nautilus_model/orders/
limit_if_touched.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::{
17    fmt::Display,
18    ops::{Deref, DerefMut},
19};
20
21use indexmap::IndexMap;
22use nautilus_core::{
23    UUID4, UnixNanos,
24    correctness::{CorrectnessError, FAILED},
25};
26use rust_decimal::Decimal;
27use serde::{Deserialize, Serialize};
28use ustr::Ustr;
29
30use super::{Order, OrderAny, OrderCore, check_display_qty, check_time_in_force};
31use crate::{
32    enums::{
33        ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSide,
34        TimeInForce, TrailingOffsetType, TriggerType,
35    },
36    events::{OrderEventAny, OrderInitialized, OrderUpdated},
37    identifiers::{
38        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
39        StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
40    },
41    orders::OrderError,
42    types::{Currency, Money, Price, Quantity, quantity::check_positive_quantity},
43};
44
45#[derive(Clone, Debug, Serialize, Deserialize)]
46#[cfg_attr(
47    feature = "python",
48    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model", from_py_object)
49)]
50#[cfg_attr(
51    feature = "python",
52    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
53)]
54pub struct LimitIfTouchedOrder {
55    pub price: Price,
56    pub trigger_price: Price,
57    pub trigger_type: TriggerType,
58    pub expire_time: Option<UnixNanos>,
59    pub is_post_only: bool,
60    pub display_qty: Option<Quantity>,
61    pub trigger_instrument_id: Option<InstrumentId>,
62    pub is_triggered: bool,
63    pub ts_triggered: Option<UnixNanos>,
64    core: OrderCore,
65}
66
67impl LimitIfTouchedOrder {
68    /// Creates a new [`LimitIfTouchedOrder`] instance.
69    ///
70    /// # Errors
71    ///
72    /// Returns an error if:
73    /// - The `quantity` is not positive.
74    /// - The `display_qty` (when provided) exceeds `quantity`.
75    /// - The `time_in_force` is GTD and the `expire_time` is `None` or zero.
76    #[expect(clippy::too_many_arguments)]
77    pub fn new_checked(
78        trader_id: TraderId,
79        strategy_id: StrategyId,
80        instrument_id: InstrumentId,
81        client_order_id: ClientOrderId,
82        order_side: OrderSide,
83        quantity: Quantity,
84        price: Price,
85        trigger_price: Price,
86        trigger_type: TriggerType,
87        time_in_force: TimeInForce,
88        expire_time: Option<UnixNanos>,
89        post_only: bool,
90        reduce_only: bool,
91        quote_quantity: bool,
92        display_qty: Option<Quantity>,
93        emulation_trigger: Option<TriggerType>,
94        trigger_instrument_id: Option<InstrumentId>,
95        contingency_type: Option<ContingencyType>,
96        order_list_id: Option<OrderListId>,
97        linked_order_ids: Option<Vec<ClientOrderId>>,
98        parent_order_id: Option<ClientOrderId>,
99        exec_algorithm_id: Option<ExecAlgorithmId>,
100        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
101        exec_spawn_id: Option<ClientOrderId>,
102        tags: Option<Vec<Ustr>>,
103        init_id: UUID4,
104        ts_init: UnixNanos,
105    ) -> Result<Self, OrderError> {
106        check_positive_quantity(quantity, stringify!(quantity))?;
107        check_display_qty(display_qty, quantity)?;
108        check_time_in_force(time_in_force, expire_time)?;
109
110        match order_side {
111            OrderSide::Buy if trigger_price > price => {
112                return Err(CorrectnessError::PredicateViolation {
113                    message: "BUY Limit-If-Touched must have `trigger_price` <= `price`"
114                        .to_string(),
115                }
116                .into());
117            }
118            OrderSide::Sell if trigger_price < price => {
119                return Err(CorrectnessError::PredicateViolation {
120                    message: "SELL Limit-If-Touched must have `trigger_price` >= `price`"
121                        .to_string(),
122                }
123                .into());
124            }
125            _ => {}
126        }
127
128        let init_order = OrderInitialized::new(
129            trader_id,
130            strategy_id,
131            instrument_id,
132            client_order_id,
133            order_side,
134            OrderType::LimitIfTouched,
135            quantity,
136            time_in_force,
137            post_only,
138            reduce_only,
139            quote_quantity,
140            false,
141            init_id,
142            ts_init,
143            ts_init,
144            Some(price),
145            Some(trigger_price),
146            Some(trigger_type),
147            None,
148            None,
149            None,
150            expire_time,
151            display_qty,
152            emulation_trigger,
153            trigger_instrument_id,
154            contingency_type,
155            order_list_id,
156            linked_order_ids,
157            parent_order_id,
158            exec_algorithm_id,
159            exec_algorithm_params,
160            exec_spawn_id,
161            tags,
162        );
163
164        Ok(Self {
165            price,
166            trigger_price,
167            trigger_type,
168            expire_time,
169            is_post_only: post_only,
170            display_qty,
171            trigger_instrument_id,
172            is_triggered: false,
173            ts_triggered: None,
174            core: OrderCore::new(init_order),
175        })
176    }
177
178    /// Creates a new [`LimitIfTouchedOrder`] instance.
