nautilus_model/events/position/
opened.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_core::{UUID4, UnixNanos};
17use serde::{Deserialize, Serialize};
18
19use crate::{
20    enums::{OrderSide, PositionSide},
21    events::OrderFilled,
22    identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TraderId},
23    position::Position,
24    types::{Currency, Money, Price, Quantity},
25};
26
27/// Represents an event where a position has been opened.
28#[repr(C)]
29#[derive(Clone, PartialEq, Debug, Serialize, Deserialize)]
30#[cfg_attr(
31    feature = "python",
32    pyo3::pyclass(module = "nautilus_trader.model", from_py_object)
33)]
34#[cfg_attr(
35    feature = "python",
36    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
37)]
38pub struct PositionOpened {
39    /// The trader ID associated with the event.
40    pub trader_id: TraderId,
41    /// The strategy ID associated with the event.
42    pub strategy_id: StrategyId,
43    /// The instrument ID associated with the event.
44    pub instrument_id: InstrumentId,
45    /// The position ID associated with the event.
46    pub position_id: PositionId,
47    /// The account ID associated with the position.
48    pub account_id: AccountId,
49    /// The client order ID for the order which opened the position.
50    pub opening_order_id: ClientOrderId,
51    /// The position entry order side.
52    pub entry: OrderSide,
53    /// The position side.
54    pub side: PositionSide,
55    /// The current signed quantity (positive for position side `LONG`, negative for `SHORT`).
56    pub signed_qty: f64,
57    /// The current open quantity.
58    pub quantity: Quantity,
59    /// The last fill quantity for the position.
60    pub last_qty: Quantity,
61    /// The last fill price for the position.
62    pub last_px: Price,
63    /// The position quote currency.
64    pub currency: Currency,
65    /// The average open price.
66    pub avg_px_open: f64,
67    /// The realized PnL for the current position cycle, denominated in cost currency.
68    pub realized_pnl: Option<Money>,
69    /// The unique identifier for the event.
70    pub event_id: UUID4,
71    /// UNIX timestamp (nanoseconds) when the event occurred.
72    pub ts_event: UnixNanos,
73    /// UNIX timestamp (nanoseconds) when the event was initialized.
74    pub ts_init: UnixNanos,
75}
76
77impl PositionOpened {
78    #[must_use]
79    pub fn create(
80        position: &Position,
81        fill: &OrderFilled,
82        event_id: UUID4,
83        ts_init: UnixNanos,
84    ) -> Self {
85        Self {
86            trader_id: position.trader_id,
87            strategy_id: position.strategy_id,
88            instrument_id: position.instrument_id,
89            position_id: position.id,
90            account_id: position.account_id,
91            opening_order_id: position.opening_order_id,
92            entry: position.entry,
93            side: position.side,
94            signed_qty: position.signed_qty,
95            quantity: position.quantity,
96            last_qty: fill.last_qty,
97            last_px: fill.last_px,
98            currency: position.quote_currency,
99            avg_px_open: position.avg_px_open,
100            realized_pnl: position.realized_pnl,
101            event_id,
102            ts_event: fill.ts_event,
103            ts_init,
104        }
105    }
106}
107
108#[cfg(test)]
109mod tests {
110    use nautilus_core::UnixNanos;
111    use rstest::*;
112
113    use super::*;
114    use crate::{
115        enums::{OrderSide, PositionSide},
116        events::{OrderFilled, order::spec::OrderFilledSpec},
117        identifiers::{
118            AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TradeId, TraderId,
119            VenueOrderId,
120        },
121        instruments::{
122            Instrument, InstrumentAny,
123            stubs::{audusd_sim, xbtusd_bitmex},
124        },
125        position::Position,
126        types::{Currency, Money, Price, Quantity},
127    };
128
129    fn create_test_position_opened() -> PositionOpened {
130        PositionOpened {
131            trader_id: TraderId::from("TRADER-001"),
132            strategy_id: StrategyId::from("EMA-CROSS"),
133            instrument_id: InstrumentId::from("EURUSD.SIM"),
134            position_id: PositionId::from("P-001"),
135            account_id: AccountId::from("SIM-001"),
136            opening_order_id: ClientOrderId::from("O-19700101-000000-001-001-1"),
137            entry: OrderSide::Buy,
138            side: PositionSide::Long,
139            signed_qty: 100.0,
140            quantity: Quantity::from("100"),
141            last_qty: Quantity::from("100"),
