nautilus_model/orders/
stop_market.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};
31use crate::{
32    enums::{
33        ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSide,
34        TimeInForce, TrailingOffsetType, TriggerType,
35    },
36    events::{OrderEventAny, OrderInitialized, OrderUpdated},
37    identifiers::{
38        AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
39        StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
40    },
41    orders::{OrderError, check_display_qty, check_time_in_force},
42    types::{Currency, Money, Price, Quantity, quantity::check_positive_quantity},
43};
44
45#[derive(Clone, Debug, Serialize, Deserialize)]
46#[cfg_attr(
47    feature = "python",
48    pyo3::pyclass(module = "nautilus_trader.model", from_py_object)
49)]
50#[cfg_attr(
51    feature = "python",
52    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
53)]
54pub struct StopMarketOrder {
55    pub trigger_price: Price,
56    pub trigger_type: TriggerType,
57    pub expire_time: Option<UnixNanos>,
58    pub display_qty: Option<Quantity>,
59    pub trigger_instrument_id: Option<InstrumentId>,
60    pub is_triggered: bool,
61    pub ts_triggered: Option<UnixNanos>,
62    pub protection_price: Option<Price>,
63    core: OrderCore,
64}
65
66impl StopMarketOrder {
67    /// Creates a new [`StopMarketOrder`] 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        trigger_price: Price,
85        trigger_type: TriggerType,
86        time_in_force: TimeInForce,
87        expire_time: Option<UnixNanos>,
88        reduce_only: bool,
89        quote_quantity: bool,
90        display_qty: Option<Quantity>,
91        emulation_trigger: Option<TriggerType>,
92        trigger_instrument_id: Option<InstrumentId>,
93        contingency_type: Option<ContingencyType>,
94        order_list_id: Option<OrderListId>,
95        linked_order_ids: Option<Vec<ClientOrderId>>,
96        parent_order_id: Option<ClientOrderId>,
97        exec_algorithm_id: Option<ExecAlgorithmId>,
98        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
99        exec_spawn_id: Option<ClientOrderId>,
100        tags: Option<Vec<Ustr>>,
101        init_id: UUID4,
102        ts_init: UnixNanos,
103    ) -> Result<Self, OrderError> {
104        check_positive_quantity(quantity, stringify!(quantity))?;
105        check_display_qty(display_qty, quantity)?;
106        check_time_in_force(time_in_force, expire_time)?;
107
108        let init_order = OrderInitialized::new_checked(
109            trader_id,
110            strategy_id,
111            instrument_id,
112            client_order_id,
113            order_side,
114            OrderType::StopMarket,
115            quantity,
116            time_in_force,
117            false,
118            reduce_only,
119            quote_quantity,
120            false,
121            init_id,
122            ts_init,
123            ts_init,
124            None,
125            None,
126            Some(trigger_price),
127            Some(trigger_type),
128            None,
129            None,
130            None,
131            expire_time,
132            display_qty,
133            emulation_trigger,
134            trigger_instrument_id,
135            contingency_type,
136            order_list_id,
137            linked_order_ids,
138            parent_order_id,
139            exec_algorithm_id,
140            exec_algorithm_params,
141            exec_spawn_id,
142            tags,
143        )?;
144
145        Ok(Self {
146            core: OrderCore::new(init_order),
147            trigger_price,
148            trigger_type,
149            expire_time,
150            display_qty,
151            trigger_instrument_id,
152            is_triggered: false,
153            ts_triggered: None,
154            protection_price: None,
155        })
156    }
157
158    /// Creates a new [`StopMarketOrder`] instance.
159    ///
160    /// # Panics
161    ///
162    /// Panics if any order validation fails (see [`StopMarketOrder::new_checked`]).
