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 leaves_qty(&self) -> Quantity {
389        self.leaves_qty
390    }
391
392    fn overfill_qty(&self) -> Quantity {
393        self.overfill_qty
394    }
395
396    fn avg_px(&self) -> Option<Decimal> {
397        self.avg_px
398    }
399
400    fn slippage(&self) -> Option<Decimal> {
401        self.slippage
402    }
403
404    fn init_id(&self) -> UUID4 {
405        self.init_id
406    }
407
408    fn ts_init(&self) -> UnixNanos {
409        self.ts_init
410    }
411
412    fn ts_submitted(&self) -> Option<UnixNanos> {
413        self.ts_submitted
414    }
415
416    fn ts_accepted(&self) -> Option<UnixNanos> {
417        self.ts_accepted
418    }
419
420    fn ts_closed(&self) -> Option<UnixNanos> {
421        self.ts_closed
422    }
423
424    fn ts_last(&self) -> UnixNanos {
425        self.ts_last
426    }
427
428    fn events(&self) -> Vec<&OrderEventAny> {
429        self.events.iter().collect()
430    }
431
432    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
433        self.venue_order_ids.iter().collect()
434    }
435
436    fn trade_ids(&self) -> Vec<&TradeId> {
437        self.trade_ids.iter().collect()
438    }
439
440    fn commissions(&self) -> &IndexMap<Currency, Money> {
441        &self.commissions
442    }
443
444    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
445        let updates_slippage = matches!(
446            event,
447            OrderEventAny::Filled(_) | OrderEventAny::FillVoided(_),
448        );
449
450        self.core.apply(event.clone())?;
451
452        if let OrderEventAny::Updated(ref event) = event {
453            self.update(event);
454        }
455
456        if updates_slippage && let Some(price) = self.price {
457            self.core.set_slippage(price);
458        }
459
460        Ok(())
461    }
462
463    fn update(&mut self, event: &OrderUpdated) {
464        assert!(
465            event.trigger_price.is_none(),
466            "{}",
467            OrderError::InvalidOrderEvent
468        );
469
470        if let Some(price) = event.price {
471            self.price = Some(price);
472        }
473
474        self.quantity = event.quantity;
475        self.leaves_qty = self.quantity.saturating_sub(self.filled_qty);
476    }
477
478    fn is_triggered(&self) -> Option<bool> {
479        None
480    }
481
482    fn set_position_id(&mut self, position_id: Option<PositionId>) {
483        self.position_id = position_id;
484    }
485
486    fn set_quantity(&mut self, quantity: Quantity) {
487        self.quantity = quantity;
488    }
489
490    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
491        self.leaves_qty = leaves_qty;
492    }
493
494    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
495        self.emulation_trigger = emulation_trigger;
496    }
497
498    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
499        self.is_quote_quantity = is_quote_quantity;
500    }
501
502    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
503        self.liquidity_side = Some(liquidity_side);
504    }
505
506    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
507        self.core.would_reduce_only(side, position_qty)
508    }
509
510    fn previous_status(&self) -> Option<OrderStatus> {
511        self.core.previous_status
512    }
513}
514
515impl Display for MarketToLimitOrder {
516    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
517        write!(
518            f,
519            "MarketToLimitOrder(\
520            {} {} {} {} {}, \
521            status={}, \
522            client_order_id={}, \
523            venue_order_id={}, \
524            position_id={}, \
525            exec_algorithm_id={}, \
526            exec_spawn_id={}, \
527            tags={:?}\
528            )",
529            self.side,
530            self.quantity.to_formatted_string(),
531            self.instrument_id,
532            self.order_type,
533            self.time_in_force,
534            self.status,
535            self.client_order_id,
536            self.venue_order_id.map_or_else(
537                || "None".to_string(),
538                |venue_order_id| format!("{venue_order_id}")
539            ),
540            self.position_id.map_or_else(
541                || "None".to_string(),
542                |position_id| format!("{position_id}")
543            ),
544            self.exec_algorithm_id
545                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
546            self.exec_spawn_id
547                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
548            self.tags
549        )
550    }
551}
552
553impl TryFrom<OrderInitialized> for MarketToLimitOrder {
554    type Error = OrderError;
555
556    fn try_from(event: OrderInitialized) -> Result<Self, Self::Error> {
557        Self::new_checked(
558            event.trader_id,
559            event.strategy_id,
