nautilus_execution/matching_engine/
ids_generator.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::{cell::RefCell, fmt::Debug, rc::Rc};
17
18use nautilus_common::cache::Cache;
19use nautilus_core::{UUID4, UnixNanos};
20use nautilus_model::{
21    enums::OmsType,
22    identifiers::{PositionId, TradeId, Venue, VenueOrderId},
23    orders::{Order, OrderAny},
24};
25
26// FNV-1a 64-bit constants (see http://www.isthe.com/chongo/tech/comp/fnv/).
27const FNV_OFFSET_BASIS: u64 = 0xcbf2_9ce4_8422_2325;
28const FNV_PRIME: u64 = 0x0100_0000_01b3;
29
30pub struct IdsGenerator {
31    venue: Venue,
32    raw_id: u32,
33    oms_type: OmsType,
34    use_random_ids: bool,
35    use_position_ids: bool,
36    cache: Rc<RefCell<Cache>>,
37    position_count: usize,
38    order_count: usize,
39    execution_count: usize,
40}
41
42impl Debug for IdsGenerator {
43    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
44        f.debug_struct(stringify!(IdsGenerator))
45            .field("venue", &self.venue)
46            .field("raw_id", &self.raw_id)
47            .finish()
48    }
49}
50
51impl IdsGenerator {
52    pub const fn new(
53        venue: Venue,
54        oms_type: OmsType,
55        raw_id: u32,
56        use_random_ids: bool,
57        use_position_ids: bool,
58        cache: Rc<RefCell<Cache>>,
59    ) -> Self {
60        Self {
61            venue,
62            raw_id,
63            oms_type,
64            cache,
65            use_random_ids,
66            use_position_ids,
67            position_count: 0,
68            order_count: 0,
69            execution_count: 0,
70        }
71    }
72
73    pub const fn reset(&mut self) {
74        self.position_count = 0;
75        self.order_count = 0;
76        self.execution_count = 0;
77    }
78
79    /// Retrieves or generates a unique venue order ID for the given order.
80    ///
81    /// # Errors
82    ///
83    /// Returns an error if ID generation fails.
84    pub fn get_venue_order_id(&mut self, order: &OrderAny) -> anyhow::Result<VenueOrderId> {
85        // check existing on order
86        if let Some(venue_order_id) = order.venue_order_id() {
87            return Ok(venue_order_id);
88        }
89
90        // check existing in cache
91        if let Some(venue_order_id) = self.cache.borrow().venue_order_id(&order.client_order_id()) {
92            return Ok(venue_order_id.to_owned());
93        }
94
95        let venue_order_id = self.generate_venue_order_id();
96        self.cache.borrow_mut().add_venue_order_id(
97            &order.client_order_id(),
98            &venue_order_id,
99            false,
100        )?;
101        Ok(venue_order_id)
102    }
103
104    /// Retrieves or generates a position ID for the given order.
105    ///
106    /// # Panics
107    ///
108    /// Panics if `generate` is `Some(true)` but no cached position ID is available.
109    pub fn get_position_id(
110        &mut self,
111        order: &OrderAny,
112        generate: Option<bool>,
113    ) -> Option<PositionId> {
114        let generate = generate.unwrap_or(true);
115
116        if self.oms_type == OmsType::Hedging {
117            {
118                let cache = self.cache.as_ref().borrow();
119                let position_id_result = cache.position_id(&order.client_order_id());
120                if let Some(position_id) = position_id_result {
121                    return Some(position_id.to_owned());
122                }
123            }
124
125            if generate {
126                self.generate_venue_position_id()
127            } else {
128                panic!(
129                    "Position id should be generated. Hedging Oms type order matching engine doesn't exist in cache."
