nautilus_model/orders/
stop_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::{
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_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    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 StopLimitOrder {
54    pub price: Price,
55    pub trigger_price: Price,
56    pub trigger_type: TriggerType,
57    pub expire_time: Option<UnixNanos>,
58    pub is_post_only: bool,
59    pub display_qty: Option<Quantity>,
60    pub trigger_instrument_id: Option<InstrumentId>,
61    pub is_triggered: bool,
62    pub ts_triggered: Option<UnixNanos>,
63    core: OrderCore,
64}
65
66impl StopLimitOrder {
67    /// Creates a new [`StopLimitOrder`] instance.
68    ///
69    /// # Errors
70    ///
71    /// Returns an error if:
72    /// - The `quantity` is not positive.
73    /// - The `display_qty` (when provided) exceeds `quantity`.
74    /// - The `time_in_force` is `GTD` **and** `expire_time` is `None` or zero.
75    /// - The order metadata violates an [`OrderInitialized::new_checked`] invariant.
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        let init_order = OrderInitialized::new_checked(
111            trader_id,
112            strategy_id,
113            instrument_id,
114            client_order_id,
115            order_side,
116            OrderType::StopLimit,
117            quantity,
118            time_in_force,
119            post_only,
120            reduce_only,
121            quote_quantity,
122            false,
123            init_id,
124            ts_init,
125            ts_init,
126            Some(price),
127            None,
128            Some(trigger_price),
129            Some(trigger_type),
130            None,
131            None,
132            None,
133            expire_time,
134            display_qty,
135            emulation_trigger,
136            trigger_instrument_id,
137            contingency_type,
138            order_list_id,
139            linked_order_ids,
140            parent_order_id,
141            exec_algorithm_id,
142            exec_algorithm_params,
143            exec_spawn_id,
144            tags,
145        )?;
146
147        Ok(Self {
148            core: OrderCore::new(init_order),
149            price,
150            trigger_price,
151            trigger_type,
152            expire_time,
153            is_post_only: post_only,
154            display_qty,
155            trigger_instrument_id,
156            is_triggered: false,
157            ts_triggered: None,
158        })
159    }
160
161    /// Creates a new [`StopLimitOrder`] instance.
162    ///
163    /// # Panics
164    ///
165    /// Panics if any order validation fails (see [`StopLimitOrder::new_checked`]).
166    #[expect(clippy::too_many_arguments)]
167    #[must_use]
168    pub fn new(
169        trader_id: TraderId,
170        strategy_id: StrategyId,
171        instrument_id: InstrumentId,
172        client_order_id: ClientOrderId,
173        order_side: OrderSide,
174        quantity: Quantity,
175        price: Price,
176        trigger_price: Price,
177        trigger_type: TriggerType,
178        time_in_force: TimeInForce,
179        expire_time: Option<UnixNanos>,
180        post_only: bool,
181        reduce_only: bool,
182        quote_quantity: bool,
183        display_qty: Option<Quantity>,
184        emulation_trigger: Option<TriggerType>,
185        trigger_instrument_id: Option<InstrumentId>,
186        contingency_type: Option<ContingencyType>,
187        order_list_id: Option<OrderListId>,
188        linked_order_ids: Option<Vec<ClientOrderId>>,
189        parent_order_id: Option<ClientOrderId>,
190        exec_algorithm_id: Option<ExecAlgorithmId>,
191        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
192        exec_spawn_id: Option<ClientOrderId>,
193        tags: Option<Vec<Ustr>>,
194        init_id: UUID4,
195        ts_init: UnixNanos,
196    ) -> Self {
197        Self::new_checked(
198            trader_id,
199            strategy_id,
200            instrument_id,
201            client_order_id,
202            order_side,
203            quantity,
204            price,
205            trigger_price,
206            trigger_type,
207            time_in_force,
208            expire_time,
209            post_only,
210            reduce_only,
211            quote_quantity,
212            display_qty,
213            emulation_trigger,
214            trigger_instrument_id,
215            contingency_type,
216            order_list_id,
217            linked_order_ids,
218            parent_order_id,
