nautilus_model/orders/
trailing_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 TrailingStopMarketOrder {
55    core: OrderCore,
56    pub activation_price: Option<Price>,
57    pub trigger_price: Option<Price>,
58    pub trigger_type: TriggerType,
59    pub trailing_offset: Decimal,
60    pub trailing_offset_type: TrailingOffsetType,
61    pub expire_time: Option<UnixNanos>,
62    pub display_qty: Option<Quantity>,
63    pub trigger_instrument_id: Option<InstrumentId>,
64    pub is_activated: bool,
65    pub is_triggered: bool,
66    pub ts_triggered: Option<UnixNanos>,
67}
68
69impl TrailingStopMarketOrder {
70    /// Creates a new [`TrailingStopMarketOrder`] instance.
71    ///
72    /// # Errors
73    ///
74    /// Returns an error if:
75    /// - The `quantity` is not positive.
76    /// - The `display_qty` (when provided) exceeds `quantity`.
77    /// - The `time_in_force` is `GTD` **and** `expire_time` is `None` or zero.
78    /// - The order metadata violates an [`OrderInitialized::new_checked`] invariant.
79    #[expect(clippy::too_many_arguments)]
80    pub fn new_checked(
81        trader_id: TraderId,
82        strategy_id: StrategyId,
83        instrument_id: InstrumentId,
84        client_order_id: ClientOrderId,
85        order_side: OrderSide,
86        quantity: Quantity,
87        activation_price: Option<Price>,
88        trigger_price: Option<Price>,
89        trigger_type: TriggerType,
90        trailing_offset: Decimal,
91        trailing_offset_type: TrailingOffsetType,
92        time_in_force: TimeInForce,
93        expire_time: Option<UnixNanos>,
94        reduce_only: bool,
95        quote_quantity: bool,
96        display_qty: Option<Quantity>,
97        emulation_trigger: Option<TriggerType>,
98        trigger_instrument_id: Option<InstrumentId>,
99        contingency_type: Option<ContingencyType>,
100        order_list_id: Option<OrderListId>,
101        linked_order_ids: Option<Vec<ClientOrderId>>,
102        parent_order_id: Option<ClientOrderId>,
103        exec_algorithm_id: Option<ExecAlgorithmId>,
104        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
105        exec_spawn_id: Option<ClientOrderId>,
106        tags: Option<Vec<Ustr>>,
107        init_id: UUID4,
108        ts_init: UnixNanos,
109    ) -> Result<Self, OrderError> {
110        check_positive_quantity(quantity, stringify!(quantity))?;
111        check_display_qty(display_qty, quantity)?;
112        check_time_in_force(time_in_force, expire_time)?;
113
114        let init_order = OrderInitialized::new_checked(
115            trader_id,
116            strategy_id,
117            instrument_id,
118            client_order_id,
119            order_side,
120            OrderType::TrailingStopMarket,
121            quantity,
122            time_in_force,
123            /*post_only=*/ false,
124            reduce_only,
125            quote_quantity,
126            /*is_close=*/ false,
127            init_id,
128            ts_init,
129            ts_init,
130            /*price=*/ None,
131            activation_price,
132            trigger_price,
133            Some(trigger_type),
134            /*limit_offset=*/ None,
135            Some(trailing_offset),
136            Some(trailing_offset_type),
137            expire_time,
138            display_qty,
139            emulation_trigger,
140            trigger_instrument_id,
141            contingency_type,
142            order_list_id,
143            linked_order_ids,
144            parent_order_id,
145            exec_algorithm_id,
146            exec_algorithm_params,
147            exec_spawn_id,
148            tags,
149        )?;
150
151        Ok(Self {
152            core: OrderCore::new(init_order),
153            activation_price,
154            trigger_price,
155            trigger_type,
156            trailing_offset,
157            trailing_offset_type,
158            expire_time,
159            display_qty,
160            trigger_instrument_id,
161            is_activated: false,
162            is_triggered: false,
163            ts_triggered: None,
164        })
165    }
166
167    /// Creates a new [`TrailingStopMarketOrder`] instance.
