nautilus_serialization/arrow/
order_event.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::collections::HashMap;
17
18use arrow::{datatypes::Schema, error::ArrowError, record_batch::RecordBatch};
19use nautilus_model::events::{
20    OrderAccepted, OrderCancelRejected, OrderCanceled, OrderDenied, OrderEmulated, OrderExpired,
21    OrderFilled, OrderInitialized, OrderModifyRejected, OrderPendingCancel, OrderPendingUpdate,
22    OrderRejected, OrderReleased, OrderSubmitted, OrderTriggered, OrderUpdated,
23};
24
25use super::{
26    ArrowSchemaProvider, DecodeTypedFromRecordBatch, EncodeToRecordBatch, EncodingError,
27    KEY_INSTRUMENT_ID,
28    json::{JsonFieldSpec, decode_batch, encode_batch, metadata_for_type, schema_for_type},
29};
30
31const ORDER_INITIALIZED_FIELDS: &[JsonFieldSpec] = &[
32    JsonFieldSpec::utf8("trader_id", false),
33    JsonFieldSpec::utf8("strategy_id", false),
34    JsonFieldSpec::utf8("instrument_id", false),
35    JsonFieldSpec::utf8("client_order_id", false),
36    JsonFieldSpec::utf8("order_side", false),
37    JsonFieldSpec::utf8("order_type", false),
38    JsonFieldSpec::utf8("quantity", false),
39    JsonFieldSpec::utf8("time_in_force", false),
40    JsonFieldSpec::boolean("post_only", false),
41    JsonFieldSpec::boolean("reduce_only", false),
42    JsonFieldSpec::boolean("quote_quantity", false),
43    JsonFieldSpec::boolean("reconciliation", false),
44    JsonFieldSpec::utf8("event_id", false),
45    JsonFieldSpec::u64("ts_event", false),
46    JsonFieldSpec::u64("ts_init", false),
47    JsonFieldSpec::utf8("price", true),
48    JsonFieldSpec::utf8("trigger_price", true),
49    JsonFieldSpec::utf8("trigger_type", true),
50    JsonFieldSpec::utf8("limit_offset", true),
51    JsonFieldSpec::utf8("trailing_offset", true),
52    JsonFieldSpec::utf8("trailing_offset_type", true),
53    JsonFieldSpec::u64("expire_time", true),
54    JsonFieldSpec::utf8("display_qty", true),
55    JsonFieldSpec::utf8("emulation_trigger", true),
56    JsonFieldSpec::utf8("trigger_instrument_id", true),
57    JsonFieldSpec::utf8("contingency_type", true),
58    JsonFieldSpec::utf8("order_list_id", true),
59    JsonFieldSpec::utf8_json("linked_order_ids", true),
60    JsonFieldSpec::utf8("parent_order_id", true),
61    JsonFieldSpec::utf8("exec_algorithm_id", true),
62    JsonFieldSpec::utf8_json("exec_algorithm_params", true),
63    JsonFieldSpec::utf8("exec_spawn_id", true),
64    JsonFieldSpec::utf8_json("tags", true),
65];
66
67const ORDER_DENIED_FIELDS: &[JsonFieldSpec] = &[
68    JsonFieldSpec::utf8("trader_id", false),
69    JsonFieldSpec::utf8("strategy_id", false),
70    JsonFieldSpec::utf8("instrument_id", false),
71    JsonFieldSpec::utf8("client_order_id", false),
72    JsonFieldSpec::utf8("reason", false),
73    JsonFieldSpec::utf8("event_id", false),
74    JsonFieldSpec::u64("ts_event", false),
75    JsonFieldSpec::u64("ts_init", false),
76];
77
78const ORDER_EMULATED_FIELDS: &[JsonFieldSpec] = &[
79    JsonFieldSpec::utf8("trader_id", false),
80    JsonFieldSpec::utf8("strategy_id", false),
81    JsonFieldSpec::utf8("instrument_id", false),
82    JsonFieldSpec::utf8("client_order_id", false),
83    JsonFieldSpec::utf8("event_id", false),
84    JsonFieldSpec::u64("ts_event", false),
85    JsonFieldSpec::u64("ts_init", false),
86];
87
88const ORDER_SUBMITTED_FIELDS: &[JsonFieldSpec] = &[
89    JsonFieldSpec::utf8("trader_id", false),
90    JsonFieldSpec::utf8("strategy_id", false),
91    JsonFieldSpec::utf8("instrument_id", false),
92    JsonFieldSpec::utf8("client_order_id", false),
93    JsonFieldSpec::utf8("account_id", false),
94    JsonFieldSpec::utf8("event_id", false),
95    JsonFieldSpec::u64("ts_event", false),
96    JsonFieldSpec::u64("ts_init", false),
