nautilus_model/orders/
market_to_limit.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::{UUID4, UnixNanos, correctness::FAILED};
23use rust_decimal::Decimal;
24use serde::{Deserialize, Serialize};
25use ustr::Ustr;
26
27use super::{Order, OrderAny, OrderCore, check_display_qty, check_time_in_force};
28use crate::{
29    enums::{
30        ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSide,
31        TimeInForce, TrailingOffsetType, TriggerType,
32    },
33    events::{OrderEventAny, OrderInitialized, OrderUpdated},
34    identifiers::{
35        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
36        StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
37    },
38    orders::OrderError,
39    types::{Currency, Money, Price, Quantity, quantity::check_positive_quantity},
40};
41
42#[derive(Clone, Debug, Serialize, Deserialize)]
43#[cfg_attr(
44    feature = "python",
45    pyo3::pyclass(module = "nautilus_trader.model", from_py_object)
46)]
47#[cfg_attr(
48    feature = "python",
49    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
50)]
51pub struct MarketToLimitOrder {
52    core: OrderCore,
53    pub price: Option<Price>,
54    pub expire_time: Option<UnixNanos>,
55    pub is_post_only: bool,
56    pub display_qty: Option<Quantity>,
57}
58
59impl MarketToLimitOrder {
60    /// Creates a new [`MarketToLimitOrder`] instance.
61    ///
62    /// # Errors
63    ///
64    /// Returns an error if:
65    /// - The `quantity` is not positive.
66    /// - The `display_qty` (when provided) exceeds `quantity`.
67    /// - The `time_in_force` is `GTD` **and** `expire_time` is `None` or zero.
68    /// - The order metadata violates an [`OrderInitialized::new_checked`] invariant.
69    #[expect(clippy::too_many_arguments)]
70    pub fn new_checked(
71        trader_id: TraderId,
72        strategy_id: StrategyId,
73        instrument_id: InstrumentId,
74        client_order_id: ClientOrderId,
75        order_side: OrderSide,
76        quantity: Quantity,
77        time_in_force: TimeInForce,
78        expire_time: Option<UnixNanos>,
79        post_only: bool,
80        reduce_only: bool,
81        quote_quantity: bool,
82        display_qty: Option<Quantity>,
83        contingency_type: Option<ContingencyType>,
84        order_list_id: Option<OrderListId>,
85        linked_order_ids: Option<Vec<ClientOrderId>>,
86        parent_order_id: Option<ClientOrderId>,
87        exec_algorithm_id: Option<ExecAlgorithmId>,
88        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
89        exec_spawn_id: Option<ClientOrderId>,
90        tags: Option<Vec<Ustr>>,
91        init_id: UUID4,
92        ts_init: UnixNanos,
93    ) -> Result<Self, OrderError> {
94        check_positive_quantity(quantity, stringify!(quantity))?;
95        check_display_qty(display_qty, quantity)?;
96        check_time_in_force(time_in_force, expire_time)?;
97
98        let init_order = OrderInitialized::new_checked(
99            trader_id,
100            strategy_id,
101            instrument_id,
102            client_order_id,
103            order_side,
104            OrderType::MarketToLimit,
105            quantity,
106            time_in_force,
107            post_only,
108            reduce_only,
109            quote_quantity,
110            false,
111            init_id,
112            ts_init,
113            ts_init,
114            None,
115            None,
116            None,
117            None,
118            None,
119            None,
120            None,
121            expire_time,
122            display_qty,
123            None,
124            None,
125            contingency_type,
126            order_list_id,
127            linked_order_ids,
128            parent_order_id,
129            exec_algorithm_id,
130            exec_algorithm_params,
131            exec_spawn_id,
132            tags,
133        )?;
134
135        Ok(Self {
136            core: OrderCore::new(init_order),
137            price: None, // Price will be determined on fill
138            expire_time,
139            is_post_only: post_only,
140            display_qty,
141        })
142    }
143
144    /// Creates a new [`MarketToLimitOrder`] instance.