168    ///
169    /// # Panics
170    ///
171    /// Panics if any order validation fails (see [`TrailingStopMarketOrder::new_checked`]).
172    #[expect(clippy::too_many_arguments)]
173    #[must_use]
174    pub fn new(
175        trader_id: TraderId,
176        strategy_id: StrategyId,
177        instrument_id: InstrumentId,
178        client_order_id: ClientOrderId,
179        order_side: OrderSide,
180        quantity: Quantity,
181        activation_price: Option<Price>,
182        trigger_price: Price,
183        trigger_type: TriggerType,
184        trailing_offset: Decimal,
185        trailing_offset_type: TrailingOffsetType,
186        time_in_force: TimeInForce,
187        expire_time: Option<UnixNanos>,
188        reduce_only: bool,
189        quote_quantity: bool,
190        display_qty: Option<Quantity>,
191        emulation_trigger: Option<TriggerType>,
192        trigger_instrument_id: Option<InstrumentId>,
193        contingency_type: Option<ContingencyType>,
194        order_list_id: Option<OrderListId>,
195        linked_order_ids: Option<Vec<ClientOrderId>>,
196        parent_order_id: Option<ClientOrderId>,
197        exec_algorithm_id: Option<ExecAlgorithmId>,
198        exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
199        exec_spawn_id: Option<ClientOrderId>,
200        tags: Option<Vec<Ustr>>,
201        init_id: UUID4,
202        ts_init: UnixNanos,
203    ) -> Self {
204        Self::new_checked(
205            trader_id,
206            strategy_id,
207            instrument_id,
208            client_order_id,
209            order_side,
210            quantity,
211            activation_price,
212            Some(trigger_price),
213            trigger_type,
214            trailing_offset,
215            trailing_offset_type,
216            time_in_force,
217            expire_time,
218            reduce_only,
219            quote_quantity,
220            display_qty,
221            emulation_trigger,
222            trigger_instrument_id,
223            contingency_type,
224            order_list_id,
225            linked_order_ids,
226            parent_order_id,
227            exec_algorithm_id,
228            exec_algorithm_params,
229            exec_spawn_id,
230            tags,
231            init_id,
232            ts_init,
233        )
234        .unwrap_or_else(|e| panic!("{FAILED}: {e}"))
235    }
236
237    #[must_use]
238    pub fn has_activation_price(&self) -> bool {
239        self.activation_price.is_some()
240    }
241
242    pub fn set_activated(&mut self) {
243        debug_assert!(!self.is_activated, "double activation");
244        self.is_activated = true;
245    }
246}
247
248impl PartialEq for TrailingStopMarketOrder {
249    fn eq(&self, other: &Self) -> bool {
250        self.client_order_id == other.client_order_id
251    }
252}
253
254impl Deref for TrailingStopMarketOrder {
255    type Target = OrderCore;
256    fn deref(&self) -> &Self::Target {
257        &self.core
258    }
259}
260
261impl DerefMut for TrailingStopMarketOrder {
262    fn deref_mut(&mut self) -> &mut Self::Target {
263        &mut self.core
264    }
265}
266
267impl Order for TrailingStopMarketOrder {
268    fn into_any(self) -> OrderAny {
269        OrderAny::TrailingStopMarket(self)
270    }
271
272    fn status(&self) -> OrderStatus {
273        self.status
274    }
275
276    fn trader_id(&self) -> TraderId {
277        self.trader_id
278    }
279
280    fn strategy_id(&self) -> StrategyId {
281        self.strategy_id
282    }
283
284    fn instrument_id(&self) -> InstrumentId {
285        self.instrument_id
286    }
287
288    fn symbol(&self) -> Symbol {
289        self.instrument_id.symbol
290    }
291
292    fn venue(&self) -> Venue {
293        self.instrument_id.venue
294    }
295
296    fn client_order_id(&self) -> ClientOrderId {
297        self.client_order_id
298    }
299
300    fn venue_order_id(&self) -> Option<VenueOrderId> {
301        self.venue_order_id
302    }
303
304    fn position_id(&self) -> Option<PositionId> {
