diff --git a/crates/adapters/bitmex/src/websocket/parse.rs b/crates/adapters/bitmex/src/websocket/parse.rs index d2a3401ad5f1..fa7a5dfba916 100644 --- a/crates/adapters/bitmex/src/websocket/parse.rs +++ b/crates/adapters/bitmex/src/websocket/parse.rs @@ -665,6 +665,8 @@ pub fn parse_order_update_msg( // BitMEX doesn't send trigger price in regular order updates? let trigger_price = None; + // BitMEX doesn't send protection price in regular order updates + let protection_price = None; let event_id = UUID4::new(); let ts_event = parse_optional_datetime_to_unix_nanos(&msg.timestamp, "timestamp"); @@ -684,6 +686,7 @@ pub fn parse_order_update_msg( Some(account_id), price, trigger_price, + protection_price, )) } diff --git a/crates/backtest/src/config.rs b/crates/backtest/src/config.rs index 797769ce04de..6c95e4411486 100644 --- a/crates/backtest/src/config.rs +++ b/crates/backtest/src/config.rs @@ -290,6 +290,9 @@ pub struct BacktestVenueConfig { default_leverage: Option, /// The instrument specific leverage configuration (for margin accounts). leverages: Option>, + /// Defines an exchange-calculated price boundary to prevent a market order from being + /// filled at an extremely aggressive price. + price_protection_points: f64, } impl BacktestVenueConfig { @@ -315,6 +318,7 @@ impl BacktestVenueConfig { base_currency: Option, default_leverage: Option, leverages: Option>, + price_protection_points: Option, ) -> Self { Self { name, @@ -336,6 +340,7 @@ impl BacktestVenueConfig { base_currency, default_leverage, leverages, + price_protection_points: price_protection_points.unwrap_or(0.0), } } } diff --git a/crates/backtest/src/engine.rs b/crates/backtest/src/engine.rs index 5241f5dee3f2..b995b2b21dba 100644 --- a/crates/backtest/src/engine.rs +++ b/crates/backtest/src/engine.rs @@ -148,6 +148,7 @@ impl BacktestEngine { trade_execution: Option, allow_cash_borrowing: Option, frozen_account: Option, + price_protection_points: Option, ) -> anyhow::Result<()> { let default_leverage: Decimal = default_leverage.unwrap_or_else(|| { if account_type == AccountType::Margin { @@ -182,6 +183,7 @@ impl BacktestEngine { use_message_queue, allow_cash_borrowing, frozen_account, + price_protection_points, )?; let exchange = Rc::new(RefCell::new(exchange)); self.venues.insert(venue, exchange.clone()); @@ -546,6 +548,7 @@ mod tests { None, None, None, + None, ) .unwrap(); engine diff --git a/crates/backtest/src/exchange.rs b/crates/backtest/src/exchange.rs index bc1c301a4300..0ab940d436cd 100644 --- a/crates/backtest/src/exchange.rs +++ b/crates/backtest/src/exchange.rs @@ -135,6 +135,7 @@ pub struct SimulatedExchange { use_message_queue: bool, allow_cash_borrowing: bool, frozen_account: bool, + price_protection_points: Decimal, } impl Debug for SimulatedExchange { @@ -180,6 +181,7 @@ impl SimulatedExchange { use_message_queue: Option, allow_cash_borrowing: Option, frozen_account: Option, + price_protection_points: Option, ) -> anyhow::Result { if starting_balances.is_empty() { anyhow::bail!("Starting balances must be provided") @@ -219,6 +221,7 @@ impl SimulatedExchange { use_message_queue: use_message_queue.unwrap_or(true), allow_cash_borrowing: allow_cash_borrowing.unwrap_or(false), frozen_account: frozen_account.unwrap_or(false), + price_protection_points: price_protection_points.unwrap_or(Decimal::ZERO), }) } @@ -273,6 +276,12 @@ impl SimulatedExchange { self.instruments.insert(instrument.id(), instrument.clone()); + let price_protection = if self.price_protection_points.is_zero() { + None + } else { + Some(self.price_protection_points) + }; + let matching_engine_config = OrderMatchingEngineConfig::new( self.bar_execution, self.reject_stop_orders, @@ -281,7 +290,8 @@ impl SimulatedExchange { self.use_position_ids, self.use_random_ids, self.use_reduce_only, - ); + ) + .with_price_protection_points(price_protection); let instrument_id = instrument.id(); let matching_engine = OrderMatchingEngine::new( instrument, @@ -875,6 +885,7 @@ mod tests { None, None, None, + None, ) .unwrap(), )); diff --git a/crates/execution/src/client/base.rs b/crates/execution/src/client/base.rs index fd6051f00349..d474fc4f63ae 100644 --- a/crates/execution/src/client/base.rs +++ b/crates/execution/src/client/base.rs @@ -300,6 +300,7 @@ impl ExecutionClientCore { quantity: Quantity, price: Price, trigger_price: Option, + protection_price: Option, ts_event: UnixNanos, venue_order_id_modified: bool, ) { @@ -329,6 +330,7 @@ impl ExecutionClientCore { Some(self.account_id), Some(price), trigger_price, + protection_price, ); self.send_order_event(OrderEventAny::Updated(event)); diff --git a/crates/execution/src/engine/tests.rs b/crates/execution/src/engine/tests.rs index a17e1b413b20..9e1fc9b2a4e4 100644 --- a/crates/execution/src/engine/tests.rs +++ b/crates/execution/src/engine/tests.rs @@ -4485,6 +4485,7 @@ fn test_handle_updated_order_event(mut execution_engine: ExecutionEngine) { Some(account_id), order.price(), None, // trigger_price + None, // protection_price )); execution_engine.process(&order_updated_event); @@ -6604,6 +6605,7 @@ fn test_order_updates_in_own_book() { Some(account_id), // account_id Some(new_bid_price), // new price None, // trigger_price + None, // protection_price )); let order_updated_ask = OrderEventAny::Updated(OrderUpdated::new( @@ -6620,6 +6622,7 @@ fn test_order_updates_in_own_book() { Some(account_id), // account_id Some(new_ask_price), // new price None, // trigger_price + None, // protection_price )); execution_engine.process(&order_updated_bid); diff --git a/crates/execution/src/lib.rs b/crates/execution/src/lib.rs index 441388665a31..af00f6fb871e 100644 --- a/crates/execution/src/lib.rs +++ b/crates/execution/src/lib.rs @@ -67,4 +67,5 @@ pub mod matching_engine; pub mod models; pub mod order_emulator; pub mod order_manager; +pub mod protection; pub mod trailing; diff --git a/crates/execution/src/matching_engine/config.rs b/crates/execution/src/matching_engine/config.rs