Standardize order dict expire_time_ns

nautechsystems · Apr 15, 2024 · 07cba7c · 07cba7c
1 parent 3ae93a2
commit 07cba7c
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Showing 12 changed files with 28 additions and 22 deletions.
diff --git a/nautilus_core/model/src/orders/market.rs b/nautilus_core/model/src/orders/market.rs
@@ -77,7 +77,7 @@ impl MarketOrder {
     ) -> anyhow::Result<Self> {
         check_quantity_positive(quantity)?;
         if time_in_force == TimeInForce::Gtd {
-            anyhow::bail!("{}", "GTD not supported for Market orders");
+            anyhow::bail!("GTD not supported for Market orders");
         }
         let init_order = OrderInitialized::new(
             trader_id,

diff --git a/nautilus_core/model/src/python/orders/limit.rs b/nautilus_core/model/src/python/orders/limit.rs
@@ -555,7 +555,10 @@ impl LimitOrder {
         dict.set_item("price", self.price.to_string())?;
         dict.set_item("status", self.status.to_string())?;
         dict.set_item("time_in_force", self.time_in_force.to_string())?;
-        dict.set_item("expire_time_ns", self.expire_time.map(|e| e.as_u64()))?;
+        dict.set_item(
+            "expire_time_ns",
+            self.expire_time.filter(|&t| t != 0).map(|t| t.as_u64()),
+        )?;
         dict.set_item("is_post_only", self.is_post_only)?;
         dict.set_item("is_reduce_only", self.is_reduce_only)?;
         dict.set_item("is_quote_quantity", self.is_quote_quantity)?;

diff --git a/nautilus_core/model/src/python/orders/stop_limit.rs b/nautilus_core/model/src/python/orders/stop_limit.rs
@@ -359,7 +359,10 @@ impl StopLimitOrder {
         dict.set_item("is_reduce_only", self.is_reduce_only)?;
         dict.set_item("is_quote_quantity", self.is_quote_quantity)?;
         dict.set_item("init_id", self.init_id.to_string())?;
-        dict.set_item("expire_time_ns", self.expire_time.map(|e| e.as_u64()))?;
+        dict.set_item(
+            "expire_time_ns",
+            self.expire_time.filter(|&t| t != 0).map(|t| t.as_u64()),
+        )?;
         dict.set_item("ts_init", self.ts_init.as_u64())?;
         dict.set_item("ts_last", self.ts_last.as_u64())?;
         let commissions_dict = PyDict::new(py);

diff --git a/nautilus_trader/model/orders/limit.pyx b/nautilus_trader/model/orders/limit.pyx
@@ -165,7 +165,7 @@ cdef class LimitOrder(Order):
             Condition.true(expire_time_ns == 0, "`expire_time_ns` was set when `time_in_force` not GTD.")
         Condition.true(
             display_qty is None or 0 <= display_qty <= quantity,
-            fail_msg="display_qty was negative or greater than order quantity",
+            fail_msg="`display_qty` was negative or greater than `quantity`",
         )
 
         # Set options
@@ -319,7 +319,7 @@ cdef class LimitOrder(Order):
             "quantity": str(self.quantity),
             "price": str(self.price),
             "time_in_force": time_in_force_to_str(self.time_in_force),
-            "expire_time_ns": self.expire_time_ns,
+            "expire_time_ns": self.expire_time_ns if self.expire_time_ns > 0 else None,
             "filled_qty": str(self.filled_qty),
             "liquidity_side": liquidity_side_to_str(self.liquidity_side),
             "avg_px": str(self.avg_px) if self.filled_qty.as_f64_c() > 0.0 else None,

diff --git a/nautilus_trader/model/orders/limit_if_touched.pyx b/nautilus_trader/model/orders/limit_if_touched.pyx
@@ -179,7 +179,7 @@ cdef class LimitIfTouchedOrder(Order):
             Condition.true(expire_time_ns == 0, "`expire_time_ns` was set when `time_in_force` not GTD.")
         Condition.true(
             display_qty is None or 0 <= display_qty <= quantity,
-            fail_msg="display_qty was negative or greater than order quantity",
+            fail_msg="`display_qty` was negative or greater than `quantity`",
         )
 
