(decoded, vec![event]);
187    }
188
189    #[rstest]
190    fn test_position_changed_round_trip() {
191        let event = PositionChanged {
192            trader_id: TraderId::from("TRADER-001"),
193            strategy_id: StrategyId::from("EMA-CROSS"),
194            instrument_id: InstrumentId::from("EURUSD.SIM"),
195            position_id: PositionId::from("P-001"),
196            account_id: AccountId::from("SIM-001"),
197            opening_order_id: ClientOrderId::from("O-19700101-000000-001-001-1"),
198            entry: OrderSide::Buy,
199            side: PositionSide::Long,
200            signed_qty: 300.0,
201            quantity: Quantity::from("300"),
202            peak_quantity: Quantity::from("300"),
203            last_qty: Quantity::from("150"),
204            last_px: Price::from("1.0600"),
205            currency: Currency::USD(),
206            avg_px_open: 1.0562,
207            avg_px_close: None,
208            realized_return: 0.0,
209            realized_pnl: None,
210            unrealized_pnl: Money::new(56.25, Currency::USD()),
211            event_id: UUID4::default(),
212            ts_opened: UnixNanos::from(1_000_000_000),
213            ts_event: UnixNanos::from(2_000_000_000),
214            ts_init: UnixNanos::from(2_000_000_001),
215        };
216        let metadata = event.metadata();
217        let batch = PositionChanged::encode_batch(&metadata, std::slice::from_ref(&event)).unwrap();
218        let decoded =
219            PositionChanged::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
220
221        assert_eq!(decoded, vec![event]);
222    }
223
224    #[rstest]
225    fn test_position_closed_round_trip() {
226        let event = PositionClosed {
227            trader_id: TraderId::from("TRADER-001"),
228            strategy_id: StrategyId::from("EMA-CROSS"),
229            instrument_id: InstrumentId::from("EURUSD.SIM"),
230            position_id: PositionId::from("P-001"),
231            account_id: AccountId::from("SIM-001"),
232            opening_order_id: ClientOrderId::from("O-19700101-000000-001-001-1"),
233            closing_order_id: Some(ClientOrderId::from("O-19700101-000000-001-001-2")),
234            entry: OrderSide::Buy,
235            side: PositionSide::Flat,
236            signed_qty: 0.0,
237            quantity: Quantity::from("0"),
238            peak_quantity: Quantity::from("150"),
239            last_qty: Quantity::from("150"),
240            last_px: Price::from("1.0600"),
241            currency: Currency::USD(),
242            avg_px_open: 1.0525,
243            avg_px_close: Some(1.0600),
244            realized_return: 0.0071,
245            realized_pnl: Some(Money::new(112.50, Currency::USD())),
246            unrealized_pnl: Money::new(0.0, Currency::USD()),
247            duration: DurationNanos::from_hours(1),
248            event_id: UUID4::default(),
249            ts_opened: UnixNanos::from(1_000_000_000),
250            ts_closed: Some(UnixNanos::from(4_600_000_000)),
251            ts_event: UnixNanos::from(4_600_000_000),
252            ts_init: UnixNanos::from(5_000_000_000),
253        };
254        let metadata = event.metadata();
255        let batch = PositionClosed::encode_batch(&metadata, std::slice::from_ref(&event)).unwrap();
256        let decoded = PositionClosed::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
257
258        assert_eq!(decoded, vec![event]);
259    }
260}
nautilus_serialization/arrow/position_event.rs

nautilus_serialization/arrow/
position_event.rs
