nautilus_model/orders/
market_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, OrderError, 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    types::{Currency, Money, Price, Quantity, quantity::check_positive_quantity},
42};
43
44#[derive(Clone, Debug, Serialize, Deserialize)]
45#[cfg_attr(
46    feature = "python",
47    pyo3::pyclass(module = "nautilus_trader.model", from_py_object)
48)]
49#[cfg_attr(
50    feature = "python",
51    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
52)]
53pub struct MarketIfTouchedOrder {
54    pub trigger_price: Price,
55    pub trigger_type: TriggerType,
56    pub expire_time: Option<UnixNanos>,
57    pub trigger_instrument_id: Option<InstrumentId>,
58    pub is_triggered: bool,
59    pub ts_triggered: Option<UnixNanos>,
60    core: OrderCore,
61}
62
63impl MarketIfTouchedOrder {
64    /// Creates a new [`MarketIfTouchedOrder`] instance.
65    ///
66    /// # Errors
67    ///
68    /// Returns an error if:
69    /// - The `quantity` is not positive.
70    /// - The `time_in_force` is GTD and the `expire_time` is `None` or zero.
71    /// - The order metadata violates an [`OrderInitialized::new_checked`] invariant.
72    #[expect(clippy::too_many_arguments)]
73    pub fn new_checked(
74        trader_id: TraderId,
75        strategy_id: StrategyId,
76        instrument_id: InstrumentId,
77        client_order_id: ClientOrderId,
78        order_side: OrderSide,
79        quantity: Quantity,
80        trigger_price: Price,
81        trigger_type: TriggerType,
82        time_in_force: TimeInForce,
83        expire_time: Option<UnixNanos>,
84        reduce_only: bool,
85        quote_quantity: bool,
86        emulation_trigger: Option<TriggerType>,
87        trigger_instrument_id: Option<InstrumentId>,
88        contingency_type: Option<ContingencyType>,
89        order_list_id: Option<OrderListId>,
90        linked_order_ids: Option<Vec<ClientOrderId>>,
91        parent_order_id: Option<ClientOrderId>,
92        exec_algorithm_id: Option<ExecAlgorithmId>,
93        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
94        exec_spawn_id: Option<ClientOrderId>,
95        tags: Option<Vec<Ustr>>,
96        init_id: UUID4,
97        ts_init: UnixNanos,
98    ) -> Result<Self, OrderError> {
99        check_positive_quantity(quantity, stringify!(quantity))?;
100        check_time_in_force(time_in_force, expire_time)?;
101
102        let init_order = OrderInitialized::new_checked(
103            trader_id,
104            strategy_id,
105            instrument_id,
106            client_order_id,
107            order_side,
108            OrderType::MarketIfTouched,
109            quantity,
110            time_in_force,
111            false,
112            reduce_only,
113            quote_quantity,
114            false,
115            init_id,
116            ts_init,
117            ts_init,
118            None,
119            None,
120            Some(trigger_price),
121            Some(trigger_type),
122            None,
123            None,
124            None,
125            expire_time,
126            None,
127            emulation_trigger,
128            trigger_instrument_id,
129            contingency_type,
130            order_list_id,
131            linked_order_ids,
132            parent_order_id,
133            exec_algorithm_id,
134            exec_algorithm_params,
135            exec_spawn_id,
136            tags,
137        )?;
138
139        Ok(Self {
140            core: OrderCore::new(init_order),
141            trigger_price,
142            trigger_type,
143            expire_time,
144            trigger_instrument_id,
145            is_triggered: false,
146            ts_triggered: None,
147        })
148    }
149
150    /// Creates a new [`MarketIfTouchedOrder`] instance.
151    ///
152    /// # Panics
153    ///
154    /// Panics if any order validation fails (see [`MarketIfTouchedOrder::new_checked`]).
