tesser_execution/algorithm/
mod.rs

1//! Execution algorithms for algorithmic order placement.
2
3use anyhow::Result;
4use serde::{Deserialize, Serialize};
5use tesser_core::{Fill, Order, OrderRequest, OrderUpdateRequest, Tick};
6use uuid::Uuid;
7
8/// Actions generated by algorithms for managing their child orders.
9#[derive(Clone, Debug, Deserialize, Serialize)]
10pub enum ChildOrderAction {
11    /// Place a brand new child order.
12    Place(OrderRequest),
13    /// Amend an existing child order in-place.
14    Amend(OrderUpdateRequest),
15}
16
17/// Represents a child order request from an execution algorithm.
18#[derive(Clone, Debug, Deserialize, Serialize)]
19pub struct ChildOrderRequest {
20    /// ID of the parent algorithm that generated this request.
21    pub parent_algo_id: Uuid,
22    /// The action that should be performed.
23    pub action: ChildOrderAction,
24}
25
26/// Current status of an execution algorithm.
27#[derive(Clone, Debug, Deserialize, Eq, PartialEq, Serialize)]
28pub enum AlgoStatus {
29    /// Algorithm is actively working.
30    Working,
31    /// Algorithm has completed successfully.
32    Completed,
33    /// Algorithm has been cancelled.
34    Cancelled,
35    /// Algorithm failed with an error message.
36    Failed(String),
37}
38
39/// Trait defining the behavior of an execution algorithm.
40///
41/// Each execution algorithm is a stateful entity that responds to various events
42/// and generates child orders as needed. The algorithm maintains its own internal
43/// state and can be persisted and restored.
44pub trait ExecutionAlgorithm: Send + Sync {
45    /// Human-readable identifier for persistence/logging.
46    fn kind(&self) -> &'static str;
47
48    /// Returns the unique ID of this algorithm instance.
49    fn id(&self) -> &Uuid;
50
51    /// Returns the current status of the algorithm.
52    fn status(&self) -> AlgoStatus;
53
54    /// Start the algorithm and return any initial child orders.
55    fn start(&mut self) -> Result<Vec<ChildOrderRequest>>;
56
57    /// Called when a child order has been successfully placed.
58    fn on_child_order_placed(&mut self, order: &Order);
59
60    /// Called when a fill is received for one of this algorithm's child orders.
61    fn on_fill(&mut self, fill: &Fill) -> Result<Vec<ChildOrderRequest>>;
62
63    /// Bind a previously placed child order to the algorithm (used during recovery).
64    fn bind_child_order(&mut self, _order: Order) -> Result<()> {
65        Ok(())
66    }
67
68    /// Called when market tick data is received (mainly for VWAP algorithms).
69    fn on_tick(&mut self, tick: &Tick) -> Result<Vec<ChildOrderRequest>>;
70
71    /// Called when a timer event occurs (mainly for TWAP algorithms).
72    fn on_timer(&mut self) -> Result<Vec<ChildOrderRequest>>;
73
74    /// Request cancellation of the algorithm.
75    fn cancel(&mut self) -> Result<()>;
76
77    /// Return the current state for persistence.
78    fn state(&self) -> serde_json::Value;
79
80    /// Restore algorithm from persisted state.
81    fn from_state(state: serde_json::Value) -> Result<Self>
82    where
83        Self: Sized;
84}
85
86pub mod iceberg;
87pub mod pegged;
88pub mod twap;
89pub mod vwap;
90pub use iceberg::IcebergAlgorithm;
91pub use pegged::PeggedBestAlgorithm;
92pub use twap::TwapAlgorithm;
93pub use vwap::VwapAlgorithm;
94pub mod sniper;
95pub use sniper::SniperAlgorithm;
96pub mod trailing_stop;
97pub use trailing_stop::TrailingStopAlgorithm;
tesser_execution/algorithm/mod.rs

tesser_execution/algorithm/
mod.rs