560            event.instrument_id,
561            event.client_order_id,
562            event.order_side,
563            event.quantity,
564            event.time_in_force,
565            event.expire_time,
566            event.post_only,
567            event.reduce_only,
568            event.quote_quantity,
569            event.display_qty,
570            event.contingency_type,
571            event.order_list_id,
572            event.linked_order_ids,
573            event.parent_order_id,
574            event.exec_algorithm_id,
575            event.exec_algorithm_params,
576            event.exec_spawn_id,
577            event.tags,
578            event.event_id,
579            event.ts_event,
580        )
581    }
582}
583
584#[cfg(test)]
585mod tests {
586    use rstest::rstest;
587    use rust_decimal_macros::dec;
588
589    use super::*;
590    use crate::{
591        enums::{OrderSide, OrderType, TimeInForce},
592        events::order::spec::{OrderFilledSpec, OrderInitializedSpec},
593        identifiers::{InstrumentId, TradeId, VenueOrderId},
594        instruments::{CurrencyPair, stubs::*},
595        orders::{builder::OrderTestBuilder, stubs::TestOrderStubs},
596        types::{Price, Quantity},
597    };
598
599    #[rstest]
600    fn test_initialize(audusd_sim: CurrencyPair) {
601        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
602            .instrument_id(audusd_sim.id)
603            .side(OrderSide::Buy)
604            .price(Price::from("0.68000"))
605            .quantity(Quantity::from(1))
606            .build();
607
608        assert_eq!(order.price(), None);
609        assert_eq!(order.is_triggered(), None);
610        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
611        assert_eq!(order.is_triggered(), None);
612        assert_eq!(order.filled_qty(), Quantity::from(0));
613        assert_eq!(order.leaves_qty(), Quantity::from(1));
614        assert_eq!(order.trigger_instrument_id(), None);
615        assert_eq!(order.order_list_id(), None);
616    }
617
618    #[rstest]
619    fn test_display(audusd_sim: CurrencyPair) {
620        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
621            .instrument_id(audusd_sim.id)
622            .side(OrderSide::Buy)
623            .quantity(Quantity::from(1))
624            .build();
625
626        assert_eq!(
627            order.to_string(),
628            "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)"
629        );
630    }
631
632    #[rstest]
633    #[should_panic(
634        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
635    )]
636    fn test_quantity_zero(audusd_sim: CurrencyPair) {
637        let _ = OrderTestBuilder::new(OrderType::MarketToLimit)
638            .instrument_id(audusd_sim.id)
639            .side(OrderSide::Buy)
640            .quantity(Quantity::from(0))
641            .build();
642    }
643
644    #[rstest]
645    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
646    fn test_gtd_without_expire(audusd_sim: CurrencyPair) {
647        let _ = OrderTestBuilder::new(OrderType::MarketToLimit)
648            .instrument_id(audusd_sim.id)
649            .side(OrderSide::Buy)
650            .quantity(Quantity::from(1))
651            .time_in_force(TimeInForce::Gtd) // Missing expire_time
652            .build();
653    }
654
655    #[rstest]
656    #[should_panic(expected = "`display_qty` may not exceed `quantity`")]
657    fn test_display_qty_gt_quantity(audusd_sim: CurrencyPair) {
658        let _ = OrderTestBuilder::new(OrderType::MarketToLimit)
659            .instrument_id(audusd_sim.id)
660            .side(OrderSide::Buy)
661            .quantity(Quantity::from(1))
662            .display_qty(Quantity::from(2)) // Invalid: display > quantity
663            .build();
664    }
665
666    #[rstest]
667    fn test_market_to_limit_order_update() {
668        // Create and accept a basic MarketToLimitOrder
669        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
670            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
671            .quantity(Quantity::from(10))
672            .build();
673
674        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
675
676        // Update with new values
677        let updated_price = Price::new(95.0, 2);
678        let updated_quantity = Quantity::from(5);
679
680        let event = OrderUpdated {
681            client_order_id: accepted_order.client_order_id(),
682            strategy_id: accepted_order.strategy_id(),
683            price: Some(updated_price),
684            quantity: updated_quantity,
685            ..Default::default()
686        };
687
688        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
689
690        // Verify updates were applied correctly
691        assert_eq!(accepted_order.quantity(), updated_quantity);
692        assert_eq!(accepted_order.price(), Some(updated_price));
693    }
694
695    #[rstest]
