qualia_core_db/specialized_libs/financial_modeling/
execution.rs

1use super::*;
2
3/// Execution engine
4pub struct ExecutionEngine {
5    execution_strategies: HashMap<String, ExecutionStrategy>,
6    order_manager: OrderManager,
7    settlement_engine: SettlementEngine,
8}
9
10/// Execution strategies
11#[derive(Debug, Clone)]
12pub struct ExecutionStrategy {
13    pub strategy_id: String,
14    pub strategy_name: String,
15    pub strategy_type: ExecutionStrategyType,
16    pub parameters: ExecutionParameters,
17}
18
19/// Execution strategy types
20#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
21pub enum ExecutionStrategyType {
22    MarketOrder,
23    LimitOrder,
24    VWAP,
25    TWAP,
26    ImplementationShortfall,
27}
28
29/// Execution parameters
30#[derive(Debug, Clone, Serialize, Deserialize)]
31pub struct ExecutionParameters {
32    pub order_size: f64,
33    pub price_limit: Option<f64>,
34    pub time_limit: Option<u64>,
35    pub participation_rate: Option<f64>,
36}
37
38/// Order manager
39pub struct OrderManager {
40    orders: HashMap<String, Order>,
41    order_validation: OrderValidation,
42    order_routing: OrderRouting,
43}
44
45/// Orders
46#[derive(Debug, Clone)]
47pub struct Order {
48    pub order_id: String,
49    pub portfolio_id: String,
50    pub asset_id: String,
51    pub order_type: OrderType,
52    pub side: OrderSide,
53    pub quantity: f64,
54    pub price: Option<f64>,
55    pub time_in_force: TimeInForce,
56    pub status: OrderStatus,
57    pub created_at: u64,
58    pub updated_at: u64,
59}
60
61/// Order types
62#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
63pub enum OrderType {
64    Market,
65    Limit,
66    Stop,
67    StopLimit,
68    TrailingStop,
69}
70
71/// Order sides
72#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
73pub enum OrderSide {
74    Buy,
75    Sell,
76}
77
78/// Time in force
79#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
80pub enum TimeInForce {
81    Day,
82    GTC,
83    IOC,
84    FOK,
85}
86
87/// Order status
88#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
89pub enum OrderStatus {
90    New,
91    PartiallyFilled,
92    Filled,
93    Cancelled,
94    Rejected,
95}
96
97/// Order validation
98pub struct OrderValidation {
99    validation_rules: Vec<OrderValidationRule>,
100    compliance_checker: OrderComplianceChecker,
101}
102
103/// Order validation rules
104#[derive(Debug, Clone)]
105pub struct OrderValidationRule {
106    pub rule_id: String,
107    pub rule_type: OrderValidationRuleType,
108    pub condition: String,
109    pub action: OrderValidationAction,
110}
111
112/// Order validation rule types
113#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
114pub enum OrderValidationRuleType {
115    Size,
116    Price,
117    Liquidity,
118    Risk,
119    Compliance,
120}
121
122/// Order validation actions
123#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
124pub enum OrderValidationAction {
125    Accept,
126    Reject,
127    Modify,
128    Escalate,
129}
130
131/// Order compliance checker
132pub struct OrderComplianceChecker {
133    compliance_rules: Vec<OrderComplianceRule>,
134    regulatory_limits: HashMap<String, RegulatoryLimit>,
135}
136
137/// Order compliance rules
138#[derive(Debug, Clone)]
139pub struct OrderComplianceRule {
140    pub rule_id: String,
141    pub rule_name: String,
142    pub conditions: Vec<OrderComplianceCondition>,
143    pub actions: Vec<OrderComplianceAction>,
144}
145
146/// Order compliance conditions
147#[derive(Debug, Clone)]
148pub struct OrderComplianceCondition {
149    pub condition_id: String,
150    pub field: String,
151    pub operator: ComparisonOperator,
152    pub value: OrderComplianceValue,
153}
154
155/// Order compliance values
156#[derive(Debug, Clone)]
157pub enum OrderComplianceValue {
158    String(String),
159    Number(f64),
160    Boolean(bool),
161}
162
163/// Order compliance actions
164#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
165pub enum OrderComplianceAction {
166    Approve,
167    Reject,
168    Flag,
169    Escalate,
170}
171
172/// Regulatory limits
173#[derive(Debug, Clone)]
174pub struct RegulatoryLimit {