219            exec_algorithm_id,
220            exec_algorithm_params,
221            exec_spawn_id,
222            tags,
223            init_id,
224            ts_init,
225        )
226        .unwrap_or_else(|e| panic!("{FAILED}: {e}"))
227    }
228}
229
230impl Deref for StopLimitOrder {
231    type Target = OrderCore;
232    fn deref(&self) -> &Self::Target {
233        &self.core
234    }
235}
236
237impl DerefMut for StopLimitOrder {
238    fn deref_mut(&mut self) -> &mut Self::Target {
239        &mut self.core
240    }
241}
242
243impl PartialEq for StopLimitOrder {
244    fn eq(&self, other: &Self) -> bool {
245        self.client_order_id == other.client_order_id
246    }
247}
248
249impl Order for StopLimitOrder {
250    fn into_any(self) -> OrderAny {
251        OrderAny::StopLimit(self)
252    }
253
254    fn status(&self) -> OrderStatus {
255        self.status
256    }
257
258    fn trader_id(&self) -> TraderId {
259        self.trader_id
260    }
261
262    fn strategy_id(&self) -> StrategyId {
263        self.strategy_id
264    }
265
266    fn instrument_id(&self) -> InstrumentId {
267        self.instrument_id
268    }
269
270    fn symbol(&self) -> Symbol {
271        self.instrument_id.symbol
272    }
273
274    fn venue(&self) -> Venue {
275        self.instrument_id.venue
276    }
277
278    fn client_order_id(&self) -> ClientOrderId {
279        self.client_order_id
280    }
281
282    fn venue_order_id(&self) -> Option<VenueOrderId> {
283        self.venue_order_id
284    }
285
286    fn position_id(&self) -> Option<PositionId> {
287        self.position_id
288    }
289
290    fn account_id(&self) -> Option<AccountId> {
291        self.account_id
292    }
293
294    fn last_trade_id(&self) -> Option<TradeId> {
295        self.last_trade_id
296    }
297
298    fn order_side(&self) -> OrderSide {
299        self.side
300    }
301
302    fn order_type(&self) -> OrderType {
303        self.order_type
304    }
305
306    fn quantity(&self) -> Quantity {
307        self.quantity
308    }
309
310    fn time_in_force(&self) -> TimeInForce {
311        self.time_in_force
312    }
313
314    fn expire_time(&self) -> Option<UnixNanos> {
315        self.expire_time
316    }
317
318    fn price(&self) -> Option<Price> {
319        Some(self.price)
320    }
321
322    fn trigger_price(&self) -> Option<Price> {
323        Some(self.trigger_price)
324    }
325
326    fn trigger_type(&self) -> Option<TriggerType> {
327        Some(self.trigger_type)
328    }
329
330    fn liquidity_side(&self) -> Option<LiquiditySide> {
331        self.liquidity_side
332    }
333
334    fn is_post_only(&self) -> bool {
335        self.is_post_only
336    }
337
338    fn is_reduce_only(&self) -> bool {
339        self.is_reduce_only
340    }
341
342    fn is_quote_quantity(&self) -> bool {
343        self.is_quote_quantity
344    }
345
346    fn has_price(&self) -> bool {
347        true
348    }
349
350    fn display_qty(&self) -> Option<Quantity> {
351        self.display_qty
352    }
353
354    fn limit_offset(&self) -> Option<Decimal> {
355        None
356    }
357
358    fn trailing_offset(&self) -> Option<Decimal> {
359        None
360    }
361
362    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
363        None
364    }
365
366    fn emulation_trigger(&self) -> Option<TriggerType> {
367        self.emulation_trigger
368    }
369
370    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
371        self.trigger_instrument_id
372    }
373
374    fn contingency_type(&self) -> Option<ContingencyType> {
375        self.contingency_type
376    }
377
378    fn order_list_id(&self) -> Option<OrderListId> {
379        self.order_list_id
380    }
381
382    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
383        self.linked_order_ids.as_deref()
384    }
385
386    fn parent_order_id(&self) -> Option<ClientOrderId> {
387        self.parent_order_id
388    }
389
390    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
391        self.exec_algorithm_id
392    }
393
394    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
395        self.exec_algorithm_params.as_ref()
396    }
397
398    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
399        self.exec_spawn_id
400    }
401
402    fn tags(&self) -> Option<&[Ustr]> {
403        self.tags.as_deref()
404    }
405
406    fn filled_qty(&self) -> Quantity {
407        self.filled_qty
408    }
409
410    fn voided_qty(&self) -> Quantity {
411        self.voided_qty
412    }
413
414    fn leaves_qty(&self) -> Quantity {
415        self.leaves_qty
416    }
417