163    #[expect(clippy::too_many_arguments)]
164    #[must_use]
165    pub fn new(
166        trader_id: TraderId,
167        strategy_id: StrategyId,
168        instrument_id: InstrumentId,
169        client_order_id: ClientOrderId,
170        order_side: OrderSide,
171        quantity: Quantity,
172        trigger_price: Price,
173        trigger_type: TriggerType,
174        time_in_force: TimeInForce,
175        expire_time: Option<UnixNanos>,
176        reduce_only: bool,
177        quote_quantity: bool,
178        display_qty: Option<Quantity>,
179        emulation_trigger: Option<TriggerType>,
180        trigger_instrument_id: Option<InstrumentId>,
181        contingency_type: Option<ContingencyType>,
182        order_list_id: Option<OrderListId>,
183        linked_order_ids: Option<Vec<ClientOrderId>>,
184        parent_order_id: Option<ClientOrderId>,
185        exec_algorithm_id: Option<ExecAlgorithmId>,
186        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
187        exec_spawn_id: Option<ClientOrderId>,
188        tags: Option<Vec<Ustr>>,
189        init_id: UUID4,
190        ts_init: UnixNanos,
191    ) -> Self {
192        Self::new_checked(
193            trader_id,
194            strategy_id,
195            instrument_id,
196            client_order_id,
197            order_side,
198            quantity,
199            trigger_price,
200            trigger_type,
201            time_in_force,
202            expire_time,
203            reduce_only,
204            quote_quantity,
205            display_qty,
206            emulation_trigger,
207            trigger_instrument_id,
208            contingency_type,
209            order_list_id,
210            linked_order_ids,
211            parent_order_id,
212            exec_algorithm_id,
213            exec_algorithm_params,
214            exec_spawn_id,
215            tags,
216            init_id,
217            ts_init,
218        )
219        .unwrap_or_else(|e| panic!("{FAILED}: {e}"))
220    }
221}
222
223impl PartialEq for StopMarketOrder {
224    fn eq(&self, other: &Self) -> bool {
225        self.client_order_id == other.client_order_id
226    }
227}
228
229impl Deref for StopMarketOrder {
230    type Target = OrderCore;
231
232    fn deref(&self) -> &Self::Target {
233        &self.core
234    }
235}
236
237impl DerefMut for StopMarketOrder {
238    fn deref_mut(&mut self) -> &mut Self::Target {
239        &mut self.core
240    }
241}
242
243impl Order for StopMarketOrder {
244    fn into_any(self) -> OrderAny {
245        OrderAny::StopMarket(self)
246    }
247
248    fn status(&self) -> OrderStatus {
249        self.status
250    }
251
252    fn trader_id(&self) -> TraderId {
253        self.trader_id
254    }
255
256    fn strategy_id(&self) -> StrategyId {
257        self.strategy_id
258    }
259
260    fn instrument_id(&self) -> InstrumentId {
261        self.instrument_id
262    }
263
264    fn symbol(&self) -> Symbol {
265        self.instrument_id.symbol
266    }
267
268    fn venue(&self) -> Venue {
269        self.instrument_id.venue
270    }
271
272    fn client_order_id(&self) -> ClientOrderId {
273        self.client_order_id
274    }
275
276    fn venue_order_id(&self) -> Option<VenueOrderId> {
277        self.venue_order_id
278    }
279
280    fn position_id(&self) -> Option<PositionId> {
281        self.position_id
282    }
283
284    fn account_id(&self) -> Option<AccountId> {
285        self.account_id
286    }
287
288    fn last_trade_id(&self) -> Option<TradeId> {
289        self.last_trade_id
290    }
291
292    fn order_side(&self) -> OrderSide {
293        self.side
294    }
295
296    fn order_type(&self) -> OrderType {
297        self.order_type
298    }
299
300    fn quantity(&self) -> Quantity {
301        self.quantity
302    }
303
304    fn time_in_force(&self) -> TimeInForce {
305        self.time_in_force
306    }
307
308    fn expire_time(&self) -> Option<UnixNanos> {
309        self.expire_time
310    }
311
312    fn price(&self) -> Option<Price> {
313        self.protection_price
314    }
315
316    fn trigger_price(&self) -> Option<Price> {
317        Some(self.trigger_price)
318    }
319
320    fn trigger_type(&self) -> Option<TriggerType> {
321        Some(self.trigger_type)
322    }
323
324    fn liquidity_side(&self) -> Option<LiquiditySide> {
