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May 1, 2025
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Improve validations for LimitIfTouchedOrder #2533

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216 changes: 207 additions & 9 deletions crates/model/src/orders/limit_if_touched.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -13,15 +13,21 @@
// limitations under the License.
// -------------------------------------------------------------------------------------------------

use std::ops::{Deref, DerefMut};
use std::{
fmt::Display,
ops::{Deref, DerefMut},
};

use indexmap::IndexMap;
use nautilus_core::{UUID4, UnixNanos};
use nautilus_core::{
UUID4, UnixNanos,
correctness::{FAILED, check_predicate_false},
};
use rust_decimal::Decimal;
use serde::{Deserialize, Serialize};
use ustr::Ustr;

use super::{Order, OrderAny, OrderCore, OrderError};
use super::{Order, OrderAny, OrderCore};
use crate::{
enums::{
ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSide,
Expand All @@ -32,7 +38,11 @@ use crate::{
AccountId, ClientOrderId, ExecAlgorithmId, InstrumentId, OrderListId, PositionId,
StrategyId, Symbol, TradeId, TraderId, Venue, VenueOrderId,
},
types::{Currency, Money, Price, Quantity},
orders::OrderError,
types::{
Currency, Money, Price, Quantity, price::check_positive_price,
quantity::check_positive_quantity,
},
};

#[derive(Clone, Debug, Serialize, Deserialize)]
Expand All @@ -53,6 +63,7 @@ pub struct LimitIfTouchedOrder {
core: OrderCore,
}

#[allow(clippy::too_many_arguments)]
impl LimitIfTouchedOrder {
/// Creates a new [`LimitIfTouchedOrder`] instance.
///
Expand Down Expand Up @@ -90,7 +101,94 @@ impl LimitIfTouchedOrder {
init_id: UUID4,
ts_init: UnixNanos,
) -> Self {
// TODO: Implement new_checked and check quantity positive, add error docs.
Self::new_checked(
trader_id,
strategy_id,
instrument_id,
client_order_id,
order_side,
quantity,
price,
trigger_price,
trigger_type,
time_in_force,
expire_time,
post_only,
reduce_only,
quote_quantity,
display_qty,
emulation_trigger,
trigger_instrument_id,
contingency_type,
order_list_id,
linked_order_ids,
parent_order_id,
exec_algorithm_id,
exec_algorithm_params,
exec_spawn_id,
tags,
init_id,
ts_init,
)
.expect(FAILED)
}

#[allow(clippy::too_many_arguments)]
pub fn new_checked(
trader_id: TraderId,
strategy_id: StrategyId,
instrument_id: InstrumentId,
client_order_id: ClientOrderId,
order_side: OrderSide,
quantity: Quantity,
price: Price,
trigger_price: Price,
trigger_type: TriggerType,
time_in_force: TimeInForce,
expire_time: Option<UnixNanos>,
post_only: bool,
reduce_only: bool,
quote_quantity: bool,
display_qty: Option<Quantity>,
emulation_trigger: Option<TriggerType>,
trigger_instrument_id: Option<InstrumentId>,
contingency_type: Option<ContingencyType>,
order_list_id: Option<OrderListId>,
linked_order_ids: Option<Vec<ClientOrderId>>,
parent_order_id: Option<ClientOrderId>,
exec_algorithm_id: Option<ExecAlgorithmId>,
exec_algorithm_params: Option<IndexMap<Ustr, Ustr>>,
exec_spawn_id: Option<ClientOrderId>,
tags: Option<Vec<Ustr>>,
init_id: UUID4,
ts_init: UnixNanos,
) -> anyhow::Result<Self> {
check_positive_quantity(quantity, "quantity")?;
check_positive_price(price, "price")?;
check_positive_price(trigger_price, "trigger_price")?;

if let Some(disp) = display_qty {
check_positive_quantity(disp, "display_qty")?;
check_predicate_false(disp > quantity, "`display_qty` may not exceed `quantity`")?;
}

if time_in_force == TimeInForce::Gtd {
check_predicate_false(
expire_time.unwrap_or_default() == 0,
"Condition failed: `expire_time` is required for `GTD` order",
)?;
}

match order_side {
OrderSide::Buy if trigger_price > price => {
anyhow::bail!("BUY Limit-If-Touched must have `trigger_price` <= `price`")
}
OrderSide::Sell if trigger_price < price => {
anyhow::bail!("SELL Limit-If-Touched must have `trigger_price` >= `price`")
}
_ => {}
}

let init_order = OrderInitialized::new(
trader_id,
strategy_id,
Expand Down Expand Up @@ -126,8 +224,8 @@ impl LimitIfTouchedOrder {
exec_spawn_id,
tags,
);
Self {
core: OrderCore::new(init_order),