index 856ae13ddfe1..47ee8181fc2c 100644 --- a/crates/execution/src/matching_engine/config.rs +++ b/crates/execution/src/matching_engine/config.rs @@ -13,6 +13,8 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- +use rust_decimal::Decimal; + /// Configuration for `OrderMatchingEngine` instances. #[derive(Debug, Clone)] pub struct OrderMatchingEngineConfig { @@ -23,6 +25,7 @@ pub struct OrderMatchingEngineConfig { pub use_position_ids: bool, pub use_random_ids: bool, pub use_reduce_only: bool, + pub price_protection_points: Option, } impl OrderMatchingEngineConfig { @@ -45,8 +48,19 @@ impl OrderMatchingEngineConfig { use_position_ids, use_random_ids, use_reduce_only, + price_protection_points: None, } } + + /// Sets the price protection points for the matching engine. + #[must_use] + pub const fn with_price_protection_points( + mut self, + price_protection_points: Option, + ) -> Self { + self.price_protection_points = price_protection_points; + self + } } #[allow(clippy::derivable_impls)] @@ -61,6 +75,7 @@ impl Default for OrderMatchingEngineConfig { use_position_ids: false, use_random_ids: false, use_reduce_only: false, + price_protection_points: None, } } } diff --git a/crates/execution/src/matching_engine/engine.rs b/crates/execution/src/matching_engine/engine.rs index 5c83015fc3b8..0e0855379203 100644 --- a/crates/execution/src/matching_engine/engine.rs +++ b/crates/execution/src/matching_engine/engine.rs @@ -65,6 +65,7 @@ use crate::{ fee::{FeeModel, FeeModelAny}, fill::FillModel, }, + protection::protection_price_calculate, trailing::trailing_stop_calculate, }; @@ -735,9 +736,15 @@ impl OrderMatchingEngine { } match order.order_type() { + OrderType::Market if self.config.price_protection_points.is_some() => { + self.process_market_order_with_protection(order); + } OrderType::Market => self.process_market_order(order), OrderType::Limit => self.process_limit_order(order), OrderType::MarketToLimit => self.process_market_to_limit_order(order), + OrderType::StopMarket if self.config.price_protection_points.is_some() => { + self.process_stop_market_order_with_protection(order); + } OrderType::StopMarket => self.process_stop_market_order(order), OrderType::StopLimit => self.process_stop_limit_order(order), OrderType::MarketIfTouched => self.process_market_if_touched_order(order), @@ -843,6 +850,57 @@ impl OrderMatchingEngine { self.fill_market_order(order); } + fn process_market_order_with_protection(&mut self, order: &mut OrderAny) { + if order.time_in_force() == TimeInForce::AtTheOpen + || order.time_in_force() == TimeInForce::AtTheClose + { + log::error!( + "Market auction for the time in force {} is currently not supported", + order.time_in_force() + ); + return; + } + + // Check if market exists + let order_side = order.order_side(); + let is_ask_initialized = self.core.is_ask_initialized; + let is_bid_initialized = self.core.is_bid_initialized; + if (order_side == OrderSide::Buy && !self.core.is_ask_initialized) + || (order_side == OrderSide::Sell && !self.core.is_bid_initialized) + { + self.generate_order_rejected( + order, + format!("No market for {}", order.instrument_id()).into(), + ); + return; + } + + self.update_protection_price(order); + + let protection_price = order + .price() + .expect("Market order with protection must have a protection price"); + + // Order is valid and accepted + self.accept_order(order); + + // Check for immediate fill + if self + .core + .is_limit_matched(order.order_side_specified(), protection_price) + { + // Filling as liquidity taker + if order.liquidity_side().is_some() + && order.liquidity_side().unwrap() == LiquiditySide::NoLiquiditySide + { + order.set_liquidity_side(LiquiditySide::Taker); + } + self.fill_limit_order(order); + } else if matches!(order.time_in_force(), TimeInForce::Fok | TimeInForce::Ioc) { + self.cancel_order(order, None); + } + } + fn process_limit_order(&mut self, order: &mut OrderAny) { let limit_px = order.price().expect("Limit order must have a price"); if order.is_post_only() @@ -943,6 +1001,67 @@ impl OrderMatchingEngine { self.accept_order(order); } + fn process_stop_market_order_with_protection(&mut self, order: &mut OrderAny) { + let stop_px = order + .trigger_price() + .expect("Stop order must have a trigger price"); + + let order_side = order.order_side(); + let is_ask_initialized = self.core.is_ask_initialized; + let is_bid_initialized = self.core.is_bid_initialized; + if (order_side == OrderSide::Buy && !self.core.is_ask_initialized) + || (order_side == OrderSide::Sell && !self.core.is_bid_initialized) + { + self.generate_order_rejected( + order, + format!("No market for {}", order.instrument_id()).into(), + ); + return; + } + + self.update_protection_price(order); + let protection_price = order + .price() + .expect("Market order with protection must have a protection price"); + + if self + .core + .is_stop_matched(order.order_side_specified(), stop_px) + { + if self.config.reject_stop_orders { + self.generate_order_rejected( + order, + format!( + "{} {} order stop px of {} was in the market: bid={}, ask={}, but rejected because of configuration", + order.order_type(), + order.order_side(), + order.trigger_price().unwrap(), + self.core + .bid + .map_or_else(|| "None".to_string(), |p| p.to_string()), + self.core + .ask + .map_or_else(|| "None".to_string(), |p| p.to_string()) + ).into(), + ); + return; + } else { + // Order is valid and accepted + self.accept_order(order); + } + + if self + .core + .is_limit_matched(order.order_side_specified(), protection_price) + { + self.fill_limit_order(order); + } + return; + } + // Order is valid and accepted + self.accept_order(order); + } + fn process_stop_limit_order(&mut self, order: &mut OrderAny) { let stop_px = order .trigger_price() @@ -1542,7 +1661,7 @@ impl OrderMatchingEngine { if order.filled_qty() == Quantity::zero(order.filled_qty().precision) && order.order_type() == OrderType::MarketToLimit { - self.generate_order_updated(order, order.quantity(), Some(fill_px), None); + self.generate_order_updated(order, order.quantity(), Some(fill_px), None, None); initial_market_to_limit_fill = true; } @@ -1577,7 +1696,7 @@ impl OrderMatchingEngine { // Only emit an update if the order quantity actually changes if order.quantity() != adjusted_fill_qty { - self.generate_order_updated(order, adjusted_fill_qty, None, None); + self.generate_order_updated(order, adjusted_fill_qty, None, None, None); } } @@ -1827,12 +1946,12 @@ impl OrderMatchingEngine { return; } - self.generate_order_updated(order, quantity, Some(price), None); + self.generate_order_updated(order, quantity, Some(price), None, None); order.set_liquidity_side(LiquiditySide::Taker); self.fill_limit_order(order); return; } - self.generate_order_updated(order, quantity, Some(price), None); + self.generate_order_updated(order, quantity, Some(price), None, None); } fn update_stop_market_order( @@ -1871,7 +1990,7 @@ impl OrderMatchingEngine { return; } - self.generate_order_updated(order, quantity, None, Some(trigger_price)); + self.generate_order_updated(order, quantity, None, Some(trigger_price), None); } fn update_stop_limit_order( @@ -1906,7 +2025,7 @@ impl OrderMatchingEngine { ); return; } - self.generate_order_updated(order, quantity, Some(price), None); + self.generate_order_updated(order, quantity, Some(price), None, None); order.set_liquidity_side(LiquiditySide::Taker); self.fill_limit_order(order); return; // Filled @@ -1944,7 +2063,7 @@ impl OrderMatchingEngine { } } - self.generate_order_updated(order, quantity, Some(price), Some(trigger_price)); + self.generate_order_updated(order, quantity, Some(price), Some(trigger_price), None); } fn update_market_if_touched_order( @@ -1984,7 +2103,7 @@ impl OrderMatchingEngine { return; } - self.generate_order_updated(order, quantity, None, Some(trigger_price)); + self.generate_order_updated(order, quantity, None, Some(trigger_price), None); } fn update_limit_if_touched_order( @@ -2020,7 +2139,7 @@ impl OrderMatchingEngine { // Cannot update order return; } - self.generate_order_updated(order, quantity, Some(price), None); + self.generate_order_updated(order, quantity, Some(price), None, None); order.set_liquidity_side(LiquiditySide::Taker); self.fill_limit_order(order); return; @@ -2058,7 +2177,7 @@ impl OrderMatchingEngine { } } - self.generate_order_updated(order, quantity, Some(price), Some(trigger_price)); + self.generate_order_updated(order, quantity, Some(price), Some(trigger_price), None); } fn update_trailing_stop_order(&mut self, order: &mut OrderAny) { @@ -2077,7 +2196,27 @@ impl OrderMatchingEngine { return; } - self.generate_order_updated(order, order.quantity(), new_price, new_trigger_price); + self.generate_order_updated(order, order.quantity(), new_price, new_trigger_price, None); + } + + fn update_protection_price(&mut self, order: &mut OrderAny) { + let protection_price = protection_price_calculate( + self.instrument.price_increment(), + order, + self.config.price_protection_points, + self.core.bid, + self.core.ask, + ); + + if let Ok(protection_price) = protection_price { + self.generate_order_updated( + order, + order.quantity(), + None, + None, + Some(protection_price), + ); + } } // -- EVENT HANDLING ----------------------------------------------------- @@ -2373,6 +2512,7 @@ impl OrderMatchingEngine { quantity: Quantity, price: Option, trigger_price: Option, + protection_price: Option, ) { let ts_now = self.clock.borrow().timestamp_ns(); let event = OrderEventAny::Updated(OrderUpdated::new( @@ -2389,6 +2529,7 @@ impl OrderMatchingEngine { order.account_id(), price, trigger_price, + protection_price, )); msgbus::send_any("ExecEngine.process".into(), &event as &dyn Any); diff --git a/crates/execution/src/matching_engine/tests.rs b/crates/execution/src/matching_engine/tests.rs index b72fec05c97f..c7643c264641 100644 --- a/crates/execution/src/matching_engine/tests.rs +++ b/crates/execution/src/matching_engine/tests.rs @@ -157,6 +157,7 @@ fn engine_config() -> OrderMatchingEngineConfig { use_position_ids: false, use_random_ids: false, use_reduce_only: true, + price_protection_points: None, } } // -- HELPERS --------------------------------------------------------------------------- @@ -2808,3 +2809,174 @@ fn test_reduce_only_order_exceeding_position_quantity( "Order should be processed without panic" ); } + +#[rstest] +fn test_process_market_orders_with_protection_rejeceted_and_valid( + instrument_eth_usdt: InstrumentAny, + order_event_handler: ShareableMessageHandler, + account_id: AccountId, +) { + msgbus::register( + MessagingSwitchboard::exec_engine_process(), + order_event_handler.clone(), + ); + + let config = OrderMatchingEngineConfig::new(false, false, false, false, false, false, false) + .with_price_protection_points(Some(dec!(600))); + + let mut engine_l2 = + get_order_matching_engine_l2(instrument_eth_usdt.clone(), None, None, Some(config), None); + + let orderbook_delta_sell = OrderBookDeltaTestBuilder::new(instrument_eth_usdt.id()) + .book_action(BookAction::Add) + .book_order(BookOrder::new( + OrderSide::Sell, + Price::from("1500.00"), + Quantity::from("1.000"), + 1, + )) + .build(); + let _ = engine_l2.process_order_book_delta(&orderbook_delta_sell); + + // Create two market orders with Protection + // 1. Market SELL order will be rejected as the Bid Side of the book is empty + // 2. Market BUY order will be accepted as there is an order on the Ask side of the book + let client_order_id_market_buy = ClientOrderId::from("O-19700101-000000-001-001-1"); + let mut market_buy_order = OrderTestBuilder::new(OrderType::Market) + .instrument_id(instrument_eth_usdt.id()) + .side(OrderSide::Buy) + .quantity(Quantity::from("1.000")) + .client_order_id(client_order_id_market_buy) + .submit(true) + .build(); + + let client_order_id_market_sell = ClientOrderId::from("O-19700101-000000-001-001-2"); + let mut market_sell_order = OrderTestBuilder::new(OrderType::Market) + .instrument_id(instrument_eth_usdt.id()) + .side(OrderSide::Sell) + .quantity(Quantity::from("1.000")) + .client_order_id(client_order_id_market_sell) + .submit(true) + .build(); + + engine_l2.process_order(&mut market_sell_order, account_id); + engine_l2.process_order(&mut market_buy_order, account_id); + + // Check that we receive an OrderRejected event for the protected market sell order while the buy order is processed and partially filled + let saved_messages = get_order_event_handler_messages(order_event_handler); + assert_eq!