418    fn overfill_qty(&self) -> Quantity {
419        self.overfill_qty
420    }
421
422    fn avg_px(&self) -> Option<Decimal> {
423        self.avg_px
424    }
425
426    fn slippage(&self) -> Option<Decimal> {
427        self.slippage
428    }
429
430    fn init_id(&self) -> UUID4 {
431        self.init_id
432    }
433
434    fn ts_init(&self) -> UnixNanos {
435        self.ts_init
436    }
437
438    fn ts_submitted(&self) -> Option<UnixNanos> {
439        self.ts_submitted
440    }
441
442    fn ts_accepted(&self) -> Option<UnixNanos> {
443        self.ts_accepted
444    }
445
446    fn ts_closed(&self) -> Option<UnixNanos> {
447        self.ts_closed
448    }
449
450    fn ts_last(&self) -> UnixNanos {
451        self.ts_last
452    }
453
454    fn events(&self) -> Vec<&OrderEventAny> {
455        self.events.iter().collect()
456    }
457
458    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
459        self.venue_order_ids.iter().collect()
460    }
461
462    fn commissions(&self) -> &IndexMap<Currency, Money> {
463        &self.commissions
464    }
465
466    fn trade_ids(&self) -> Vec<&TradeId> {
467        self.trade_ids.iter().collect()
468    }
469
470    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
471        let updates_slippage = matches!(
472            event,
473            OrderEventAny::Filled(_) | OrderEventAny::FillVoided(_),
474        );
475        let is_order_triggered = matches!(event, OrderEventAny::Triggered(_));
476        let ts_event = if is_order_triggered {
477            Some(event.ts_event())
478        } else {
479            None
480        };
481
482        self.core.apply(event.clone())?;
483
484        if let OrderEventAny::Updated(ref event) = event {
485            self.update(event);
486        }
487
488        if is_order_triggered {
489            self.is_triggered = true;
490            self.ts_triggered = ts_event;
491        }
492
493        if updates_slippage {
494            self.core.set_slippage(self.price);
495        }
496
497        Ok(())
498    }
499
500    fn update(&mut self, event: &OrderUpdated) {
501        if let Some(price) = event.price {
502            self.price = price;
503        }
504
505        if let Some(trigger_price) = event.trigger_price {
506            self.trigger_price = trigger_price;
507        }
508
509        self.quantity = event.quantity;
510        self.leaves_qty = self.quantity.saturating_sub(self.filled_qty);
511    }
512
513    fn is_triggered(&self) -> Option<bool> {
514        Some(self.is_triggered)
515    }
516
517    fn set_position_id(&mut self, position_id: Option<PositionId>) {
518        self.position_id = position_id;
519    }
520
521    fn set_quantity(&mut self, quantity: Quantity) {
522        self.quantity = quantity;
523    }
524
525    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
526        self.leaves_qty = leaves_qty;
527    }
528
529    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
530        self.emulation_trigger = emulation_trigger;
531    }
532
533    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
534        self.is_quote_quantity = is_quote_quantity;
535    }
536
537    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
538        self.liquidity_side = Some(liquidity_side);
539    }
540
541    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
542        self.core.would_reduce_only(side, position_qty)
543    }
544
545    fn previous_status(&self) -> Option<OrderStatus> {
546        self.core.previous_status
547    }
548}
549
550impl TryFrom<OrderInitialized> for StopLimitOrder {
551    type Error = OrderError;
552
553    fn try_from(event: OrderInitialized) -> Result<Self, Self::Error> {
554        let price = event
555            .price
556            .ok_or_else(|| CorrectnessError::PredicateViolation {
557                message: "`price` is required for `StopLimitOrder` initialization".to_string(),
558            })?;
559        let trigger_price =
560            event
561                .trigger_price
562                .ok_or_else(|| CorrectnessError::PredicateViolation {
563                    message: "`trigger_price` is required for `StopLimitOrder` initialization"
564                        .to_string(),
565                })?;
566        let trigger_type =
567            event
568                .trigger_type
569                .ok_or_else(|| CorrectnessError::PredicateViolation {
570                    message: "`trigger_type` is required for `StopLimitOrder` initialization"
571                        .to_string(),
572                })?;
573        Self::new_checked(
