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Add event generators to OrderMatchingEngine in Rust #1807

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Jul 26, 2024
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Add event generators to OrderMatchingEngine in Rust #1807

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257 changes: 251 additions & 6 deletions nautilus_core/backtest/src/matching_engine.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -19,28 +19,36 @@
#![allow(dead_code)]
#![allow(unused_variables)]

use std::{collections::HashMap, rc::Rc};
use std::{any::Any, collections::HashMap, rc::Rc};

use log::{debug, info};
use nautilus_common::{cache::Cache, msgbus::MessageBus};
use nautilus_core::{nanos::UnixNanos, time::AtomicTime};
use nautilus_core::{nanos::UnixNanos, time::AtomicTime, uuid::UUID4};
use nautilus_execution::matching_core::OrderMatchingCore;
use nautilus_model::{
data::{
bar::{Bar, BarType},
delta::OrderBookDelta,
},
enums::{AccountType, BookType, MarketStatus, OmsType},
identifiers::{AccountId, ClientOrderId, InstrumentId, TraderId, Venue},
enums::{AccountType, BookType, LiquiditySide, MarketStatus, OmsType},
events::order::{
OrderAccepted, OrderCancelRejected, OrderCanceled, OrderExpired, OrderFilled,
OrderModifyRejected, OrderRejected, OrderTriggered, OrderUpdated,
},
identifiers::{
AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TradeId, TraderId, Venue,
VenueOrderId,
},
instruments::any::InstrumentAny,
orderbook::book::OrderBook,
orders::{
any::{PassiveOrderAny, StopOrderAny},
any::{OrderAny, PassiveOrderAny, StopOrderAny},
trailing_stop_limit::TrailingStopLimitOrder,
trailing_stop_market::TrailingStopMarketOrder,
},
types::price::Price,
types::{currency::Currency, money::Money, price::Price, quantity::Quantity},
};
use ustr::Ustr;

pub struct OrderMatchingEngineConfig {
pub bar_execution: bool,
Expand Down Expand Up @@ -260,4 +268,241 @@ impl OrderMatchingEngine {
fn update_trailing_stop_limit(&mut self, order: &TrailingStopLimitOrder) {
todo!()
}

// -- IDENTIFIER GENERATORS -----------------------------------------------------

fn generate_trade_id(&mut self) -> TradeId {
self.execution_count += 1;
TradeId::new(self.generate_trade_id_str().as_str()).unwrap()
}

fn generate_trade_id_str(&self) -> Ustr {
if self.config.use_random_ids {
UUID4::new().to_string().into()
} else {
format!("{}-{}-{}", self.venue, self.raw_id, self.execution_count).into()
}
}

// -- EVENT GENERATORS -----------------------------------------------------

fn generate_order_rejected(&self, order: &OrderAny, reason: Ustr) {
let ts_now = self.clock.get_time_ns();
let account_id = order
.account_id()
.unwrap_or(self.account_ids.get(&order.trader_id()).unwrap().to_owned());
let event = OrderRejected::new(
order.trader_id(),
order.strategy_id(),
order.instrument_id(),
order.client_order_id(),
account_id,
reason,
UUID4::new(),
ts_now,
ts_now,
false,
)
.unwrap();
self.msgbus.send("ExecEngine.process", &event as &dyn Any);
}

fn generate_order_accepted(&self, order: &OrderAny, venue_order_id: VenueOrderId) {
let ts_now = self.clock.get_time_ns();
let account_id = order
.account_id()
.unwrap_or(self.account_ids.get(&order.trader_id()).unwrap().to_owned());
let event = OrderAccepted::new(
order.trader_id(),
order.strategy_id(),
order.instrument_id(),
order.client_order_id(),
venue_order_id,
account_id,
UUID4::new(),
ts_now,
ts_now,
false,
)
.unwrap();
self.msgbus.send("ExecEngine.process", &event as &dyn Any);
}

