nautilus_live/execution/
context.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
16//! Shared order metadata for cache-free live execution dispatch.
17
18use nautilus_model::{
19    enums::{OrderSide, OrderType, TimeInForce, TriggerType},
20    identifiers::{ClientOrderId, InstrumentId, StrategyId},
21    orders::{Order, OrderAny},
22    types::{Price, Quantity},
23};
24
25/// Identifies an order when live execution tasks cannot access the engine cache.
26#[derive(Debug, Clone, Copy, PartialEq, Eq)]
27pub struct OrderIdentity {
28    /// The client order ID.
29    pub client_order_id: ClientOrderId,
30    /// The strategy ID associated with the order.
31    pub strategy_id: StrategyId,
32    /// The instrument ID associated with the order.
33    pub instrument_id: InstrumentId,
34    /// The order side.
35    pub order_side: OrderSide,
36    /// The order type.
37    pub order_type: OrderType,
38}
39
40impl From<&OrderAny> for OrderIdentity {
41    fn from(order: &OrderAny) -> Self {
42        Self {
43            client_order_id: order.client_order_id(),
44            strategy_id: order.strategy_id(),
45            instrument_id: order.instrument_id(),
46            order_side: order.order_side(),
47            order_type: order.order_type(),
48        }
49    }
50}
51
52/// Common order terms captured for live execution tasks.
53#[derive(Debug, Clone, Copy, PartialEq, Eq)]
54pub struct OrderContext {
55    /// The order identity.
56    pub identity: OrderIdentity,
57    /// The order quantity.
58    pub quantity: Quantity,
59    /// The order price (LIMIT).
60    pub price: Option<Price>,
61    /// The order trigger price (STOP).
62    pub trigger_price: Option<Price>,
63    /// The trigger type for the order.
64    pub trigger_type: Option<TriggerType>,
65    /// The order time in force.
66    pub time_in_force: TimeInForce,
67    /// Whether the order must add liquidity.
68    pub is_post_only: bool,
69    /// Whether the order may only reduce a position.
70    pub is_reduce_only: bool,
71    /// Whether quantity is denominated in the quote currency.
72    pub is_quote_quantity: bool,
73}
74
75impl From<&OrderAny> for OrderContext {
76    fn from(order: &OrderAny) -> Self {
77        Self {
78            identity: OrderIdentity::from(order),
79            quantity: order.quantity(),
80            price: order.price(),
81            trigger_price: order.trigger_price(),
82            trigger_type: order.trigger_type(),
83            time_in_force: order.time_in_force(),
84            is_post_only: order.is_post_only(),
85            is_reduce_only: order.is_reduce_only(),
86            is_quote_quantity: order.is_quote_quantity(),
87        }
88    }
89}
90
91#[cfg(test)]
92mod tests {
93    use nautilus_model::{
94        enums::{OrderSide, OrderType, TimeInForce, TriggerType},
95        identifiers::{ClientOrderId, InstrumentId, StrategyId},
96        orders::{OrderAny, OrderTestBuilder},
97        types::{Price, Quantity},
98    };
99    use rstest::rstest;
100
101    use super::{OrderContext, OrderIdentity};
102
103    #[rstest]
104    fn test_order_identity_from_order() {
105        let order = test_order(false, false, false);
106
107        let identity = OrderIdentity::from(&order);
108
109        assert_eq!(
110            identity,
111            OrderIdentity {
112                client_order_id: ClientOrderId::from("O-CONTEXT-001"),
113                strategy_id: StrategyId::from("S-CONTEXT-002"),
114                instrument_id: InstrumentId::from("ETH-USDT-PERP.TEST"),
115                order_side: OrderSide::Sell,
116                order_type: OrderType::StopLimit,
117            }
118        );
119    }
120
121    #[rstest]
122    #[case(true, false, false)]
123    #[case(false, true, false)]
124    #[case(false, false, true)]
125    fn test_order_context_from_order(
126        #[case] is_post_only: bool,
127        #[case] is_reduce_only: bool,
128        #[case] is_quote_quantity: bool,
129    ) {
130        let order = test_order(is_post_only, is_reduce_only, is_quote_quantity);
131
132        let context = OrderContext::from(&order);
133
134        assert_eq!(
135            context,
136            OrderContext {
137                identity: OrderIdentity {
138                    client_order_id: ClientOrderId::from("O-CONTEXT-001"),
139                    strategy_id: StrategyId::from("S-CONTEXT-002"),
140                    instrument_id: InstrumentId::from("ETH-USDT-PERP.TEST"),
141                    order_side: OrderSide::Sell,
142                    order_type: OrderType::StopLimit,
143                },
144                quantity: Quantity::from("12.345"),
145                price: Some(Price::from("2345.67")),
146                trigger_price: Some(Price::from("2301.23")),
147                trigger_type: Some(TriggerType::MarkPrice),
148                time_in_force: TimeInForce::Day,
149                is_post_only,
150                is_reduce_only,
151                is_quote_quantity,
152            }
153        );
154    }
155
156    fn test_order(is_post_only: bool, is_reduce_only: bool, is_quote_quantity: bool) -> OrderAny {
157        OrderTestBuilder::new(OrderType::StopLimit)
158            .client_order_id(ClientOrderId::from("O-CONTEXT-001"))
159            .strategy_id(StrategyId::from("S-CONTEXT-002"))
160            .instrument_id(InstrumentId::from("ETH-USDT-PERP.TEST"))
161            .side(OrderSide::Sell)
162            .quantity(Quantity::from("12.345"))
163            .price(Price::from("2345.67"))
164            .trigger_price(Price::from("2301.23"))
165            .trigger_type(TriggerType::MarkPrice)
166            .time_in_force(TimeInForce::Day)
167            .post_only(is_post_only)
168            .reduce_only(is_reduce_only)
169            .quote_quantity(is_quote_quantity)
170            .build()
171    }
172}
nautilus_live/execution/context.rs

nautilus_live/execution/
context.rs