325        self.liquidity_side
326    }
327
328    fn is_post_only(&self) -> bool {
329        false
330    }
331
332    fn is_reduce_only(&self) -> bool {
333        self.is_reduce_only
334    }
335
336    fn is_quote_quantity(&self) -> bool {
337        self.is_quote_quantity
338    }
339
340    fn has_price(&self) -> bool {
341        self.protection_price.is_some()
342    }
343
344    fn display_qty(&self) -> Option<Quantity> {
345        self.display_qty
346    }
347
348    fn limit_offset(&self) -> Option<Decimal> {
349        None
350    }
351
352    fn trailing_offset(&self) -> Option<Decimal> {
353        None
354    }
355
356    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
357        None
358    }
359
360    fn emulation_trigger(&self) -> Option<TriggerType> {
361        self.emulation_trigger
362    }
363
364    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
365        self.trigger_instrument_id
366    }
367
368    fn contingency_type(&self) -> Option<ContingencyType> {
369        self.contingency_type
370    }
371
372    fn order_list_id(&self) -> Option<OrderListId> {
373        self.order_list_id
374    }
375
376    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
377        self.linked_order_ids.as_deref()
378    }
379
380    fn parent_order_id(&self) -> Option<ClientOrderId> {
381        self.parent_order_id
382    }
383
384    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
385        self.exec_algorithm_id
386    }
387
388    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
389        self.exec_algorithm_params.as_ref()
390    }
391
392    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
393        self.exec_spawn_id
394    }
395
396    fn tags(&self) -> Option<&[Ustr]> {
397        self.tags.as_deref()
398    }
399
400    fn filled_qty(&self) -> Quantity {
401        self.filled_qty
402    }
403
404    fn voided_qty(&self) -> Quantity {
405        self.voided_qty
406    }
407
408    fn non_reopened_voided_qty(&self) -> Quantity {
409        self.non_reopened_voided_qty
410    }
411
412    fn leaves_qty(&self) -> Quantity {
413        self.leaves_qty
414    }
415
416    fn overfill_qty(&self) -> Quantity {
417        self.overfill_qty
418    }
419
420    fn avg_px(&self) -> Option<Decimal> {
421        self.avg_px
422    }
423
424    fn slippage(&self) -> Option<Decimal> {
425        self.slippage
426    }
427
428    fn init_id(&self) -> UUID4 {
429        self.init_id
430    }
431
432    fn ts_init(&self) -> UnixNanos {
433        self.ts_init
434    }
435
436    fn ts_submitted(&self) -> Option<UnixNanos> {
437        self.ts_submitted
438    }
439
440    fn ts_accepted(&self) -> Option<UnixNanos> {
441        self.ts_accepted
442    }
443
444    fn ts_closed(&self) -> Option<UnixNanos> {
445        self.ts_closed
446    }
447
448    fn ts_last(&self) -> UnixNanos {
449        self.ts_last
450    }
451
452    fn events(&self) -> Vec<&OrderEventAny> {
453        self.events.iter().collect()
454    }
455
456    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
457        self.venue_order_ids.iter().collect()
458    }
459
460    fn trade_ids(&self) -> Vec<&TradeId> {
461        self.trade_ids.iter().collect()
462    }
463
464    fn commissions(&self) -> &IndexMap<Currency, Money> {
465        &self.commissions
466    }
467
468    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
469        let updates_slippage = matches!(
470            event,
471            OrderEventAny::Filled(_) | OrderEventAny::FillVoided(_),
472        );
473        let is_order_triggered = matches!(event, OrderEventAny::Triggered(_));
474        let ts_event = if is_order_triggered {
475            Some(event.ts_event())
476        } else {
477            None
478        };
479
480        self.core.apply(event.clone())?;
481
482        if let OrderEventAny::Updated(ref event) = event {
483            self.update(event);
484        }
485
486        if is_order_triggered {
487            self.is_triggered = true;
488            self.ts_triggered = ts_event;
489        }
490
491        if updates_slippage {
492            self.core.set_slippage(self.trigger_price);
493        }
494
495        Ok(())
496    }
497
498    fn update(&mut self, event: &OrderUpdated) {
499        assert!(event.price.is_none(), "{}", OrderError::InvalidOrderEvent);
500
