From b4037c7b7d5bdc1beb699b2929d869524c9a6322 Mon Sep 17 00:00:00 2001 From: Filip Macek Date: Fri, 1 Dec 2023 01:31:14 +0100 Subject: [PATCH] Implement event OrderTriggered in Rust (#1381) --- .../model/src/events/order/rejected.rs | 12 +- nautilus_core/model/src/events/order/stubs.rs | 27 +++- .../model/src/events/order/triggered.rs | 78 +++++++++- .../model/src/python/events/order/mod.rs | 1 + .../src/python/events/order/triggered.rs | 135 ++++++++++++++++++ nautilus_core/model/src/python/mod.rs | 1 + nautilus_trader/core/nautilus_pyo3.pyi | 18 +++ nautilus_trader/test_kit/rust/events_pyo3.py | 17 +++ tests/unit_tests/model/test_events_pyo3.py | 19 +++ 9 files changed, 294 insertions(+), 14 deletions(-) create mode 100644 nautilus_core/model/src/python/events/order/triggered.rs diff --git a/nautilus_core/model/src/events/order/rejected.rs b/nautilus_core/model/src/events/order/rejected.rs index 593393b21e45..2e0c8c68f9f6 100644 --- a/nautilus_core/model/src/events/order/rejected.rs +++ b/nautilus_core/model/src/events/order/rejected.rs @@ -100,15 +100,7 @@ mod tests { #[rstest] fn test_order_rejected_display(order_rejected_insufficient_margin: OrderRejected) { let display = format!("{}", order_rejected_insufficient_margin); - assert_eq!( - display, - format!( - "OrderRejected(instrument_id={}, client_order_id={}, reason={}, ts_event={})", - order_rejected_insufficient_margin.instrument_id, - order_rejected_insufficient_margin.client_order_id, - order_rejected_insufficient_margin.reason, - order_rejected_insufficient_margin.ts_event - ) - ); + assert_eq!(display, "OrderRejected(instrument_id=BTCUSDT.COINBASE, client_order_id=O-20200814-102234-001-001-1, \ + reason=INSUFFICIENT_MARGIN, ts_event=0)"); } } diff --git a/nautilus_core/model/src/events/order/stubs.rs b/nautilus_core/model/src/events/order/stubs.rs index bc8a85a96171..df1ae66c584b 100644 --- a/nautilus_core/model/src/events/order/stubs.rs +++ b/nautilus_core/model/src/events/order/stubs.rs @@ -23,7 +23,7 @@ use crate::{ enums::{ContingencyType, LiquiditySide, OrderSide, OrderType, TimeInForce, TriggerType}, events::order::{ denied::OrderDenied, filled::OrderFilled, initialized::OrderInitialized, - rejected::OrderRejected, + rejected::OrderRejected, triggered::OrderTriggered, }, identifiers::{ account_id::AccountId, client_order_id::ClientOrderId, instrument_id::InstrumentId, @@ -157,3 +157,28 @@ pub fn order_initialized_buy_limit( ) .unwrap() } + +#[fixture] +pub fn order_triggered( + trader_id: TraderId, + strategy_id_ema_cross: StrategyId, + instrument_id_btc_usdt: InstrumentId, + client_order_id: ClientOrderId, + venue_order_id: VenueOrderId, + account_id: AccountId, +) -> OrderTriggered { + let event_id = UUID4::new(); + OrderTriggered::new( + trader_id, + strategy_id_ema_cross, + instrument_id_btc_usdt, + client_order_id, + event_id, + 0, + 0, + false, + Some(venue_order_id), + Some(account_id), + ) + .unwrap() +} diff --git a/nautilus_core/model/src/events/order/triggered.rs b/nautilus_core/model/src/events/order/triggered.rs index 0d64f999bd55..355fe359877b 100644 --- a/nautilus_core/model/src/events/order/triggered.rs +++ b/nautilus_core/model/src/events/order/triggered.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 +30,83 @@ 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 OrderTriggered { 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 OrderTriggered { + #[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(OrderTriggered { + 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 OrderTriggered { + fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result { + write!( + f, + "{}(instrument_id={}, client_order_id={}, venue_order_id={}, account_id={})", + stringify!(OrderTriggered), + 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()) + ) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use rstest::rstest; + + use crate::events::order::{stubs::*, triggered::OrderTriggered}; + + #[rstest] + fn test_order_triggered_display(order_triggered: OrderTriggered) { + let display = format!("{}", order_triggered); + assert_eq!