305        self.position_id
306    }
307
308    fn account_id(&self) -> Option<AccountId> {
309        self.account_id
310    }
311
312    fn last_trade_id(&self) -> Option<TradeId> {
313        self.last_trade_id
314    }
315
316    fn order_side(&self) -> OrderSide {
317        self.side
318    }
319
320    fn order_type(&self) -> OrderType {
321        self.order_type
322    }
323
324    fn quantity(&self) -> Quantity {
325        self.quantity
326    }
327
328    fn time_in_force(&self) -> TimeInForce {
329        self.time_in_force
330    }
331
332    fn expire_time(&self) -> Option<UnixNanos> {
333        self.expire_time
334    }
335
336    fn price(&self) -> Option<Price> {
337        None
338    }
339
340    fn trigger_price(&self) -> Option<Price> {
341        self.trigger_price
342    }
343
344    fn activation_price(&self) -> Option<Price> {
345        self.activation_price
346    }
347
348    fn trigger_type(&self) -> Option<TriggerType> {
349        Some(self.trigger_type)
350    }
351
352    fn liquidity_side(&self) -> Option<LiquiditySide> {
353        self.liquidity_side
354    }
355
356    fn is_post_only(&self) -> bool {
357        false
358    }
359
360    fn is_reduce_only(&self) -> bool {
361        self.is_reduce_only
362    }
363
364    fn is_quote_quantity(&self) -> bool {
365        self.is_quote_quantity
366    }
367
368    fn has_price(&self) -> bool {
369        false
370    }
371
372    fn display_qty(&self) -> Option<Quantity> {
373        self.display_qty
374    }
375
376    fn limit_offset(&self) -> Option<Decimal> {
377        None
378    }
379
380    fn trailing_offset(&self) -> Option<Decimal> {
381        Some(self.trailing_offset)
382    }
383
384    fn trailing_offset_type(&self) -> Option<TrailingOffsetType> {
385        Some(self.trailing_offset_type)
386    }
387
388    fn emulation_trigger(&self) -> Option<TriggerType> {
389        self.emulation_trigger
390    }
391
392    fn trigger_instrument_id(&self) -> Option<InstrumentId> {
393        self.trigger_instrument_id
394    }
395
396    fn contingency_type(&self) -> Option<ContingencyType> {
397        self.contingency_type
398    }
399
400    fn order_list_id(&self) -> Option<OrderListId> {
401        self.order_list_id
402    }
403
404    fn linked_order_ids(&self) -> Option<&[ClientOrderId]> {
405        self.linked_order_ids.as_deref()
406    }
407
408    fn parent_order_id(&self) -> Option<ClientOrderId> {
409        self.parent_order_id
410    }
411
412    fn exec_algorithm_id(&self) -> Option<ExecAlgorithmId> {
413        self.exec_algorithm_id
414    }
415
416    fn exec_algorithm_params(&self) -> Option<&IndexMap<Ustr, Ustr>> {
417        self.exec_algorithm_params.as_ref()
418    }
419
420    fn exec_spawn_id(&self) -> Option<ClientOrderId> {
421        self.exec_spawn_id
422    }
423
424    fn tags(&self) -> Option<&[Ustr]> {
425        self.tags.as_deref()
426    }
427
428    fn filled_qty(&self) -> Quantity {
429        self.filled_qty
430    }
431
432    fn voided_qty(&self) -> Quantity {
433        self.voided_qty
434    }
435
436    fn leaves_qty(&self) -> Quantity {
437        self.leaves_qty
438    }
439
440    fn overfill_qty(&self) -> Quantity {
441        self.overfill_qty
442    }
443
444    fn avg_px(&self) -> Option<Decimal> {
445        self.avg_px
446    }
447
448    fn slippage(&self) -> Option<Decimal> {
449        self.slippage
450    }
451
452    fn init_id(&self) -> UUID4 {
453        self.init_id
454    }
455
456    fn ts_init(&self) -> UnixNanos {
457        self.ts_init
458    }
459
460    fn ts_submitted(&self) -> Option<UnixNanos> {
461        self.ts_submitted
462    }
463
464    fn ts_accepted(&self) -> Option<UnixNanos> {
465        self.ts_accepted
466    }
467
468    fn ts_closed(&self) -> Option<UnixNanos> {
469        self.ts_closed
470    }
471
472    fn ts_last(&self) -> UnixNanos {
473        self.ts_last
474    }
475
476    fn events(&self) -> Vec<&OrderEventAny> {
477        self.events.iter().collect()
478    }
479