501        if let Some(trigger_price) = event.trigger_price {
502            self.trigger_price = trigger_price;
503        }
504
505        if let Some(protection_price) = event.protection_price {
506            self.protection_price = Some(protection_price);
507        }
508        self.core.apply_updated_quantity(event.quantity);
509    }
510
511    fn is_triggered(&self) -> Option<bool> {
512        Some(self.is_triggered)
513    }
514
515    fn set_position_id(&mut self, position_id: Option<PositionId>) {
516        self.position_id = position_id;
517    }
518
519    fn set_quantity(&mut self, quantity: Quantity) {
520        self.quantity = quantity;
521    }
522
523    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
524        self.leaves_qty = leaves_qty;
525    }
526
527    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
528        self.emulation_trigger = emulation_trigger;
529    }
530
531    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
532        self.is_quote_quantity = is_quote_quantity;
533    }
534
535    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
536        self.liquidity_side = Some(liquidity_side);
537    }
538
539    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
540        self.core.would_reduce_only(side, position_qty)
541    }
542
543    fn previous_status(&self) -> Option<OrderStatus> {
544        self.core.previous_status
545    }
546}
547
548impl Display for StopMarketOrder {
549    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
550        write!(
551            f,
552            "StopMarketOrder(\
553            {} {} {} {} {}, \
554            status={}, \
555            client_order_id={}, \
556            venue_order_id={}, \
557            position_id={}, \
558            exec_algorithm_id={}, \
559            exec_spawn_id={}, \
560            tags={:?}\
561            )",
562            self.side,
563            self.quantity.to_formatted_string(),
564            self.instrument_id,
565            self.order_type,
566            self.time_in_force,
567            self.status,
568            self.client_order_id,
569            self.venue_order_id.map_or_else(
570                || "None".to_string(),
571                |venue_order_id| format!("{venue_order_id}")
572            ),
573            self.position_id.map_or_else(
574                || "None".to_string(),
575                |position_id| format!("{position_id}")
576            ),
577            self.exec_algorithm_id
578                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
579            self.exec_spawn_id
580                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
581            self.tags
582        )
583    }
584}
585
586impl TryFrom<OrderInitialized> for StopMarketOrder {
587    type Error = OrderError;
588
589    fn try_from(event: OrderInitialized) -> Result<Self, Self::Error> {
590        let trigger_price =
591            event
592                .trigger_price
593                .ok_or_else(|| CorrectnessError::PredicateViolation {
594                    message: "`trigger_price` is required for `StopMarketOrder` initialization"
595                        .to_string(),
596                })?;
597        let trigger_type =
598            event
599                .trigger_type
600                .ok_or_else(|| CorrectnessError::PredicateViolation {
601                    message: "`trigger_type` is required for `StopMarketOrder` initialization"
602                        .to_string(),
603                })?;
604        Self::new_checked(
605            event.trader_id,
606            event.strategy_id,
607            event.instrument_id,
608            event.client_order_id,
609            event.order_side,
610            event.quantity,
611            trigger_price,
612            trigger_type,
613            event.time_in_force,
614            event.expire_time,
615            event.reduce_only,
616            event.quote_quantity,
617            event.display_qty,
618            event.emulation_trigger,
619            event.trigger_instrument_id,
620            event.contingency_type,
621            event.order_list_id,
622            event.linked_order_ids,
623            event.parent_order_id,
624            event.exec_algorithm_id,
625            event.exec_algorithm_params,
626            event.exec_spawn_id,