(saved_messages.len(), 4); + let event1 = saved_messages.first().unwrap(); + let rejected = match event1 { + OrderEventAny::Rejected(rejected) => rejected, + _ => panic!("Expected OrderRejected event in first message"), + }; + assert_eq!(rejected.client_order_id, client_order_id_market_sell); + + assert_eq!(rejected.reason, "No market for ETHUSDT-PERP.BINANCE"); + let event2 = saved_messages.get(1).unwrap(); + let updated = match event2 { + OrderEventAny::Updated(updated) => updated, + _ => panic!("Expected OrderUpdated event in second message"), + }; + assert_eq!(updated.client_order_id, client_order_id_market_buy); + //Protection price is calculated using the Best Ask Price + 6 Protection points + assert_eq!(updated.protection_price, Some(Price::new(1506.0, 2))); + + let event3 = saved_messages.get(2).unwrap(); + let accepted = match event3 { + OrderEventAny::Accepted(accepted) => accepted, + _ => panic!("Expected Accepted event in third message"), + }; + assert_eq!(accepted.client_order_id, client_order_id_market_buy); + + let event4 = saved_messages.get(3).unwrap(); + + //Aggressive order is partially filled + let filled = match event4 { + OrderEventAny::Filled(filled) => filled, + _ => panic!("Expected Filled event in fourth message"), + }; + assert_eq!(filled.client_order_id, client_order_id_market_buy); +} + +#[rstest] +fn test_process_stop_orders_with_protection_rejeceted_and_valid( + instrument_eth_usdt: InstrumentAny, + order_event_handler: ShareableMessageHandler, + account_id: AccountId, +) { + msgbus::register( + MessagingSwitchboard::exec_engine_process(), + order_event_handler.clone(), + ); + + let config = OrderMatchingEngineConfig::new(false, false, false, false, false, false, false) + .with_price_protection_points(Some(dec!(600))); + + let mut engine_l2 = + get_order_matching_engine_l2(instrument_eth_usdt.clone(), None, None, Some(config), None); + + let orderbook_delta_sell = OrderBookDeltaTestBuilder::new(instrument_eth_usdt.id()) + .book_action(BookAction::Add) + .book_order(BookOrder::new( + OrderSide::Sell, + Price::from("1500.00"), + Quantity::from("1.000"), + 1, + )) + .build(); + let _ = engine_l2.process_order_book_delta(&orderbook_delta_sell); + + // Create two Stop Market orders with Protection + // 1. Stop Market SELL order will be rejected as the Bid Side of the book is empty + // 2. Stop Market BUY order will be accepted as there is an order on the Ask side of the book + let client_order_id_market_buy = ClientOrderId::from("O-19700101-000000-001-001-1"); + let mut market_buy_order = OrderTestBuilder::new(OrderType::StopMarket) + .instrument_id(instrument_eth_usdt.id()) + .side(OrderSide::Buy) + .quantity(Quantity::from("1.000")) + .trigger_price(Price::new(1501.0, 2)) + .client_order_id(client_order_id_market_buy) + .submit(true) + .build(); + + let client_order_id_market_sell = ClientOrderId::from("O-19700101-000000-001-001-2"); + let mut market_sell_order = OrderTestBuilder::new(OrderType::StopMarket) + .instrument_id(instrument_eth_usdt.id()) + .side(OrderSide::Sell) + .quantity(Quantity::from("1.000")) + .trigger_price(Price::new(1499.0, 2)) + .client_order_id(client_order_id_market_sell) + .submit(true) + .build(); + + engine_l2.process_order(&mut market_sell_order, account_id); + engine_l2.process_order(&mut market_buy_order, account_id); + + // Check that we receive an OrderRejected event for the protected stop market sell order while the buy order is accepted + let saved_messages = get_order_event_handler_messages(order_event_handler); + assert_eq!(saved_messages.len(), 3); + let event1 = saved_messages.first().unwrap(); + let rejected = match event1 { + OrderEventAny::Rejected(rejected) => rejected, + _ => panic!("Expected OrderRejected event in first message"), + }; + assert_eq!(rejected.client_order_id, client_order_id_market_sell); + + assert_eq!(rejected.reason, "No market for ETHUSDT-PERP.BINANCE"); + let event2 = saved_messages.get(1).unwrap(); + let updated = match event2 { + OrderEventAny::Updated(updated) => updated, + _ => panic!("Expected OrderUpdated event in second message"), + }; + assert_eq!(updated.client_order_id, client_order_id_market_buy); + //Protection price is calculated using the Best Ask Price + 6 Protection points + assert_eq!(updated.protection_price, Some(Price::new(1506.0, 2))); + + let event3 = saved_messages.get(2).unwrap(); + let accepted = match event3 { + OrderEventAny::Accepted(accepted) => accepted, + _ => panic!("Expected Accepted event in third message"), + }; + assert_eq!