145    ///
146    /// # Panics
147    ///
148    /// Panics if any order validation fails (see [`MarketToLimitOrder::new_checked`]).
149    #[expect(clippy::too_many_arguments)]
150    #[must_use]
151    pub fn new(
152        trader_id: TraderId,
153        strategy_id: StrategyId,
154        instrument_id: InstrumentId,
155        client_order_id: ClientOrderId,
156        order_side: OrderSide,
157        quantity: Quantity,
158        time_in_force: TimeInForce,
159        expire_time: Option<UnixNanos>,
160        post_only: bool,
161        reduce_only: bool,
162        quote_quantity: bool,
163        display_qty: Option<Quantity>,
164        contingency_type: Option<ContingencyType>,
165        order_list_id: Option<OrderListId>,
166        linked_order_ids: Option<Vec<ClientOrderId>>,
167        parent_order_id: Option<ClientOrderId>,
168        exec_algorithm_id: Option<ExecAlgorithmId>,
169        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
170        exec_spawn_id: Option<ClientOrderId>,
171        tags: Option<Vec<Ustr>>,
172        init_id: UUID4,
173        ts_init: UnixNanos,
174    ) -> Self {
175        Self::new_checked(
176            trader_id,
177            strategy_id,
178            instrument_id,
179            client_order_id,
180            order_side,
181            quantity,
182            time_in_force,
183            expire_time,
184            post_only,
185            reduce_only,
186            quote_quantity,
187            display_qty,
188            contingency_type,
189            order_list_id,
190            linked_order_ids,
191            parent_order_id,
192            exec_algorithm_id,
193            exec_algorithm_params,
194            exec_spawn_id,
195            tags,
196            init_id,
197            ts_init,
198        )
199        .unwrap_or_else(|e| panic!("{FAILED}: {e}"))
200    }
201}
202
203impl PartialEq for MarketToLimitOrder {
204    fn eq(&self, other: &Self) -> bool {
205        self.client_order_id == other.client_order_id
206    }
207}
208
209impl Deref for MarketToLimitOrder {
210    type Target = OrderCore;
211
212    fn deref(&self) -> &Self::Target {
213        &self.core
214    }
215}
216
217impl DerefMut for MarketToLimitOrder {
218    fn deref_mut(&mut self) -> &mut Self::Target {
219        &mut self.core
220    }
221}
222
223impl Order for MarketToLimitOrder {
224    fn into_any(self) -> OrderAny {
225        OrderAny::MarketToLimit(self)
226    }
227
228    fn status(&self) -> OrderStatus {
229        self.status
230    }
231
232    fn trader_id(&self) -> TraderId {
233        self.trader_id
234    }
235
236    fn strategy_id(&self) -> StrategyId {
237        self.strategy_id
238    }
239
240    fn instrument_id(&self) -> InstrumentId {
241        self.instrument_id
242    }
243
244    fn symbol(&self) -> Symbol {
245        self.instrument_id.symbol
246    }
247
248    fn venue(&self) -> Venue {
249        self.instrument_id.venue
250    }
251
252    fn client_order_id(&self) -> ClientOrderId {
253        self.client_order_id
254    }
255
256    fn venue_order_id(&self) -> Option<VenueOrderId> {
257        self.venue_order_id
258    }
259
260    fn position_id(&self) -> Option<PositionId> {
261        self.position_id
262    }
263
264    fn account_id(&self) -> Option<AccountId> {
265        self.account_id
266    }
267
268    fn last_trade_id(&self) -> Option<TradeId> {
269        self.last_trade_id
270    }
271
272    fn order_side(&self) -> OrderSide {
273        self.side
274    }
275
276    fn order_type(&self) -> OrderType {
277        self.order_type
278    }
279
280    fn quantity(&self) -> Quantity {
281        self.quantity
282    }
283
284    fn time_in_force(&self) -> TimeInForce {
285        self.time_in_force
286    }
287
288    fn expire_time(&self) -> Option<UnixNanos> {
289        self.expire_time
290    }
291
292    fn price(&self) -> Option<Price> {
293        self.price
294    }
295
296    fn trigger_price(&self) -> Option<Price> {
297        None
298    }
299
300    fn trigger_type(&self) -> Option<TriggerType> {
301        None
302    }
303
304    fn liquidity_side(&self) -> Option<LiquiditySide> {
305        self.liquidity_side
306    }
307
