nautilus_model/orders/
trailing_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};
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::{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.core.nautilus_pyo3.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 TrailingStopLimitOrder {
55    core: OrderCore,
56    pub activation_price: Option<Price>,
57    pub price: Price,
58    pub trigger_price: Price,
59    pub trigger_type: TriggerType,
60    pub limit_offset: Decimal,
61    pub trailing_offset: Decimal,
62    pub trailing_offset_type: TrailingOffsetType,
63    pub expire_time: Option<UnixNanos>,
64    pub is_post_only: bool,
65    pub display_qty: Option<Quantity>,
66    pub trigger_instrument_id: Option<InstrumentId>,
67    pub is_activated: bool,
68    pub is_triggered: bool,
69    pub ts_triggered: Option<UnixNanos>,
70}
71
72impl TrailingStopLimitOrder {
73    /// Creates a new [`TrailingStopLimitOrder`] instance.
74    ///
75    /// # Errors
76    ///
77    /// Returns an error if:
78    /// - The `quantity` is not positive.
79    /// - The `display_qty` (when provided) exceeds `quantity`.
80    /// - The `time_in_force` is `GTD` **and** `expire_time` is `None` or zero.
81    #[expect(clippy::too_many_arguments)]
82    pub fn new_checked(
83        trader_id: TraderId,
84        strategy_id: StrategyId,
85        instrument_id: InstrumentId,
86        client_order_id: ClientOrderId,
87        order_side: OrderSide,
88        quantity: Quantity,
89        price: Price,
90        trigger_price: Price,
91        trigger_type: TriggerType,
92        limit_offset: Decimal,
93        trailing_offset: Decimal,
94        trailing_offset_type: TrailingOffsetType,
95        time_in_force: TimeInForce,
96        expire_time: Option<UnixNanos>,
97        post_only: bool,
98        reduce_only: bool,
99        quote_quantity: bool,
100        display_qty: Option<Quantity>,
101        emulation_trigger: Option<TriggerType>,
102        trigger_instrument_id: Option<InstrumentId>,
103        contingency_type: Option<ContingencyType>,
104        order_list_id: Option<OrderListId>,
105        linked_order_ids: Option<Vec<ClientOrderId>>,
106        parent_order_id: Option<ClientOrderId>,
107        exec_algorithm_id: Option<ExecAlgorithmId>,
108        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
109        exec_spawn_id: Option<ClientOrderId>,
110        tags: Option<Vec<Ustr>>,
111        init_id: UUID4,
112        ts_init: UnixNanos,
113    ) -> Result<Self, OrderError> {
114        check_positive_quantity(quantity, stringify!(quantity))?;
115        check_display_qty(display_qty, quantity)?;
116        check_time_in_force(time_in_force, expire_time)?;
117
118        let init_order = OrderInitialized::new(
119            trader_id,
120            strategy_id,
121            instrument_id,
122            client_order_id,
123            order_side,
124            OrderType::TrailingStopLimit,
125            quantity,
126            time_in_force,
127            post_only,
128            reduce_only,
129            quote_quantity,
130            false,
131            init_id,
132            ts_init,
133            ts_init,
134            Some(price),
135            Some(trigger_price),
136            Some(trigger_type),
137            Some(limit_offset),
138            Some(trailing_offset),
139            Some(trailing_offset_type),
140            expire_time,
141            display_qty,
142            emulation_trigger,
143            trigger_instrument_id,
144            contingency_type,
145            order_list_id,
146            linked_order_ids,
147            parent_order_id,
148            exec_algorithm_id,
149            exec_algorithm_params,
150            exec_spawn_id,
151            tags,
152        );
153
154        Ok(Self {
155            core: OrderCore::new(init_order),
156            activation_price: None,
157            price,
158            trigger_price,
159            trigger_type,
160            limit_offset,
161            trailing_offset,
162            trailing_offset_type,
163            expire_time,
164            is_post_only: post_only,
165            display_qty,
166            trigger_instrument_id,
167            is_activated: false,
168            is_triggered: false,
169            ts_triggered: None,
170        })
171    }
172
173    /// Creates a new [`TrailingStopLimitOrder`] instance.
174    ///
175    /// # Panics
176    ///
177    /// Panics if any order validation fails (see [`TrailingStopLimitOrder::new_checked`]).
