Implement event OrderModifyRejected in Rust (#1400)

nautilus_core/model/src/events/order/event.rs

@@ -20,7 +20,7 @@ use crate::{
     events::order::{
         accepted::OrderAccepted, cancel_rejected::OrderCancelRejected, canceled::OrderCanceled,
         denied::OrderDenied, emulated::OrderEmulated, expired::OrderExpired, filled::OrderFilled,
-        initialized::OrderInitialized, modified_rejected::OrderModifyRejected,
+        initialized::OrderInitialized, modify_rejected::OrderModifyRejected,
         pending_cancel::OrderPendingCancel, pending_update::OrderPendingUpdate,
         rejected::OrderRejected, released::OrderReleased, submitted::OrderSubmitted,
         triggered::OrderTriggered, updated::OrderUpdated,

nautilus_core/model/src/events/order/mod.rs

@@ -22,7 +22,7 @@ pub mod event;
 pub mod expired;
 pub mod filled;
 pub mod initialized;
-pub mod modified_rejected;
+pub mod modify_rejected;
 pub mod pending_cancel;
 pub mod pending_update;
 pub mod rejected;

nautilus_core/model/src/events/order/modify_rejected.rs

@@ -0,0 +1,120 @@
+// -------------------------------------------------------------------------------------------------
+//  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 std::fmt::{Display, Formatter};
+
+use anyhow::Result;
+use derive_builder::{self, Builder};
+use nautilus_core::{time::UnixNanos, uuid::UUID4};
+use pyo3::prelude::*;
+use serde::{Deserialize, Serialize};
+use ustr::Ustr;
+
+use crate::identifiers::{
+    account_id::AccountId, client_order_id::ClientOrderId, instrument_id::InstrumentId,
+    strategy_id::StrategyId, trader_id::TraderId, venue_order_id::VenueOrderId,
+};
+
+#[repr(C)]
+#[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 OrderModifyRejected {
+    pub trader_id: TraderId,
+    pub strategy_id: StrategyId,
+    pub instrument_id: InstrumentId,
+    pub client_order_id: ClientOrderId,
+    pub reason: Ustr,
+    pub event_id: UUID4,
+    pub ts_event: UnixNanos,
+    pub ts_init: UnixNanos,
+    pub reconciliation: u8,
+    pub venue_order_id: Option<VenueOrderId>,
+    pub account_id: Option<AccountId>,
+}
+
+impl OrderModifyRejected {
+    #[allow(clippy::too_many_arguments)]
+    pub fn new(
+        trader_id: TraderId,
+        strategy_id: StrategyId,
+        instrument_id: InstrumentId,
+        client_order_id: ClientOrderId,
+        reason: Ustr,
+        event_id: UUID4,
+        ts_event: UnixNanos,
+        ts_init: UnixNanos,
+        reconciliation: bool,
+        venue_order_id: Option<VenueOrderId>,
+        account_id: Option<AccountId>,
+    ) -> Result<Self> {
+        Ok(Self {
+            trader_id,
+            strategy_id,
+            instrument_id,
+            client_order_id,
+            reason,
+            event_id,
+            ts_event,
+            ts_init,
+            reconciliation: reconciliation as u8,
+            venue_order_id,
+            account_id,
+        })
+    }
+}
+
+impl Display for OrderModifyRejected {
+    fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result {
+        write!(
+            f,
+            "OrderModifyRejected(instrument_id={}, client_order_id={}, venue_order_id={}, account_id={},reason={}, ts_event={})",
+            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.reason,
+            self.ts_event
+        )
+    }
+}
+
+////////////////////////////////////////////////////////////////////////////////
+// Tests
+////////////////////////////////////////////////////////////////////////////////
+#[cfg(test)]
+mod tests {
+    use rstest::rstest;
+
+    use crate::events::order::{modify_rejected::OrderModifyRejected, stubs::*};
+
+    #[rstest]
+    fn test_order_modified_rejected(order_modify_rejected: OrderModifyRejected) {
+        let display = format!("{}", order_modify_rejected);
+        assert_eq!(
+            display,
+            "OrderModifyRejected(instrument_id=BTCUSDT.COINBASE, client_order_id=O-20200814-102234-001-001-1, \
+            venue_order_id=001, account_id=SIM-001,reason=ORDER_DOES_NOT_EXIST, ts_event=0)"
+        );
+    }
+}

nautilus_core/model/src/events/order/stubs.rs

@@ -23,9 +23,10 @@ use crate::{
     enums::{ContingencyType, LiquiditySide, OrderSide, OrderType, TimeInForce, TriggerType},
     events::order::{
         denied::OrderDenied, emulated::OrderEmulated, filled::OrderFilled,
-        initialized::OrderInitialized, pending_cancel::OrderPendingCancel,
-        pending_update::OrderPendingUpdate, rejected::OrderRejected, released::OrderReleased,
-        submitted::OrderSubmitted, triggered::OrderTriggered, updated::OrderUpdated,
+        initialized::OrderInitialized, modify_rejected::OrderModifyRejected,
+        pending_cancel::OrderPendingCancel, pending_update::OrderPendingUpdate,
+        rejected::OrderRejected, released::OrderReleased, submitted::OrderSubmitted,
+        triggered::OrderTriggered, updated::OrderUpdated,
     },
     identifiers::{
         account_id::AccountId, client_order_id::ClientOrderId, instrument_id::InstrumentId,
@@ -325,3 +326,29 @@ pub fn order_pending_cancel(
     )
     .unwrap()
 }
+
+#[fixture]
+pub fn order_modify_rejected(
+    trader_id: TraderId,
+    strategy_id_ema_cross: StrategyId,
+    instrument_id_btc_usdt: InstrumentId,
+    client_order_id: ClientOrderId,
+    venue_order_id: VenueOrderId,
+    account_id: AccountId,
+    uuid4: UUID4,
+) -> OrderModifyRejected {
+    OrderModifyRejected::new(
+        trader_id,
+        strategy_id_ema_cross,
+        instrument_id_btc_usdt,
+        client_order_id,
+        Ustr::from("ORDER_DOES_NOT_EXIST"),
+        uuid4,
+        0,
+        0,
+        false,
+        Some(venue_order_id),
+        Some(account_id),
+    )
+    .unwrap()
+}