179    ///
180    /// # Panics
181    ///
182    /// Panics if any order validation fails (see [`LimitIfTouchedOrder::new_checked`]).
183    #[expect(clippy::too_many_arguments)]
184    #[must_use]
185    pub fn new(
186        trader_id: TraderId,
187        strategy_id: StrategyId,
188        instrument_id: InstrumentId,
189        client_order_id: ClientOrderId,
190        order_side: OrderSide,
191        quantity: Quantity,
192        price: Price,
193        trigger_price: Price,
194        trigger_type: TriggerType,
195        time_in_force: TimeInForce,
196        expire_time: Option<UnixNanos>,
197        post_only: bool,
198        reduce_only: bool,
199        quote_quantity: bool,
200        display_qty: Option<Quantity>,
201        emulation_trigger: Option<TriggerType>,
202        trigger_instrument_id: Option<InstrumentId>,
203        contingency_type: Option<ContingencyType>,
204        order_list_id: Option<OrderListId>,
205        linked_order_ids: Option<Vec<ClientOrderId>>,
206        parent_order_id: Option<ClientOrderId>,
207        exec_algorithm_id: Option<ExecAlgorithmId>,
208        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
209        exec_spawn_id: Option<ClientOrderId>,
210        tags: Option<Vec<Ustr>>,
211        init_id: UUID4,
212        ts_init: UnixNanos,
213    ) -> Self {
214        Self::new_checked(
215            trader_id,
216            strategy_id,
217            instrument_id,
218            client_order_id,
219            order_side,
220            quantity,
221            price,
222            trigger_price,
223            trigger_type,
224            time_in_force,
225            expire_time,
226            post_only,
227            reduce_only,
228            quote_quantity,
229            display_qty,
230            emulation_trigger,
231            trigger_instrument_id,
232            contingency_type,
233            order_list_id,
234            linked_order_ids,
235            parent_order_id,
236            exec_algorithm_id,
237            exec_algorithm_params,
238            exec_spawn_id,
239            tags,
240            init_id,
241            ts_init,
242        )
243        .unwrap_or_else(|e| panic!("{FAILED}: {e}"))
244    }
245}
246
247impl PartialEq for LimitIfTouchedOrder {
248    fn eq(&self, other: &Self) -> bool {
249        self.client_order_id == other.client_order_id
250    }
251}
252
253impl Deref for LimitIfTouchedOrder {
254    type Target = OrderCore;
255
256    fn deref(&self) -> &Self::Target {
257        &self.core
258    }
259}
260
261impl DerefMut for LimitIfTouchedOrder {
262    fn deref_mut(&mut self) -> &mut Self::Target {
263        &mut self.core
264    }
265}
266
267impl Order for LimitIfTouchedOrder {
268    fn into_any(self) -> OrderAny {
269        OrderAny::LimitIfTouched(self)
270    }
271
272    fn status(&self) -> OrderStatus {
273        self.status
274    }
275
276    fn trader_id(&self) -> TraderId {
277        self.trader_id
278    }
279
280    fn strategy_id(&self) -> StrategyId {
281        self.strategy_id
282    }
283
284    fn instrument_id(&self) -> InstrumentId {
285        self.instrument_id
286    }
287
288    fn symbol(&self) -> Symbol {
289        self.instrument_id.symbol
290    }
291
292    fn venue(&self) -> Venue {
293        self.instrument_id.venue
294    }
295
296    fn client_order_id(&self) -> ClientOrderId {
297        self.client_order_id
298    }
299
300    fn venue_order_id(&self) -> Option<VenueOrderId> {
301        self.venue_order_id
302    }
303
304    fn position_id(&self) -> Option<PositionId> {
305        self.position_id
306    }
307
308    fn account_id(&self) -> Option<AccountId> {
309        self.account_id
310    }
311
312    fn last_trade_id(&self) -> Option<TradeId> {
313        self.last_trade_id
314    }
315
316    fn order_side(&self) -> OrderSide {
317        self.side
318    }
319
320    fn order_type(&self) -> OrderType {
321        self.order_type
322    }
323
324    fn quantity(&self) -> Quantity {
325        self.quantity
326    }
327
328    fn time_in_force(&self) -> TimeInForce {
329        self.time_in_force
330    }
331
332    fn expire_time(&self) -> Option<UnixNanos> {
333        self.expire_time
334    }
335
336    fn price(&self) -> Option<Price> {
337        Some(self.price)
338    }
339
340    fn trigger_price(&self) -> Option<Price> {