178    #[expect(clippy::too_many_arguments)]
179    #[must_use]
180    pub fn new(
181        trader_id: TraderId,
182        strategy_id: StrategyId,
183        instrument_id: InstrumentId,
184        client_order_id: ClientOrderId,
185        order_side: OrderSide,
186        quantity: Quantity,
187        price: Price,
188        trigger_price: Price,
189        trigger_type: TriggerType,
190        limit_offset: Decimal,
191        trailing_offset: Decimal,
192        trailing_offset_type: TrailingOffsetType,
193        time_in_force: TimeInForce,
194        expire_time: Option<UnixNanos>,
195        post_only: bool,
196        reduce_only: bool,
197        quote_quantity: bool,
198        display_qty: Option<Quantity>,
199        emulation_trigger: Option<TriggerType>,
200        trigger_instrument_id: Option<InstrumentId>,
201        contingency_type: Option<ContingencyType>,
202        order_list_id: Option<OrderListId>,
203        linked_order_ids: Option<Vec<ClientOrderId>>,
204        parent_order_id: Option<ClientOrderId>,
205        exec_algorithm_id: Option<ExecAlgorithmId>,
206        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
207        exec_spawn_id: Option<ClientOrderId>,
208        tags: Option<Vec<Ustr>>,
209        init_id: UUID4,
210        ts_init: UnixNanos,
211    ) -> Self {
212        Self::new_checked(
213            trader_id,
214            strategy_id,
215            instrument_id,
216            client_order_id,
217            order_side,
218            quantity,
219            price,
220            trigger_price,
221            trigger_type,
222            limit_offset,
223            trailing_offset,
224            trailing_offset_type,
225            time_in_force,
226            expire_time,
227            post_only,
228            reduce_only,
229            quote_quantity,
230            display_qty,
231            emulation_trigger,
232            trigger_instrument_id,
233            contingency_type,
234            order_list_id,
235            linked_order_ids,
236            parent_order_id,
237            exec_algorithm_id,
238            exec_algorithm_params,
239            exec_spawn_id,
240            tags,
241            init_id,
242            ts_init,
243        )
244        .unwrap_or_else(|e| panic!("{FAILED}: {e}"))
245    }
246
247    #[must_use]
248    pub fn has_activation_price(&self) -> bool {
249        self.activation_price.is_some()
250    }
251
252    pub fn set_activated(&mut self) {
253        debug_assert!(!self.is_activated, "double activation");
254        self.is_activated = true;
255    }
256}
257
258impl PartialEq for TrailingStopLimitOrder {
259    fn eq(&self, other: &Self) -> bool {
260        self.client_order_id == other.client_order_id
261    }
262}
263
264impl Deref for TrailingStopLimitOrder {
265    type Target = OrderCore;
266    fn deref(&self) -> &Self::Target {
267        &self.core
268    }
269}
270
271impl DerefMut for TrailingStopLimitOrder {
272    fn deref_mut(&mut self) -> &mut Self::Target {
273        &mut self.core
274    }
275}
276
277impl Order for TrailingStopLimitOrder {
278    fn activation_price(&self) -> Option<Price> {
279        self.activation_price
280    }
281    fn into_any(self) -> OrderAny {
282        OrderAny::TrailingStopLimit(self)
283    }
284
285    fn status(&self) -> OrderStatus {
286        self.status
287    }
288
289    fn trader_id(&self) -> TraderId {
290        self.trader_id
291    }
292
293    fn strategy_id(&self) -> StrategyId {
294        self.strategy_id
295    }
296
297    fn instrument_id(&self) -> InstrumentId {
298        self.instrument_id
299    }
300
301    fn symbol(&self) -> Symbol {
302        self.instrument_id.symbol
303    }
304
305    fn venue(&self) -> Venue {
306        self.instrument_id.venue
307    }
308
309    fn client_order_id(&self) -> ClientOrderId {
310        self.client_order_id
311    }
312
313    fn venue_order_id(&self) -> Option<VenueOrderId> {
314        self.venue_order_id
315    }
316
317    fn position_id(&self) -> Option<PositionId> {
318        self.position_id
319    }
320
321    fn account_id(&self) -> Option<AccountId> {
322        self.account_id
323    }
324
325    fn last_trade_id(&self) -> Option<TradeId> {
326        self.last_trade_id
327    }
328
329    fn order_side(&self) -> OrderSide {
330        self.side
331    }
332
333    fn order_type(&self) -> OrderType {
334        self.order_type
335    }
336
337    fn quantity(&self) -> Quantity {
338        self.quantity
339    }
340
341    fn time_in_force(&self) -> TimeInForce {
342        self.time_in_force
343    }
344
345    fn expire_time(&self) -> Option<UnixNanos> {
346        self.expire_time
347    }
348