175    pub limit_id: String,
176    pub limit_type: RegulatoryLimitType,
177    pub limit_value: f64,
178    pub reset_period: u64,
179}
180
181/// Regulatory limit types
182#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
183pub enum RegulatoryLimitType {
184    Position,
185    Trading,
186    Exposure,
187    Leverage,
188}
189
190/// Order routing
191pub struct OrderRouting {
192    routing_strategies: HashMap<String, RoutingStrategy>,
193    venue_selector: VenueSelector,
194}
195
196/// Routing strategies
197#[derive(Debug, Clone)]
198pub struct RoutingStrategy {
199    pub strategy_id: String,
200    pub strategy_name: String,
201    pub strategy_type: RoutingStrategyType,
202    pub parameters: RoutingParameters,
203}
204
205/// Routing strategy types
206#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
207pub enum RoutingStrategyType {
208    BestExecution,
209    CostMinimization,
210    SpeedOptimization,
211    LiquiditySeeking,
212}
213
214/// Routing parameters
215#[derive(Debug, Clone, Serialize, Deserialize)]
216pub struct RoutingParameters {
217    pub venues: Vec<String>,
218    pub priority_factors: Vec<PriorityFactor>,
219    pub cost_factors: Vec<CostFactor>,
220}
221
222/// Priority factors
223#[derive(Debug, Clone, Serialize, Deserialize)]
224pub struct PriorityFactor {
225    pub factor_name: String,
226    pub weight: f64,
227}
228
229/// Cost factors
230#[derive(Debug, Clone, Serialize, Deserialize)]
231pub struct CostFactor {
232    pub factor_name: String,
233    pub cost_per_share: f64,
234}
235
236/// Venue selector
237pub struct VenueSelector {
238    venues: HashMap<String, TradingVenue>,
239    venue_performance: HashMap<String, VenuePerformance>,
240}
241
242/// Trading venues
243#[derive(Debug, Clone)]
244pub struct TradingVenue {
245    pub venue_id: String,
246    pub venue_name: String,
247    pub venue_type: VenueType,
248    pub supported_assets: Vec<String>,
249    pub fee_structure: FeeStructure,
250}
251
252/// Venue types
253#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
254pub enum VenueType {
255    Exchange,
256    ECN,
257    DarkPool,
258    Internalizer,
259    OTC,
260}
261
262/// Fee structures
263#[derive(Debug, Clone)]
264pub struct FeeStructure {
265    pub commission_rate: f64,
266    pub clearing_fee: f64,
267    pub exchange_fee: f64,
268    pub regulatory_fee: f64,
269}
270
271/// Venue performance
272#[derive(Debug, Clone)]
273pub struct VenuePerformance {
274    pub venue_id: String,
275    pub fill_rate: f64,
276    pub average_fill_time: f64,
277    pub price_improvement: f64,
278    pub market_impact: f64,
279}
280
281impl ExecutionEngine {
282    pub fn new() -> Self {
283        Self {
284            execution_strategies: HashMap::new(),
285            order_manager: OrderManager::new(),
286            settlement_engine: SettlementEngine::new(),
287        }
288    }
289
290    pub fn initialize(&mut self) -> Result<(), FinancialError> {
291        self.order_manager.initialize()?;
292        self.settlement_engine.initialize()?;
293        Ok(())
294    }
295
296    pub fn add_execution_strategy(&mut self, strategy: ExecutionStrategy) {
297        self.execution_strategies
298            .insert(strategy.strategy_id.clone(), strategy);
299    }
300
301    pub fn get_execution_strategy(&self, strategy_id: &str) -> Option<&ExecutionStrategy> {
302        self.execution_strategies.get(strategy_id)
303    }
304
305    pub fn list_execution_strategies(&self) -> Vec<String> {
306        self.execution_strategies.keys().cloned().collect()
307    }
308}
309
310impl OrderManager {
311    pub fn new() -> Self {
312        Self {
313            orders: HashMap::new(),
314            order_validation: OrderValidation::new(),
315            order_routing: OrderRouting::new(),
316        }
317    }
318
319    pub fn initialize(&mut self) -> Result<(), FinancialError> {
320        Ok(())
321    }
322
323    pub fn add_order(&mut self, order: Order) {
324        self.orders.insert(order.order_id.clone(), order);
325    }
326
327    pub fn get_order(&self, order_id: &str) -> Option<&Order> {
328        self.orders.get(order_id)
329    }
330