(display, "OrderTriggered(instrument_id=BTCUSDT.COINBASE, client_order_id=O-20200814-102234-001-001-1, \ + venue_order_id=001, account_id=SIM-001)") + } } diff --git a/nautilus_core/model/src/python/events/order/mod.rs b/nautilus_core/model/src/python/events/order/mod.rs index 5a6ae3b727c6..57f09bb3c551 100644 --- a/nautilus_core/model/src/python/events/order/mod.rs +++ b/nautilus_core/model/src/python/events/order/mod.rs @@ -17,3 +17,4 @@ pub mod denied; pub mod filled; pub mod initialized; pub mod rejected; +pub mod triggered; diff --git a/nautilus_core/model/src/python/events/order/triggered.rs b/nautilus_core/model/src/python/events/order/triggered.rs new file mode 100644 index 000000000000..9bb5fc36562b --- /dev/null +++ b/nautilus_core/model/src/python/events/order/triggered.rs @@ -0,0 +1,135 @@ +// ------------------------------------------------------------------------------------------------- +// 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::triggered::OrderTriggered, + identifiers::{ + account_id::AccountId, client_order_id::ClientOrderId, instrument_id::InstrumentId, + strategy_id::StrategyId, trader_id::TraderId, venue_order_id::VenueOrderId, + }, +}; + +#[pymethods] +impl OrderTriggered { + #[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!(OrderTriggered), + 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!(OrderTriggered), + 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", "None")?, + } + match self.account_id { + Some(account_id) => dict.set_item("account_id", account_id.to_string())?, + None => dict.set_item("account_id", "None")?, + } + Ok(dict.into()) + } +} diff --git a/nautilus_core/model/src/python/mod.rs b/nautilus_core/model/src/python/mod.rs index a7cd2829bd8b..47253f9738cb 100644 --- a/nautilus_core/model/src/python/mod.rs +++ b/nautilus_core/model/src/python/mod.rs @@ -297,5 +297,6 @@ 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 d095b15f864f..f5c66aa2e4b6 100644 --- a/nautilus_trader/core/nautilus_pyo3.pyi +++ b/nautilus_trader/core/nautilus_pyo3.pyi @@ -645,6 +645,24 @@ class OrderDenied: def from_dict(cls, values: dict[str, str]) -> OrderDenied: ... def to_dict(self) -> dict[str, str]: ... +class OrderTriggered: + 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]) -> OrderRejected: ... + def to_dict(self) -> dict[str, str]: ... + class OrderRejected: def __init__( self, diff --git a/nautilus_trader/test_kit/rust/events_pyo3.py b/nautilus_trader/test_kit/rust/events_pyo3.py index 43054572f6a3..7bf68356bd4a 100644 --- a/nautilus_trader/test_kit/rust/events_pyo3.py +++ b/nautilus_trader/test_kit/rust/events_pyo3.py @@ -25,6 +25,7 @@ from nautilus_trader.core.nautilus_pyo3 import OrderListId from nautilus_trader.core.nautilus_pyo3 import OrderRejected from nautilus_trader.core.nautilus_pyo3 import OrderSide +from nautilus_trader.core.nautilus_pyo3 import OrderTriggered from nautilus_trader.core.nautilus_pyo3 import OrderType from nautilus_trader.core.nautilus_pyo3 import PositionId from nautilus_trader.core.nautilus_pyo3 import Price @@ -122,3 +123,19 @@ def order_initialized() -> OrderInitialized: ts_init=0, ts_event=0, ) + + @staticmethod + def order_triggered() -> OrderTriggered: + uuid = "91762096-b188-49ea-8562-8d8a4cc22ff2" + return OrderTriggered( + trader_id=TestIdProviderPyo3.trader_id(), + strategy_id=TestIdProviderPyo3.strategy_id(), + instrument_id=TestIdProviderPyo3.ethusdt_binance_id(), + client_order_id=TestIdProviderPyo3.client_order_id(), + event_id=UUID4(uuid), + ts_init=0, + ts_event=0, + venue_order_id=TestIdProviderPyo3.venue_order_id(), + account_id=TestIdProviderPyo3.account_id(), + reconciliation=False, + ) diff --git a/tests/unit_tests/model/test_events_pyo3.py b/tests/unit_tests/model/test_events_pyo3.py index 62d6888ec0e0..43f175fae881 100644 --- a/tests/unit_tests/model/test_events_pyo3.py +++ b/tests/unit_tests/model/test_events_pyo3.py @@ -18,6 +18,7 @@ from nautilus_trader.core.nautilus_pyo3 import OrderFilled from nautilus_trader.core.nautilus_pyo3 import OrderInitialized from nautilus_trader.core.nautilus_pyo3 import OrderRejected +from nautilus_trader.core.nautilus_pyo3 import OrderTriggered from nautilus_trader.test_kit.rust.events_pyo3 import TestEventsProviderPyo3 @@ -102,3 +103,21 @@ def test_order_rejected(): + "instrument_id=AUD/USD.SIM, client_order_id=O-20210410-022422-001-001-1, account_id=SIM-000, " + "reason=INSUFFICIENT_MARGIN, event_id=91762096-b188-49ea-8562-8d8a4cc22ff2, ts_event=0, ts_init=0)" ) + + +def test_order_triggered(): + event = TestEventsProviderPyo3.order_triggered() + result_dict = OrderTriggered.to_dict(event) + order_triggered = OrderTriggered.from_dict(result_dict) + assert order_triggered == event + assert ( + str(event) + == "OrderTriggered(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) + == "OrderTriggered(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)" + )