480    fn venue_order_ids(&self) -> Vec<&VenueOrderId> {
481        self.venue_order_ids.iter().collect()
482    }
483
484    fn trade_ids(&self) -> Vec<&TradeId> {
485        self.trade_ids.iter().collect()
486    }
487
488    fn commissions(&self) -> &IndexMap<Currency, Money> {
489        &self.commissions
490    }
491
492    fn apply(&mut self, event: OrderEventAny) -> Result<(), OrderError> {
493        let updates_slippage = matches!(
494            event,
495            OrderEventAny::Filled(_) | OrderEventAny::FillVoided(_),
496        );
497        let is_order_triggered = matches!(event, OrderEventAny::Triggered(_));
498        let ts_event = if is_order_triggered {
499            Some(event.ts_event())
500        } else {
501            None
502        };
503
504        self.core.apply(event.clone())?;
505
506        if let OrderEventAny::Updated(ref event) = event {
507            self.update(event);
508        }
509
510        if is_order_triggered {
511            self.is_triggered = true;
512            self.ts_triggered = ts_event;
513        }
514
515        if updates_slippage && let Some(trigger_price) = self.trigger_price {
516            self.core.set_slippage(trigger_price);
517        }
518
519        Ok(())
520    }
521
522    fn update(&mut self, event: &OrderUpdated) {
523        assert!(event.price.is_none(), "{}", OrderError::InvalidOrderEvent);
524
525        if event.trigger_price.is_some() {
526            self.trigger_price = event.trigger_price;
527        }
528
529        self.quantity = event.quantity;
530        self.leaves_qty = self.quantity.saturating_sub(self.filled_qty);
531    }
532
533    fn is_triggered(&self) -> Option<bool> {
534        Some(self.is_triggered)
535    }
536
537    fn set_position_id(&mut self, position_id: Option<PositionId>) {
538        self.position_id = position_id;
539    }
540
541    fn set_quantity(&mut self, quantity: Quantity) {
542        self.quantity = quantity;
543    }
544
545    fn set_leaves_qty(&mut self, leaves_qty: Quantity) {
546        self.leaves_qty = leaves_qty;
547    }
548
549    fn set_emulation_trigger(&mut self, emulation_trigger: Option<TriggerType>) {
550        self.emulation_trigger = emulation_trigger;
551    }
552
553    fn set_is_quote_quantity(&mut self, is_quote_quantity: bool) {
554        self.is_quote_quantity = is_quote_quantity;
555    }
556
557    fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
558        self.liquidity_side = Some(liquidity_side);
559    }
560
561    fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
562        self.core.would_reduce_only(side, position_qty)
563    }
564
565    fn previous_status(&self) -> Option<OrderStatus> {
566        self.core.previous_status
567    }
568}
569
570impl Display for TrailingStopMarketOrder {
571    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
572        write!(
573            f,
574            "TrailingStopMarketOrder({} {} {} {} {}, status={}, client_order_id={}, venue_order_id={}, position_id={}, exec_algorithm_id={}, exec_spawn_id={}, tags={:?}, activation_price={:?}, is_activated={})",
575            self.side,
576            self.quantity.to_formatted_string(),
577            self.instrument_id,
578            self.order_type,
579            self.time_in_force,
580            self.status,
581            self.client_order_id,
582            self.venue_order_id
583                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
584            self.position_id
585                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
586            self.exec_algorithm_id
587                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
588            self.exec_spawn_id
589                .map_or_else(|| "None".to_string(), |id| format!("{id}")),
590            self.tags,
591            self.activation_price,
592            self.is_activated
593        )
594    }
595}
596
597impl TryFrom<OrderInitialized> for TrailingStopMarketOrder {
598    type Error = OrderError;
599