308    fn is_post_only(&self) -> bool {
309        self.is_post_only
310    }
311
312    fn is_reduce_only(&self) -> bool {
313        self.is_reduce_only
314    }
315
316    fn is_quote_quantity(&self) -> bool {
317        self.is_quote_quantity
318    }
319
320    fn has_price(&self) -> bool {
321        self.price.is_some()
322    }
323
324    fn display_qty(&self) -> Option<Quantity> {
325        self.display_qty
326    }
327
328    fn limit_offset(&self) -> Option<Decimal> {
329        None
330    }
331
332    fn trailing_offset(&self) -> Option<Decimal> {
333        None
334    }
335
336    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
337        None
338    }
339
340    fn emulation_trigger(&self) -> Option<TriggerType> {
341        None
342    }
343
344    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
345        None
346    }
347
348    fn contingency_type(&self) -> Option<ContingencyType> {
349        self.contingency_type
350    }
351
352    fn order_list_id(&self) -> Option<OrderListId> {
353        self.order_list_id
354    }
355
356    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
357        self.linked_order_ids.as_deref()
358    }
359
360    fn parent_order_id(&self) -> Option<ClientOrderId> {
361        self.parent_order_id
362    }
363
364    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
365        self.exec_algorithm_id
366    }
367
368    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
369        self.exec_algorithm_params.as_ref()
370    }
371
372    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
373        self.exec_spawn_id
374    }
375
376    fn tags(&self) -> Option<&[Ustr]> {
377        self.tags.as_deref()
378    }
379
380    fn filled_qty(&self) -> Quantity {
381        self.filled_qty
382    }
383
384    fn voided_qty(&self) -> Quantity {
385        self.voided_qty
386    }
387
388    fn non_reopened_voided_qty(&self) -> Quantity {
389        self.non_reopened_voided_qty
390    }
391
392    fn leaves_qty(&self) -> Quantity {
393        self.leaves_qty
394    }
395
396    fn overfill_qty(&self) -> Quantity {
397        self.overfill_qty
398    }
399
400    fn avg_px(&self) -> Option<Decimal> {
401        self.avg_px
402    }
403
404    fn slippage(&self) -> Option<Decimal> {
405        self.slippage
406    }
407
408    fn init_id(&self) -> UUID4 {
409        self.init_id
410    }
411
412    fn ts_init(&self) -> UnixNanos {
413        self.ts_init
414    }
415
416    fn ts_submitted(&self) -> Option<UnixNanos> {
417        self.ts_submitted
418    }
419
420    fn ts_accepted(&self) -> Option<UnixNanos> {
421        self.ts_accepted
422    }
423
424    fn ts_closed(&self) -> Option<UnixNanos> {
425        self.ts_closed
426    }
427
428    fn ts_last(&self) -> UnixNanos {
429        self.ts_last
430    }
431
432    fn events(&self) -> Vec<&OrderEventAny> {
433        self.events.iter().collect()
434    }
435
436    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
437        self.venue_order_ids.iter().collect()
438    }
439
440    fn trade_ids(&self) -> Vec<&TradeId> {
441        self.trade_ids.iter().collect()
442    }
443
444    fn commissions(&self) -> &IndexMap<Currency, Money> {
445        &self.commissions
446    }
447
448    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
449        let updates_slippage = matches!(
450            event,
451            OrderEventAny::Filled(_) | OrderEventAny::FillVoided(_),
452        );
453
454        self.core.apply(event.clone())?;
455
456        if let OrderEventAny::Updated(ref event) = event {
457            self.update(event);
458        }
459
460        if updates_slippage && let Some(price) = self.price {
461            self.core.set_slippage(price);
462        }
463
464        Ok(())
465    }
466
467    fn update(&mut self, event: &OrderUpdated) {
468        assert!(
469            event.trigger_price.is_none(),
470            "{}",
471            OrderError::InvalidOrderEvent
472        );
473
474        if let Some(price) = event.price {
475            self.price = Some(price);
476        }
477
478        self.core.apply_updated_quantity(event.quantity);
479    }
480
481    fn is_triggered(&self) -> Option<bool> {
482        None
483    }
484