155    #[expect(clippy::too_many_arguments)]
156    #[must_use]
157    pub fn new(
158        trader_id: TraderId,
159        strategy_id: StrategyId,
160        instrument_id: InstrumentId,
161        client_order_id: ClientOrderId,
162        order_side: OrderSide,
163        quantity: Quantity,
164        trigger_price: Price,
165        trigger_type: TriggerType,
166        time_in_force: TimeInForce,
167        expire_time: Option<UnixNanos>,
168        reduce_only: bool,
169        quote_quantity: bool,
170        emulation_trigger: Option<TriggerType>,
171        trigger_instrument_id: Option<InstrumentId>,
172        contingency_type: Option<ContingencyType>,
173        order_list_id: Option<OrderListId>,
174        linked_order_ids: Option<Vec<ClientOrderId>>,
175        parent_order_id: Option<ClientOrderId>,
176        exec_algorithm_id: Option<ExecAlgorithmId>,
177        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
178        exec_spawn_id: Option<ClientOrderId>,
179        tags: Option<Vec<Ustr>>,
180        init_id: UUID4,
181        ts_init: UnixNanos,
182    ) -> Self {
183        Self::new_checked(
184            trader_id,
185            strategy_id,
186            instrument_id,
187            client_order_id,
188            order_side,
189            quantity,
190            trigger_price,
191            trigger_type,
192            time_in_force,
193            expire_time,
194            reduce_only,
195            quote_quantity,
196            emulation_trigger,
197            trigger_instrument_id,
198            contingency_type,
199            order_list_id,
200            linked_order_ids,
201            parent_order_id,
202            exec_algorithm_id,
203            exec_algorithm_params,
204            exec_spawn_id,
205            tags,
206            init_id,
207            ts_init,
208        )
209        .unwrap_or_else(|e| panic!("{FAILED}: {e}"))
210    }
211}
212
213impl PartialEq for MarketIfTouchedOrder {
214    fn eq(&self, other: &Self) -> bool {
215        self.client_order_id == other.client_order_id
216    }
217}
218
219impl Deref for MarketIfTouchedOrder {
220    type Target = OrderCore;
221
222    fn deref(&self) -> &Self::Target {
223        &self.core
224    }
225}
226
227impl DerefMut for MarketIfTouchedOrder {
228    fn deref_mut(&mut self) -> &mut Self::Target {
229        &mut self.core
230    }
231}
232
233impl Order for MarketIfTouchedOrder {
234    fn into_any(self) -> OrderAny {
235        OrderAny::MarketIfTouched(self)
236    }
237
238    fn status(&self) -> OrderStatus {
239        self.status
240    }
241
242    fn trader_id(&self) -> TraderId {
243        self.trader_id
244    }
245
246    fn strategy_id(&self) -> StrategyId {
247        self.strategy_id
248    }
249
250    fn instrument_id(&self) -> InstrumentId {
251        self.instrument_id
252    }
253
254    fn symbol(&self) -> Symbol {
255        self.instrument_id.symbol
256    }
257
258    fn venue(&self) -> Venue {
259        self.instrument_id.venue
260    }
261
262    fn client_order_id(&self) -> ClientOrderId {
263        self.client_order_id
264    }
265
266    fn venue_order_id(&self) -> Option<VenueOrderId> {
267        self.venue_order_id
268    }
269
270    fn position_id(&self) -> Option<PositionId> {
271        self.position_id
272    }
273
274    fn account_id(&self) -> Option<AccountId> {
275        self.account_id
276    }
277
278    fn last_trade_id(&self) -> Option<TradeId> {
279        self.last_trade_id
280    }
281
282    fn order_side(&self) -> OrderSide {
283        self.side
284    }
285
286    fn order_type(&self) -> OrderType {
287        self.order_type
288    }
289
290    fn quantity(&self) -> Quantity {
291        self.quantity
292    }
293
294    fn time_in_force(&self) -> TimeInForce {
295        self.time_in_force
296    }
297
298    fn expire_time(&self) -> Option<UnixNanos> {
299        self.expire_time
300    }
301
302    fn price(&self) -> Option<Price> {
303        None
304    }
305
306    fn trigger_price(&self) -> Option<Price> {
307        Some(self.trigger_price)
308    }
309
310    fn trigger_type(&self) -> Option<TriggerType> {
311        Some(self.trigger_type)
312    }
313
314    fn liquidity_side(&self) -> Option<LiquiditySide> {
