diff --git a/nautilus_core/model/src/events/order/expired.rs b/nautilus_core/model/src/events/order/expired.rs index 40b452b613f7..339bde3c8400 100644 --- a/nautilus_core/model/src/events/order/expired.rs +++ b/nautilus_core/model/src/events/order/expired.rs @@ -13,8 +13,12 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- +use std::fmt::Display; + +use anyhow::Result; use derive_builder::{self, Builder}; use nautilus_core::{time::UnixNanos, uuid::UUID4}; +use pyo3::prelude::*; use serde::{Deserialize, Serialize}; use crate::identifiers::{ @@ -26,15 +30,86 @@ use crate::identifiers::{ #[derive(Clone, PartialEq, Eq, Debug, Default, Serialize, Deserialize, Builder)] #[builder(default)] #[serde(tag = "type")] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct OrderExpired { pub trader_id: TraderId, pub strategy_id: StrategyId, pub instrument_id: InstrumentId, pub client_order_id: ClientOrderId, - pub venue_order_id: Option, - pub account_id: Option, pub event_id: UUID4, pub ts_event: UnixNanos, pub ts_init: UnixNanos, - pub reconciliation: bool, + pub reconciliation: u8, + pub venue_order_id: Option, + pub account_id: Option, +} + +impl OrderExpired { + #[allow(clippy::too_many_arguments)] + pub fn new( + trader_id: TraderId, + strategy_id: StrategyId, + instrument_id: InstrumentId, + client_order_id: ClientOrderId, + event_id: UUID4, + ts_event: UnixNanos, + ts_init: UnixNanos, + reconciliation: bool, + venue_order_id: Option, + account_id: Option, + ) -> Result { + Ok(Self { + trader_id, + strategy_id, + instrument_id, + client_order_id, + event_id, + ts_event, + ts_init, + reconciliation: reconciliation as u8, + venue_order_id, + account_id, + }) + } +} + +impl Display for OrderExpired { + fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result { + write!( + f, + "OrderExpired(instrument_id={}, client_order_id={}, venue_order_id={}, account_id={}, ts_event={})", + self.instrument_id, + self.client_order_id, + self.venue_order_id + .map(|venue_order_id| format!("{}", venue_order_id)) + .unwrap_or_else(|| "None".to_string()), + self.account_id + .map(|account_id| format!("{}", account_id)) + .unwrap_or_else(|| "None".to_string()), + self.ts_event + ) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + + use rstest::rstest; + + use crate::events::order::{expired::OrderExpired, stubs::*}; + + #[rstest] + fn test_order_cancel_rejected(order_expired: OrderExpired) { + let display = format!("{}", order_expired); + assert_eq!( + display, + "OrderExpired(instrument_id=BTCUSDT.COINBASE, client_order_id=O-20200814-102234-001-001-1, venue_order_id=001, account_id=SIM-001, ts_event=0)" + ); + } } diff --git a/nautilus_core/model/src/events/order/stubs.rs b/nautilus_core/model/src/events/order/stubs.rs index 8a79cd094125..785c10643157 100644 --- a/nautilus_core/model/src/events/order/stubs.rs +++ b/nautilus_core/model/src/events/order/stubs.rs @@ -23,10 +23,11 @@ use crate::{ enums::{ContingencyType, LiquiditySide, OrderSide, OrderType, TimeInForce, TriggerType}, events::order::{ accepted::OrderAccepted, cancel_rejected::OrderCancelRejected, denied::OrderDenied, - emulated::OrderEmulated, filled::OrderFilled, initialized::OrderInitialized, - modify_rejected::OrderModifyRejected, pending_cancel::OrderPendingCancel, - pending_update::OrderPendingUpdate, rejected::OrderRejected, released::OrderReleased, - submitted::OrderSubmitted, triggered::OrderTriggered, updated::OrderUpdated, + emulated::OrderEmulated, expired::OrderExpired, filled::OrderFilled, + initialized::OrderInitialized, modify_rejected::OrderModifyRejected, + pending_cancel::OrderPendingCancel, pending_update::OrderPendingUpdate, + rejected::OrderRejected, released::OrderReleased, submitted::OrderSubmitted, + triggered::OrderTriggered, updated::OrderUpdated, }, identifiers::{ account_id::AccountId, client_order_id::ClientOrderId, instrument_id::InstrumentId, @@ -403,3 +404,28 @@ pub fn order_cancel_rejected( ) .unwrap() } + +#[fixture] +pub fn order_expired( + trader_id: TraderId, + strategy_id_ema_cross: StrategyId, + instrument_id_btc_usdt: InstrumentId, + client_order_id: ClientOrderId, + venue_order_id: VenueOrderId, + account_id: AccountId, + uuid4: UUID4, +) -> OrderExpired { + OrderExpired::new( + trader_id, + strategy_id_ema_cross, + instrument_id_btc_usdt, + client_order_id, + uuid4, + 0, + 0, + false, + Some(venue_order_id), + Some(account_id), + ) + .unwrap() +} diff --git a/nautilus_core/model/src/python/events/order/expired.rs b/nautilus_core/model/src/python/events/order/expired.rs new file mode 100644 index 000000000000..1adfc8487443 --- /dev/null +++ b/nautilus_core/model/src/python/events/order/expired.rs @@ -0,0 +1,134 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use nautilus_core::{ + python::{serialization::from_dict_pyo3, to_pyvalue_err}, + time::UnixNanos, + uuid::UUID4, +}; +use pyo3::{basic::CompareOp, prelude::*, types::PyDict}; +use rust_decimal::prelude::ToPrimitive; + +use crate::{ + events::order::expired::OrderExpired, + identifiers::{ + account_id::AccountId, client_order_id::ClientOrderId, instrument_id::InstrumentId, + strategy_id::StrategyId, trader_id::TraderId, venue_order_id::VenueOrderId, + }, +}; + +#[pymethods] +impl OrderExpired { + #[allow(clippy::too_many_arguments)] + #[new] + fn py_new( + trader_id: TraderId, + strategy_id: StrategyId, + instrument_id: InstrumentId, + client_order_id: ClientOrderId, + event_id: UUID4, + ts_event: UnixNanos, + ts_init: UnixNanos, + reconciliation: bool, + venue_order_id: Option, + account_id: Option, + ) -> PyResult { + Self::new( + trader_id, + strategy_id, + instrument_id, + client_order_id, + event_id, + ts_event, + ts_init, + reconciliation, + venue_order_id, + account_id, + ) + .map_err(to_pyvalue_err) + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __repr__(&self) -> String { + format!( + "{}(trader_id={}, strategy_id={}, instrument_id={}, client_order_id={}, venue_order_id={}, account_id={}, event_id={}, ts_event={}, ts_init={})", + stringify!(OrderExpired), + self.trader_id, + self.strategy_id, + self.instrument_id, + self.client_order_id, + self.venue_order_id + .map(|venue_order_id| format!("{}", venue_order_id)) + .unwrap_or_else(|| "None".to_string()), + self.account_id + .map(|account_id| format!("{}", account_id)) + .unwrap_or_else(|| "None".to_string()), + self.event_id, + self.ts_event, + self.ts_init + ) + } + + fn __str__(&self) -> String { + format!( + "{}(instrument_id={}, client_order_id={}, venue_order_id={}, account_id={}, ts_event={})", + stringify!(OrderExpired), + self.instrument_id, + self.client_order_id, + self.venue_order_id + .map(|venue_order_id| format!("{}", venue_order_id)) + .unwrap_or_else(|| "None".to_string()), + self.account_id + .map(|account_id| format!("{}", account_id)) + .unwrap_or_else(|| "None".to_string()), + self.ts_event, + ) + } + + #[staticmethod] + #[pyo3(name = "from_dict")] + fn py_from_dict(py: Python<'_>, values: Py) -> PyResult { + from_dict_pyo3(py, values) + } + + #[pyo3(name = "to_dict")] + fn py_to_dict(&self, py: Python<'_>) -> PyResult { + let dict = PyDict::new(py); + dict.set_item("trader_id", self.trader_id.to_string())?; + dict.set_item("strategy_id", self.strategy_id.to_string())?; + dict.set_item("instrument_id", self.instrument_id.to_string())?; + dict.set_item("client_order_id", self.client_order_id.to_string())?; + dict.set_item("event_id", self.event_id.to_string())?; + dict.set_item("ts_event", self.ts_event.to_u64())?; + dict.set_item("ts_init", self.ts_init.to_u64())?; + dict.set_item("reconciliation", self.reconciliation)?; + match self.venue_order_id { + Some(venue_order_id) => dict.set_item("venue_order_id", venue_order_id.to_string())?, + None => dict.set_item("venue_order_id", py.None())?, + } + match self.account_id { + Some(account_id) => dict.set_item("account_id", account_id.to_string())?, + None => dict.set_item("account_id", py.None())?, + } + Ok(dict.into()) + } +} diff --git a/nautilus_core/model/src/python/events/order/mod.rs b/nautilus_core/model/src/python/events/order/mod.rs index 1795207d6114..28d115212e75 100644 --- a/nautilus_core/model/src/python/events/order/mod.rs +++ b/nautilus_core/model/src/python/events/order/mod.rs @@ -18,6 +18,7 @@ pub mod cancel_rejected; pub mod canceled; pub mod denied; pub mod emulated; +pub mod expired; pub mod filled; pub mod initialized; pub mod modify_rejected; diff --git a/nautilus_core/model/src/python/mod.rs