485    fn set_position_id(&mut self, position_id: Option<PositionId>) {
486        self.position_id = position_id;
487    }
488
489    fn set_quantity(&mut self, quantity: Quantity) {
490        self.quantity = quantity;
491    }
492
493    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
494        self.leaves_qty = leaves_qty;
495    }
496
497    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
498        self.emulation_trigger = emulation_trigger;
499    }
500
501    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
502        self.is_quote_quantity = is_quote_quantity;
503    }
504
505    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
506        self.liquidity_side = Some(liquidity_side);
507    }
508
509    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
510        self.core.would_reduce_only(side, position_qty)
511    }
512
513    fn previous_status(&self) -> Option<OrderStatus> {
514        self.core.previous_status
515    }
516}
517
518impl Display for MarketToLimitOrder {
519    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
520        write!(
521            f,
522            "MarketToLimitOrder(\
523            {} {} {} {} {}, \
524            status={}, \
525            client_order_id={}, \
526            venue_order_id={}, \
527            position_id={}, \
528            exec_algorithm_id={}, \
529            exec_spawn_id={}, \
530            tags={:?}\
531            )",
532            self.side,
533            self.quantity.to_formatted_string(),
534            self.instrument_id,
535            self.order_type,
536            self.time_in_force,
537            self.status,
538            self.client_order_id,
539            self.venue_order_id.map_or_else(
540                || "None".to_string(),
541                |venue_order_id| format!("{venue_order_id}")
542            ),
543            self.position_id.map_or_else(
544                || "None".to_string(),
545                |position_id| format!("{position_id}")
546            ),
547            self.exec_algorithm_id
548                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
549            self.exec_spawn_id
550                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
551            self.tags
552        )
553    }
554}
555
556impl TryFrom<OrderInitialized> for MarketToLimitOrder {
557    type Error = OrderError;
558
559    fn try_from(event: OrderInitialized) -> Result<Self, Self::Error> {
560        Self::new_checked(
561            event.trader_id,
562            event.strategy_id,
563            event.instrument_id,
564            event.client_order_id,
565            event.order_side,
566            event.quantity,
567            event.time_in_force,
568            event.expire_time,
569            event.post_only,
570            event.reduce_only,
571            event.quote_quantity,
572            event.display_qty,
573            event.contingency_type,
574            event.order_list_id,
575            event.linked_order_ids,
576            event.parent_order_id,
577            event.exec_algorithm_id,
578            event.exec_algorithm_params,
579            event.exec_spawn_id,
580            event.tags,
581            event.event_id,
582            event.ts_event,
583        )
584    }
585}
586
587#[cfg(test)]
588mod tests {
589    use rstest::rstest;
590    use rust_decimal_macros::dec;
591
592    use super::*;
593    use crate::{
594        enums::{OrderSide, OrderType, TimeInForce},
595        events::order::spec::{OrderFilledSpec, OrderInitializedSpec},
596        identifiers::{InstrumentId, TradeId, VenueOrderId},
597        instruments::{CurrencyPair, stubs::*},
598        orders::{builder::OrderTestBuilder, stubs::TestOrderStubs},
599        types::{Price, Quantity},
600    };
601
602    #[rstest]
603    fn test_initialize(audusd_sim: CurrencyPair) {
604        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
605            .instrument_id(audusd_sim.id)
606            .side(OrderSide::Buy)
607            .price(Price::from("0.68000"))
608            .quantity(Quantity::from(1))
609            .build();
610
611        assert_eq!(order.price(), None);
612        assert_eq!(order.is_triggered(), None);