315        self.liquidity_side
316    }
317
318    fn is_post_only(&self) -> bool {
319        false
320    }
321
322    fn is_reduce_only(&self) -> bool {
323        self.is_reduce_only
324    }
325
326    fn is_quote_quantity(&self) -> bool {
327        self.is_quote_quantity
328    }
329
330    fn has_price(&self) -> bool {
331        false
332    }
333
334    fn display_qty(&self) -> Option<Quantity> {
335        None
336    }
337
338    fn limit_offset(&self) -> Option<Decimal> {
339        None
340    }
341
342    fn trailing_offset(&self) -> Option<Decimal> {
343        None
344    }
345
346    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
347        None
348    }
349
350    fn emulation_trigger(&self) -> Option<TriggerType> {
351        self.emulation_trigger
352    }
353
354    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
355        self.trigger_instrument_id
356    }
357
358    fn contingency_type(&self) -> Option<ContingencyType> {
359        self.contingency_type
360    }
361
362    fn order_list_id(&self) -> Option<OrderListId> {
363        self.order_list_id
364    }
365
366    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
367        self.linked_order_ids.as_deref()
368    }
369
370    fn parent_order_id(&self) -> Option<ClientOrderId> {
371        self.parent_order_id
372    }
373
374    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
375        self.exec_algorithm_id
376    }
377
378    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
379        self.exec_algorithm_params.as_ref()
380    }
381
382    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
383        self.exec_spawn_id
384    }
385
386    fn tags(&self) -> Option<&[Ustr]> {
387        self.tags.as_deref()
388    }
389
390    fn filled_qty(&self) -> Quantity {
391        self.filled_qty
392    }
393
394    fn voided_qty(&self) -> Quantity {
395        self.voided_qty
396    }
397
398    fn leaves_qty(&self) -> Quantity {
399        self.leaves_qty
400    }
401
402    fn overfill_qty(&self) -> Quantity {
403        self.overfill_qty
404    }
405
406    fn avg_px(&self) -> Option<Decimal> {
407        self.avg_px
408    }
409
410    fn slippage(&self) -> Option<Decimal> {
411        self.slippage
412    }
413
414    fn init_id(&self) -> UUID4 {
415        self.init_id
416    }
417
418    fn ts_init(&self) -> UnixNanos {
419        self.ts_init
420    }
421
422    fn ts_submitted(&self) -> Option<UnixNanos> {
423        self.ts_submitted
424    }
425
426    fn ts_accepted(&self) -> Option<UnixNanos> {
427        self.ts_accepted
428    }
429
430    fn ts_closed(&self) -> Option<UnixNanos> {
431        self.ts_closed
432    }
433
434    fn ts_last(&self) -> UnixNanos {
435        self.ts_last
436    }
437
438    fn events(&self) -> Vec<&OrderEventAny> {
439        self.events.iter().collect()
440    }
441
442    fn commissions(&self) -> &IndexMap<Currency, Money> {
443        &self.commissions
444    }
445
446    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
447        self.venue_order_ids.iter().collect()
448    }
449
450    fn trade_ids(&self) -> Vec<&TradeId> {
451        self.trade_ids.iter().collect()
452    }
453
454    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
455        let updates_slippage = matches!(
456            event,
457            OrderEventAny::Filled(_) | OrderEventAny::FillVoided(_),
458        );
459        let is_order_triggered = matches!(event, OrderEventAny::Triggered(_));
460        let ts_event = if is_order_triggered {
461            Some(event.ts_event())
462        } else {
463            None
464        };
465
466        self.core.apply(event.clone())?;
467
468        if let OrderEventAny::Updated(ref event) = event {
469            self.update(event);
470        }
471
472        if is_order_triggered {
473            self.is_triggered = true;
474            self.ts_triggered = ts_event;
475        }
476
477        if updates_slippage {
478            self.core.set_slippage(self.trigger_price);
479        }
480
481        Ok(())
482    }
483
484    fn update(&mut self, event: &OrderUpdated) {
485        assert!(event.price.is_none(), "{}", OrderError::InvalidOrderEvent);
486