97];
98
99const ORDER_ACCEPTED_FIELDS: &[JsonFieldSpec] = &[
100    JsonFieldSpec::utf8("trader_id", false),
101    JsonFieldSpec::utf8("strategy_id", false),
102    JsonFieldSpec::utf8("instrument_id", false),
103    JsonFieldSpec::utf8("client_order_id", false),
104    JsonFieldSpec::utf8("venue_order_id", false),
105    JsonFieldSpec::utf8("account_id", false),
106    JsonFieldSpec::utf8("event_id", false),
107    JsonFieldSpec::u64("ts_event", false),
108    JsonFieldSpec::u64("ts_init", false),
109    JsonFieldSpec::u64("reconciliation", false),
110];
111
112const ORDER_REJECTED_FIELDS: &[JsonFieldSpec] = &[
113    JsonFieldSpec::utf8("trader_id", false),
114    JsonFieldSpec::utf8("strategy_id", false),
115    JsonFieldSpec::utf8("instrument_id", false),
116    JsonFieldSpec::utf8("client_order_id", false),
117    JsonFieldSpec::utf8("account_id", false),
118    JsonFieldSpec::utf8("reason", false),
119    JsonFieldSpec::utf8("event_id", false),
120    JsonFieldSpec::u64("ts_event", false),
121    JsonFieldSpec::u64("ts_init", false),
122    JsonFieldSpec::u64("reconciliation", false),
123    JsonFieldSpec::u64("due_post_only", false),
124];
125
126const ORDER_PENDING_CANCEL_FIELDS: &[JsonFieldSpec] = &[
127    JsonFieldSpec::utf8("trader_id", false),
128    JsonFieldSpec::utf8("strategy_id", false),
129    JsonFieldSpec::utf8("instrument_id", false),
130    JsonFieldSpec::utf8("client_order_id", false),
131    JsonFieldSpec::utf8("account_id", false),
132    JsonFieldSpec::utf8("event_id", false),
133    JsonFieldSpec::u64("ts_event", false),
134    JsonFieldSpec::u64("ts_init", false),
135    JsonFieldSpec::u64("reconciliation", false),
136    JsonFieldSpec::utf8("venue_order_id", true),
137];
138
139const ORDER_CANCELED_FIELDS: &[JsonFieldSpec] = &[
140    JsonFieldSpec::utf8("trader_id", false),
141    JsonFieldSpec::utf8("strategy_id", false),
142    JsonFieldSpec::utf8("instrument_id", false),
143    JsonFieldSpec::utf8("client_order_id", false),
144    JsonFieldSpec::utf8("event_id", false),
145    JsonFieldSpec::u64("ts_event", false),
146    JsonFieldSpec::u64("ts_init", false),
147    JsonFieldSpec::u64("reconciliation", false),
148    JsonFieldSpec::utf8("venue_order_id", true),
149    JsonFieldSpec::utf8("account_id", true),
150];
151
152const ORDER_CANCEL_REJECTED_FIELDS: &[JsonFieldSpec] = &[
153    JsonFieldSpec::utf8("trader_id", false),
154    JsonFieldSpec::utf8("strategy_id", false),
155    JsonFieldSpec::utf8("instrument_id", false),
156    JsonFieldSpec::utf8("client_order_id", false),
157    JsonFieldSpec::utf8("reason", false),
158    JsonFieldSpec::utf8("event_id", false),
159    JsonFieldSpec::u64("ts_event", false),
160    JsonFieldSpec::u64("ts_init", false),
161    JsonFieldSpec::u64("reconciliation", false),
162    JsonFieldSpec::utf8("venue_order_id", true),
163    JsonFieldSpec::utf8("account_id", true),
164];
165
166const ORDER_EXPIRED_FIELDS: &[JsonFieldSpec] = &[
167    JsonFieldSpec::utf8("trader_id", false),
168    JsonFieldSpec::utf8("strategy_id", false),
169    JsonFieldSpec::utf8("instrument_id", false),
170    JsonFieldSpec::utf8("client_order_id", false),
171    JsonFieldSpec::utf8("event_id", false),
172    JsonFieldSpec::u64("ts_event", false),
173    JsonFieldSpec::u64("ts_init", false),
174    JsonFieldSpec::u64("reconciliation", false),
175    JsonFieldSpec::utf8("venue_order_id", true),
176    JsonFieldSpec::utf8("account_id", true),
177];
178
179const ORDER_TRIGGERED_FIELDS: &[JsonFieldSpec] = &[
180    JsonFieldSpec::utf8("trader_id", false),
181    JsonFieldSpec::utf8("strategy_id", false),
182    JsonFieldSpec::utf8("instrument_id", false),
183    JsonFieldSpec::utf8("client_order_id", false),