627            event.tags,
628            event.event_id,
629            event.ts_event,
630        )
631    }
632}
633
634#[cfg(test)]
635mod tests {
636    use rstest::rstest;
637
638    use super::*;
639    use crate::{
640        enums::{TimeInForce, TriggerType},
641        events::order::spec::OrderInitializedSpec,
642        identifiers::InstrumentId,
643        instruments::{CurrencyPair, stubs::*},
644        orders::{builder::OrderTestBuilder, stubs::TestOrderStubs},
645        types::{Price, Quantity},
646    };
647
648    #[rstest]
649    fn test_initialize(audusd_sim: CurrencyPair) {
650        let order = OrderTestBuilder::new(OrderType::StopMarket)
651            .instrument_id(audusd_sim.id)
652            .side(OrderSide::Buy)
653            .trigger_price(Price::from("0.68000"))
654            .trigger_type(TriggerType::LastPrice)
655            .quantity(Quantity::from(1))
656            .build();
657
658        assert_eq!(order.trigger_price(), Some(Price::from("0.68000")));
659        assert_eq!(order.price(), None);
660
661        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
662
663        assert_eq!(order.is_triggered(), Some(false));
664        assert_eq!(order.filled_qty(), Quantity::from(0));
665        assert_eq!(order.leaves_qty(), Quantity::from(1));
666
667        assert_eq!(order.display_qty(), None);
668        assert_eq!(order.trigger_instrument_id(), None);
669        assert_eq!(order.order_list_id(), None);
670    }
671
672    #[rstest]
673    fn test_display(audusd_sim: CurrencyPair) {
674        let order = OrderTestBuilder::new(OrderType::StopMarket)
675            .instrument_id(audusd_sim.id)
676            .side(OrderSide::Buy)
677            .trigger_price(Price::from("0.68000"))
678            .trigger_type(TriggerType::LastPrice)
679            .quantity(Quantity::from(1))
680            .build();
681
682        assert_eq!(
683            order.to_string(),
684            "StopMarketOrder(BUY 1 AUD/USD.SIM STOP_MARKET 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)"
685        );
686    }
687
688    #[rstest]
689    #[should_panic(expected = "Condition failed: `display_qty` may not exceed `quantity`")]
690    fn test_display_qty_gt_quantity_err(audusd_sim: CurrencyPair) {
691        let _ = OrderTestBuilder::new(OrderType::StopMarket)
692            .instrument_id(audusd_sim.id)
693            .side(OrderSide::Buy)
694            .trigger_price(Price::from("0.68000"))
695            .trigger_type(TriggerType::LastPrice)
696            .quantity(Quantity::from(1))
697            .display_qty(Quantity::from(2))
698            .build();
699    }
700
701    #[rstest]
702    #[should_panic(
703        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
704    )]
705    fn test_quantity_zero_err(audusd_sim: CurrencyPair) {
706        let _ = OrderTestBuilder::new(OrderType::StopMarket)
707            .instrument_id(audusd_sim.id)
708            .side(OrderSide::Buy)
709            .trigger_price(Price::from("0.68000"))
710            .trigger_type(TriggerType::LastPrice)
711            .quantity(Quantity::from(0))
712            .build();
713    }
714
715    #[rstest]
716    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
717    fn test_gtd_without_expire_err(audusd_sim: CurrencyPair) {
718        let _ = OrderTestBuilder::new(OrderType::StopMarket)
719            .instrument_id(audusd_sim.id)
720            .side(OrderSide::Buy)
721            .trigger_price(Price::from("0.68000"))
722            .trigger_type(TriggerType::LastPrice)
723            .time_in_force(TimeInForce::Gtd)
724            .quantity(Quantity::from(1))
725            .build();
726    }
727
728    #[rstest]
729    fn test_stop_market_order_update() {
730        // Create and accept a basic stop market order
731        let order = OrderTestBuilder::new(OrderType::StopMarket)
732            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
733            .quantity(Quantity::from(10))
734            .trigger_price(Price::new(100.0, 2))
735            .build();
736
737        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
738
739        // Update with new values
740        let updated_trigger_price = Price::new(95.0, 2);
741        let updated_quantity = Quantity::from(5);
742
743        let event = OrderUpdated {