487        if let Some(trigger_price) = event.trigger_price {
488            self.trigger_price = trigger_price;
489        }
490
491        self.quantity = event.quantity;
492        self.leaves_qty = self.quantity.saturating_sub(self.filled_qty);
493    }
494
495    fn is_triggered(&self) -> Option<bool> {
496        Some(self.is_triggered)
497    }
498
499    fn set_position_id(&mut self, position_id: Option<PositionId>) {
500        self.position_id = position_id;
501    }
502
503    fn set_quantity(&mut self, quantity: Quantity) {
504        self.quantity = quantity;
505    }
506
507    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
508        self.leaves_qty = leaves_qty;
509    }
510
511    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
512        self.emulation_trigger = emulation_trigger;
513    }
514
515    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
516        self.is_quote_quantity = is_quote_quantity;
517    }
518
519    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
520        self.liquidity_side = Some(liquidity_side);
521    }
522
523    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
524        self.core.would_reduce_only(side, position_qty)
525    }
526
527    fn previous_status(&self) -> Option<OrderStatus> {
528        self.core.previous_status
529    }
530}
531
532impl TryFrom<OrderInitialized> for MarketIfTouchedOrder {
533    type Error = OrderError;
534
535    fn try_from(event: OrderInitialized) -> Result<Self, Self::Error> {
536        let trigger_price =
537            event
538                .trigger_price
539                .ok_or_else(|| CorrectnessError::PredicateViolation {
540                    message:
541                        "`trigger_price` is required for `MarketIfTouchedOrder` initialization"
542                            .to_string(),
543                })?;
544        let trigger_type =
545            event
546                .trigger_type
547                .ok_or_else(|| CorrectnessError::PredicateViolation {
548                    message: "`trigger_type` is required for `MarketIfTouchedOrder` initialization"
549                        .to_string(),
550                })?;
551        Self::new_checked(
552            event.trader_id,
553            event.strategy_id,
554            event.instrument_id,
555            event.client_order_id,
556            event.order_side,
557            event.quantity,
558            trigger_price,
559            trigger_type,
560            event.time_in_force,
561            event.expire_time,
562            event.reduce_only,
563            event.quote_quantity,
564            event.emulation_trigger,
565            event.trigger_instrument_id,
566            event.contingency_type,
567            event.order_list_id,
568            event.linked_order_ids,
569            event.parent_order_id,
570            event.exec_algorithm_id,
571            event.exec_algorithm_params,
572            event.exec_spawn_id,
573            event.tags,
574            event.event_id,
575            event.ts_event,
576        )
577    }
578}
579
580impl Display for MarketIfTouchedOrder {
581    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
582        write!(
583            f,
584            "MarketIfTouchedOrder {{ \
585                side: {}, \
586                qty: {}, \
587                instrument: {}, \
588                tif: {}, \
589                trigger_price: {}, \
590                trigger_type: {}, \
591                status: {} \
592            }}",
593            self.side,
594            self.quantity,
595            self.instrument_id,
596            self.time_in_force,
597            self.trigger_price,
598            self.trigger_type,
599            self.status
600        )
601    }
602}
603
604#[cfg(test)]
605mod tests {
606    use rstest::rstest;
607    use rust_decimal_macros::dec;
608
609    use super::*;
610    use crate::{
611        enums::{OrderSide, OrderType, TimeInForce, TriggerType},
612        events::order::spec::{OrderFilledSpec, OrderInitializedSpec},
613        identifiers::{InstrumentId, TradeId, VenueOrderId},
614        instruments::{CurrencyPair, stubs::*},
615        orders::{builder::OrderTestBuilder, stubs::TestOrderStubs},