(accepted.client_order_id, client_order_id_market_buy); +} diff --git a/crates/execution/src/order_emulator/emulator.rs b/crates/execution/src/order_emulator/emulator.rs index ecef6a594aeb..3af74ddb6a56 100644 --- a/crates/execution/src/order_emulator/emulator.rs +++ b/crates/execution/src/order_emulator/emulator.rs @@ -507,6 +507,7 @@ impl OrderEmulator { order.account_id(), price, trigger_price, + None, ); self.manager.send_exec_event(OrderEventAny::Updated(event)); @@ -610,6 +611,7 @@ impl OrderEmulator { order.account_id(), None, None, + None, ); if let Err(e) = order.apply(OrderEventAny::Updated(event)) { @@ -1168,6 +1170,7 @@ impl OrderEmulator { order.account_id(), new_limit_px, new_trigger_px, + None, ); let wrapped = OrderEventAny::Updated(update); if let Err(e) = order.apply(wrapped.clone()) { diff --git a/crates/execution/src/protection.rs b/crates/execution/src/protection.rs new file mode 100644 index 000000000000..e4884f4826ce --- /dev/null +++ b/crates/execution/src/protection.rs @@ -0,0 +1,186 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2025 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. +// ------------------------------------------------------------------------------------------------- + +// TODO: We'll use anyhow for now, but would be best to implement some specific Error(s) +use nautilus_model::{ + enums::{OrderSideSpecified, OrderType}, + orders::{Order, OrderAny}, + types::Price, +}; +use rust_decimal::{Decimal, prelude::*}; + +/// Calculates the protection price for stop limit and stop market orders using best bid or ask price.. +/// +/// # Returns +/// A calculated protection price. +/// +/// # Errors +/// Returns an error if: +/// - the order type is invalid. +/// - protection points or best bid/ask are provided but not valid +/// +/// # Panics +/// +/// Panics if the values required for calculation cannot be converted to a float. +pub fn protection_price_calculate( + price_increment: Price, + order: &OrderAny, + protection_points: Option, + bid: Option, + ask: Option, +) -> anyhow::Result { + let order_type = order.order_type(); + if !matches!(order_type, OrderType::Market | OrderType::StopMarket) { + anyhow::bail!("Invalid `OrderType` {order_type} for protection price calculation"); + } + + let protection_points = protection_points + .ok_or_else(|| anyhow::anyhow!("Protection points required"))? + .to_f64() + .ok_or_else(|| anyhow::anyhow!("Invalid `protection_points` value"))?; + let offset = protection_points * price_increment.as_f64(); + + let order_side = order.order_side_specified(); + let protection_price = match order_side { + OrderSideSpecified::Buy => { + let opposite = ask.ok_or_else(|| anyhow::anyhow!("Ask required"))?; + let opposite_f64 = opposite.as_f64(); + opposite_f64 + offset + } + OrderSideSpecified::Sell => { + let opposite = bid.ok_or_else(|| anyhow::anyhow!("Bid required"))?; + let opposite_f64 = opposite.as_f64(); + opposite_f64 - offset + } + }; + + Ok(Price::new(protection_price, price_increment.precision)) +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use nautilus_model::{ + enums::{OrderSide, OrderType, TriggerType}, + orders::builder::OrderTestBuilder, + types::Quantity, + }; + use rstest::rstest; + use rust_decimal_macros::dec; + + use super::*; + + fn build_stop_order(order_type: OrderType, side: OrderSide) -> OrderAny { + let mut builder = OrderTestBuilder::new(order_type); + builder + .instrument_id("BTCUSDT-PERP.BINANCE".into()) + .side(side) + .quantity(Quantity::from(1)) + .trigger_price(Price::new(100.0, 2)) + .trigger_type(TriggerType::LastPrice); + + if order_type == OrderType::StopLimit { + builder.price(Price::new(99.5, 2)); + } + + builder.build() + } + + #[rstest] + fn test_calculate_with_invalid_order_type() { + let order = OrderTestBuilder::new(OrderType::Limit) + .instrument_id("BTCUSDT-PERP.BINANCE".into()) + .side(OrderSide::Buy) + .price(Price::new(100.0, 2)) + .quantity(Quantity::from(1)) + .build(); + + let result = + protection_price_calculate(Price::new(0.01, 2), &order, Some(dec!(600)), None, None); + + assert!(result.is_err()); + } + + #[rstest] + fn test_calculate_requires_protection_points() { + let order = build_stop_order(OrderType::StopMarket, OrderSide::Buy); + + let result = protection_price_calculate( + Price::new(0.01, 2), + &order, + None, + Some(Price::new(99.0, 2)), + Some(Price::new(101.0, 2)), + ); + + assert!(result.is_err()); + } + + #[rstest] + #[case(OrderSide::Buy)] + #[case(OrderSide::Sell)] + fn test_calculate_requires_opposite_quote(#[case] side: OrderSide) { + let order = build_stop_order(OrderType::StopMarket, side); + let price_increment = Price::new(0.01, 2); + + let (bid, ask) = match side { + OrderSide::Buy => (Some(Price::new(99.5, 2)), None), + OrderSide::Sell => (None, Some(Price::new(100.5, 2))), + OrderSide::NoOrderSide => panic!("Side is required"), + }; + + let result = protection_price_calculate(price_increment, &order, Some(dec!(25)), bid, ask); + + assert!(result.is_err()); + } + + #[rstest] + #[case(OrderType::StopMarket)] + #[case(OrderType::Market)] + fn test_protection_price_buy(#[case] order_type: OrderType) { + let order = build_stop_order(order_type, OrderSide::Buy); + + let protection_price = protection_price_calculate( + Price::new(0.01, 2), + &order, + Some(dec!(50)), + Some(Price::new(99.0, 2)), + Some(Price::new(101.0, 2)), + ) + .unwrap(); + + assert_eq!(protection_price.as_f64(), 101.5); + } + + #[rstest] + #[case(OrderType::StopMarket)] + #[case(OrderType::Market)] + fn test_protection_price_sell(#[case] order_type: OrderType) { + let order = build_stop_order(order_type, OrderSide::Sell); + + let protection_price = protection_price_calculate( + Price::new(0.01, 2), + &order, + Some(dec!(50)), + Some(Price::new(99.0, 2)), + Some(Price::new(101.0, 2)), + ) + .unwrap(); + + assert_eq!(protection_price.as_f64(), 98.5); + } +} diff --git a/crates/model/src/events/order/stubs.rs b/crates/model/src/events/order/stubs.rs index ac620898378e..2593ead26317 100644 --- a/crates/model/src/events/order/stubs.rs +++ b/crates/model/src/events/order/stubs.rs @@ -267,6 +267,7 @@ pub fn order_updated( Some(account_id), Some(Price::from("22000")), None, + None, ) } diff --git a/crates/model/src/events/order/updated.rs b/crates/model/src/events/order/updated.rs index ef957e5b1321..c7d36355bac4 100644 --- a/crates/model/src/events/order/updated.rs +++ b/crates/model/src/events/order/updated.rs @@ -61,6 +61,8 @@ pub struct OrderUpdated { pub price: Option, /// The order trigger price (STOP). pub trigger_price: Option, + /// The order calculated protection price. + pub protection_price: Option, /// The unique identifier for the event. pub event_id: UUID4, /// UNIX timestamp (nanoseconds) when the event occurred. @@ -89,6 +91,7 @@ impl OrderUpdated { account_id: Option, price: Option, trigger_price: Option, + protection_price: Option, ) -> Self { Self { trader_id, @@ -104,6 +107,7 @@ impl OrderUpdated { account_id, price, trigger_price, + protection_price, } } } @@ -113,7 +117,7 @@ impl Debug for OrderUpdated { write!