130                )
131            }
132        } else {
133            // Netting OMS (position id will be derived from instrument and strategy)
134            let cache = self.cache.as_ref().borrow();
135            let positions_open =
136                cache.positions_open(None, Some(&order.instrument_id()), None, None, None);
137            if positions_open.is_empty() {
138                None
139            } else {
140                Some(positions_open[0].id)
141            }
142        }
143    }
144
145    pub fn generate_trade_id(&mut self, ts_init: UnixNanos) -> TradeId {
146        self.execution_count += 1;
147        // Trade IDs are always deterministic; `use_random_ids` only affects
148        // venue order IDs and position IDs. A bounded FNV-1a hash of
149        // `(venue, raw_id, ts_init)` keeps the ID under the 36-character
150        // `TradeId` cap for arbitrary-length venue names; `ts_init` protects
151        // against collisions after `reset()` rewinds `execution_count`, and
152        // the trailing counter distinguishes multiple fills at the same ts.
153        let hash = fnv1a_trade_id_hash(self.venue, self.raw_id, ts_init.as_u64());
154        let trade_id = format!("T-{hash:016x}-{:03}", self.execution_count);
155        TradeId::from(trade_id.as_str())
156    }
157
158    pub fn generate_venue_position_id(&mut self) -> Option<PositionId> {
159        if !self.use_position_ids {
160            return None;
161        }
162
163        self.position_count += 1;
164
165        if self.use_random_ids {
166            Some(PositionId::new(UUID4::new().to_string()))
167        } else {
168            Some(PositionId::new(
169                format!("{}-{}-{}", self.venue, self.raw_id, self.position_count).as_str(),
170            ))
171        }
172    }
173
174    pub fn generate_venue_order_id(&mut self) -> VenueOrderId {
175        self.order_count += 1;
176
177        if self.use_random_ids {
178            VenueOrderId::new(UUID4::new().to_string())
179        } else {
180            VenueOrderId::new(
181                format!("{}-{}-{}", self.venue, self.raw_id, self.order_count).as_str(),
182            )
183        }
184    }
185}
186
187fn fnv1a_trade_id_hash(venue: Venue, raw_id: u32, ts_init_ns: u64) -> u64 {
188    let mut hash: u64 = FNV_OFFSET_BASIS;
189
190    for bytes in [
191        venue.as_str().as_bytes(),
192        b"\x1f",
193        &raw_id.to_le_bytes(),
194        b"\x1f",
195        &ts_init_ns.to_le_bytes(),
196    ] {
197        for &byte in bytes {
198            hash ^= u64::from(byte);
199            hash = hash.wrapping_mul(FNV_PRIME);
200        }
201    }
202    hash
203}
204
205#[cfg(test)]
206mod tests {
207    use std::{cell::RefCell, rc::Rc};
208
209    use nautilus_common::cache::Cache;
210    use nautilus_core::{UUID4, UnixNanos};
211    use nautilus_model::{
212        enums::{LiquiditySide, OmsType, OrderSide, OrderType},
213        events::OrderFilled,
214        identifiers::{
215            AccountId, ClientOrderId, PositionId, TradeId, Venue, VenueOrderId, stubs::account_id,
216        },
217        instruments::{
218            CryptoPerpetual, Instrument, InstrumentAny, stubs::crypto_perpetual_ethusdt,
219        },
220        orders::{Order, OrderAny, OrderTestBuilder},
221        position::Position,
222        types::{Price, Quantity},
223    };
224    use rstest::{fixture, rstest};
225
226    use crate::matching_engine::ids_generator::IdsGenerator;
227
228    #[fixture]
229    fn instrument_eth_usdt(crypto_perpetual_ethusdt: CryptoPerpetual) -> InstrumentAny {
230        InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt)
231    }
232
233    #[fixture]
234    fn market_order_buy(instrument_eth_usdt: InstrumentAny) -> OrderAny {
235        OrderTestBuilder::new(OrderType::Market)
236            .instrument_id(instrument_eth_usdt.id())
237            .side(OrderSide::Buy)
238            .quantity(Quantity::from("1.000"))
239            .client_order_id(ClientOrderId::from("O-19700101-000000-001-001-1"))
240            .submit(true)
241            .build()
242    }
243
244    #[fixture]
245    fn market_order_sell(instrument_eth_usdt: InstrumentAny) -> OrderAny {
246        OrderTestBuilder::new(OrderType::Market)
247            .instrument_id(instrument_eth_usdt.id())
248            .side(OrderSide::Sell)
249            .quantity(Quantity::from("1.000"))
250            .client_order_id(ClientOrderId::from("O-19700101-000000-001-001-2"))
251            .submit(true)
252            .build()
253    }
254
255    #[fixture]
256    fn market_order_fill(
257        instrument_eth_usdt: InstrumentAny,
258        account_id: AccountId,