616        types::{Price, Quantity},
617    };
618
619    #[rstest]
620    fn test_initialize(audusd_sim: CurrencyPair) {
621        let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
622            .instrument_id(audusd_sim.id)
623            .side(OrderSide::Buy)
624            .trigger_price(Price::from("0.68000"))
625            .quantity(Quantity::from(1))
626            .build();
627
628        assert_eq!(order.trigger_price(), Some(Price::from("0.68000")));
629        assert_eq!(order.price(), None);
630
631        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
632
633        assert_eq!(order.is_triggered(), Some(false));
634        assert_eq!(order.filled_qty(), Quantity::from(0));
635        assert_eq!(order.leaves_qty(), Quantity::from(1));
636
637        assert_eq!(order.display_qty(), None);
638        assert_eq!(order.trigger_instrument_id(), None);
639        assert_eq!(order.order_list_id(), None);
640    }
641
642    #[rstest]
643    fn test_display(audusd_sim: CurrencyPair) {
644        let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
645            .instrument_id(audusd_sim.id)
646            .side(OrderSide::Buy)
647            .trigger_price(Price::from("30000"))
648            .trigger_type(TriggerType::LastPrice)
649            .quantity(Quantity::from(1))
650            .build();
651
652        assert_eq!(
653            order.to_string(),
654            "MarketIfTouchedOrder { \
655                side: BUY, \
656                qty: 1, \
657                instrument: AUD/USD.SIM, \
658                tif: GTC, \
659                trigger_price: 30000, \
660                trigger_type: LAST_PRICE, \
661                status: INITIALIZED \
662            }"
663        );
664    }
665
666    #[rstest]
667    #[should_panic(
668        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
669    )]
670    fn test_quantity_zero(audusd_sim: CurrencyPair) {
671        let _ = OrderTestBuilder::new(OrderType::MarketIfTouched)
672            .instrument_id(audusd_sim.id)
673            .side(OrderSide::Buy)
674            .trigger_price(Price::from("30000"))
675            .trigger_type(TriggerType::LastPrice)
676            .quantity(Quantity::from(0))
677            .build();
678    }
679
680    #[rstest]
681    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
682    fn test_gtd_without_expire(audusd_sim: CurrencyPair) {
683        let _ = OrderTestBuilder::new(OrderType::MarketIfTouched)
684            .instrument_id(audusd_sim.id)
685            .side(OrderSide::Buy)
686            .trigger_price(Price::from("30000"))
687            .trigger_type(TriggerType::LastPrice)
688            .quantity(Quantity::from(1))
689            .time_in_force(TimeInForce::Gtd)
690            .build();
691    }
692
693    #[rstest]
694    fn test_market_if_touched_order_update() {
695        // Create and accept a basic MarketIfTouchedOrder
696        let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
697            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
698            .quantity(Quantity::from(10))
699            .trigger_price(Price::new(100.0, 2))
700            .build();
701
702        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
703
704        // Update with new values
705        let updated_trigger_price = Price::new(95.0, 2);
706        let updated_quantity = Quantity::from(5);
707
708        let event = OrderUpdated {
709            client_order_id: accepted_order.client_order_id(),
710            strategy_id: accepted_order.strategy_id(),
711            trigger_price: Some(updated_trigger_price),
712            quantity: updated_quantity,
713            ..Default::default()
714        };
715
716        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
717
718        // Verify updates were applied correctly
719        assert_eq!(accepted_order.quantity(), updated_quantity);
720        assert_eq!(accepted_order.trigger_price(), Some(updated_trigger_price));
721    }
722
723    #[rstest]
724    fn test_market_if_touched_order_rejects_invalid_update_atomically() {
725        let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
726            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