600    fn try_from(event: OrderInitialized) -> Result<Self, Self::Error> {
601        let trigger_type =
602            event
603                .trigger_type
604                .ok_or_else(|| CorrectnessError::PredicateViolation {
605                    message:
606                        "`trigger_type` is required for `TrailingStopMarketOrder` initialization"
607                            .to_string(),
608                })?;
609        let trailing_offset =
610            event
611                .trailing_offset
612                .ok_or_else(|| CorrectnessError::PredicateViolation {
613                    message:
614                        "`trailing_offset` is required for `TrailingStopMarketOrder` initialization"
615                            .to_string(),
616                })?;
617        let trailing_offset_type = event.trailing_offset_type.ok_or_else(|| {
618            CorrectnessError::PredicateViolation {
619                message: "`trailing_offset_type` is required for `TrailingStopMarketOrder` initialization"
620                    .to_string(),
621            }
622        })?;
623        Self::new_checked(
624            event.trader_id,
625            event.strategy_id,
626            event.instrument_id,
627            event.client_order_id,
628            event.order_side,
629            event.quantity,
630            event.activation_price,
631            event.trigger_price,
632            trigger_type,
633            trailing_offset,
634            trailing_offset_type,
635            event.time_in_force,
636            event.expire_time,
637            event.reduce_only,
638            event.quote_quantity,
639            event.display_qty,
640            event.emulation_trigger,
641            event.trigger_instrument_id,
642            event.contingency_type,
643            event.order_list_id,
644            event.linked_order_ids,
645            event.parent_order_id,
646            event.exec_algorithm_id,
647            event.exec_algorithm_params,
648            event.exec_spawn_id,
649            event.tags,
650            event.event_id,
651            event.ts_event,
652        )
653    }
654}
655
656#[cfg(test)]
657mod tests {
658    use rstest::rstest;
659    use rust_decimal::Decimal;
660    use rust_decimal_macros::dec;
661
662    use super::*;
663    use crate::{
664        enums::{TimeInForce, TrailingOffsetType, TriggerType},
665        events::order::spec::{OrderFilledSpec, OrderInitializedSpec},
666        identifiers::InstrumentId,
667        instruments::{CurrencyPair, stubs::*},
668        orders::{builder::OrderTestBuilder, stubs::TestOrderStubs},
669        types::{Price, Quantity},
670    };
671
672    #[rstest]
673    fn test_initialize(audusd_sim: CurrencyPair) {
674        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
675            .instrument_id(audusd_sim.id)
676            .side(OrderSide::Buy)
677            .trigger_price(Price::from("0.68000"))
678            .trailing_offset(dec!(10))
679            .trailing_offset_type(TrailingOffsetType::Price)
680            .quantity(Quantity::from(1))
681            .build();
682
683        assert_eq!(order.trigger_price(), Some(Price::from("0.68000")));
684        assert_eq!(order.price(), None);
685
686        assert_eq!(order.time_in_force(), TimeInForce::Gtc);
687
688        assert_eq!(order.is_triggered(), Some(false));
689        assert_eq!(order.filled_qty(), Quantity::from(0));
690        assert_eq!(order.leaves_qty(), Quantity::from(1));
691
692        assert_eq!(order.display_qty(), None);
693        assert_eq!(order.trigger_instrument_id(), None);
694        assert_eq!(order.order_list_id(), None);
695    }
696
697    #[rstest]
698    fn test_display(audusd_sim: CurrencyPair) {
699        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
700            .instrument_id(audusd_sim.id)
701            .side(OrderSide::Buy)
702            .trigger_price(Price::from("0.68000"))
703            .trigger_type(TriggerType::LastPrice)
704            .trailing_offset(dec!(10))