259        market_order_buy: OrderAny,
260    ) -> OrderFilled {
261        OrderFilled::new(
262            market_order_buy.trader_id(),
263            market_order_buy.strategy_id(),
264            market_order_buy.instrument_id(),
265            market_order_buy.client_order_id(),
266            VenueOrderId::new("BINANCE-1"),
267            account_id,
268            TradeId::new("1"),
269            market_order_buy.order_side(),
270            market_order_buy.order_type(),
271            Quantity::from("1"),
272            Price::from("1000.000"),
273            instrument_eth_usdt.quote_currency(),
274            LiquiditySide::Taker,
275            UUID4::new(),
276            UnixNanos::default(),
277            UnixNanos::default(),
278            false,
279            Some(PositionId::new("P-1")),
280            None,
281        )
282    }
283
284    fn get_ids_generator(
285        cache: Rc<RefCell<Cache>>,
286        use_position_ids: bool,
287        oms_type: OmsType,
288    ) -> IdsGenerator {
289        IdsGenerator::new(
290            Venue::from("BINANCE"),
291            oms_type,
292            1,
293            false,
294            use_position_ids,
295            cache,
296        )
297    }
298
299    #[rstest]
300    fn test_get_position_id_hedging_with_existing_position(
301        instrument_eth_usdt: InstrumentAny,
302        market_order_buy: OrderAny,
303        market_order_fill: OrderFilled,
304    ) {
305        let cache = Rc::new(RefCell::new(Cache::default()));
306        let mut ids_generator = get_ids_generator(cache.clone(), false, OmsType::Hedging);
307
308        let position = Position::new(&instrument_eth_usdt, market_order_fill);
309
310        // Add position to cache
311        cache
312            .borrow_mut()
313            .add_position(&position, OmsType::Hedging)
314            .unwrap();
315
316        let position_id = ids_generator.get_position_id(&market_order_buy, None);
317        assert_eq!(position_id, Some(position.id));
318    }
319
320    #[rstest]
321    fn test_get_position_id_hedging_with_generated_position(market_order_buy: OrderAny) {
322        let cache = Rc::new(RefCell::new(Cache::default()));
323        let mut ids_generator = get_ids_generator(cache, true, OmsType::Hedging);
324
325        let position_id = ids_generator.get_position_id(&market_order_buy, None);
326        assert_eq!(position_id, Some(PositionId::new("BINANCE-1-1")));
327    }
328
329    #[rstest]
330    fn test_get_position_id_netting(
331        instrument_eth_usdt: InstrumentAny,
332        market_order_buy: OrderAny,
333        market_order_fill: OrderFilled,
334    ) {
335        let cache = Rc::new(RefCell::new(Cache::default()));
336        let mut ids_generator = get_ids_generator(cache.clone(), false, OmsType::Netting);
337
338        // position id should be none in non-initialized position id for this instrument
339        let position_id = ids_generator.get_position_id(&market_order_buy, None);
340        assert_eq!(position_id, None);
341
342        // create and add position in cache
343        let position = Position::new(&instrument_eth_usdt, market_order_fill);
344        cache
345            .as_ref()
346            .borrow_mut()
347            .add_position(&position, OmsType::Netting)
348            .unwrap();
349
350        // position id should be returned for the existing position
351        let position_id = ids_generator.get_position_id(&market_order_buy, None);
352        assert_eq!(position_id, Some(position.id));
353    }
354
355    #[rstest]
356    fn test_generate_venue_position_id() {
357        let cache = Rc::new(RefCell::new(Cache::default()));
358        let mut ids_generator_with_position_ids =
359            get_ids_generator(cache.clone(), true, OmsType::Netting);
360        let mut ids_generator_no_position_ids = get_ids_generator(cache, false, OmsType::Netting);
361
362        assert_eq!(
363            ids_generator_no_position_ids.generate_venue_position_id(),
364            None
365        );
366
367        let position_id_1 = ids_generator_with_position_ids.generate_venue_position_id();
368        let position_id_2 = ids_generator_with_position_ids.generate_venue_position_id();
369        assert_eq!(position_id_1, Some(PositionId::new("BINANCE-1-1")));
370        assert_eq!(position_id_2, Some(PositionId::new("BINANCE-1-2")));
371    }
372
373    #[rstest]
374    fn test_generate_venue_position_id_random_uses_uuid4_seam() {
375        // Pin that the use_random_ids branch routes through the UUID4 seam
376        // (RFC 4122 v4) rather than a raw uuid::Uuid::new_v4 call. The seam
377        // already swaps to madsim::rand::thread_rng() under cfg(madsim).