341        Some(self.trigger_price)
342    }
343
344    fn trigger_type(&self) -> Option<TriggerType> {
345        Some(self.trigger_type)
346    }
347
348    fn liquidity_side(&self) -> Option<LiquiditySide> {
349        self.liquidity_side
350    }
351
352    fn is_post_only(&self) -> bool {
353        self.is_post_only
354    }
355
356    fn is_reduce_only(&self) -> bool {
357        self.is_reduce_only
358    }
359
360    fn is_quote_quantity(&self) -> bool {
361        self.is_quote_quantity
362    }
363
364    fn has_price(&self) -> bool {
365        true
366    }
367
368    fn display_qty(&self) -> Option<Quantity> {
369        self.display_qty
370    }
371
372    fn limit_offset(&self) -> Option<Decimal> {
373        None
374    }
375
376    fn trailing_offset(&self) -> Option<Decimal> {
377        None
378    }
379
380    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
381        None
382    }
383
384    fn emulation_trigger(&self) -> Option<TriggerType> {
385        self.emulation_trigger
386    }
387
388    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
389        self.trigger_instrument_id
390    }
391
392    fn contingency_type(&self) -> Option<ContingencyType> {
393        self.contingency_type
394    }
395
396    fn order_list_id(&self) -> Option<OrderListId> {
397        self.order_list_id
398    }
399
400    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
401        self.linked_order_ids.as_deref()
402    }
403
404    fn parent_order_id(&self) -> Option<ClientOrderId> {
405        self.parent_order_id
406    }
407
408    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
409        self.exec_algorithm_id
410    }
411
412    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
413        self.exec_algorithm_params.as_ref()
414    }
415
416    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
417        self.exec_spawn_id
418    }
419
420    fn tags(&self) -> Option<&[Ustr]> {
421        self.tags.as_deref()
422    }
423
424    fn filled_qty(&self) -> Quantity {
425        self.filled_qty
426    }
427
428    fn leaves_qty(&self) -> Quantity {
429        self.leaves_qty
430    }
431
432    fn overfill_qty(&self) -> Quantity {
433        self.overfill_qty
434    }
435
436    fn avg_px(&self) -> Option<f64> {
437        self.avg_px
438    }
439
440    fn slippage(&self) -> Option<f64> {
441        self.slippage
442    }
443
444    fn init_id(&self) -> UUID4 {
445        self.init_id
446    }
447
448    fn ts_init(&self) -> UnixNanos {
449        self.ts_init
450    }
451
452    fn ts_submitted(&self) -> Option<UnixNanos> {
453        self.ts_submitted
454    }
455
456    fn ts_accepted(&self) -> Option<UnixNanos> {
457        self.ts_accepted
458    }
459
460    fn ts_closed(&self) -> Option<UnixNanos> {
461        self.ts_closed
462    }
463
464    fn ts_last(&self) -> UnixNanos {
465        self.ts_last
466    }
467
468    fn commissions(&self) -> &IndexMap<Currency, Money> {
469        &self.commissions
470    }
471
472    fn events(&self) -> Vec<&OrderEventAny> {
473        self.events.iter().collect()
474    }
475
476    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
477        self.venue_order_ids.iter().collect()
478    }
479
480    fn trade_ids(&self) -> Vec<&TradeId> {
481        self.trade_ids.iter().collect()
482    }
483
484    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
485        let is_order_filled = matches!(event, OrderEventAny::Filled(_));
486        let is_order_triggered = matches!(event, OrderEventAny::Triggered(_));
487        let ts_event = if is_order_triggered {
488            Some(event.ts_event())
489        } else {
490            None
491        };
492
493        self.core.apply(event.clone())?;
494
495        if let OrderEventAny::Updated(ref event) = event {
496            self.update(event);
497        }
498
499        if is_order_triggered {
500            self.is_triggered = true;
501            self.ts_triggered = ts_event;
502        }
503
504        if is_order_filled {
505            self.core.set_slippage(self.price);
506        }
507
508        Ok(())
509    }
510
511    fn update(&mut self, event: &OrderUpdated) {
512        if let Some(price) = event.price {
513            self.price = price;
514        }
515
516        if let Some(trigger_price) = event.trigger_price {