184    JsonFieldSpec::utf8("event_id", false),
185    JsonFieldSpec::u64("ts_event", false),
186    JsonFieldSpec::u64("ts_init", false),
187    JsonFieldSpec::u64("reconciliation", false),
188    JsonFieldSpec::utf8("venue_order_id", true),
189    JsonFieldSpec::utf8("account_id", true),
190];
191
192const ORDER_PENDING_UPDATE_FIELDS: &[JsonFieldSpec] = &[
193    JsonFieldSpec::utf8("trader_id", false),
194    JsonFieldSpec::utf8("strategy_id", false),
195    JsonFieldSpec::utf8("instrument_id", false),
196    JsonFieldSpec::utf8("client_order_id", false),
197    JsonFieldSpec::utf8("account_id", false),
198    JsonFieldSpec::utf8("event_id", false),
199    JsonFieldSpec::u64("ts_event", false),
200    JsonFieldSpec::u64("ts_init", false),
201    JsonFieldSpec::u64("reconciliation", false),
202    JsonFieldSpec::utf8("venue_order_id", true),
203];
204
205const ORDER_RELEASED_FIELDS: &[JsonFieldSpec] = &[
206    JsonFieldSpec::utf8("trader_id", false),
207    JsonFieldSpec::utf8("strategy_id", false),
208    JsonFieldSpec::utf8("instrument_id", false),
209    JsonFieldSpec::utf8("client_order_id", false),
210    JsonFieldSpec::utf8("released_price", false),
211    JsonFieldSpec::utf8("event_id", false),
212    JsonFieldSpec::u64("ts_event", false),
213    JsonFieldSpec::u64("ts_init", false),
214];
215
216const ORDER_MODIFY_REJECTED_FIELDS: &[JsonFieldSpec] = &[
217    JsonFieldSpec::utf8("trader_id", false),
218    JsonFieldSpec::utf8("strategy_id", false),
219    JsonFieldSpec::utf8("instrument_id", false),
220    JsonFieldSpec::utf8("client_order_id", false),
221    JsonFieldSpec::utf8("reason", false),
222    JsonFieldSpec::utf8("event_id", false),
223    JsonFieldSpec::u64("ts_event", false),
224    JsonFieldSpec::u64("ts_init", false),
225    JsonFieldSpec::u64("reconciliation", false),
226    JsonFieldSpec::utf8("venue_order_id", true),
227    JsonFieldSpec::utf8("account_id", true),
228];
229
230const ORDER_UPDATED_FIELDS: &[JsonFieldSpec] = &[
231    JsonFieldSpec::utf8("trader_id", false),
232    JsonFieldSpec::utf8("strategy_id", false),
233    JsonFieldSpec::utf8("instrument_id", false),
234    JsonFieldSpec::utf8("client_order_id", false),
235    JsonFieldSpec::utf8("venue_order_id", true),
236    JsonFieldSpec::utf8("account_id", true),
237    JsonFieldSpec::utf8("quantity", false),
238    JsonFieldSpec::utf8("price", true),
239    JsonFieldSpec::utf8("trigger_price", true),
240    JsonFieldSpec::utf8("protection_price", true),
241    JsonFieldSpec::boolean("is_quote_quantity", false),
242    JsonFieldSpec::utf8("event_id", false),
243    JsonFieldSpec::u64("ts_event", false),
244    JsonFieldSpec::u64("ts_init", false),
245    JsonFieldSpec::u64("reconciliation", false),
246];
247
248const ORDER_FILLED_FIELDS: &[JsonFieldSpec] = &[
249    JsonFieldSpec::utf8("trader_id", false),
250    JsonFieldSpec::utf8("strategy_id", false),
251    JsonFieldSpec::utf8("instrument_id", false),
252    JsonFieldSpec::utf8("client_order_id", false),
253    JsonFieldSpec::utf8("venue_order_id", false),
254    JsonFieldSpec::utf8("account_id", false),
255    JsonFieldSpec::utf8("trade_id", false),
256    JsonFieldSpec::utf8("order_side", false),
257    JsonFieldSpec::utf8("order_type", false),
258    JsonFieldSpec::utf8("last_qty", false),
259    JsonFieldSpec::utf8("last_px", false),
260    JsonFieldSpec::utf8("currency", false),
261    JsonFieldSpec::utf8("liquidity_side", false),
262    JsonFieldSpec::utf8("event_id", false),
263    JsonFieldSpec::u64("ts_event", false),
264    JsonFieldSpec::u64("ts_init", false),
265    JsonFieldSpec::boolean("reconciliation", false),
266    JsonFieldSpec::utf8("position_id", true),
267    JsonFieldSpec::utf8("commission", true),
268];
269