705            .trailing_offset_type(TrailingOffsetType::Price)
706            .quantity(Quantity::from(1))
707            .build();
708
709        assert_eq!(
710            order.to_string(),
711            "TrailingStopMarketOrder(BUY 1 AUD/USD.SIM TRAILING_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, activation_price=None, is_activated=false)"
712        );
713    }
714
715    #[rstest]
716    #[should_panic(expected = "Condition failed: `display_qty` may not exceed `quantity`")]
717    fn test_display_qty_gt_quantity_err(audusd_sim: CurrencyPair) {
718        let _ = OrderTestBuilder::new(OrderType::TrailingStopMarket)
719            .instrument_id(audusd_sim.id)
720            .side(OrderSide::Buy)
721            .trigger_price(Price::from("0.68000"))
722            .trigger_type(TriggerType::LastPrice)
723            .trailing_offset(dec!(10))
724            .trailing_offset_type(TrailingOffsetType::Price)
725            .quantity(Quantity::from(1))
726            .display_qty(Quantity::from(2))
727            .build();
728    }
729
730    #[rstest]
731    #[should_panic(
732        expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
733    )]
734    fn test_quantity_zero_err(audusd_sim: CurrencyPair) {
735        let _ = OrderTestBuilder::new(OrderType::TrailingStopMarket)
736            .instrument_id(audusd_sim.id)
737            .side(OrderSide::Buy)
738            .trigger_price(Price::from("0.68000"))
739            .trigger_type(TriggerType::LastPrice)
740            .trailing_offset(dec!(10))
741            .trailing_offset_type(TrailingOffsetType::Price)
742            .quantity(Quantity::from(0))
743            .build();
744    }
745
746    #[rstest]
747    #[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
748    fn test_gtd_without_expire_err(audusd_sim: CurrencyPair) {
749        let _ = OrderTestBuilder::new(OrderType::TrailingStopMarket)
750            .instrument_id(audusd_sim.id)
751            .side(OrderSide::Buy)
752            .trigger_price(Price::from("0.68000"))
753            .trigger_type(TriggerType::LastPrice)
754            .trailing_offset(dec!(10))
755            .trailing_offset_type(TrailingOffsetType::Price)
756            .time_in_force(TimeInForce::Gtd)
757            .quantity(Quantity::from(1))
758            .build();
759    }
760    #[rstest]
761    fn test_trailing_stop_market_order_update() {
762        // Create and accept a basic trailing stop market order
763        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
764            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
765            .quantity(Quantity::from(10))
766            .trigger_price(Price::new(100.0, 2))
767            .trailing_offset(Decimal::new(5, 1)) // 0.5
768            .trailing_offset_type(TrailingOffsetType::Price)
769            .build();
770
771        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
772
773        // Update with new values
774        let updated_trigger_price = Price::new(95.0, 2);
775        let updated_quantity = Quantity::from(5);
776
777        let event = OrderUpdated {
778            client_order_id: accepted_order.client_order_id(),
779            strategy_id: accepted_order.strategy_id(),
780            trigger_price: Some(updated_trigger_price),
781            quantity: updated_quantity,
782            ..Default::default()
783        };
784
785        accepted_order.apply(OrderEventAny::Updated(event)).unwrap();
786
787        // Verify updates were applied correctly
788        assert_eq!(accepted_order.quantity(), updated_quantity);
789        assert_eq!(accepted_order.trigger_price(), Some(updated_trigger_price));
790    }
791
792    #[rstest]
793    fn test_trailing_stop_market_order_rejects_invalid_update_atomically() {
794        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
795            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
796            .quantity(Quantity::from(10))
797            .trigger_price(Price::new(100.0, 2))
798            .trailing_offset(Decimal::new(5, 1))