517            self.trigger_price = trigger_price;
518        }
519
520        self.quantity = event.quantity;
521        self.leaves_qty = self.quantity.saturating_sub(self.filled_qty);
522    }
523
524    fn is_triggered(&self) -> Option<bool> {
525        Some(self.is_triggered)
526    }
527
528    fn set_position_id(&mut self, position_id: Option<PositionId>) {
529        self.position_id = position_id;
530    }
531
532    fn set_quantity(&mut self, quantity: Quantity) {
533        self.quantity = quantity;
534    }
535
536    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
537        self.leaves_qty = leaves_qty;
538    }
539
540    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
541        self.emulation_trigger = emulation_trigger;
542    }
543
544    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
545        self.is_quote_quantity = is_quote_quantity;
546    }
547
548    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
549        self.liquidity_side = Some(liquidity_side);
550    }
551
552    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
553        self.core.would_reduce_only(side, position_qty)
554    }
555
556    fn previous_status(&self) -> Option<OrderStatus> {
557        self.core.previous_status
558    }
559}
560
561impl Display for LimitIfTouchedOrder {
562    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
563        write!(
564            f,
565            "LimitIfTouchedOrder({} {} {} @ {} / trigger {} ({:?}) {}, status={})",
566            self.side,
567            self.quantity.to_formatted_string(),
568            self.instrument_id,
569            self.price,
570            self.trigger_price,
571            self.trigger_type,
572            self.time_in_force,
573            self.status
574        )
575    }
576}
577
578impl From<OrderInitialized> for LimitIfTouchedOrder {
579    fn from(event: OrderInitialized) -> Self {
580        Self::new(
581            event.trader_id,
582            event.strategy_id,
583            event.instrument_id,
584            event.client_order_id,
585            event.order_side,
586            event.quantity,
587            event
588                .price // TODO: Improve this error, model order domain errors
589                .expect("Error initializing order: `price` was `None` for `LimitIfTouchedOrder"),
590            event
591                .trigger_price // TODO: Improve this error, model order domain errors
592                .expect(
593                    "Error initializing order: `trigger_price` was `None` for `LimitIfTouchedOrder",
594                ),
595            event
596                .trigger_type
597                .expect("Error initializing order: `trigger_type` was `None`"),
598            event.time_in_force,
599            event.expire_time,
600            event.post_only,
601            event.reduce_only,
602            event.quote_quantity,
603            event.display_qty,
604            event.emulation_trigger,
605            event.trigger_instrument_id,
606            event.contingency_type,
607            event.order_list_id,
608            event.linked_order_ids,
609            event.parent_order_id,
610            event.exec_algorithm_id,
611            event.exec_algorithm_params,
612            event.exec_spawn_id,
613            event.tags,
614            event.event_id,
615            event.ts_event,
616        )
617    }
618}
619
620#[cfg(test)]
621mod tests {
622    use rstest::rstest;
623
624    use super::*;
625    use crate::{
626        enums::{TimeInForce, TriggerType},
627        events::order::spec::{OrderFilledSpec, OrderInitializedSpec},
628        identifiers::InstrumentId,
629        instruments::{CurrencyPair, stubs::*},
630        orders::{builder::OrderTestBuilder, stubs::TestOrderStubs},
631        types::{Price, Quantity},
632    };
633
634    #[rstest]
635    fn test_initialize(audusd_sim: CurrencyPair) {
636        let order = OrderTestBuilder::new(OrderType::LimitIfTouched)
637            .instrument_id(audusd_sim.id)
638            .side(OrderSide::Buy)
639            .price(Price::from("0.68000"))
640            .trigger_price(Price::from("0.68000"))
641            .trigger_type(TriggerType::LastPrice)
642            .quantity(Quantity::from(1))
643            .build();
644
645        assert_eq!(order.trigger_price(), Some(Price::from("0.68000")));