744            client_order_id: accepted_order.client_order_id(),
745            strategy_id: accepted_order.strategy_id(),
746            trigger_price: Some(updated_trigger_price),
747            quantity: updated_quantity,
748            ..Default::default()
749        };
750
751        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
752
753        // Verify updates were applied correctly
754        assert_eq!(accepted_order.quantity(), updated_quantity);
755        assert_eq!(accepted_order.trigger_price(), Some(updated_trigger_price));
756    }
757
758    #[rstest]
759    fn test_stop_market_order_rejects_invalid_update_atomically() {
760        let order = OrderTestBuilder::new(OrderType::StopMarket)
761            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
762            .quantity(Quantity::from(10))
763            .trigger_price(Price::new(100.0, 2))
764            .build();
765        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
766        let state = (
767            accepted_order.status(),
768            accepted_order.previous_status(),
769            accepted_order.ts_last(),
770            accepted_order.events().len(),
771        );
772        let event = OrderUpdated {
773            client_order_id: accepted_order.client_order_id(),
774            strategy_id: accepted_order.strategy_id(),
775            price: Some(Price::new(95.0, 2)),
776            ..Default::default()
777        };
778
779        let result = accepted_order.apply(OrderEventAny::Updated(event));
780
781        assert!(matches!(result, Err(OrderError::InvalidOrderEvent)));
782        assert_eq!(accepted_order.status(), state.0);
783        assert_eq!(accepted_order.previous_status(), state.1);
784        assert_eq!(accepted_order.ts_last(), state.2);
785        assert_eq!(accepted_order.events().len(), state.3);
786    }
787
788    #[rstest]
789    fn test_stop_market_order_expire_time() {
790        // Create a stop market order with an expire time
791        let expire_time = UnixNanos::from(1_234_567_890);
792        let order = OrderTestBuilder::new(OrderType::StopMarket)
793            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
794            .quantity(Quantity::from(10))
795            .trigger_price(Price::new(100.0, 2))
796            .expire_time(expire_time)
797            .build();
798
799        // Assert that the expire time is set correctly
800        assert_eq!(order.expire_time(), Some(expire_time));
801    }
802
803    #[rstest]
804    fn test_stop_market_order_trigger_instrument_id() {
805        // Create a stop market order with a trigger instrument ID
806        let trigger_instrument_id = InstrumentId::from("ETH-USDT.BINANCE");
807        let order = OrderTestBuilder::new(OrderType::StopMarket)
808            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
809            .quantity(Quantity::from(10))
810            .trigger_price(Price::new(100.0, 2))
811            .trigger_instrument_id(trigger_instrument_id)
812            .build();
813
814        // Assert that the trigger instrument ID is set correctly
815        assert_eq!(order.trigger_instrument_id(), Some(trigger_instrument_id));
816    }
817
818    #[rstest]
819    fn test_stop_market_order_from_order_initialized() {
820        // Create an OrderInitialized event with required fields
821        let order_initialized = OrderInitializedSpec::builder()
822            .order_type(OrderType::StopMarket)
823            .quantity(Quantity::from(10))
824            .trigger_price(Price::new(100.0, 2))
825            .trigger_type(TriggerType::Default)
826            .build();
827
828        // Convert the OrderInitialized event into a StopMarketOrder
829        let order: StopMarketOrder = order_initialized.clone().try_into().unwrap();
830
831        // Assert fields match the OrderInitialized event
832        assert_eq!(order.trader_id(), order_initialized.trader_id);
833        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
834        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
835        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
836        assert_eq!(order.quantity(), order_initialized.quantity);
837        assert_eq!(order.trigger_price(), order_initialized.trigger_price);
838        assert_eq!(order.trigger_type(), order_initialized.trigger_type);