799            .trailing_offset_type(TrailingOffsetType::Price)
800            .build();
801        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
802        let state = (
803            accepted_order.status(),
804            accepted_order.previous_status(),
805            accepted_order.ts_last(),
806            accepted_order.events().len(),
807        );
808        let event = OrderUpdated {
809            client_order_id: accepted_order.client_order_id(),
810            strategy_id: accepted_order.strategy_id(),
811            price: Some(Price::new(95.0, 2)),
812            ..Default::default()
813        };
814
815        let result = accepted_order.apply(OrderEventAny::Updated(event));
816
817        assert!(matches!(result, Err(OrderError::InvalidOrderEvent)));
818        assert_eq!(accepted_order.status(), state.0);
819        assert_eq!(accepted_order.previous_status(), state.1);
820        assert_eq!(accepted_order.ts_last(), state.2);
821        assert_eq!(accepted_order.events().len(), state.3);
822    }
823
824    #[rstest]
825    fn test_trailing_stop_market_order_expire_time() {
826        // Create a new TrailingStopMarketOrder with an expire time
827        let expire_time = UnixNanos::from(1_234_567_890);
828        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
829            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
830            .quantity(Quantity::from(10))
831            .trigger_price(Price::new(100.0, 2))
832            .trailing_offset(Decimal::new(5, 1)) // 0.5
833            .trailing_offset_type(TrailingOffsetType::Price)
834            .expire_time(expire_time)
835            .build();
836
837        // Assert that the expire time is set correctly
838        assert_eq!(order.expire_time(), Some(expire_time));
839    }
840
841    #[rstest]
842    fn test_trailing_stop_market_order_trigger_instrument_id() {
843        // Create a new TrailingStopMarketOrder with a trigger instrument ID
844        let trigger_instrument_id = InstrumentId::from("ETH-USDT.BINANCE");
845        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
846            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
847            .quantity(Quantity::from(10))
848            .trigger_price(Price::new(100.0, 2))
849            .trailing_offset(Decimal::new(5, 1)) // 0.5
850            .trailing_offset_type(TrailingOffsetType::Price)
851            .trigger_instrument_id(trigger_instrument_id)
852            .build();
853
854        // Assert that the trigger instrument ID is set correctly
855        assert_eq!(order.trigger_instrument_id(), Some(trigger_instrument_id));
856    }
857
858    #[rstest]
859    fn test_trailing_stop_market_order_from_order_initialized() {
860        // Create an OrderInitialized event with all required fields for a TrailingStopMarketOrder
861        let order_initialized = OrderInitializedSpec::builder()
862            .trigger_price(Price::new(100.0, 2))
863            .trigger_type(TriggerType::Default)
864            .trailing_offset(Decimal::new(5, 1)) // 0.5
865            .trailing_offset_type(TrailingOffsetType::Price)
866            .order_type(OrderType::TrailingStopMarket)
867            .build();
868
869        // Convert the OrderInitialized event into a TrailingStopMarketOrder
870        let order: TrailingStopMarketOrder = order_initialized.clone().try_into().unwrap();
871
872        // Assert essential fields match the OrderInitialized fields
873        assert_eq!(order.trader_id(), order_initialized.trader_id);
874        assert_eq!(order.strategy_id(), order_initialized.strategy_id);
875        assert_eq!(order.instrument_id(), order_initialized.instrument_id);
876        assert_eq!(order.client_order_id(), order_initialized.client_order_id);
877        assert_eq!(order.order_side(), order_initialized.order_side);
878        assert_eq!(order.quantity(), order_initialized.quantity);
879
880        // Assert specific fields for TrailingStopMarketOrder