b/nautilus_core/model/src/python/mod.rs index c29675acee1a..71e595bbe241 100644 --- a/nautilus_core/model/src/python/mod.rs +++ b/nautilus_core/model/src/python/mod.rs @@ -308,5 +308,6 @@ pub fn model(_: Python<'_>, m: &PyModule) -> PyResult<()> { m.add_class::()?; m.add_class::()?; m.add_class::()?; + m.add_class::()?; Ok(()) } diff --git a/nautilus_trader/core/nautilus_pyo3.pyi b/nautilus_trader/core/nautilus_pyo3.pyi index 9b9ba6d71510..194f31483f45 100644 --- a/nautilus_trader/core/nautilus_pyo3.pyi +++ b/nautilus_trader/core/nautilus_pyo3.pyi @@ -1067,6 +1067,24 @@ class OrderCanceled: def from_dict(cls, values: dict[str, str]) -> OrderCanceled: ... def to_dict(self) -> dict[str, str]: ... +class OrderExpired: + def __init__( + self, + trader_id: TraderId, + strategy_id: StrategyId, + instrument_id: InstrumentId, + client_order_id: ClientOrderId, + event_id: UUID4, + ts_event: int, + ts_init: int, + reconciliation: bool, + venue_order_id: VenueOrderId | None = None, + account_id: AccountId | None = None, + ) -> None: ... + @classmethod + def from_dict(cls, values: dict[str, str]) -> OrderExpired: ... + def to_dict(self) -> dict[str, str]: ... + ################################################################################################### # Infrastructure ################################################################################################### diff --git a/nautilus_trader/test_kit/rust/events_pyo3.py b/nautilus_trader/test_kit/rust/events_pyo3.py index 830c96f6863f..16eda365542d 100644 --- a/nautilus_trader/test_kit/rust/events_pyo3.py +++ b/nautilus_trader/test_kit/rust/events_pyo3.py @@ -24,6 +24,7 @@ from nautilus_trader.core.nautilus_pyo3 import OrderCancelRejected from nautilus_trader.core.nautilus_pyo3 import OrderDenied from nautilus_trader.core.nautilus_pyo3 import OrderEmulated +from nautilus_trader.core.nautilus_pyo3 import OrderExpired from nautilus_trader.core.nautilus_pyo3 import OrderFilled from nautilus_trader.core.nautilus_pyo3 import OrderInitialized from nautilus_trader.core.nautilus_pyo3 import OrderListId @@ -295,3 +296,18 @@ def order_canceled() -> OrderCanceled: ts_event=0, reconciliation=False, ) + + @staticmethod + def order_expired() -> OrderExpired: + return OrderExpired( + trader_id=TestIdProviderPyo3.trader_id(), + strategy_id=TestIdProviderPyo3.strategy_id(), + instrument_id=TestIdProviderPyo3.ethusdt_binance_id(), + client_order_id=TestIdProviderPyo3.client_order_id(), + account_id=TestIdProviderPyo3.account_id(), + venue_order_id=TestIdProviderPyo3.venue_order_id(), + event_id=UUID4(uuid), + ts_init=0, + ts_event=0, + reconciliation=False, + ) diff --git a/tests/unit_tests/model/test_events_pyo3.py b/tests/unit_tests/model/test_events_pyo3.py index 6ea0221bf220..e526114145e7 100644 --- a/tests/unit_tests/model/test_events_pyo3.py +++ b/tests/unit_tests/model/test_events_pyo3.py @@ -19,6 +19,7 @@ from nautilus_trader.core.nautilus_pyo3 import OrderCancelRejected from nautilus_trader.core.nautilus_pyo3 import OrderDenied from nautilus_trader.core.nautilus_pyo3 import OrderEmulated +from nautilus_trader.core.nautilus_pyo3 import OrderExpired from nautilus_trader.core.nautilus_pyo3 import OrderFilled from nautilus_trader.core.nautilus_pyo3 import OrderInitialized from nautilus_trader.core.nautilus_pyo3 import OrderModifyRejected @@ -304,3 +305,20 @@ def test_order_canceled(): + "client_order_id=O-20210410-022422-001-001-1, venue_order_id=123456, account_id=SIM-000, " + "event_id=91762096-b188-49ea-8562-8d8a4cc22ff2, ts_event=0, ts_init=0)" ) + + +def test_order_expired(): + event = TestEventsProviderPyo3.order_expired() + result_dict = OrderExpired.to_dict(event) + order_expired = OrderExpired.from_dict(result_dict) + assert order_expired == event + assert ( + str(event) + == "OrderExpired(instrument_id=ETHUSDT.BINANCE, client_order_id=O-20210410-022422-001-001-1, " + + "venue_order_id=123456, account_id=SIM-000, ts_event=0)" + ) + assert ( + repr(event) + == "OrderExpired(trader_id=TESTER-001, strategy_id=S-001, instrument_id=ETHUSDT.BINANCE, client_order_id=O-20210410-022422-001-001-1, " + + "venue_order_id=123456, account_id=SIM-000, event_id=91762096-b188-49ea-8562-8d8a4cc22ff2, ts_event=0, ts_init=0)" + )