613        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
614        assert_eq!(order.is_triggered(), None);
615        assert_eq!(order.filled_qty(), Quantity::from(0));
616        assert_eq!(order.leaves_qty(), Quantity::from(1));
617        assert_eq!(order.trigger_instrument_id(), None);
618        assert_eq!(order.order_list_id(), None);
619    }
620
621    #[rstest]
622    fn test_display(audusd_sim: CurrencyPair) {
623        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
624            .instrument_id(audusd_sim.id)
625            .side(OrderSide::Buy)
626            .quantity(Quantity::from(1))
627            .build();
628
629        assert_eq!(
630            order.to_string(),
631            "MarketToLimitOrder(BUY 1 AUD/USD.SIM MARKET_TO_LIMIT GTC, status=INITIALIZED, client_order_id=O-19700101-000000-001-001-1, venue_order_id=None, position_id=None, exec_algorithm_id=None, exec_spawn_id=None, tags=None)"
632        );
633    }
634
635    #[rstest]
636    #[should_panic(
637        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
638    )]
639    fn test_quantity_zero(audusd_sim: CurrencyPair) {
640        let _ = OrderTestBuilder::new(OrderType::MarketToLimit)
641            .instrument_id(audusd_sim.id)
642            .side(OrderSide::Buy)
643            .quantity(Quantity::from(0))
644            .build();
645    }
646
647    #[rstest]
648    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
649    fn test_gtd_without_expire(audusd_sim: CurrencyPair) {
650        let _ = OrderTestBuilder::new(OrderType::MarketToLimit)
651            .instrument_id(audusd_sim.id)
652            .side(OrderSide::Buy)
653            .quantity(Quantity::from(1))
654            .time_in_force(TimeInForce::Gtd) // Missing expire_time
655            .build();
656    }
657
658    #[rstest]
659    #[should_panic(expected = "`display_qty` may not exceed `quantity`")]
660    fn test_display_qty_gt_quantity(audusd_sim: CurrencyPair) {
661        let _ = OrderTestBuilder::new(OrderType::MarketToLimit)
662            .instrument_id(audusd_sim.id)
663            .side(OrderSide::Buy)
664            .quantity(Quantity::from(1))
665            .display_qty(Quantity::from(2)) // Invalid: display > quantity
666            .build();
667    }
668
669    #[rstest]
670    fn test_market_to_limit_order_update() {
671        // Create and accept a basic MarketToLimitOrder
672        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
673            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
674            .quantity(Quantity::from(10))
675            .build();
676
677        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
678
679        // Update with new values
680        let updated_price = Price::new(95.0, 2);
681        let updated_quantity = Quantity::from(5);
682
683        let event = OrderUpdated {
684            client_order_id: accepted_order.client_order_id(),
685            strategy_id: accepted_order.strategy_id(),
686            price: Some(updated_price),
687            quantity: updated_quantity,
688            ..Default::default()
689        };
690
691        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
692
693        // Verify updates were applied correctly
694        assert_eq!(accepted_order.quantity(), updated_quantity);
695        assert_eq!(accepted_order.price(), Some(updated_price));
696    }
697
698    #[rstest]
699    fn test_market_to_limit_order_rejects_invalid_update_atomically() {
700        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
701            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
702            .quantity(Quantity::from(10))
703            .build();
704        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
705        let state = (
706            accepted_order.status(),
707            accepted_order.previous_status(),
708            accepted_order.ts_last(),
709            accepted_order.events().len(),
710        );
711        let event = OrderUpdated {
712            client_order_id: accepted_order.client_order_id(),
713            strategy_id: accepted_order.strategy_id(),
714            trigger_price: Some(Price::new(95.0, 2)),
715            ..Default::default()
716        };
717