378        let cache = Rc::new(RefCell::new(Cache::default()));
379        let mut generator = IdsGenerator::new(
380            Venue::from("BINANCE"),
381            OmsType::Netting,
382            1,
383            true,
384            true,
385            cache,
386        );
387
388        let id = generator.generate_venue_position_id().expect("position id");
389        let s = id.as_str();
390
391        assert_eq!(s.len(), 36, "expected canonical UUID4 length");
392        assert_eq!(s.as_bytes()[14], b'4', "expected UUID v4 version digit");
393        assert!(
394            matches!(s.as_bytes()[19], b'8' | b'9' | b'a' | b'b'),
395            "expected RFC 4122 variant byte",
396        );
397    }
398
399    #[rstest]
400    fn get_venue_position_id(market_order_buy: OrderAny, market_order_sell: OrderAny) {
401        let cache = Rc::new(RefCell::new(Cache::default()));
402        let mut ids_generator = get_ids_generator(cache, true, OmsType::Netting);
403
404        let venue_order_id1 = ids_generator.get_venue_order_id(&market_order_buy).unwrap();
405        let venue_order_id2 = ids_generator
406            .get_venue_order_id(&market_order_sell)
407            .unwrap();
408        assert_eq!(venue_order_id1, VenueOrderId::from("BINANCE-1-1"));
409        assert_eq!(venue_order_id2, VenueOrderId::from("BINANCE-1-2"));
410
411        // check if venue order id is cached again
412        let venue_order_id3 = ids_generator.get_venue_order_id(&market_order_buy).unwrap();
413        assert_eq!(venue_order_id3, VenueOrderId::from("BINANCE-1-1"));
414    }
415
416    fn build_ids_generator(venue: Venue, raw_id: u32) -> IdsGenerator {
417        let cache = Rc::new(RefCell::new(Cache::default()));
418        IdsGenerator::new(venue, OmsType::Netting, raw_id, false, true, cache)
419    }
420
421    #[rstest]
422    fn test_generate_trade_id_format_and_length_bound() {
423        let mut generator =
424            build_ids_generator(Venue::from("SOMETHING_VERY_LONG_FOR_SAFETY"), 4_294_967_295);
425        let ts = UnixNanos::from(u64::MAX);
426
427        let trade_id = generator.generate_trade_id(ts);
428        let value = trade_id.as_str();
429
430        assert!(value.len() <= 36);
431        assert!(value.starts_with("T-"));
432        assert_eq!(value.len(), "T-0123456789abcdef-001".len());
433    }
434
435    #[rstest]
436    fn test_generate_trade_id_is_deterministic_across_reset_for_same_ts() {
437        let mut generator = build_ids_generator(Venue::from("BINANCE"), 1);
438        let ts = UnixNanos::from(1_700_000_000_000_000_000_u64);
439
440        let first = generator.generate_trade_id(ts);
441        generator.reset();
442        let second = generator.generate_trade_id(ts);
443        assert_eq!(
444            first, second,
445            "same ts_init and reset execution_count must reproduce the same id"
446        );
447    }
448
449    #[rstest]
450    fn test_generate_trade_id_differs_when_ts_init_changes() {
451        let mut generator = build_ids_generator(Venue::from("BINANCE"), 1);
452        let ts = UnixNanos::from(1_700_000_000_000_000_000_u64);
453
454        let first = generator.generate_trade_id(ts);
455        generator.reset();
456        let second = generator.generate_trade_id(ts + UnixNanos::from(1));
457        assert_ne!(
458            first, second,
459            "distinct ts_init must produce distinct ids across a reset"
460        );
461    }
462
463    #[rstest]
