Add price protection support for market orders

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,
     ))
 }
 

crates/backtest/src/config.rs

@@ -290,6 +290,9 @@ pub struct BacktestVenueConfig {
     default_leverage: Option<f64>,
     /// The instrument specific leverage configuration (for margin accounts).
     leverages: Option<HashMap<Currency, f64>>,
+    /// 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<Currency>,
         default_leverage: Option<f64>,
         leverages: Option<HashMap<Currency, f64>>,
+        price_protection_points: Option<f64>,
     ) -> Self {
         Self {
             name,
@@ -336,6 +340,7 @@ impl BacktestVenueConfig {
             base_currency,
             default_leverage,
             leverages,
+            price_protection_points: price_protection_points.unwrap_or(0.0),
         }
     }
 }

crates/backtest/src/engine.rs

@@ -148,6 +148,7 @@ impl BacktestEngine {
         trade_execution: Option<bool>,
         allow_cash_borrowing: Option<bool>,
         frozen_account: Option<bool>,
+        price_protection_points: Option<Decimal>,
     ) -> 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

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<bool>,
         allow_cash_borrowing: Option<bool>,
         frozen_account: Option<bool>,
+        price_protection_points: Option<Decimal>,
     ) -> anyhow::Result<Self> {
         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(),
         ));

crates/execution/src/client/base.rs

@@ -300,6 +300,7 @@ impl ExecutionClientCore {
         quantity: Quantity,
         price: Price,
         trigger_price: Option<Price>,
+        protection_price: Option<Price>,
         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));

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);

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;

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<Decimal>,
 }
 
 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<Decimal>,
+    ) -> 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,
         }
     }
 }