142            last_px: Price::from("1.0500"),
143            currency: Currency::USD(),
144            avg_px_open: 1.0500,
145            realized_pnl: Some(Money::new(-2.0, Currency::USD())),
146            event_id: UUID4::default(),
147            ts_event: UnixNanos::from(1_000_000_000),
148            ts_init: UnixNanos::from(2_000_000_000),
149        }
150    }
151
152    fn create_test_order_filled() -> OrderFilled {
153        OrderFilledSpec::builder()
154            .strategy_id(StrategyId::from("EMA-CROSS"))
155            .instrument_id(InstrumentId::from("AUD/USD.SIM"))
156            .client_order_id(ClientOrderId::from("O-19700101-000000-001-001-1"))
157            .venue_order_id(VenueOrderId::from("1"))
158            .trade_id(TradeId::from("T-001"))
159            .last_qty(Quantity::from("100"))
160            .last_px(Price::from("0.8000"))
161            .ts_event(UnixNanos::from(1_000_000_000))
162            .ts_init(UnixNanos::from(2_000_000_000))
163            .position_id(PositionId::from("P-001"))
164            .commission(Money::new(2.0, Currency::USD()))
165            .build()
166    }
167
168    #[rstest]
169    fn test_position_opened_create() {
170        let instrument = audusd_sim();
171        let fill = create_test_order_filled();
172        let position = Position::new(&InstrumentAny::CurrencyPair(instrument), fill.clone());
173        let event_id = UUID4::default();
174        let ts_init = UnixNanos::from(3_000_000_000);
175
176        let position_opened = PositionOpened::create(&position, &fill, event_id, ts_init);
177
178        assert_eq!(position_opened.trader_id, position.trader_id);
179        assert_eq!(position_opened.strategy_id, position.strategy_id);
180        assert_eq!(position_opened.instrument_id, position.instrument_id);
181        assert_eq!(position_opened.position_id, position.id);
182        assert_eq!(position_opened.account_id, position.account_id);
183        assert_eq!(position_opened.opening_order_id, position.opening_order_id);
184        assert_eq!(position_opened.entry, position.entry);
185        assert_eq!(position_opened.side, position.side);
186        assert_eq!(position_opened.signed_qty, position.signed_qty);
187        assert_eq!(position_opened.quantity, position.quantity);
188        assert_eq!(position_opened.last_qty, fill.last_qty);
189        assert_eq!(position_opened.last_px, fill.last_px);
190        assert_eq!(position_opened.currency, position.quote_currency);
191        assert_eq!(position_opened.avg_px_open, position.avg_px_open);
192        assert_eq!(position_opened.realized_pnl, position.realized_pnl);
193        assert_eq!(position_opened.event_id, event_id);
194        assert_eq!(position_opened.ts_event, fill.ts_event);
195        assert_eq!(position_opened.ts_init, ts_init);
196    }
197
198    #[rstest]
199    fn test_position_opened_with_different_sides() {
200        let mut long_position = create_test_position_opened();
201        long_position.side = PositionSide::Long;
202        long_position.entry = OrderSide::Buy;
203        long_position.signed_qty = 100.0;
204
205        let mut short_position = create_test_position_opened();
206        short_position.side = PositionSide::Short;
207        short_position.entry = OrderSide::Sell;
208        short_position.signed_qty = -100.0;
209
210        assert_eq!(long_position.side, PositionSide::Long);
211        assert_eq!(long_position.entry, OrderSide::Buy);
212        assert_eq!(long_position.signed_qty, 100.0);
213
214        assert_eq!(short_position.side, PositionSide::Short);
215        assert_eq!(short_position.entry, OrderSide::Sell);
216        assert_eq!(short_position.signed_qty, -100.0);
217    }
218
219    #[rstest]
220    fn test_position_opened_realized_pnl_uses_settlement_currency() {
221        let instrument = InstrumentAny::CryptoPerpetual(xbtusd_bitmex());
222        let fill = OrderFilledSpec::builder()
223            .instrument_id(instrument.id())
224            .position_id(PositionId::from("P-001"))
225            .last_qty(Quantity::from("100000"))
226            .last_px(Price::from("10500.0"))
227            .currency(Currency::USD())
228            .commission(Money::from("0.01 BTC"))
229            .build();
230        let position = Position::new(&instrument, fill.clone());
231
232        let event =
233            PositionOpened::create(&position, &fill, UUID4::default(), UnixNanos::default());
234
235        assert_eq!(event.currency, Currency::USD());
236        assert_eq!(event.realized_pnl, Some(Money::from("-0.01 BTC")));
237    }
238}
nautilus_model/events/position/opened.rs

nautilus_model/events/position/
opened.rs