( f, "{}(trader_id={}, strategy_id={}, instrument_id={}, client_order_id={}, \ - venue_order_id={}, account_id={}, quantity={}, price={}, trigger_price={}, event_id={}, ts_event={}, ts_init={})", + venue_order_id={}, account_id={}, quantity={}, price={}, trigger_price={}, protection_price={}, event_id={}, ts_event={}, ts_init={})", stringify!(OrderUpdated), self.trader_id, self.strategy_id, @@ -131,6 +135,9 @@ impl Debug for OrderUpdated { self.trigger_price .map_or("None".to_string(), |trigger_price| trigger_price .to_formatted_string()), + self.protection_price + .map_or("None".to_string(), |protection_price| protection_price + .to_formatted_string()), self.event_id, self.ts_event, self.ts_init @@ -142,7 +149,7 @@ impl Display for OrderUpdated { fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result { write!( f, - "{}(instrument_id={}, client_order_id={}, venue_order_id={}, account_id={}, quantity={}, price={}, trigger_price={}, ts_event={})", + "{}(instrument_id={}, client_order_id={}, venue_order_id={}, account_id={}, quantity={}, price={}, trigger_price={}, protection_price={}, ts_event={})", stringify!(OrderUpdated), self.instrument_id, self.client_order_id, @@ -158,6 +165,9 @@ impl Display for OrderUpdated { self.trigger_price .map_or("None".to_string(), |trigger_price| trigger_price .to_formatted_string()), + self.protection_price + .map_or("None".to_string(), |protection_price| protection_price + .to_formatted_string()), self.ts_event ) } @@ -347,7 +357,7 @@ mod tests { let display = format!("{order_updated}"); assert_eq!( display, - "OrderUpdated(instrument_id=BTCUSDT.COINBASE, client_order_id=O-19700101-000000-001-001-1, venue_order_id=001, account_id=SIM-001, quantity=100, price=22_000, trigger_price=None, ts_event=0)" + "OrderUpdated(instrument_id=BTCUSDT.COINBASE, client_order_id=O-19700101-000000-001-001-1, venue_order_id=001, account_id=SIM-001, quantity=100, price=22_000, trigger_price=None, protection_price=None, ts_event=0)" ); } } diff --git a/crates/model/src/orders/any.rs b/crates/model/src/orders/any.rs index 28dfd9867842..7930e6b6b20c 100644 --- a/crates/model/src/orders/any.rs +++ b/crates/model/src/orders/any.rs @@ -119,10 +119,7 @@ impl TryFrom for PassiveOrderAny { OrderAny::TrailingStopLimit(_) => Ok(Self::Stop(StopOrderAny::try_from(order)?)), OrderAny::TrailingStopMarket(_) => Ok(Self::Stop(StopOrderAny::try_from(order)?)), OrderAny::MarketToLimit(_) => Ok(Self::Limit(LimitOrderAny::try_from(order)?)), - OrderAny::Market(_) => Err( - "Cannot convert Market order to PassiveOrderAny: Market orders are not passive" - .to_string(), - ), + OrderAny::Market(_) => Ok(Self::Limit(LimitOrderAny::try_from(order)?)), } } } @@ -177,6 +174,7 @@ impl TryFrom for LimitOrderAny { OrderAny::MarketToLimit(order) => Ok(Self::MarketToLimit(order)), OrderAny::StopLimit(order) => Ok(Self::StopLimit(order)), OrderAny::TrailingStopLimit(order) => Ok(Self::TrailingStopLimit(order)), + OrderAny::Market(order) => Ok(Self::MarketOrderWithProtection(order)), _ => Err(format!( "Cannot convert {:?} order to LimitOrderAny: order type does not have a limit price", order.order_type() @@ -192,6 +190,7 @@ impl From for OrderAny { LimitOrderAny::MarketToLimit(order) => Self::MarketToLimit(order), LimitOrderAny::StopLimit(order) => Self::StopLimit(order), LimitOrderAny::TrailingStopLimit(order) => Self::TrailingStopLimit(order), + LimitOrderAny::MarketOrderWithProtection(order) => Self::Market(order), } } } @@ -230,6 +229,7 @@ pub enum LimitOrderAny { MarketToLimit(MarketToLimitOrder), StopLimit(StopLimitOrder), TrailingStopLimit(TrailingStopLimitOrder), + MarketOrderWithProtection(MarketOrder), } impl LimitOrderAny { @@ -245,6 +245,9 @@ impl LimitOrderAny { Self::MarketToLimit(order) => order.price.expect("MarketToLimit order price not set"), Self::StopLimit(order) => order.price, Self::TrailingStopLimit(order) => order.price, + Self::MarketOrderWithProtection(order) => { + order.protection_price.expect("No price for order") + } } } } @@ -256,6 +259,9 @@ impl PartialEq for LimitOrderAny { Self::MarketToLimit(order) => order.client_order_id == rhs.client_order_id(), Self::StopLimit(order) => order.client_order_id == rhs.client_order_id(), Self::TrailingStopLimit(order) => order.client_order_id == rhs.client_order_id(), + Self::MarketOrderWithProtection(order) => { + order.client_order_id == rhs.client_order_id() + } } } } diff --git a/crates/model/src/orders/market.rs b/crates/model/src/orders/market.rs index 18da8af76192..f6e9fae3b65b 100644 --- a/crates/model/src/orders/market.rs +++ b/crates/model/src/orders/market.rs @@ -49,6 +49,7 @@ use crate::{ )] pub struct MarketOrder { core: OrderCore, + pub protection_price: Option, } impl MarketOrder { @@ -125,6 +126,7 @@ impl MarketOrder { Ok(Self { core: OrderCore::new(init_order), + protection_price: None, }) } @@ -270,7 +272,7 @@ impl Order for MarketOrder { } fn price(&self) -> Option { - None + self.protection_price } fn trigger_price(&self) -> Option { @@ -298,7 +300,7 @@ impl Order for MarketOrder { } fn has_price(&self) -> bool { - false + self.protection_price.is_some() } fn display_qty(&self) -> Option { @@ -415,6 +417,7 @@ impl Order for MarketOrder { OrderError::InvalidOrderEvent ); + self.protection_price = event.protection_price; self.quantity = event.quantity; self.leaves_qty = self.quantity.saturating_sub(self.filled_qty); } @@ -548,7 +551,7 @@ mod tests { events::{OrderEventAny, OrderUpdated, order::initialized::OrderInitializedBuilder}, instruments::{CurrencyPair, stubs::*}, orders::{MarketOrder, Order, builder::OrderTestBuilder, stubs::TestOrderStubs}, - types::Quantity, + types::{Price, Quantity}, }; #[rstest] @@ -673,4 +676,35 @@ mod tests { ) ); } + + #[rstest] + fn test_stop_market_order_protection_price_update(audusd_sim: CurrencyPair) { + // Create and accept a basic MarketOrder + let order = OrderTestBuilder::new(OrderType::Market) + .instrument_id(audusd_sim.id) + .quantity(Quantity::from(10)) + .side(OrderSide::Buy) + .build(); + + let mut accepted_order = TestOrderStubs::make_accepted_order(&order); + + // Update with new values + let calculated_protection_price = Price::new(95.0, 2); + + let event = OrderUpdated { + client_order_id: accepted_order.client_order_id(), + strategy_id: accepted_order.strategy_id(), + protection_price: Some(calculated_protection_price), + ..Default::default() + }; + + assert_eq!