         # Set options
@@ -312,7 +312,7 @@ cdef class LimitIfTouchedOrder(Order):
             "price": str(self.price),
             "trigger_price": str(self.trigger_price),
             "trigger_type": trigger_type_to_str(self.trigger_type),
-            "expire_time_ns": self.expire_time_ns,
+            "expire_time_ns": self.expire_time_ns if self.expire_time_ns > 0 else None,
             "time_in_force": time_in_force_to_str(self.time_in_force),
             "filled_qty": str(self.filled_qty),
             "liquidity_side": liquidity_side_to_str(self.liquidity_side),

diff --git a/nautilus_trader/model/orders/market_if_touched.pyx b/nautilus_trader/model/orders/market_if_touched.pyx
@@ -280,7 +280,7 @@ cdef class MarketIfTouchedOrder(Order):
             "quantity": str(self.quantity),
             "trigger_price": str(self.trigger_price),
             "trigger_type": trigger_type_to_str(self.trigger_type),
-            "expire_time_ns": self.expire_time_ns,
+            "expire_time_ns": self.expire_time_ns if self.expire_time_ns > 0 else None,
             "time_in_force": time_in_force_to_str(self.time_in_force),
             "filled_qty": str(self.filled_qty),
             "liquidity_side": liquidity_side_to_str(self.liquidity_side),

diff --git a/nautilus_trader/model/orders/market_to_limit.pyx b/nautilus_trader/model/orders/market_to_limit.pyx
@@ -259,7 +259,7 @@ cdef class MarketToLimitOrder(Order):
             "quantity": str(self.quantity),
             "price": str(self.price),
             "time_in_force": time_in_force_to_str(self.time_in_force),
-            "expire_time_ns": self.expire_time_ns,
+            "expire_time_ns": self.expire_time_ns if self.expire_time_ns > 0 else None,
             "is_reduce_only": self.is_reduce_only,
             "is_quote_quantity": self.is_quote_quantity,
             "display_qty": str(self.display_qty) if self.display_qty is not None else None,

diff --git a/nautilus_trader/model/orders/stop_limit.pyx b/nautilus_trader/model/orders/stop_limit.pyx
@@ -184,7 +184,7 @@ cdef class StopLimitOrder(Order):
             Condition.true(expire_time_ns == 0, "`expire_time_ns` was set when `time_in_force` not GTD.")
         Condition.true(
             display_qty is None or 0 <= display_qty <= quantity,
-            fail_msg="display_qty was negative or greater than order quantity",
+            fail_msg="`display_qty` was negative or greater than `quantity`",
         )
 
         # Set options

diff --git a/nautilus_trader/model/orders/stop_market.pyx b/nautilus_trader/model/orders/stop_market.pyx
@@ -285,7 +285,7 @@ cdef class StopMarketOrder(Order):
             "quantity": str(self.quantity),
             "trigger_price": str(self.trigger_price),
             "trigger_type": trigger_type_to_str(self.trigger_type),
-            "expire_time_ns": self.expire_time_ns,
+            "expire_time_ns": self.expire_time_ns if self.expire_time_ns > 0 else None,
             "time_in_force": time_in_force_to_str(self.time_in_force),
             "filled_qty": str(self.filled_qty),
             "liquidity_side": liquidity_side_to_str(self.liquidity_side),

diff --git a/nautilus_trader/model/orders/trailing_stop_limit.pyx b/nautilus_trader/model/orders/trailing_stop_limit.pyx
@@ -184,7 +184,7 @@ cdef class TrailingStopLimitOrder(Order):
             Condition.true(expire_time_ns == 0, "`expire_time_ns` was set when `time_in_force` not GTD.")
         Condition.true(
             display_qty is None or 0 <= display_qty <= quantity,
-            fail_msg="`display_qty` was negative or greater than order quantity",
+            fail_msg="`display_qty` was negative or greater than `quantity`",
         )
 