574            event.trader_id,
575            event.strategy_id,
576            event.instrument_id,
577            event.client_order_id,
578            event.order_side,
579            event.quantity,
580            price,
581            trigger_price,
582            trigger_type,
583            event.time_in_force,
584            event.expire_time,
585            event.post_only,
586            event.reduce_only,
587            event.quote_quantity,
588            event.display_qty,
589            event.emulation_trigger,
590            event.trigger_instrument_id,
591            event.contingency_type,
592            event.order_list_id,
593            event.linked_order_ids,
594            event.parent_order_id,
595            event.exec_algorithm_id,
596            event.exec_algorithm_params,
597            event.exec_spawn_id,
598            event.tags,
599            event.event_id,
600            event.ts_event,
601        )
602    }
603}
604
605impl Display for StopLimitOrder {
606    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
607        write!(
608            f,
609            "StopLimitOrder({} {} {} {} @ {}-STOP[{}] {}-LIMIT {}, status={}, client_order_id={}, venue_order_id={}, position_id={}, tags={})",
610            self.side,
611            self.quantity.to_formatted_string(),
612            self.instrument_id,
613            self.order_type,
614            self.trigger_price,
615            self.trigger_type,
616            self.price,
617            self.time_in_force,
618            self.status,
619            self.client_order_id,
620            self.venue_order_id
621                .map_or("None".to_string(), |venue_order_id| format!(
622                    "{venue_order_id}"
623                )),
624            self.position_id
625                .map_or("None".to_string(), |position_id| format!("{position_id}")),
626            self.tags.clone().map_or("None".to_string(), |tags| tags
627                .iter()
628                .map(ToString::to_string)
629                .collect::<Vec<String>>()
630                .join(", ")),
631        )
632    }
633}
634
635#[cfg(test)]
636mod tests {
637    use nautilus_core::UnixNanos;
638    use rstest::rstest;
639
640    use super::*;
641    use crate::{
642        enums::{OrderSide, PositionSide, TimeInForce, TriggerType},
643        events::order::spec::OrderInitializedSpec,
644        identifiers::InstrumentId,
645        instruments::{CurrencyPair, stubs::*},
646        orders::{OrderTestBuilder, stubs::TestOrderStubs},
647        types::{Price, Quantity},
648    };
649
650    #[rstest]
651    fn test_initialize(audusd_sim: CurrencyPair) {
652        // ---------------------------------------------------------------------
653        let order = OrderTestBuilder::new(OrderType::StopLimit)
654            .instrument_id(audusd_sim.id)
655            .side(OrderSide::Buy)
656            .trigger_price(Price::from("0.68000"))
657            .price(Price::from("0.68100"))
658            .trigger_type(TriggerType::LastPrice)
659            .quantity(Quantity::from(1))
660            .build();
661
662        assert_eq!(order.trigger_price(), Some(Price::from("0.68000")));
663        assert_eq!(order.price(), Some(Price::from("0.68100")));
664
665        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
666
667        assert_eq!(order.is_triggered(), Some(false));
668        assert_eq!(order.filled_qty(), Quantity::from(0));
669        assert_eq!(order.leaves_qty(), Quantity::from(1));
670
671        assert_eq!(order.display_qty(), None);
672        assert_eq!(order.trigger_instrument_id(), None);
673        assert_eq!(order.order_list_id(), None);
674    }
675
676    #[rstest]
677    fn test_display(audusd_sim: CurrencyPair) {
678        let order = OrderTestBuilder::new(OrderType::MarketToLimit)
679            .instrument_id(audusd_sim.id)
680            .side(OrderSide::Buy)
681            .quantity(Quantity::from(1))
682            .build();
683
684        assert_eq!(
685            order.to_string(),
686            "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)"
687        );
688    }
689
690    #[rstest]
691    #[should_panic(expected = "display_qty` may not exceed `quantity")]
692    fn test_display_qty_gt_quantity_err(audusd_sim: CurrencyPair) {
693        let _ = OrderTestBuilder::new(OrderType::StopLimit)
694            .instrument_id(audusd_sim.id)
695            .side(OrderSide::Buy)
696            .trigger_price(Price::from("30300"))
697            .price(Price::from("30100"))