(accepted_order.price(), None); + assert!(!accepted_order.has_price()); + + accepted_order.apply(OrderEventAny::Updated(event)).unwrap(); + + // Verify updates were applied correctly + assert_eq!(accepted_order.price(), Some(calculated_protection_price)); + assert!(accepted_order.has_price()); + } } diff --git a/crates/model/src/orders/stop_market.rs b/crates/model/src/orders/stop_market.rs index 4b878dfb5647..f96f6e6fea29 100644 --- a/crates/model/src/orders/stop_market.rs +++ b/crates/model/src/orders/stop_market.rs @@ -52,6 +52,7 @@ pub struct StopMarketOrder { pub trigger_instrument_id: Option, pub is_triggered: bool, pub ts_triggered: Option, + pub protection_price: Option, core: OrderCore, } @@ -141,6 +142,7 @@ impl StopMarketOrder { trigger_instrument_id, is_triggered: false, ts_triggered: None, + protection_price: None, }) } @@ -292,7 +294,7 @@ impl Order for StopMarketOrder { } fn price(&self) -> Option { - None + self.protection_price } fn trigger_price(&self) -> Option { @@ -320,7 +322,7 @@ impl Order for StopMarketOrder { } fn has_price(&self) -> bool { - false + self.protection_price.is_some() } fn display_qty(&self) -> Option { @@ -469,6 +471,7 @@ impl Order for StopMarketOrder { self.trigger_price = trigger_price; } + self.protection_price = event.protection_price; self.quantity = event.quantity; self.leaves_qty = self.quantity.saturating_sub(self.filled_qty); } @@ -777,4 +780,35 @@ mod tests { // Assert that the is_triggered flag is initially false assert_eq!(order.is_triggered(), Some(false)); } + + #[rstest] + fn test_stop_market_order_protection_price_update() { + // Create and accept a basic stop market order + let order = OrderTestBuilder::new(OrderType::StopMarket) + .instrument_id(InstrumentId::from("BTC-USDT.BINANCE")) + .quantity(Quantity::from(10)) + .trigger_price(Price::new(100.0, 2)) + .build(); + + let mut accepted_order = TestOrderStubs::make_accepted_order(&order); + + // Update with new values + let calculated_protection_price = Price::new(95.0, 2); + + let event = OrderUpdated { + client_order_id: accepted_order.client_order_id(), + strategy_id: accepted_order.strategy_id(), + protection_price: Some(calculated_protection_price), + ..Default::default() + }; + + assert_eq!(accepted_order.price(), None); + assert!(!accepted_order.has_price()); + + accepted_order.apply(OrderEventAny::Updated(event)).unwrap(); + + // Verify updates were applied correctly + assert_eq!(accepted_order.price(), Some(calculated_protection_price)); + assert!(accepted_order.has_price()); + } } diff --git a/crates/model/src/python/events/order/updated.rs b/crates/model/src/python/events/order/updated.rs index 657c2a40bd62..2efb3b2daf91 100644 --- a/crates/model/src/python/events/order/updated.rs +++ b/crates/model/src/python/events/order/updated.rs @@ -29,7 +29,7 @@ use crate::{ impl OrderUpdated { #[allow(clippy::too_many_arguments)] #[new] - #[pyo3(signature = (trader_id, strategy_id, instrument_id, client_order_id, quantity, event_id, ts_event, ts_init, reconciliation, venue_order_id=None, account_id=None, price=None, trigger_price=None))] + #[pyo3(signature = (trader_id, strategy_id, instrument_id, client_order_id, quantity, event_id, ts_event, ts_init, reconciliation, venue_order_id=None, account_id=None, price=None, trigger_price=None, protection_price=None))] fn py_new( trader_id: TraderId, strategy_id: StrategyId, @@ -44,6 +44,7 @@ impl OrderUpdated { account_id: Option, price: Option, trigger_price: Option, + protection_price: Option, ) -> Self { Self::new( trader_id, @@ -59,6 +60,7 @@ impl OrderUpdated { account_id, price, trigger_price, + protection_price, ) } diff --git a/nautilus_trader/backtest/config.py b/nautilus_trader/backtest/config.py index fc3479f45e66..da83d96c82cc 100644 --- a/nautilus_trader/backtest/config.py +++ b/nautilus_trader/backtest/config.py @@ -169,6 +169,9 @@ class BacktestVenueConfig(NautilusConfig, frozen=True): If borrowing is allowed for cash accounts (negative balances). frozen_account : bool, default False If the account for this exchange is frozen (balances will not change). + price_protection_points : float, default 0.0 + Defines an exchange-calculated price boundary (in points) to prevent + marketable orders from executing at excessively aggressive prices. """ @@ -197,6 +200,7 @@ class BacktestVenueConfig(NautilusConfig, frozen=True): trade_execution: bool = False allow_cash_borrowing: bool = False frozen_account: bool = False + price_protection_points: float = 0.0 class BacktestDataConfig(NautilusConfig, frozen=True): diff --git a/nautilus_trader/backtest/engine.pxd b/nautilus_trader/backtest/engine.pxd index 221cd028d170..e3b83f45027b 100644 --- a/nautilus_trader/backtest/engine.pxd +++ b/nautilus_trader/backtest/engine.pxd @@ -248,6 +248,8 @@ cdef class SimulatedExchange: """If the processing order of bar prices is adaptive based on a heuristic.\n\n:returns: `bool`""" cdef readonly bint trade_execution """If trades should be processed by the matching engine(s) (and move the market).\n\n:returns: `bool`""" + cdef readonly price_protection_points + """Defines an exchange-calculated price boundary (in points) to prevent marketable orders from executing at excessively aggressive prices.