349    fn price(&self) -> Option<Price> {
350        Some(self.price)
351    }
352
353    fn trigger_price(&self) -> Option<Price> {
354        Some(self.trigger_price)
355    }
356
357    fn trigger_type(&self) -> Option<TriggerType> {
358        Some(self.trigger_type)
359    }
360
361    fn liquidity_side(&self) -> Option<LiquiditySide> {
362        self.liquidity_side
363    }
364
365    fn is_post_only(&self) -> bool {
366        self.is_post_only
367    }
368
369    fn is_reduce_only(&self) -> bool {
370        self.is_reduce_only
371    }
372
373    fn is_quote_quantity(&self) -> bool {
374        self.is_quote_quantity
375    }
376
377    fn has_price(&self) -> bool {
378        true
379    }
380
381    fn display_qty(&self) -> Option<Quantity> {
382        self.display_qty
383    }
384
385    fn limit_offset(&self) -> Option<Decimal> {
386        Some(self.limit_offset)
387    }
388
389    fn trailing_offset(&self) -> Option<Decimal> {
390        Some(self.trailing_offset)
391    }
392
393    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
394        Some(self.trailing_offset_type)
395    }
396
397    fn emulation_trigger(&self) -> Option<TriggerType> {
398        self.emulation_trigger
399    }
400
401    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
402        self.trigger_instrument_id
403    }
404
405    fn contingency_type(&self) -> Option<ContingencyType> {
406        self.contingency_type
407    }
408
409    fn order_list_id(&self) -> Option<OrderListId> {
410        self.order_list_id
411    }
412
413    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
414        self.linked_order_ids.as_deref()
415    }
416
417    fn parent_order_id(&self) -> Option<ClientOrderId> {
418        self.parent_order_id
419    }
420
421    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
422        self.exec_algorithm_id
423    }
424
425    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
426        self.exec_algorithm_params.as_ref()
427    }
428
429    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
430        self.exec_spawn_id
431    }
432
433    fn tags(&self) -> Option<&[Ustr]> {
434        self.tags.as_deref()
435    }
436
437    fn filled_qty(&self) -> Quantity {
438        self.filled_qty
439    }
440
441    fn leaves_qty(&self) -> Quantity {
442        self.leaves_qty
443    }
444
445    fn overfill_qty(&self) -> Quantity {
446        self.overfill_qty
447    }
448
449    fn avg_px(&self) -> Option<f64> {
450        self.avg_px
451    }
452
453    fn slippage(&self) -> Option<f64> {
454        self.slippage
455    }
456
457    fn init_id(&self) -> UUID4 {
458        self.init_id
459    }
460
461    fn ts_init(&self) -> UnixNanos {
462        self.ts_init
463    }
464
465    fn ts_submitted(&self) -> Option<UnixNanos> {
466        self.ts_submitted
467    }
468
469    fn ts_accepted(&self) -> Option<UnixNanos> {
470        self.ts_accepted
471    }
472
473    fn ts_closed(&self) -> Option<UnixNanos> {
474        self.ts_closed
475    }
476
477    fn ts_last(&self) -> UnixNanos {
478        self.ts_last
479    }
480
481    fn events(&self) -> Vec<&OrderEventAny> {
482        self.events.iter().collect()
483    }
484
485    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
486        self.venue_order_ids.iter().collect()
487    }
488
489    fn trade_ids(&self) -> Vec<&TradeId> {
490        self.trade_ids.iter().collect()
491    }
492
493    fn commissions(&self) -> &IndexMap<Currency, Money> {
494        &self.commissions
495    }
496
497    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
498        let is_order_filled = matches!(event, OrderEventAny::Filled(_));
499        let is_order_triggered = matches!(event, OrderEventAny::Triggered(_));
500        let ts_event = if is_order_triggered {
501            Some(event.ts_event())
502        } else {
503            None
504        };
505
506        self.core.apply(event.clone())?;
507
508        if let OrderEventAny::Updated(ref event) = event {
509            self.update(event);
510        }
511
512        if is_order_triggered {
513            self.is_triggered = true;
514            self.ts_triggered = ts_event;
515        }
516
517        if is_order_filled {
518            self.core.set_slippage(self.price);
519        }
520
521        Ok(())
522    }
523
524    fn update(&mut self, event: &OrderUpdated) {
525        if let Some(price) = event.price {
526            self.price = price;
527        }
528
529        if let Some(trigger_price) = event.trigger_price {
530            self.trigger_price = trigger_price;
531        }
532        self.quantity = event.quantity;
533        self.leaves_qty = self.quantity.saturating_sub(self.filled_qty);
534    }
535