331    pub fn list_orders(&self) -> Vec<String> {
332        self.orders.keys().cloned().collect()
333    }
334
335    pub fn order_validation(&self) -> &OrderValidation {
336        &self.order_validation
337    }
338
339    pub fn order_validation_mut(&mut self) -> &mut OrderValidation {
340        &mut self.order_validation
341    }
342
343    pub fn order_routing(&self) -> &OrderRouting {
344        &self.order_routing
345    }
346
347    pub fn order_routing_mut(&mut self) -> &mut OrderRouting {
348        &mut self.order_routing
349    }
350}
351
352impl OrderValidation {
353    pub fn new() -> Self {
354        Self {
355            validation_rules: Vec::new(),
356            compliance_checker: OrderComplianceChecker::new(),
357        }
358    }
359
360    pub fn add_validation_rule(&mut self, rule: OrderValidationRule) {
361        self.validation_rules.push(rule);
362    }
363
364    pub fn list_validation_rules(&self) -> &[OrderValidationRule] {
365        &self.validation_rules
366    }
367
368    pub fn compliance_checker(&self) -> &OrderComplianceChecker {
369        &self.compliance_checker
370    }
371
372    pub fn compliance_checker_mut(&mut self) -> &mut OrderComplianceChecker {
373        &mut self.compliance_checker
374    }
375}
376
377impl OrderComplianceChecker {
378    pub fn new() -> Self {
379        Self {
380            compliance_rules: Vec::new(),
381            regulatory_limits: HashMap::new(),
382        }
383    }
384
385    pub fn add_compliance_rule(&mut self, rule: OrderComplianceRule) {
386        self.compliance_rules.push(rule);
387    }
388
389    pub fn list_compliance_rules(&self) -> &[OrderComplianceRule] {
390        &self.compliance_rules
391    }
392
393    pub fn add_regulatory_limit(&mut self, limit: RegulatoryLimit) {
394        self.regulatory_limits.insert(limit.limit_id.clone(), limit);
395    }
396
397    pub fn get_regulatory_limit(&self, limit_id: &str) -> Option<&RegulatoryLimit> {
398        self.regulatory_limits.get(limit_id)
399    }
400
401    pub fn list_regulatory_limits(&self) -> Vec<String> {
402        self.regulatory_limits.keys().cloned().collect()
403    }
404}
405
406impl OrderRouting {
407    pub fn new() -> Self {
408        Self {
409            routing_strategies: HashMap::new(),
410            venue_selector: VenueSelector::new(),
411        }
412    }
413
414    pub fn add_routing_strategy(&mut self, strategy: RoutingStrategy) {
415        self.routing_strategies
416            .insert(strategy.strategy_id.clone(), strategy);
417    }
418
419    pub fn get_routing_strategy(&self, strategy_id: &str) -> Option<&RoutingStrategy> {
420        self.routing_strategies.get(strategy_id)
421    }
422
423    pub fn list_routing_strategies(&self) -> Vec<String> {
424        self.routing_strategies.keys().cloned().collect()
425    }
426
427    pub fn venue_selector(&self) -> &VenueSelector {
428        &self.venue_selector
429    }
430
431    pub fn venue_selector_mut(&mut self) -> &mut VenueSelector {
432        &mut self.venue_selector
433    }
434}
435
436impl VenueSelector {
437    pub fn new() -> Self {
438        Self {
439            venues: HashMap::new(),
440            venue_performance: HashMap::new(),
441        }
442    }
443
444    pub fn add_venue(&mut self, venue: TradingVenue) {
445        self.venues.insert(venue.venue_id.clone(), venue);
446    }
447
448    pub fn get_venue(&self, venue_id: &str) -> Option<&TradingVenue> {
449        self.venues.get(venue_id)
450    }
451
452    pub fn list_venues(&self) -> Vec<String> {
453        self.venues.keys().cloned().collect()
454    }
455
456    pub fn add_venue_performance(&mut self, performance: VenuePerformance) {
457        self.venue_performance
458            .insert(performance.venue_id.clone(), performance);
459    }
460
461    pub fn get_venue_performance(&self, venue_id: &str) -> Option<&VenuePerformance> {
462        self.venue_performance.get(venue_id)
463    }
464}
465
466impl ExecutionStrategy {
467    pub fn new() -> Self {
468        Self {
469            strategy_id: "exec_1".to_string(),
470            strategy_name: "VWAP execution".to_string(),
471            strategy_type: ExecutionStrategyType::VWAP,