646        assert_eq!(order.price(), Some(Price::from("0.68000")));
647
648        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
649
650        assert_eq!(order.is_triggered(), Some(false));
651        assert_eq!(order.filled_qty(), Quantity::from(0));
652        assert_eq!(order.leaves_qty(), Quantity::from(1));
653
654        assert_eq!(order.display_qty(), None);
655        assert_eq!(order.trigger_instrument_id(), None);
656        assert_eq!(order.order_list_id(), None);
657    }
658
659    #[rstest]
660    fn test_display(audusd_sim: CurrencyPair) {
661        let order = OrderTestBuilder::new(OrderType::LimitIfTouched)
662            .instrument_id(audusd_sim.id)
663            .side(OrderSide::Buy)
664            .trigger_price(Price::from("30200"))
665            .price(Price::from("30200"))
666            .trigger_type(TriggerType::LastPrice)
667            .quantity(Quantity::from(1))
668            .build();
669
670        assert_eq!(
671            order.to_string(),
672            "LimitIfTouchedOrder(BUY 1 AUD/USD.SIM @ 30200 / trigger 30200 (LastPrice) GTC, status=INITIALIZED)"
673        );
674    }
675
676    #[rstest]
677    #[should_panic(
678        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
679    )]
680    fn test_quantity_zero(audusd_sim: CurrencyPair) {
681        let _ = OrderTestBuilder::new(OrderType::LimitIfTouched)
682            .instrument_id(audusd_sim.id)
683            .side(OrderSide::Buy)
684            .price(Price::from("30000"))
685            .trigger_price(Price::from("30200"))
686            .trigger_type(TriggerType::LastPrice)
687            .quantity(Quantity::from(0))
688            .build();
689    }
690
691    #[rstest]
692    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
693    fn test_gtd_without_expire(audusd_sim: CurrencyPair) {
694        let _ = OrderTestBuilder::new(OrderType::LimitIfTouched)
695            .instrument_id(audusd_sim.id)
696            .side(OrderSide::Buy)
697            .price(Price::from("30000"))
698            .trigger_price(Price::from("30200"))
699            .trigger_type(TriggerType::LastPrice)
700            .quantity(Quantity::from(1))
701            .time_in_force(TimeInForce::Gtd)
702            .build();
703    }
704
705    #[rstest]
706    #[should_panic(expected = "BUY Limit-If-Touched must have `trigger_price` <= `price`")]
707    fn test_buy_trigger_gt_price(audusd_sim: CurrencyPair) {
708        let _ = OrderTestBuilder::new(OrderType::LimitIfTouched)
709            .instrument_id(audusd_sim.id)
710            .side(OrderSide::Buy)
711            .trigger_price(Price::from("30300")) // Invalid trigger > price
712            .price(Price::from("30200"))
713            .trigger_type(TriggerType::LastPrice)
714            .quantity(Quantity::from(1))
715            .build();
716    }
717
718    #[rstest]
719    #[should_panic(expected = "SELL Limit-If-Touched must have `trigger_price` >= `price`")]
720    fn test_sell_trigger_lt_price(audusd_sim: CurrencyPair) {
721        let _ = OrderTestBuilder::new(OrderType::LimitIfTouched)
722            .instrument_id(audusd_sim.id)
723            .side(OrderSide::Sell)
724            .trigger_price(Price::from("30100")) // Invalid trigger < price
725            .price(Price::from("30200"))
726            .trigger_type(TriggerType::LastPrice)
727            .quantity(Quantity::from(1))
728            .build();
729    }
730
731    #[rstest]
732    fn test_limit_if_touched_order_update() {
733        // Create and accept a basic limit-if-touched order
734        let order = OrderTestBuilder::new(OrderType::LimitIfTouched)
735            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
736            .quantity(Quantity::from(10))
737            .price(Price::new(100.0, 2))
738            .trigger_price(Price::new(95.0, 2))
739            .trigger_type(TriggerType::Default)
740            .build();
741
742        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
743
744        // Update with new values
745        let updated_price = Price::new(105.0, 2);
746        let updated_trigger_price = Price::new(97.0, 2);
747        let updated_quantity = Quantity::from(5);
748
749        let event = OrderUpdated {
750            client_order_id: accepted_order.client_order_id(),
751            strategy_id: accepted_order.strategy_id(),