536    fn is_triggered(&self) -> Option<bool> {
537        Some(self.is_triggered)
538    }
539
540    fn set_position_id(&mut self, position_id: Option<PositionId>) {
541        self.position_id = position_id;
542    }
543
544    fn set_quantity(&mut self, quantity: Quantity) {
545        self.quantity = quantity;
546    }
547
548    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
549        self.leaves_qty = leaves_qty;
550    }
551
552    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
553        self.emulation_trigger = emulation_trigger;
554    }
555
556    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
557        self.is_quote_quantity = is_quote_quantity;
558    }
559
560    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
561        self.liquidity_side = Some(liquidity_side);
562    }
563
564    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
565        self.core.would_reduce_only(side, position_qty)
566    }
567
568    fn previous_status(&self) -> Option<OrderStatus> {
569        self.core.previous_status
570    }
571}
572
573impl Display for TrailingStopLimitOrder {
574    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
575        write!(
576            f,
577            "TrailingStopLimitOrder({} {} {} {} {}, status={}, client_order_id={}, venue_order_id={}, position_id={}, exec_algorithm_id={}, exec_spawn_id={}, tags={:?}, activation_price={:?}, is_activated={})",
578            self.side,
579            self.quantity.to_formatted_string(),
580            self.instrument_id,
581            self.order_type,
582            self.time_in_force,
583            self.status,
584            self.client_order_id,
585            self.venue_order_id
586                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
587            self.position_id
588                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
589            self.exec_algorithm_id
590                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
591            self.exec_spawn_id
592                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
593            self.tags,
594            self.activation_price,
595            self.is_activated
596        )
597    }
598}
599
600impl TryFrom<OrderInitialized> for TrailingStopLimitOrder {
601    type Error = OrderError;
602
603    fn try_from(event: OrderInitialized) -> Result<Self, Self::Error> {
604        let price = event
605            .price
606            .ok_or_else(|| CorrectnessError::PredicateViolation {
607                message: "`price` is required for `TrailingStopLimitOrder` initialization"
608                    .to_string(),
609            })?;
610        let trigger_price =
611            event
612                .trigger_price
613                .ok_or_else(|| CorrectnessError::PredicateViolation {
614                    message:
615                        "`trigger_price` is required for `TrailingStopLimitOrder` initialization"
616                            .to_string(),
617                })?;
618        let trigger_type =
619            event
620                .trigger_type
621                .ok_or_else(|| CorrectnessError::PredicateViolation {
622                    message:
623                        "`trigger_type` is required for `TrailingStopLimitOrder` initialization"
624                            .to_string(),
625                })?;
626        let limit_offset =
627            event
628                .limit_offset
629                .ok_or_else(|| CorrectnessError::PredicateViolation {
630                    message:
631                        "`limit_offset` is required for `TrailingStopLimitOrder` initialization"
632                            .to_string(),
633                })?;
634        let trailing_offset =
635            event
636                .trailing_offset
637                .ok_or_else(|| CorrectnessError::PredicateViolation {
638                    message:
639                        "`trailing_offset` is required for `TrailingStopLimitOrder` initialization"
640                            .to_string(),
641                })?;
642        let trailing_offset_type =
643            event
644                .trailing_offset_type
645                .ok_or_else(|| {
646                    CorrectnessError::PredicateViolation {
647                message:
648                    "`trailing_offset_type` is required for `TrailingStopLimitOrder` initialization"
649                        .to_string(),
650            }
651                })?;
652        Self::new_checked(
653            event.trader_id,
654            event.strategy_id,
655            event.instrument_id,
656            event.client_order_id,
657            event.order_side,