472            parameters: ExecutionParameters::new(),
473        }
474    }
475}
476
477impl ExecutionParameters {
478    pub fn new() -> Self {
479        Self {
480            order_size: 10000.0,
481            price_limit: None,
482            time_limit: Some(3600), // 1 hour
483            participation_rate: Some(0.2),
484        }
485    }
486}
487
488impl Order {
489    pub fn new() -> Self {
490        Self {
491            order_id: "order_1".to_string(),
492            portfolio_id: "portfolio_1".to_string(),
493            asset_id: "asset_1".to_string(),
494            order_type: OrderType::Market,
495            side: OrderSide::Buy,
496            quantity: 100.0,
497            price: None,
498            time_in_force: TimeInForce::Day,
499            status: OrderStatus::New,
500            created_at: 0,
501            updated_at: 0,
502        }
503    }
504}
505
506impl OrderValidationRule {
507    pub fn new() -> Self {
508        Self {
509            rule_id: "rule_1".to_string(),
510            rule_type: OrderValidationRuleType::Size,
511            condition: "quantity > 0".to_string(),
512            action: OrderValidationAction::Accept,
513        }
514    }
515}
516
517impl OrderComplianceCondition {
518    pub fn new() -> Self {
519        Self {
520            condition_id: "cond_1".to_string(),
521            field: "quantity".to_string(),
522            operator: ComparisonOperator::GreaterThan,
523            value: OrderComplianceValue::Number(0.0),
524        }
525    }
526}
527
528impl OrderComplianceRule {
529    pub fn new() -> Self {
530        Self {
531            rule_id: "rule_1".to_string(),
532            rule_name: "Size validation".to_string(),
533            conditions: vec![OrderComplianceCondition::new()],
534            actions: vec![OrderComplianceAction::Approve],
535        }
536    }
537}
538
539impl RegulatoryLimit {
540    pub fn new() -> Self {
541        Self {
542            limit_id: "limit_1".to_string(),
543            limit_type: RegulatoryLimitType::Position,
544            limit_value: 1000000.0,
545            reset_period: 86400, // 1 day
546        }
547    }
548}
549
550impl RoutingStrategy {
551    pub fn new() -> Self {
552        Self {
553            strategy_id: "route_1".to_string(),
554            strategy_name: "Best execution".to_string(),
555            strategy_type: RoutingStrategyType::BestExecution,
556            parameters: RoutingParameters::new(),
557        }
558    }
559}
560
561impl RoutingParameters {
562    pub fn new() -> Self {
563        Self {
564            venues: vec!["venue_1".to_string()],
565            priority_factors: vec![PriorityFactor::new()],
566            cost_factors: vec![CostFactor::new()],
567        }
568    }
569}
570
571impl PriorityFactor {
572    pub fn new() -> Self {
573        Self {
574            factor_name: "Speed".to_string(),
575            weight: 0.5,
576        }
577    }
578}
579
580impl CostFactor {
581    pub fn new() -> Self {
582        Self {
583            factor_name: "Commission".to_string(),
584            cost_per_share: 0.001,
585        }
586    }
587}
588
589impl TradingVenue {
590    pub fn new() -> Self {
591        Self {
592            venue_id: "venue_1".to_string(),
593            venue_name: "NASDAQ".to_string(),
594            venue_type: VenueType::Exchange,
595            supported_assets: vec!["AAPL".to_string()],
596            fee_structure: FeeStructure::new(),
597        }
598    }
599}
600
601impl FeeStructure {
602    pub fn new() -> Self {
603        Self {
604            commission_rate: 0.001,
605            clearing_fee: 0.0001,
606            exchange_fee: 0.0002,
607            regulatory_fee: 0.0001,
608        }
609    }
610}
611
612impl VenuePerformance {
613    pub fn new() -> Self {
614        Self {
615            venue_id: "venue_1".to_string(),
616            fill_rate: 0.95,
617            average_fill_time: 100.0,
618            price_improvement: 0.001,
619            market_impact: 0.0005,
620        }
621    }
622}
qualia_core_db/specialized_libs/financial_modeling/execution.rs

qualia_core_db/specialized_libs/financial_modeling/
execution.rs