\n\n:returns: `Decimal`""" cdef readonly list modules """The simulation modules registered with the exchange.\n\n:returns: `list[SimulationModule]`""" cdef readonly dict instruments @@ -342,6 +344,7 @@ cdef class OrderMatchingEngine: cdef bint _bar_execution cdef bint _bar_adaptive_high_low_ordering cdef bint _trade_execution + cdef object _price_protection_points cdef dict _account_ids cdef dict _execution_bar_types cdef dict _execution_bar_deltas diff --git a/nautilus_trader/backtest/engine.pyx b/nautilus_trader/backtest/engine.pyx index c643b89e3a4d..657ba31da8fb 100644 --- a/nautilus_trader/backtest/engine.pyx +++ b/nautilus_trader/backtest/engine.pyx @@ -503,6 +503,7 @@ cdef class BacktestEngine: trade_execution: bool = False, allow_cash_borrowing: bool = False, frozen_account: bool = False, + price_protection_points=None, ) -> None: """ Add a `SimulatedExchange` with the given parameters to the backtest engine. @@ -571,6 +572,9 @@ cdef class BacktestEngine: If cash accounts should allow borrowing (negative balances). frozen_account : bool, default False If the account for this exchange is frozen (balances will not change). + price_protection_points : Decimal, optional + Defines an exchange-calculated price boundary (in points) to prevent + marketable orders from executing at excessively aggressive prices. Raises ------ @@ -604,6 +608,12 @@ cdef class BacktestEngine: default_leverage = Decimal(1) # Create exchange + normalized_price_protection = ( + Decimal(price_protection_points) + if price_protection_points is not None + else None + ) + exchange = SimulatedExchange( venue=venue, oms_type=oms_type, @@ -633,6 +643,7 @@ cdef class BacktestEngine: bar_execution=bar_execution, bar_adaptive_high_low_ordering=bar_adaptive_high_low_ordering, trade_execution=trade_execution, + price_protection_points=normalized_price_protection, ) self._venues[venue] = exchange @@ -2454,6 +2465,9 @@ cdef class SimulatedExchange: If True, the processing order adapts with the heuristic: - If High is closer to Open than Low then the processing order is Open, High, Low, Close. - If Low is closer to Open than High then the processing order is Open, Low, High, Close. + price_protection_points : Decimal, optional + Defines an exchange-calculated price boundary (in points) to prevent + marketable orders from executing at excessively aggressive prices. trade_execution : bool, default False If trades should be processed by the matching engine(s) (and move the market). @@ -2504,6 +2518,7 @@ cdef class SimulatedExchange: bint bar_execution = True, bint bar_adaptive_high_low_ordering = False, bint trade_execution = False, + price_protection_points=None, ) -> None: Condition.not_empty(starting_balances, "starting_balances") Condition.list_type(starting_balances, Money, "starting_balances") @@ -2545,6 +2560,11 @@ cdef class SimulatedExchange: self.bar_execution = bar_execution self.bar_adaptive_high_low_ordering = bar_adaptive_high_low_ordering self.trade_execution = trade_execution + self.price_protection_points = ( + Decimal(price_protection_points) + if price_protection_points is not None + else Decimal(0) + ) # Execution models self.fill_model = fill_model @@ -2700,6 +2720,7 @@ cdef class SimulatedExchange: bar_execution=self.bar_execution, bar_adaptive_high_low_ordering=self.bar_adaptive_high_low_ordering, trade_execution=self.trade_execution, + price_protection_points=self.price_protection_points, ) self._matching_engines[instrument.id] = matching_engine @@ -3527,6 +3548,7 @@ cdef class OrderMatchingEngine: bint bar_execution = True, bint bar_adaptive_high_low_ordering = False, bint trade_execution = False, + price_protection_points=None, # auction_match_algo = default_auction_match ) -> None: self._clock = clock @@ -3553,6 +3575,11 @@ cdef class OrderMatchingEngine: self._bar_execution = bar_execution self._bar_adaptive_high_low_ordering = bar_adaptive_high_low_ordering self._trade_execution = trade_execution + self._price_protection_points = ( + Decimal(price_protection_points) + if price_protection_points is not None + else Decimal(0) + ) # self._auction_match_algo = auction_match_algo self._fill_model = fill_model diff --git a/nautilus_trader/backtest/node.py b/nautilus_trader/backtest/node.py index 56d25d508423..f86f06f07e58 100644 --- a/nautilus_trader/backtest/node.py +++ b/nautilus_trader/backtest/node.py @@ -405,6 +405,7 @@ def _create_engine(self, run_config_id: str) -> BacktestEngine: bar_adaptive_high_low_ordering=venue_config.bar_adaptive_high_low_ordering, trade_execution=venue_config.trade_execution, allow_cash_borrowing=venue_config.allow_cash_borrowing, + price_protection_points=get_price_protection_points(venue_config), ) # Add instruments @@ -783,6 +784,15 @@ def get_leverages(config: BacktestVenueConfig) -> dict[InstrumentId, Decimal]: ) +def get_price_protection_points(config: BacktestVenueConfig) -> Decimal | None: + value = config.price_protection_points + + if value is None: + return None + + return Decimal(value) + + def get_fill_model(config: BacktestVenueConfig) -> FillModel | None: """ Create a FillModel from an ImportableFillModelConfig. diff --git a/poetry.lock b/poetry.lock new file mode 100644 index 000000000000..a1943df80f2e --- /dev/null +++ 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client_order_id=O-20210410-022422-001-001-1, venue_order_id=123456, " - + "account_id=SIM-000, quantity=1.5, price=1_500.0, trigger_price=None, ts_event=0)" + + "account_id=SIM-000, quantity=1.5, price=1_500.0, trigger_price=None, protection_price=None, ts_event=0)" ) assert ( repr(event) == "OrderUpdated(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, quantity=1.5, price=1_500.0, trigger_price=None, " - + "event_id=91762096-b188-49ea-8562-8d8a4cc22ff2, ts_event=0, ts_init=0)" + + "protection_price=None, event_id=91762096-b188-49ea-8562-8d8a4cc22ff2, ts_event=0, ts_init=0)" )