#[allow(clippy::too_many_arguments)]
fn generate_order_modify_rejected(
&self,
trader_id: TraderId,
strategy_id: StrategyId,
account_id: AccountId,
instrument_id: InstrumentId,
client_order_id: ClientOrderId,
venue_order_id: VenueOrderId,
reason: Ustr,
) {
let ts_now = self.clock.get_time_ns();
let event = OrderModifyRejected::new(
trader_id,
strategy_id,
instrument_id,
client_order_id,
reason,
UUID4::new(),
ts_now,
ts_now,
false,
Some(venue_order_id),
Some(account_id),
);
self.msgbus.send("ExecEngine.process", &event as &dyn Any);
}

#[allow(clippy::too_many_arguments)]
fn generate_order_cancel_rejected(
&self,
trader_id: TraderId,
strategy_id: StrategyId,
account_id: AccountId,
instrument_id: InstrumentId,
client_order_id: ClientOrderId,
venue_order_id: VenueOrderId,
reason: Ustr,
) {
let ts_now = self.clock.get_time_ns();
let event = OrderCancelRejected::new(
trader_id,
strategy_id,
instrument_id,
client_order_id,
reason,
UUID4::new(),
ts_now,
ts_now,
false,
Some(venue_order_id),
Some(account_id),
)
.unwrap();
self.msgbus.send("ExecEngine.process", &event as &dyn Any);
}

fn generate_order_updated(
&self,
order: &OrderAny,
quantity: Quantity,
price: Price,
trigger_price: Price,
) {
let ts_now = self.clock.get_time_ns();
let event = OrderUpdated::new(
order.trader_id(),
order.strategy_id(),
order.instrument_id(),
order.client_order_id(),
quantity,
UUID4::new(),
ts_now,
ts_now,
false,
order.venue_order_id(),
order.account_id(),
Some(price),
Some(trigger_price),
)
.unwrap();
self.msgbus.send("ExecEngine.process", &event as &dyn Any);
}

fn generate_order_canceled(&self, order: &OrderAny, venue_order_id: VenueOrderId) {
let ts_now = self.clock.get_time_ns();
let event = OrderCanceled::new(
order.trader_id(),
order.strategy_id(),
order.instrument_id(),
order.client_order_id(),
UUID4::new(),
ts_now,
ts_now,
false,
Some(venue_order_id),
order.account_id(),
)
.unwrap();
self.msgbus.send("ExecEngine.process", &event as &dyn Any);
}

fn generate_order_triggered(&self, order: &OrderAny) {
let ts_now = self.clock.get_time_ns();
let event = OrderTriggered::new(
order.trader_id(),
order.strategy_id(),
order.instrument_id(),
order.client_order_id(),
UUID4::new(),
ts_now,
ts_now,
false,
order.venue_order_id(),
order.account_id(),
)
.unwrap();
self.msgbus.send("ExecEngine.process", &event as &dyn Any);
}

fn generate_order_expired(&self, order: &OrderAny) {
let ts_now = self.clock.get_time_ns();
let event = OrderExpired::new(
order.trader_id(),
order.strategy_id(),
order.instrument_id(),
order.client_order_id(),
UUID4::new(),
ts_now,
ts_now,
false,
order.venue_order_id(),
order.account_id(),
)
.unwrap();
self.msgbus.send("ExecEngine.process", &event as &dyn Any);
}

#[allow(clippy::too_many_arguments)]
fn generate_order_filled(
&mut self,
order: &OrderAny,
venue_order_id: VenueOrderId,
venue_position_id: PositionId,
last_qty: Quantity,
last_px: Price,
quote_currency: Currency,
commission: Money,
liquidity_side: LiquiditySide,
) {
let ts_now = self.clock.get_time_ns();
let account_id = order
.account_id()
.unwrap_or(self.account_ids.get(&order.trader_id()).unwrap().to_owned());
let event = OrderFilled::new(
order.trader_id(),
order.strategy_id(),
order.instrument_id(),
order.client_order_id(),
venue_order_id,
account_id,
self.generate_trade_id(),
order.order_side(),
order.order_type(),
last_qty,
last_px,
quote_currency,
liquidity_side,
UUID4::new(),
ts_now,
ts_now,
false,
Some(venue_position_id),
Some(commission),
);
self.msgbus.send("ExecEngine.process", &event as &dyn Any);
}
}