698            .trigger_type(TriggerType::LastPrice)
699            .quantity(Quantity::from(1))
700            .display_qty(Quantity::from(2))
701            .build();
702    }
703
704    #[rstest]
705    #[should_panic(expected = "Quantity must be non-negative")]
706    fn test_display_qty_negative_err(audusd_sim: CurrencyPair) {
707        let _ = OrderTestBuilder::new(OrderType::StopLimit)
708            .instrument_id(audusd_sim.id)
709            .side(OrderSide::Buy)
710            .trigger_price(Price::from("30300"))
711            .price(Price::from("30100"))
712            .trigger_type(TriggerType::LastPrice)
713            .quantity(Quantity::from(1))
714            .display_qty(Quantity::from("-1"))
715            .build();
716    }
717
718    #[rstest]
719    #[should_panic(expected = "expire_time` is required for `GTD` order")]
720    fn test_gtd_without_expire_time_err(audusd_sim: CurrencyPair) {
721        let _ = OrderTestBuilder::new(OrderType::StopLimit)
722            .instrument_id(audusd_sim.id)
723            .side(OrderSide::Buy)
724            .trigger_price(Price::from("30300"))
725            .price(Price::from("30100"))
726            .trigger_type(TriggerType::LastPrice)
727            .time_in_force(TimeInForce::Gtd)
728            .quantity(Quantity::from(1))
729            .build();
730    }
731    #[rstest]
732    fn test_stop_limit_order_update() {
733        // Create and accept a basic stop limit order
734        let order = OrderTestBuilder::new(OrderType::StopLimit)
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            .build();
740
741        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
742
743        // Update with new values
744        let updated_price = Price::new(105.0, 2);
745        let updated_trigger_price = Price::new(90.0, 2);
746        let updated_quantity = Quantity::from(5);
747
748        let event = OrderUpdated {
749            client_order_id: accepted_order.client_order_id(),
750            strategy_id: accepted_order.strategy_id(),
751            price: Some(updated_price),
752            trigger_price: Some(updated_trigger_price),
753            quantity: updated_quantity,
754            ..Default::default()
755        };
756
757        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
758
759        // Verify updates were applied correctly
760        assert_eq!(accepted_order.quantity(), updated_quantity);
761        assert_eq!(accepted_order.price(), Some(updated_price));
762        assert_eq!(accepted_order.trigger_price(), Some(updated_trigger_price));
763    }
764
765    #[rstest]
766    fn test_stop_limit_order_expire_time() {
767        // Create a stop limit order with an expire time
768        let expire_time = UnixNanos::from(1_234_567_890);
769        let order = OrderTestBuilder::new(OrderType::StopLimit)
770            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
771            .quantity(Quantity::from(10))
772            .price(Price::new(100.0, 2))
773            .trigger_price(Price::new(95.0, 2))
774            .expire_time(expire_time)
775            .build();
776
777        // Assert that the expire time is set correctly
778        assert_eq!(order.expire_time(), Some(expire_time));
779    }
780
781    #[rstest]
782    fn test_stop_limit_order_post_only() {
783        // Create a stop limit order with post_only flag set to true
784        let order = OrderTestBuilder::new(OrderType::StopLimit)
785            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
786            .quantity(Quantity::from(10))
787            .price(Price::new(100.0, 2))
788            .trigger_price(Price::new(95.0, 2))
789            .post_only(true)
790            .build();
791
792        // Assert that post_only is set correctly
793        assert!(order.is_post_only());
794    }
795
796    #[rstest]
797    fn test_stop_limit_order_reduce_only() {
798        // Create a stop limit order with reduce_only flag set to true
799        let order = OrderTestBuilder::new(OrderType::StopLimit)
800            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
801            .quantity(Quantity::from(10))
802            .price(Price::new(100.0, 2))
803            .trigger_price(Price::new(95.0, 2))
804            .reduce_only(true)
805            .build();
806
807        // Assert that reduce_only is set correctly
808        assert!(order.is_reduce_only());
809    }
810
811    #[rstest]
812    fn test_stop_limit_order_trigger_instrument_id() {
813        // Create a stop limit order with a trigger instrument ID
814        let trigger_instrument_id = InstrumentId::from("ETH-USDT.BINANCE");