nautilus_core/model/src/orders/base.rs

@@ -29,7 +29,7 @@ use crate::{
     events::order::{
         accepted::OrderAccepted, cancel_rejected::OrderCancelRejected, canceled::OrderCanceled,
         denied::OrderDenied, emulated::OrderEmulated, event::OrderEvent, expired::OrderExpired,
-        filled::OrderFilled, initialized::OrderInitialized, modified_rejected::OrderModifyRejected,
+        filled::OrderFilled, initialized::OrderInitialized, modify_rejected::OrderModifyRejected,
         pending_cancel::OrderPendingCancel, pending_update::OrderPendingUpdate,
         rejected::OrderRejected, released::OrderReleased, submitted::OrderSubmitted,
         triggered::OrderTriggered, updated::OrderUpdated,

nautilus_core/model/src/python/events/order/mod.rs

@@ -17,6 +17,7 @@ pub mod denied;
 pub mod emulated;
 pub mod filled;
 pub mod initialized;
+pub mod modify_rejected;
 pub mod pending_cancel;
 pub mod pending_update;
 pub mod rejected;

nautilus_core/model/src/python/events/order/modify_rejected.rs

@@ -0,0 +1,148 @@
+// -------------------------------------------------------------------------------------------------
+//  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 std::str::FromStr;
+
+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 ustr::Ustr;
+
+use crate::{
+    events::order::modify_rejected::OrderModifyRejected,
+    identifiers::{
+        account_id::AccountId, client_order_id::ClientOrderId, instrument_id::InstrumentId,
+        strategy_id::StrategyId, trader_id::TraderId, venue_order_id::VenueOrderId,
+    },
+};
+
+#[pymethods]
+impl OrderModifyRejected {
+    #[allow(clippy::too_many_arguments)]
+    #[new]
+    fn py_new(
+        trader_id: TraderId,
+        strategy_id: StrategyId,
+        instrument_id: InstrumentId,
+        client_order_id: ClientOrderId,
+        reason: &str,
+        event_id: UUID4,
+        ts_event: UnixNanos,
+        ts_init: UnixNanos,
+        reconciliation: bool,
+        venue_order_id: Option<VenueOrderId>,
+        account_id: Option<AccountId>,
+    ) -> PyResult<Self> {
+        let reason = Ustr::from_str(reason).unwrap();
+        Self::new(
+            trader_id,
+            strategy_id,
+            instrument_id,
+            client_order_id,
+            reason,
+            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<PyAny> {
+        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={}, reason={}, event_id={}, ts_event={}, ts_init={})",
+            stringify!(OrderModifyRejected),
+            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.reason,
+            self.event_id,
+            self.ts_event,
+            self.ts_init
+
+        )
+    }
+
+    fn __str__(&self) -> String {
+        format!(
+            "{}(instrument_id={}, client_order_id={}, venue_order_id={}, account_id={}, reason={}, ts_event={})",
+            stringify!(OrderModifyRejected),
+            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.reason,
+            self.ts_event,
+        )
+    }
+
+    #[staticmethod]
+    #[pyo3(name = "from_dict")]
+    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
+        from_dict_pyo3(py, values)
+    }
+
+    #[pyo3(name = "to_dict")]
+    fn py_to_dict(&self, py: Python<'_>) -> PyResult<PyObject> {
+        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(
+            "venue_order_id",
+            self.venue_order_id
+                .map(|venue_order_id| format!("{}", venue_order_id))
+                .unwrap_or_else(|| "None".to_string()),
+        )?;
+        dict.set_item(
+            "account_id",
+            self.account_id
+                .map(|account_id| format!("{}", account_id))
+                .unwrap_or_else(|| "None".to_string()),
+        )?;
+        dict.set_item("reason", self.reason.to_string())?;
+        dict.set_item("event_id", self.event_id.to_string())?;
+        dict.set_item("reconciliation", self.reconciliation)?;
+        dict.set_item("ts_event", self.ts_event.to_u64())?;
+        dict.set_item("ts_init", self.ts_init.to_u64())?;
+        Ok(dict.into())
+    }
+}

nautilus_core/model/src/python/mod.rs

@@ -304,5 +304,6 @@ pub fn model(_: Python<'_>, m: &PyModule) -> PyResult<()> {
     m.add_class::<crate::events::order::updated::OrderUpdated>()?;
     m.add_class::<crate::events::order::pending_update::OrderPendingUpdate>()?;
     m.add_class::<crate::events::order::pending_cancel::OrderPendingCancel>()?;
+    m.add_class::<crate::events::order::modify_rejected::OrderModifyRejected>()?;
     Ok(())
 }