464    fn test_generate_trade_id_counter_tiebreaker_for_same_ts() {
465        let mut generator = build_ids_generator(Venue::from("BINANCE"), 1);
466        let ts = UnixNanos::from(1_700_000_000_000_000_000_u64);
467
468        let first = generator.generate_trade_id(ts);
469        let second = generator.generate_trade_id(ts);
470        let third = generator.generate_trade_id(ts);
471        assert_ne!(first, second);
472        assert_ne!(second, third);
473        assert!(first.as_str().ends_with("-001"));
474        assert!(second.as_str().ends_with("-002"));
475        assert!(third.as_str().ends_with("-003"));
476    }
477
478    #[rstest]
479    fn test_generate_trade_id_differs_when_venue_or_raw_id_changes() {
480        let ts = UnixNanos::from(1_700_000_000_000_000_000_u64);
481
482        let mut gen_a = build_ids_generator(Venue::from("BINANCE"), 1);
483        let mut gen_b = build_ids_generator(Venue::from("BYBIT"), 1);
484        let mut gen_c = build_ids_generator(Venue::from("BINANCE"), 2);
485
486        let a = gen_a.generate_trade_id(ts);
487        let b = gen_b.generate_trade_id(ts);
488        let c = gen_c.generate_trade_id(ts);
489        assert_ne!(a, b, "venue must distinguish ids");
490        assert_ne!(a, c, "raw_id must distinguish ids");
491    }
492
493    // Parity fixtures: if either Rust or Python changes the hashing scheme,
494    // one of these assertions will fail and flag the drift.
495    // The Python mirror lives at python/tests/unit/backtest/test_trade_id_parity.py
496    #[rstest]
497    #[case::zero("BINANCE", 1_u32, 0_u64, "T-59d6cf33c843f0cc-001")]
498    #[case::nanos(
499        "BINANCE",
500        1_u32,
501        1_700_000_000_000_000_000_u64,
502        "T-5c080ffb681dc0d4-001"
503    )]
504    #[case::long_venue(
505        "SOMETHING_VERY_LONG_FOR_SAFETY",
506        42_u32,
507        1_700_000_000_000_000_000_u64,
508        "T-2a2238c5cc0cbaf2-001"
509    )]
510    fn test_generate_trade_id_matches_python_parity_fixture(
511        #[case] venue: &str,
512        #[case] raw_id: u32,
513        #[case] ts_init: u64,
514        #[case] expected: &str,
515    ) {
516        let mut generator = build_ids_generator(Venue::from(venue), raw_id);
517        let trade_id = generator.generate_trade_id(UnixNanos::from(ts_init));
518        assert_eq!(trade_id.as_str(), expected);
519    }
520
521    // Multi-tick parity: four consecutive bumps at the same ts_init (the
522    // bar O/H/L/C pattern) must produce counters 001..004. Mirrored in
523    // tests/unit_tests/backtest/test_trade_id_parity.py
524    // (test_trade_id_multi_tick_counter_matches_rust_parity_fixture).
525    #[rstest]
526    fn test_generate_trade_id_multi_tick_matches_python_parity_fixture() {
527        let mut generator = build_ids_generator(Venue::from("BINANCE"), 1);
528        let ts = UnixNanos::from(1_700_000_000_000_000_000_u64);
529        let sequence: Vec<String> = (0..4)
530            .map(|_| generator.generate_trade_id(ts).as_str().to_string())
531            .collect();
532
533        assert_eq!(
534            sequence,
535            vec![
536                "T-5c080ffb681dc0d4-001".to_string(),
537                "T-5c080ffb681dc0d4-002".to_string(),
538                "T-5c080ffb681dc0d4-003".to_string(),
539                "T-5c080ffb681dc0d4-004".to_string(),
540            ],
541        );
542    }
543}
nautilus_execution/matching_engine/ids_generator.rs

nautilus_execution/matching_engine/
ids_generator.rs