718        let result = accepted_order.apply(OrderEventAny::Updated(event));
719
720        assert!(matches!(result, Err(OrderError::InvalidOrderEvent)));
721        assert_eq!(accepted_order.status(), state.0);
722        assert_eq!(accepted_order.previous_status(), state.1);
723        assert_eq!(accepted_order.ts_last(), state.2);
724        assert_eq!(accepted_order.events().len(), state.3);
725    }
726
727    #[rstest]
728    fn test_market_to_limit_order_expire_time() {
729        // Create a new MarketToLimitOrder with an expire time
730        let expire_time = UnixNanos::from(1_234_567_890);
731        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
732            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
733            .quantity(Quantity::from(10))
734            .expire_time(expire_time)
735            .build();
736
737        // Assert that the expire time is set correctly
738        assert_eq!(order.expire_time(), Some(expire_time));
739    }
740
741    #[rstest]
742    fn test_market_to_limit_order_from_order_initialized() {
743        // Create an OrderInitialized event with all required fields for a MarketToLimitOrder
744        let order_initialized = OrderInitializedSpec::builder()
745            .order_type(OrderType::MarketToLimit)
746            .build();
747
748        // Convert the OrderInitialized event into a MarketToLimitOrder
749        let order: MarketToLimitOrder = order_initialized.clone().try_into().unwrap();
750
751        // Assert essential fields match the OrderInitialized fields
752        assert_eq!(order.trader_id(), order_initialized.trader_id);
753        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
754        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
755        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
756        assert_eq!(order.order_side(), order_initialized.order_side);
757        assert_eq!(order.quantity(), order_initialized.quantity);
758    }
759
760    #[rstest]
761    fn test_market_to_limit_order_sets_slippage_when_filled() {
762        // Create a MarketToLimitOrder
763        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
764            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
765            .quantity(Quantity::from(10))
766            .side(OrderSide::Buy)
767            .build();
768
769        // Accept the order first
770        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
771
772        // Update the order with a price
773        let price = Price::new(90.0, 2);
774        let update_event = OrderUpdated {
775            client_order_id: accepted_order.client_order_id(),
776            strategy_id: accepted_order.strategy_id(),
777            price: Some(price),
778            quantity: accepted_order.quantity(),
779            ..Default::default()
780        };
781
782        // Apply the update event to set the price
783        accepted_order
784            .apply(OrderEventAny::Updated(update_event))
785            .unwrap();
786
787        // Verify the price was set correctly
788        assert_eq!(accepted_order.price(), Some(price));
789
790        // Create a filled event with the correct quantity
791        let fill_quantity = accepted_order.quantity();
792        let fill_price = Price::new(98.50, 2);
793
794        let order_filled_event = OrderFilledSpec::builder()
795            .client_order_id(accepted_order.client_order_id())
796            .strategy_id(accepted_order.strategy_id())
797            .instrument_id(accepted_order.instrument_id())
798            .order_side(accepted_order.order_side())
799            .last_qty(fill_quantity)
800            .last_px(fill_price)
801            .venue_order_id(VenueOrderId::from("TEST-001"))
802            .trade_id(TradeId::from("TRADE-001"))
803            .build();
804
805        // Apply the fill event
806        accepted_order
807            .apply(OrderEventAny::Filled(order_filled_event))
808            .unwrap();
809
810        // The fill triggers the slippage calculation: 98.50 - 90.0 for a buy order
811        assert_eq!(accepted_order.slippage(), Some(dec!(8.50)));
812    }
813}
nautilus_model/orders/market_to_limit.rs

nautilus_model/orders/
market_to_limit.rs