815        let order = OrderTestBuilder::new(OrderType::StopLimit)
816            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
817            .quantity(Quantity::from(10))
818            .price(Price::new(100.0, 2))
819            .trigger_price(Price::new(95.0, 2))
820            .trigger_instrument_id(trigger_instrument_id)
821            .build();
822
823        // Assert that the trigger instrument ID is set correctly
824        assert_eq!(order.trigger_instrument_id(), Some(trigger_instrument_id));
825    }
826
827    #[rstest]
828    fn test_stop_limit_order_would_reduce_only() {
829        // Create a stop limit order with a sell side
830        let order = OrderTestBuilder::new(OrderType::StopLimit)
831            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
832            .side(OrderSide::Sell)
833            .quantity(Quantity::from(10))
834            .price(Price::new(100.0, 2))
835            .trigger_price(Price::new(95.0, 2))
836            .build();
837
838        // Test would_reduce_only functionality
839        assert!(order.would_reduce_only(PositionSide::Long, Quantity::from(15)));
840        assert!(!order.would_reduce_only(PositionSide::Short, Quantity::from(15)));
841        assert!(!order.would_reduce_only(PositionSide::Long, Quantity::from(5)));
842    }
843
844    #[rstest]
845    fn test_stop_limit_order_display_string() {
846        // Create a stop limit order
847        let order = OrderTestBuilder::new(OrderType::StopLimit)
848            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
849            .side(OrderSide::Buy)
850            .quantity(Quantity::from(10))
851            .price(Price::new(100.0, 2))
852            .trigger_price(Price::new(95.0, 2))
853            .client_order_id(ClientOrderId::from("ORDER-001"))
854            .build();
855
856        // Expected string representation - updated to match the actual format
857        let expected = "StopLimitOrder(BUY 10 BTC-USDT.BINANCE STOP_LIMIT @ 95.00-STOP[DEFAULT] 100.00-LIMIT GTC, status=INITIALIZED, client_order_id=ORDER-001, venue_order_id=None, position_id=None, tags=None)";
858
859        // Assert string representations match
860        assert_eq!(order.to_string(), expected);
861        assert_eq!(format!("{order}"), expected);
862    }
863
864    #[rstest]
865    fn test_stop_limit_order_from_order_initialized() {
866        // Create an OrderInitialized event with all required fields for a StopLimitOrder
867        let order_initialized = OrderInitializedSpec::builder()
868            .order_type(OrderType::StopLimit)
869            .quantity(Quantity::from(10))
870            .price(Price::new(100.0, 2))
871            .trigger_price(Price::new(95.0, 2))
872            .trigger_type(TriggerType::Default)
873            .post_only(true)
874            .reduce_only(true)
875            .expire_time(UnixNanos::from(1_234_567_890))
876            .display_qty(Quantity::from(5))
877            .build();
878
879        // Convert the OrderInitialized event into a StopLimitOrder
880        let order: StopLimitOrder = order_initialized.clone().try_into().unwrap();
881
882        // Assert essential fields match the OrderInitialized fields
883        assert_eq!(order.trader_id(), order_initialized.trader_id);
884        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
885        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
886        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
887        assert_eq!(order.order_side(), order_initialized.order_side);
888        assert_eq!(order.quantity(), order_initialized.quantity);
889
890        // Assert specific fields for StopLimitOrder
891        assert_eq!(order.price, order_initialized.price.unwrap());
892        assert_eq!(
893            order.trigger_price,
894            order_initialized.trigger_price.unwrap()
895        );
896        assert_eq!(order.trigger_type, order_initialized.trigger_type.unwrap());
897        assert_eq!(order.expire_time(), order_initialized.expire_time);
898        assert_eq!(order.is_post_only(), order_initialized.post_only);
899        assert_eq!(order.is_reduce_only(), order_initialized.reduce_only);
900        assert_eq!(order.display_qty(), order_initialized.display_qty);
901
902        // Verify order type
903        assert_eq!(order.order_type(), OrderType::StopLimit);
904
905        // Verify not triggered by default
906        assert_eq!(order.is_triggered(), Some(false));
907    }
908}
nautilus_model/orders/stop_limit.rs

nautilus_model/orders/
stop_limit.rs