839    }
840
841    #[rstest]
842    fn test_stop_market_order_is_triggered() {
843        // Create a stop market order
844        let order = OrderTestBuilder::new(OrderType::StopMarket)
845            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
846            .quantity(Quantity::from(10))
847            .trigger_price(Price::new(100.0, 2))
848            .build();
849
850        // Assert that the is_triggered flag is initially false
851        assert_eq!(order.is_triggered(), Some(false));
852    }
853
854    #[rstest]
855    fn test_stop_market_order_protection_price_update() {
856        // Create and accept a basic stop market order
857        let order = OrderTestBuilder::new(OrderType::StopMarket)
858            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
859            .quantity(Quantity::from(10))
860            .trigger_price(Price::new(100.0, 2))
861            .build();
862
863        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
864
865        // Update with new values
866        let calculated_protection_price = Price::new(95.0, 2);
867
868        let event = OrderUpdated {
869            client_order_id: accepted_order.client_order_id(),
870            strategy_id: accepted_order.strategy_id(),
871            protection_price: Some(calculated_protection_price),
872            ..Default::default()
873        };
874
875        assert_eq!(accepted_order.price(), None);
876        assert!(!accepted_order.has_price());
877
878        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
879
880        // Verify updates were applied correctly
881        assert_eq!(accepted_order.price(), Some(calculated_protection_price));
882        assert!(accepted_order.has_price());
883    }
884
885    #[rstest]
886    fn test_stop_market_order_update_preserves_protection_price_when_omitted() {
887        let order = OrderTestBuilder::new(OrderType::StopMarket)
888            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
889            .quantity(Quantity::from(10))
890            .trigger_price(Price::new(100.0, 2))
891            .build();
892        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
893        let protection_price = Price::new(95.0, 2);
894
895        let set_protection_event = OrderUpdated {
896            client_order_id: accepted_order.client_order_id(),
897            strategy_id: accepted_order.strategy_id(),
898            quantity: accepted_order.quantity(),
899            protection_price: Some(protection_price),
900            ..Default::default()
901        };
902        accepted_order
903            .apply(OrderEventAny::Updated(set_protection_event))
904            .unwrap();
905
906        let updated_quantity = Quantity::from(5);
907        let updated_trigger_price = Price::new(105.0, 2);
908        let omitted_protection_event = OrderUpdated {
909            client_order_id: accepted_order.client_order_id(),
910            strategy_id: accepted_order.strategy_id(),
911            quantity: updated_quantity,
912            trigger_price: Some(updated_trigger_price),
913            protection_price: None,
914            ..Default::default()
915        };
916        accepted_order
917            .apply(OrderEventAny::Updated(omitted_protection_event))
918            .unwrap();
919
920        assert_eq!(accepted_order.quantity(), updated_quantity);
921        assert_eq!(accepted_order.trigger_price(), Some(updated_trigger_price));
922        assert_eq!(accepted_order.price(), Some(protection_price));
923        assert!(accepted_order.has_price());
924
925        let updated_protection_price = Price::new(90.0, 2);
926        let overwrite_protection_event = OrderUpdated {
927            client_order_id: accepted_order.client_order_id(),
928            strategy_id: accepted_order.strategy_id(),
929            quantity: accepted_order.quantity(),
930            protection_price: Some(updated_protection_price),
931            ..Default::default()
932        };
933        accepted_order
934            .apply(OrderEventAny::Updated(overwrite_protection_event))
935            .unwrap();
936
937        assert_eq!(accepted_order.price(), Some(updated_protection_price));
938        assert!(accepted_order.has_price());
939    }
940}
nautilus_model/orders/stop_market.rs

nautilus_model/orders/
stop_market.rs