881        assert_eq!(order.trigger_price, order_initialized.trigger_price);
882        assert_eq!(order.trigger_type, order_initialized.trigger_type.unwrap());
883        assert_eq!(
884            order.trailing_offset,
885            order_initialized.trailing_offset.unwrap()
886        );
887        assert_eq!(
888            order.trailing_offset_type,
889            order_initialized.trailing_offset_type.unwrap()
890        );
891    }
892
893    #[rstest]
894    fn test_activation_price_round_trips_through_event(audusd_sim: CurrencyPair) {
895        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
896            .instrument_id(audusd_sim.id)
897            .side(OrderSide::Buy)
898            .activation_price(Price::from("0.68500"))
899            .trigger_price(Price::from("0.68000"))
900            .trailing_offset(dec!(10))
901            .trailing_offset_type(TrailingOffsetType::Price)
902            .quantity(Quantity::from(1))
903            .build();
904
905        assert_eq!(order.activation_price(), Some(Price::from("0.68500")));
906
907        // The seed event carries `activation_price`, so a replay preserves it
908        let init = order.init_event().clone();
909        assert_eq!(init.activation_price, Some(Price::from("0.68500")));
910
911        let rebuilt: TrailingStopMarketOrder = init.try_into().unwrap();
912        assert_eq!(rebuilt.activation_price, Some(Price::from("0.68500")));
913        assert_eq!(rebuilt.trigger_price, Some(Price::from("0.68000")));
914    }
915
916    #[rstest]
917    fn test_reconstruct_with_trigger_and_activation_none() {
918        let init = OrderInitializedSpec::builder()
919            .order_type(OrderType::TrailingStopMarket)
920            .trigger_type(TriggerType::Default)
921            .trailing_offset(dec!(10))
922            .trailing_offset_type(TrailingOffsetType::Price)
923            .build();
924
925        let order: TrailingStopMarketOrder = init.try_into().unwrap();
926
927        assert_eq!(order.trigger_price(), None);
928        assert_eq!(order.activation_price(), None);
929    }
930
931    #[rstest]
932    fn test_trailing_stop_market_order_sets_slippage_when_filled() {
933        // Create a trailing stop market order
934        let order = OrderTestBuilder::new(OrderType::TrailingStopMarket)
935            .instrument_id(InstrumentId::from("BTC-USDT.BINANCE"))
936            .quantity(Quantity::from(10))
937            .side(OrderSide::Buy) // Explicitly setting Buy side
938            .trigger_price(Price::new(90.0, 2)) // Trigger price LOWER than fill price
939            .trailing_offset(Decimal::new(5, 1)) // 0.5
940            .trailing_offset_type(TrailingOffsetType::Price)
941            .build();
942
943        // Accept the order first
944        let mut accepted_order = TestOrderStubs::make_accepted_order(&order);
945
946        // Create a filled event with the correct quantity
947        let fill_quantity = accepted_order.quantity(); // Use the same quantity as the order
948        let fill_price = Price::new(98.50, 2); // Use a price HIGHER than trigger price
949
950        let order_filled_event = OrderFilledSpec::builder()
951            .client_order_id(accepted_order.client_order_id())
952            .strategy_id(accepted_order.strategy_id())
953            .instrument_id(accepted_order.instrument_id())
954            .order_side(accepted_order.order_side())
955            .last_qty(fill_quantity)
956            .last_px(fill_price)
957            .venue_order_id(VenueOrderId::from("TEST-001"))
958            .trade_id(TradeId::from("TRADE-001"))
959            .build();
960
961        // Apply the fill event
962        accepted_order
963            .apply(OrderEventAny::Filled(order_filled_event))
964            .unwrap();
965
966        // The fill triggers the slippage calculation: 98.50 - 90.0 for a buy order
967        assert_eq!(accepted_order.slippage(), Some(dec!(8.50)));
968    }
969}
nautilus_model/orders/trailing_stop_market.rs

nautilus_model/orders/
trailing_stop_market.rs
