Fix TWAP execution algo scheduled size handling

RELEASES.md

@@ -10,7 +10,6 @@ Released on TBD (UTC).
 - Implemented global atomic clock in Rust (improves performance and ensures properly monotonic timestamps in real-time)
 - Improved Interactive Brokers adapter raising docker `RuntimeError` only when needed (not when using TWS), thanks @rsmb7z
 - Upgraded core HTTP client to `hyper` 1.1.0, thanks @ayush-sb
-- Optimized core MPSC channels with sync senders
 - Optimized Arrow encoding (resulting in ~100x faster writes for the Parquet data catalog)
 
 ### Breaking Changes
@@ -41,6 +40,7 @@ Released on TBD (UTC).
 - Fixed handling of configuration objects to work with `StreamingFeatherWriter`
 - Fixed `BinanceSpotInstrumentProvider` fee loading key error for partial instruments load, thanks for reporting @doublier1
 - Fixed Binance API key configuration parsing for testnet (was falling through to non-testnet env vars)
+- Fixed TWAP execution algorithm scheduled size handling when first order should be for the entire size, thanks for reporting @pcgm-team
 - Added `BinanceErrorCode.SERVER_BUSY` (-1008). Also added to the retry error codes.
 - Added `BinanceOrderStatus.EXPIRED_IN_MATCH` which is when an order was canceled by the exchange due self-trade prevention (STP), thanks for reporting @doublier1
 

nautilus_trader/examples/algorithms/twap.py

@@ -128,7 +128,7 @@ def on_load(self, state: dict[str, bytes]) -> None:
     def round_decimal_down(self, amount: Decimal, precision: int) -> Decimal:
         return amount.quantize(Decimal(f"1e-{precision}"), rounding=ROUND_DOWN)
 
-    def on_order(self, order: Order) -> None:  # noqa (too complex)
+    def on_order(self, order: Order) -> None:
         """
         Actions to be performed when running and receives an order.
 
@@ -204,34 +204,23 @@ def on_order(self, order: Order) -> None:  # noqa (too complex)
         qty_per_interval = instrument.make_qty(qty_quotient)
         qty_remainder = order.quantity.as_decimal() - (floored_quotient * num_intervals)
 
-        if qty_per_interval < instrument.size_increment:
-            self.log.error(
-                f"Cannot execute order: "
-                f"{qty_per_interval=} less than {instrument.id} {instrument.size_increment}.",
-            )
-            return
-
-        if instrument.min_quantity and qty_per_interval < instrument.min_quantity:
-            self.log.error(
-                f"Cannot execute order: "
-                f"{qty_per_interval=} less than {instrument.id} {instrument.min_quantity=}.",
-            )
-            return
+        if (
+            qty_per_interval == order.quantity
+            or qty_per_interval < instrument.size_increment
+            or (instrument.min_quantity and qty_per_interval < instrument.min_quantity)
+        ):
+            # Immediately submit first order for entire size
+            self.log.warning(f"Submitting for entire size {qty_per_interval=}, {order.quantity=}.")
+            self.submit_order(order)
+            return  # Done
 
         scheduled_sizes: list[Quantity] = [qty_per_interval] * num_intervals
-
         if qty_remainder:
             scheduled_sizes.append(instrument.make_qty(qty_remainder))
 
         assert sum(scheduled_sizes) == order.quantity
         self.log.info(f"Order execution size schedule: {scheduled_sizes}.", LogColor.BLUE)
 
-        # Immediately submit first order
-        if qty_per_interval == order.quantity:
-            self.log.warning(f"Submitting for entire size {qty_per_interval=}, {order.quantity=}.")
-            self.submit_order(order)
-            return  # Done
-
         self._scheduled_sizes[order.client_order_id] = scheduled_sizes
         first_qty: Quantity = scheduled_sizes.pop(0)
 

tests/unit_tests/execution/test_algorithm.py

@@ -66,6 +66,7 @@
 
 
 ETHUSDT_PERP_BINANCE = TestInstrumentProvider.ethusdt_perp_binance()
+FAUX_AAPL_BINANCE = TestInstrumentProvider.equity("AAPL", "BINANCE")
 
 
 class TestExecAlgorithm:
@@ -82,6 +83,16 @@ def setup(self) -> None:
         self.strategy_id = TestIdStubs.strategy_id()
         self.account_id = TestIdStubs.account_id()
 
+        # Uncomment for logging
+        # init_logging(
+        #     self.trader_id,
+        #     UUID4(),
+        #     LoggingConfig().spec_string(),
+        #     None,
+        #     None,
+        #     None,
+        # )
+
         self.msgbus = MessageBus(
             trader_id=self.trader_id,
             clock=self.clock,
@@ -97,6 +108,7 @@ def setup(self) -> None:
             logger=self.logger,
         )
         self.cache.add_instrument(ETHUSDT_PERP_BINANCE)
+        self.cache.add_instrument(FAUX_AAPL_BINANCE)
 
         self.portfolio = Portfolio(
             msgbus=self.msgbus,
@@ -568,6 +580,41 @@ def test_exec_algorithm_on_order(self) -> None:
             "O-19700101-0000-000-None-1-E6",
         ]
 
+    def test_exec_algorithm_on_order_with_small_interval_and_size_precision_zero(self) -> None:
+        # Arrange
+        exec_algorithm = TWAPExecAlgorithm()
+        exec_algorithm.register(
+            trader_id=self.trader_id,
+            portfolio=self.portfolio,
+            msgbus=self.msgbus,
+            cache=self.cache,
+            clock=self.clock,
+            logger=self.logger,
+        )
+        exec_algorithm.start()
+
+        order = self.strategy.order_factory.market(
+            instrument_id=FAUX_AAPL_BINANCE.id,
+            order_side=OrderSide.BUY,
+            quantity=Quantity.from_str("2"),
+            exec_algorithm_id=ExecAlgorithmId("TWAP"),
+            exec_algorithm_params={"horizon_secs": 0.5, "interval_secs": 0.1},
+        )
+
+        # Act
+        self.strategy.submit_order(order)
+
+        events: list[TimeEventHandler] = self.clock.advance_time(secs_to_nanos(2.0))
+        for event in events:
+            event.handle()
+
+        # Assert
+        spawned_orders = self.cache.orders_for_exec_spawn(order.client_order_id)
+        assert self.risk_engine.command_count == 1
+        assert self.exec_engine.command_count == 1
+        assert len(spawned_orders) == 1
+        assert [o.client_order_id.value for o in spawned_orders] == ["O-19700101-0000-000-None-1"]
+
     def test_exec_algorithm_on_order_list_emulated_with_entry_exec_algorithm(self) -> None:
         # Arrange
         exec_algorithm = TWAPExecAlgorithm()