Ok(Self {
price,
trigger_price,
trigger_type,
Expand All @@ -137,7 +235,8 @@ impl LimitIfTouchedOrder {
trigger_instrument_id,
is_triggered: false,
ts_triggered: None,
}
core: OrderCore::new(init_order),
})
}
}

Expand Down Expand Up @@ -421,7 +520,7 @@ impl Order for LimitIfTouchedOrder {
}

fn set_liquidity_side(&mut self, liquidity_side: LiquiditySide) {
self.liquidity_side = Some(liquidity_side)
self.liquidity_side = Some(liquidity_side);
}

fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool {
Expand All @@ -433,6 +532,23 @@ impl Order for LimitIfTouchedOrder {
}
}

impl Display for LimitIfTouchedOrder {
fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
write!(
f,
"LimitIfTouchedOrder({} {} {} @ {} / trigger {} ({:?}) {}, status={})",
self.side,
self.quantity.to_formatted_string(),
self.instrument_id,
self.price,
self.trigger_price,
self.trigger_type,
self.time_in_force,
self.status
)
}
}

impl From<OrderInitialized> for LimitIfTouchedOrder {
fn from(event: OrderInitialized) -> Self {
Self::new(
Expand Down Expand Up @@ -474,3 +590,85 @@ impl From<OrderInitialized> for LimitIfTouchedOrder {
)
}
}

////////////////////////////////////////////////////////////////////////////////
// Tests
////////////////////////////////////////////////////////////////////////////////
#[cfg(test)]
mod tests {
use rstest::rstest;

use crate::{
enums::{OrderSide, OrderType, TimeInForce, TriggerType},
instruments::{CurrencyPair, stubs::*},
orders::builder::OrderTestBuilder,
types::{Price, Quantity},
};

#[rstest]
fn ok(audusd_sim: CurrencyPair) {
let _ = OrderTestBuilder::new(OrderType::LimitIfTouched)
.instrument_id(audusd_sim.id)
.side(OrderSide::Buy)
.trigger_price(Price::from("30200"))
.price(Price::from("30200"))
.trigger_type(TriggerType::LastPrice)
.quantity(Quantity::from(1))
.build();
}

#[rstest]
#[should_panic(
expected = "Condition failed: invalid `Quantity` for 'quantity' not positive, was 0"
)]
fn quantity_zero(audusd_sim: CurrencyPair) {
let _ = OrderTestBuilder::new(OrderType::LimitIfTouched)
.instrument_id(audusd_sim.id)
.side(OrderSide::Buy)
.price(Price::from("30000"))
.trigger_price(Price::from("30200"))
.trigger_type(TriggerType::LastPrice)
.quantity(Quantity::from(0))
.build();
}

#[rstest]
#[should_panic(expected = "Condition failed: `expire_time` is required for `GTD` order")]
fn gtd_without_expire(audusd_sim: CurrencyPair) {
let _ = OrderTestBuilder::new(OrderType::LimitIfTouched)
.instrument_id(audusd_sim.id)
.side(OrderSide::Buy)
.price(Price::from("30000"))
.trigger_price(Price::from("30200"))
.trigger_type(TriggerType::LastPrice)
.quantity(Quantity::from(1))
.time_in_force(TimeInForce::Gtd)
.build();
}

#[rstest]
#[should_panic(expected = "BUY Limit-If-Touched must have `trigger_price` <= `price`")]
fn buy_trigger_gt_price(audusd_sim: CurrencyPair) {
OrderTestBuilder::new(OrderType::LimitIfTouched)
.instrument_id(audusd_sim.id)
.side(OrderSide::Buy)
.trigger_price(Price::from("30300")) // Invalid trigger > price
.price(Price::from("30200"))
.trigger_type(TriggerType::LastPrice)
.quantity(Quantity::from(1))
.build();
}

#[rstest]
#[should_panic(expected = "SELL Limit-If-Touched must have `trigger_price` >= `price`")]
fn sell_trigger_lt_price(audusd_sim: CurrencyPair) {
OrderTestBuilder::new(OrderType::LimitIfTouched)
.instrument_id(audusd_sim.id)
.side(OrderSide::Sell)
.trigger_price(Price::from("30100")) // Invalid trigger < price
.price(Price::from("30200"))
.trigger_type(TriggerType::LastPrice)
.quantity(Quantity::from(1))
.build();
}
}
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