270fn instrument_metadata(type_name: &'static str, instrument_id: &str) -> HashMap<String, String> {
271    let mut metadata = metadata_for_type(type_name);
272    metadata.insert(KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string());
273    metadata
274}
275
276macro_rules! impl_order_event_arrow {
277    ($type:ty, $type_name:expr, $fields:expr) => {
278        impl ArrowSchemaProvider for $type {
279            fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
280                schema_for_type($type_name, metadata, $fields)
281            }
282        }
283
284        impl EncodeToRecordBatch for $type {
285            fn encode_batch(
286                metadata: &HashMap<String, String>,
287                data: &[Self],
288            ) -> Result<RecordBatch, ArrowError> {
289                encode_batch($type_name, metadata, data, $fields)
290            }
291
292            fn metadata(&self) -> HashMap<String, String> {
293                instrument_metadata($type_name, &self.instrument_id.to_string())
294            }
295        }
296
297        impl DecodeTypedFromRecordBatch for $type {
298            fn decode_typed_batch(
299                metadata: &HashMap<String, String>,
300                record_batch: RecordBatch,
301            ) -> Result<Vec<Self>, EncodingError> {
302                decode_batch(metadata, &record_batch, $fields, Some($type_name))
303            }
304        }
305    };
306}
307
308impl_order_event_arrow!(
309    OrderInitialized,
310    "OrderInitialized",
311    ORDER_INITIALIZED_FIELDS
312);
313impl_order_event_arrow!(OrderDenied, "OrderDenied", ORDER_DENIED_FIELDS);
314impl_order_event_arrow!(OrderEmulated, "OrderEmulated", ORDER_EMULATED_FIELDS);
315impl_order_event_arrow!(OrderSubmitted, "OrderSubmitted", ORDER_SUBMITTED_FIELDS);
316impl_order_event_arrow!(OrderAccepted, "OrderAccepted", ORDER_ACCEPTED_FIELDS);
317impl_order_event_arrow!(OrderRejected, "OrderRejected", ORDER_REJECTED_FIELDS);
318impl_order_event_arrow!(
319    OrderPendingCancel,
320    "OrderPendingCancel",
321    ORDER_PENDING_CANCEL_FIELDS
322);
323impl_order_event_arrow!(OrderCanceled, "OrderCanceled", ORDER_CANCELED_FIELDS);
324impl_order_event_arrow!(
325    OrderCancelRejected,
326    "OrderCancelRejected",
327    ORDER_CANCEL_REJECTED_FIELDS
328);
329impl_order_event_arrow!(OrderExpired, "OrderExpired", ORDER_EXPIRED_FIELDS);
330impl_order_event_arrow!(OrderTriggered, "OrderTriggered", ORDER_TRIGGERED_FIELDS);
331impl_order_event_arrow!(
332    OrderPendingUpdate,
333    "OrderPendingUpdate",
334    ORDER_PENDING_UPDATE_FIELDS
335);
336impl_order_event_arrow!(OrderReleased, "OrderReleased", ORDER_RELEASED_FIELDS);
337impl_order_event_arrow!(
338    OrderModifyRejected,
339    "OrderModifyRejected",
340    ORDER_MODIFY_REJECTED_FIELDS
341);
342impl_order_event_arrow!(OrderUpdated, "OrderUpdated", ORDER_UPDATED_FIELDS);
343impl_order_event_arrow!(OrderFilled, "OrderFilled", ORDER_FILLED_FIELDS);
344
345#[cfg(test)]
346mod tests {
347    use std::str::FromStr;
348
349    use nautilus_model::events::order::stubs::{
350        order_accepted, order_cancel_rejected, order_denied_max_submitted_rate, order_emulated,
351        order_expired, order_filled, order_initialized_buy_limit, order_modify_rejected,
352        order_pending_cancel, order_pending_update, order_rejected_insufficient_margin,
353        order_released, order_submitted, order_triggered, order_updated,
354    };
355    use rstest::rstest;
356    use rust_decimal::Decimal;
357
358    use super::*;
359
360    #[rstest]
361    fn test_order_initialized_round_trip(order_initialized_buy_limit: OrderInitialized) {
362        let event = OrderInitialized {