         # Set options
@@ -329,7 +329,7 @@ cdef class TrailingStopLimitOrder(Order):
             "limit_offset": str(self.limit_offset),
             "trailing_offset": str(self.trailing_offset),
             "trailing_offset_type": trailing_offset_type_to_str(self.trailing_offset_type),
-            "expire_time_ns": self.expire_time_ns,
+            "expire_time_ns": self.expire_time_ns if self.expire_time_ns > 0 else None,
             "time_in_force": time_in_force_to_str(self.time_in_force),
             "filled_qty": str(self.filled_qty),
             "liquidity_side": liquidity_side_to_str(self.liquidity_side),

diff --git a/nautilus_trader/model/orders/trailing_stop_market.pyx b/nautilus_trader/model/orders/trailing_stop_market.pyx
@@ -294,7 +294,7 @@ cdef class TrailingStopMarketOrder(Order):
             "trigger_type": trigger_type_to_str(self.trigger_type),
             "trailing_offset": str(self.trailing_offset),
             "trailing_offset_type": trailing_offset_type_to_str(self.trailing_offset_type),
-            "expire_time_ns": self.expire_time_ns,
+            "expire_time_ns": self.expire_time_ns if self.expire_time_ns > 0 else None,
             "time_in_force": time_in_force_to_str(self.time_in_force),
             "filled_qty": str(self.filled_qty),
             "liquidity_side": liquidity_side_to_str(self.liquidity_side),

diff --git a/tests/unit_tests/model/test_orders.py b/tests/unit_tests/model/test_orders.py
@@ -488,7 +488,7 @@ def test_limit_order_to_dict(self):
             "side": "BUY",
             "quantity": "100000",
             "price": "1.00000",
-            "expire_time_ns": 0,
+            "expire_time_ns": None,
             "time_in_force": "GTC",
             "filled_qty": "0",
             "liquidity_side": "NO_LIQUIDITY_SIDE",
@@ -603,7 +603,7 @@ def test_stop_market_order_to_dict(self):
             "quantity": "100000",
             "trigger_price": "1.00000",
             "trigger_type": "DEFAULT",
-            "expire_time_ns": 0,
+            "expire_time_ns": None,
             "time_in_force": "GTC",
             "filled_qty": "0",
             "liquidity_side": "NO_LIQUIDITY_SIDE",
@@ -860,7 +860,7 @@ def test_market_if_touched_order_to_dict(self):
             "quantity": "100000",
             "trigger_price": "1.00000",
             "trigger_type": "DEFAULT",
-            "expire_time_ns": 0,
+            "expire_time_ns": None,
             "time_in_force": "GTC",
             "filled_qty": "0",
             "liquidity_side": "NO_LIQUIDITY_SIDE",
@@ -951,7 +951,7 @@ def test_limit_if_touched_order_to_dict(self):
             "price": "1.00000",
             "trigger_price": "1.10010",
             "trigger_type": "MARK_PRICE",
-            "expire_time_ns": 0,
+            "expire_time_ns": None,
             "time_in_force": "GTC",
             "filled_qty": "0",
             "liquidity_side": "NO_LIQUIDITY_SIDE",
@@ -1070,7 +1070,7 @@ def test_trailing_stop_market_order_to_dict(self):
             "trigger_type": "DEFAULT",
             "trailing_offset": "0.00050",
             "trailing_offset_type": "PRICE",
-            "expire_time_ns": 0,
+            "expire_time_ns": None,
             "time_in_force": "GTC",
             "filled_qty": "0",
             "liquidity_side": "NO_LIQUIDITY_SIDE",
@@ -1123,7 +1123,7 @@ def test_trailing_stop_market_order_with_no_initial_trigger_to_dict(self):
             "trigger_type": "DEFAULT",
             "trailing_offset": "0.00050",
             "trailing_offset_type": "PRICE",
-            "expire_time_ns": 0,
+            "expire_time_ns": None,
             "time_in_force": "GTC",
             "filled_qty": "0",
             "liquidity_side": "NO_LIQUIDITY_SIDE",
@@ -1242,7 +1242,7 @@ def test_trailing_stop_limit_order_to_dict(self):
             "limit_offset": "5",
             "trailing_offset": "10",
             "trailing_offset_type": "BASIS_POINTS",
-            "expire_time_ns": 0,
+            "expire_time_ns": None,
             "time_in_force": "GTC",
             "filled_qty": "0",
             "liquidity_side": "NO_LIQUIDITY_SIDE",
@@ -1299,7 +1299,7 @@ def test_trailing_stop_limit_order_with_no_initial_prices_to_dict(self):
             "limit_offset": "5",
             "trailing_offset": "10",
             "trailing_offset_type": "BASIS_POINTS",
-            "expire_time_ns": 0,
+            "expire_time_ns": None,
             "time_in_force": "GTC",
             "filled_qty": "0",
             "liquidity_side": "NO_LIQUIDITY_SIDE",