752            price: Some(updated_price),
753            trigger_price: Some(updated_trigger_price),
754            quantity: updated_quantity,
755            ..Default::default()
756        };
757
758        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
759
760        // Verify updates were applied correctly
761        assert_eq!(accepted_order.price(), Some(updated_price));
762        assert_eq!(accepted_order.trigger_price(), Some(updated_trigger_price));
763        assert_eq!(accepted_order.quantity(), updated_quantity);
764    }
765
766    #[rstest]
767    fn test_limit_if_touched_order_from_order_initialized() {
768        // Create an OrderInitialized event with all required fields for a LimitIfTouchedOrder
769        let order_initialized = OrderInitializedSpec::builder()
770            .price(Price::new(100.0, 2))
771            .trigger_price(Price::new(95.0, 2))
772            .trigger_type(TriggerType::Default)
773            .order_type(OrderType::LimitIfTouched)
774            .build();
775
776        // Convert the OrderInitialized event into a LimitIfTouchedOrder
777        let order: LimitIfTouchedOrder = order_initialized.clone().into();
778
779        // Assert essential fields match the OrderInitialized fields
780        assert_eq!(order.trader_id(), order_initialized.trader_id);
781        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
782        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
783        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
784        assert_eq!(order.order_side(), order_initialized.order_side);
785        assert_eq!(order.quantity(), order_initialized.quantity);
786
787        // Assert specific fields for LimitIfTouchedOrder
788        assert_eq!(order.price, order_initialized.price.unwrap());
789        assert_eq!(
790            order.trigger_price,
791            order_initialized.trigger_price.unwrap()
792        );
793        assert_eq!(order.trigger_type, order_initialized.trigger_type.unwrap());
794    }
795
796    #[rstest]
797    fn test_limit_if_touched_order_sets_slippage_when_filled() {
798        // Create a limit-if-touched order
799        let order = OrderTestBuilder::new(OrderType::LimitIfTouched)
800            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
801            .quantity(Quantity::from(10))
802            .side(OrderSide::Buy) // Explicitly setting Buy side
803            .price(Price::new(95.0, 2)) // Limit price
804            .trigger_price(Price::new(90.0, 2)) // Trigger price LOWER than fill price
805            .trigger_type(TriggerType::Default)
806            .build();
807
808        // Accept the order first
809        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
810
811        // Create a filled event with the correct quantity
812        let fill_quantity = accepted_order.quantity(); // Use the same quantity as the order
813        let fill_price = Price::new(98.50, 2); // Use a price LOWER than limit price
814
815        let order_filled_event = OrderFilledSpec::builder()
816            .client_order_id(accepted_order.client_order_id())
817            .strategy_id(accepted_order.strategy_id())
818            .instrument_id(accepted_order.instrument_id())
819            .order_side(accepted_order.order_side())
820            .last_qty(fill_quantity)
821            .last_px(fill_price)
822            .venue_order_id(VenueOrderId::from("TEST-001"))
823            .trade_id(TradeId::from("TRADE-001"))
824            .build();
825
826        // Apply the fill event
827        accepted_order
828            .apply(OrderEventAny::Filled(order_filled_event))
829            .unwrap();
830
831        // The slippage calculation should be triggered by the filled event
832        print!("Slippageee: {:?}", accepted_order.slippage());
833        assert!(accepted_order.slippage().is_some());
834
835        // We can also check the actual slippage value
836        let expected_slippage = 98.50 - 95.0;
837        let actual_slippage = accepted_order.slippage().unwrap();
838
839        assert!(
840            (actual_slippage - expected_slippage).abs() < 0.001,
841            "Expected slippage around {expected_slippage}, was {actual_slippage}"
842        );
843    }
844}
nautilus_model/orders/limit_if_touched.rs

nautilus_model/orders/
limit_if_touched.rs