363            limit_offset: Some(Decimal::from_str("0.123456789123456789").unwrap()),
364            trailing_offset: Some(Decimal::from_str("0.987654321987654321").unwrap()),
365            ..order_initialized_buy_limit
366        };
367        let metadata = event.metadata();
368        let batch =
369            OrderInitialized::encode_batch(&metadata, std::slice::from_ref(&event)).unwrap();
370        let decoded =
371            OrderInitialized::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
372
373        assert_eq!(decoded, vec![event]);
374    }
375
376    #[rstest]
377    fn test_order_filled_round_trip(order_filled: OrderFilled) {
378        let event = order_filled;
379        let metadata = event.metadata();
380        let batch = OrderFilled::encode_batch(&metadata, &[event]).unwrap();
381        let decoded = OrderFilled::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
382
383        assert_eq!(decoded, vec![event]);
384    }
385
386    fn roundtrip<T>(event: T)
387    where
388        T: ArrowSchemaProvider
389            + EncodeToRecordBatch
390            + DecodeTypedFromRecordBatch
391            + Clone
392            + PartialEq
393            + std::fmt::Debug,
394    {
395        let metadata = event.metadata();
396        let batch = T::encode_batch(&metadata, std::slice::from_ref(&event)).unwrap();
397        let decoded = T::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
398        assert_eq!(decoded, vec![event]);
399    }
400
401    #[rstest]
402    fn test_order_denied_round_trip(order_denied_max_submitted_rate: OrderDenied) {
403        roundtrip(order_denied_max_submitted_rate);
404    }
405
406    #[rstest]
407    fn test_order_submitted_round_trip(order_submitted: OrderSubmitted) {
408        roundtrip(order_submitted);
409    }
410
411    #[rstest]
412    fn test_order_accepted_round_trip(order_accepted: OrderAccepted) {
413        roundtrip(order_accepted);
414    }
415
416    #[rstest]
417    fn test_order_rejected_round_trip(order_rejected_insufficient_margin: OrderRejected) {
418        roundtrip(order_rejected_insufficient_margin);
419    }
420
421    #[rstest]
422    fn test_order_canceled_round_trip() {
423        use nautilus_model::events::OrderCanceled;
424        roundtrip(OrderCanceled::default());
425    }
426
427    #[rstest]
428    fn test_order_updated_round_trip(order_updated: OrderUpdated) {
429        roundtrip(order_updated);
430    }
431
432    #[rstest]
433    fn test_order_triggered_round_trip(order_triggered: OrderTriggered) {
434        roundtrip(order_triggered);
435    }
436
437    #[rstest]
438    fn test_order_expired_round_trip(order_expired: OrderExpired) {
439        roundtrip(order_expired);
440    }
441
442    #[rstest]
443    fn test_order_pending_update_round_trip(order_pending_update: OrderPendingUpdate) {
444        roundtrip(order_pending_update);
445    }
446
447    #[rstest]
448    fn test_order_pending_cancel_round_trip(order_pending_cancel: OrderPendingCancel) {
449        roundtrip(order_pending_cancel);
450    }
451
452    #[rstest]
453    fn test_order_cancel_rejected_round_trip(order_cancel_rejected: OrderCancelRejected) {
454        roundtrip(order_cancel_rejected);
455    }
456
457    #[rstest]
458    fn test_order_modify_rejected_round_trip(order_modify_rejected: OrderModifyRejected) {
459        roundtrip(order_modify_rejected);
460    }
461
462    #[rstest]
463    fn test_order_emulated_round_trip(order_emulated: OrderEmulated) {
464        roundtrip(order_emulated);
465    }
466
467    #[rstest]
468    fn test_order_released_round_trip(order_released: OrderReleased) {
469        roundtrip(order_released);
470    }
471}
nautilus_serialization/arrow/order_event.rs

nautilus_serialization/arrow/
order_event.rs