658            event.quantity,
659            price,
660            trigger_price,
661            trigger_type,
662            limit_offset,
663            trailing_offset,
664            trailing_offset_type,
665            event.time_in_force,
666            event.expire_time,
667            event.post_only,
668            event.reduce_only,
669            event.quote_quantity,
670            event.display_qty,
671            event.emulation_trigger,
672            event.trigger_instrument_id,
673            event.contingency_type,
674            event.order_list_id,
675            event.linked_order_ids,
676            event.parent_order_id,
677            event.exec_algorithm_id,
678            event.exec_algorithm_params,
679            event.exec_spawn_id,
680            event.tags,
681            event.event_id,
682            event.ts_event,
683        )
684    }
685}
686
687#[cfg(test)]
688mod tests {
689    use rstest::rstest;
690    use rust_decimal_macros::dec;
691
692    use super::*;
693    use crate::{
694        enums::{TimeInForce, TrailingOffsetType, TriggerType},
695        events::order::spec::OrderInitializedSpec,
696        identifiers::InstrumentId,
697        instruments::{CurrencyPair, stubs::*},
698        orders::{OrderTestBuilder, stubs::TestOrderStubs},
699        types::{Price, Quantity},
700    };
701
702    #[rstest]
703    fn test_initialize(audusd_sim: CurrencyPair) {
704        // Create and accept a basic trailing stop limit order
705        let order = OrderTestBuilder::new(OrderType::TrailingStopLimit)
706            .instrument_id(audusd_sim.id)
707            .side(OrderSide::Buy)
708            .price(Price::from("0.67500"))
709            .limit_offset(dec!(5))
710            .trigger_price(Price::from("0.68000"))
711            .trailing_offset(dec!(10))
712            .quantity(Quantity::from(1))
713            .build();
714
715        assert_eq!(order.trigger_price(), Some(Price::from("0.68000")));
716        assert_eq!(order.price(), Some(Price::from("0.67500")));
717        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
718        assert_eq!(order.is_triggered(), Some(false));
719        assert_eq!(order.filled_qty(), Quantity::from(0));
720        assert_eq!(order.leaves_qty(), Quantity::from(1));
721        assert_eq!(order.display_qty(), None);
722        assert_eq!(order.trigger_instrument_id(), None);
723        assert_eq!(order.order_list_id(), None);
724    }
725
726    #[rstest]
727    fn test_display(audusd_sim: CurrencyPair) {
728        let order = OrderTestBuilder::new(OrderType::TrailingStopLimit)
729            .instrument_id(audusd_sim.id)
730            .side(OrderSide::Buy)
731            .price(Price::from("0.67500"))
732            .trigger_price(Price::from("0.68000"))
733            .trigger_type(TriggerType::LastPrice)
734            .limit_offset(dec!(5))
735            .trailing_offset(dec!(10))
736            .trailing_offset_type(TrailingOffsetType::Price)
737            .quantity(Quantity::from(1))
738            .build();
739
740        assert_eq!(
741            order.to_string(),
742            "TrailingStopLimitOrder(BUY 1 AUD/USD.SIM TRAILING_STOP_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, activation_price=None, is_activated=false)"
743        );
744    }
745
746    #[rstest]
747    #[should_panic(expected = "Condition failed: `display_qty` may not exceed `quantity`")]
748    fn test_display_qty_gt_quantity_err(audusd_sim: CurrencyPair) {
749        let _ = OrderTestBuilder::new(OrderType::TrailingStopLimit)
750            .instrument_id(audusd_sim.id)
751            .side(OrderSide::Buy)
752            .price(Price::from("0.67500"))
753            .trigger_price(Price::from("0.68000"))
754            .trigger_type(TriggerType::LastPrice)
755            .limit_offset(dec!(5))
756            .trailing_offset(dec!(10))
757            .trailing_offset_type(TrailingOffsetType::Price)
758            .quantity(Quantity::from(1))
759            .display_qty(Quantity::from(2))
760            .build();
761    }
762
763    #[rstest]
764    #[should_panic(
765        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
766    )]
767    fn test_quantity_zero_err(audusd_sim: CurrencyPair) {
768        let _ = OrderTestBuilder::new(OrderType::TrailingStopLimit)
769            .instrument_id(audusd_sim.id)
770            .side(OrderSide::Buy)
771            .price(Price::from("0.67500"))
772            .trigger_price(Price::from("0.68000"))
773            .trigger_type(TriggerType::LastPrice)
774            .limit_offset(dec!(5))
775            .trailing_offset(dec!(10))
776            .trailing_offset_type(TrailingOffsetType::Price)
777            .quantity(Quantity::from(0))