727            .quantity(Quantity::from(10))
728            .trigger_price(Price::new(100.0, 2))
729            .build();
730        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
731        let state = (
732            accepted_order.status(),
733            accepted_order.previous_status(),
734            accepted_order.ts_last(),
735            accepted_order.events().len(),
736        );
737        let event = OrderUpdated {
738            client_order_id: accepted_order.client_order_id(),
739            strategy_id: accepted_order.strategy_id(),
740            price: Some(Price::new(95.0, 2)),
741            ..Default::default()
742        };
743
744        let result = accepted_order.apply(OrderEventAny::Updated(event));
745
746        assert!(matches!(result, Err(OrderError::InvalidOrderEvent)));
747        assert_eq!(accepted_order.status(), state.0);
748        assert_eq!(accepted_order.previous_status(), state.1);
749        assert_eq!(accepted_order.ts_last(), state.2);
750        assert_eq!(accepted_order.events().len(), state.3);
751    }
752
753    #[rstest]
754    fn test_market_if_touched_order_from_order_initialized() {
755        // Create an OrderInitialized event with all required fields for a MarketIfTouchedOrder
756        let order_initialized = OrderInitializedSpec::builder()
757            .trigger_price(Price::new(100.0, 2))
758            .trigger_type(TriggerType::Default)
759            .order_type(OrderType::MarketIfTouched)
760            .build();
761
762        // Convert the OrderInitialized event into a MarketIfTouchedOrder
763        let order: MarketIfTouchedOrder = order_initialized.clone().try_into().unwrap();
764
765        // Assert essential fields match the OrderInitialized fields
766        assert_eq!(order.trader_id(), order_initialized.trader_id);
767        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
768        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
769        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
770        assert_eq!(order.order_side(), order_initialized.order_side);
771        assert_eq!(order.quantity(), order_initialized.quantity);
772
773        // Assert specific fields for MarketIfTouchedOrder
774        assert_eq!(
775            order.trigger_price,
776            order_initialized.trigger_price.unwrap()
777        );
778        assert_eq!(order.trigger_type, order_initialized.trigger_type.unwrap());
779    }
780
781    #[rstest]
782    fn test_market_if_touched_order_sets_slippage_when_filled() {
783        // Create a MarketIfTouchedOrder
784        let order = OrderTestBuilder::new(OrderType::MarketIfTouched)
785            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
786            .quantity(Quantity::from(10))
787            .side(OrderSide::Buy) // Explicitly setting Buy side
788            .trigger_price(Price::new(90.0, 2)) // Trigger price LOWER than fill price
789            .build();
790
791        // Accept the order first
792        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
793
794        // Create a filled event with the correct quantity
795        let fill_quantity = accepted_order.quantity(); // Use the same quantity as the order
796        let fill_price = Price::new(98.50, 2); // Use a price HIGHER than trigger price
797
798        let order_filled_event = OrderFilledSpec::builder()
799            .client_order_id(accepted_order.client_order_id())
800            .strategy_id(accepted_order.strategy_id())
801            .instrument_id(accepted_order.instrument_id())
802            .order_side(accepted_order.order_side())
803            .last_qty(fill_quantity)
804            .last_px(fill_price)
805            .venue_order_id(VenueOrderId::from("TEST-001"))
806            .trade_id(TradeId::from("TRADE-001"))
807            .build();
808
809        // Apply the fill event
810        accepted_order
811            .apply(OrderEventAny::Filled(order_filled_event))
812            .unwrap();
813
814        // The fill triggers the slippage calculation: 98.50 - 90.0 for a buy order
815        assert_eq!(accepted_order.slippage(), Some(dec!(8.50)));
816    }
817}
nautilus_model/orders/market_if_touched.rs

nautilus_model/orders/
market_if_touched.rs