696    fn test_market_to_limit_order_rejects_invalid_update_atomically() {
697        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
698            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
699            .quantity(Quantity::from(10))
700            .build();
701        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
702        let state = (
703            accepted_order.status(),
704            accepted_order.previous_status(),
705            accepted_order.ts_last(),
706            accepted_order.events().len(),
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(Price::new(95.0, 2)),
712            ..Default::default()
713        };
714
715        let result = accepted_order.apply(OrderEventAny::Updated(event));
716
717        assert!(matches!(result, Err(OrderError::InvalidOrderEvent)));
718        assert_eq!(accepted_order.status(), state.0);
719        assert_eq!(accepted_order.previous_status(), state.1);
720        assert_eq!(accepted_order.ts_last(), state.2);
721        assert_eq!(accepted_order.events().len(), state.3);
722    }
723
724    #[rstest]
725    fn test_market_to_limit_order_expire_time() {
726        // Create a new MarketToLimitOrder with an expire time
727        let expire_time = UnixNanos::from(1_234_567_890);
728        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
729            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
730            .quantity(Quantity::from(10))
731            .expire_time(expire_time)
732            .build();
733
734        // Assert that the expire time is set correctly
735        assert_eq!(order.expire_time(), Some(expire_time));
736    }
737
738    #[rstest]
739    fn test_market_to_limit_order_from_order_initialized() {
740        // Create an OrderInitialized event with all required fields for a MarketToLimitOrder
741        let order_initialized = OrderInitializedSpec::builder()
742            .order_type(OrderType::MarketToLimit)
743            .build();
744
745        // Convert the OrderInitialized event into a MarketToLimitOrder
746        let order: MarketToLimitOrder = order_initialized.clone().try_into().unwrap();
747
748        // Assert essential fields match the OrderInitialized fields
749        assert_eq!(order.trader_id(), order_initialized.trader_id);
750        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
751        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
752        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
753        assert_eq!(order.order_side(), order_initialized.order_side);
754        assert_eq!(order.quantity(), order_initialized.quantity);
755    }
756
757    #[rstest]
758    fn test_market_to_limit_order_sets_slippage_when_filled() {
759        // Create a MarketToLimitOrder
760        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
761            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
762            .quantity(Quantity::from(10))
763            .side(OrderSide::Buy)
764            .build();
765
766        // Accept the order first
767        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
768
769        // Update the order with a price
770        let price = Price::new(90.0, 2);
771        let update_event = OrderUpdated {
772            client_order_id: accepted_order.client_order_id(),
773            strategy_id: accepted_order.strategy_id(),
774            price: Some(price),
775            quantity: accepted_order.quantity(),
776            ..Default::default()
777        };
778
779        // Apply the update event to set the price
780        accepted_order
781            .apply(OrderEventAny::Updated(update_event))
782            .unwrap();
783
784        // Verify the price was set correctly
785        assert_eq!(accepted_order.price(), Some(price));
786
787        // Create a filled event with the correct quantity
788        let fill_quantity = accepted_order.quantity();
789        let fill_price = Price::new(98.50, 2);
790
791        let order_filled_event = OrderFilledSpec::builder()
792            .client_order_id(accepted_order.client_order_id())
793            .strategy_id(accepted_order.strategy_id())
794            .instrument_id(accepted_order.instrument_id())
795            .order_side(accepted_order.order_side())
796            .last_qty(fill_quantity)
797            .last_px(fill_price)
798            .venue_order_id(VenueOrderId::from("TEST-001"))
799            .trade_id(TradeId::from("TRADE-001"))
800            .build();
801
802        // Apply the fill event
803        accepted_order
804            .apply(OrderEventAny::Filled(order_filled_event))
805            .unwrap();
806
807        // The fill triggers the slippage calculation: 98.50 - 90.0 for a buy order
808        assert_eq!(accepted_order.slippage(), Some(dec!(8.50)));
809    }
810}
nautilus_model/orders/market_to_limit.rs

nautilus_model/orders/
market_to_limit.rs