778            .build();
779    }
780
781    #[rstest]
782    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
783    fn test_gtd_without_expire_err(audusd_sim: CurrencyPair) {
784        let _ = OrderTestBuilder::new(OrderType::TrailingStopLimit)
785            .instrument_id(audusd_sim.id)
786            .side(OrderSide::Buy)
787            .price(Price::from("0.67500"))
788            .trigger_price(Price::from("0.68000"))
789            .trigger_type(TriggerType::LastPrice)
790            .limit_offset(dec!(5))
791            .trailing_offset(dec!(10))
792            .trailing_offset_type(TrailingOffsetType::Price)
793            .time_in_force(TimeInForce::Gtd)
794            .quantity(Quantity::from(1))
795            .build();
796    }
797
798    #[rstest]
799    fn test_trailing_stop_limit_order_update() {
800        let order = OrderTestBuilder::new(OrderType::TrailingStopLimit)
801            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
802            .quantity(Quantity::from(10))
803            .price(Price::new(100.0, 2))
804            .trigger_price(Price::new(95.0, 2))
805            .limit_offset(dec!(2.0))
806            .trailing_offset(dec!(1.0))
807            .trailing_offset_type(TrailingOffsetType::Price)
808            .build();
809
810        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
811
812        let updated_trigger_price = Price::new(90.0, 2);
813        let updated_quantity = Quantity::from(5);
814
815        let event = OrderUpdated {
816            client_order_id: accepted_order.client_order_id(),
817            strategy_id: accepted_order.strategy_id(),
818            trigger_price: Some(updated_trigger_price),
819            quantity: updated_quantity,
820            ..Default::default()
821        };
822
823        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
824
825        assert_eq!(accepted_order.quantity(), updated_quantity);
826        assert_eq!(accepted_order.trigger_price(), Some(updated_trigger_price));
827    }
828
829    #[rstest]
830    fn test_trailing_stop_limit_order_trigger_instrument_id() {
831        let trigger_instrument_id = InstrumentId::from("ETH-USDT.BINANCE");
832        let order = OrderTestBuilder::new(OrderType::TrailingStopLimit)
833            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
834            .quantity(Quantity::from(10))
835            .price(Price::new(100.0, 2))
836            .trigger_price(Price::new(95.0, 2))
837            .limit_offset(dec!(2.0))
838            .trailing_offset(dec!(1.0))
839            .trailing_offset_type(TrailingOffsetType::Price)
840            .trigger_instrument_id(trigger_instrument_id)
841            .build();
842
843        assert_eq!(order.trigger_instrument_id(), Some(trigger_instrument_id));
844    }
845
846    #[rstest]
847    fn test_trailing_stop_limit_order_from_order_initialized() {
848        let order_initialized = OrderInitializedSpec::builder()
849            .order_type(OrderType::TrailingStopLimit)
850            .price(Price::new(100.0, 2))
851            .trigger_price(Price::new(95.0, 2))
852            .trigger_type(TriggerType::Default)
853            .limit_offset(dec!(2.0))
854            .trailing_offset(dec!(1.0))
855            .trailing_offset_type(TrailingOffsetType::Price)
856            .build();
857
858        let order: TrailingStopLimitOrder = order_initialized.clone().try_into().unwrap();
859
860        assert_eq!(order.trader_id(), order_initialized.trader_id);
861        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
862        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
863        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
864        assert_eq!(order.order_side(), order_initialized.order_side);
865        assert_eq!(order.quantity(), order_initialized.quantity);
866        assert_eq!(order.price, order_initialized.price.unwrap());
867        assert_eq!(
868            order.trigger_price,
869            order_initialized.trigger_price.unwrap()
870        );
871        assert_eq!(order.trigger_type, order_initialized.trigger_type.unwrap());
872        assert_eq!(order.limit_offset, order_initialized.limit_offset.unwrap());
873        assert_eq!(
874            order.trailing_offset,
875            order_initialized.trailing_offset.unwrap()
876        );
877        assert_eq!(
878            order.trailing_offset_type,
879            order_initialized.trailing_offset_type.unwrap()
880        );
881        assert_eq!(order.time_in_force(), order_initialized.time_in_force);
882        assert_eq!(order.expire_time(), order_initialized.expire_time);
883    }
884}
nautilus_model/orders/trailing_stop_limit.rs

nautilus_model/orders/
trailing_stop_limit.rs
