change clock type for order matching engine and fix tests

Author: filipmacek

crates/execution/src/matching_engine/adapter.rs

@@ -18,8 +18,7 @@ use std::{
     rc::Rc,
 };
 
-use nautilus_common::cache::Cache;
-use nautilus_core::AtomicTime;
+use nautilus_common::{cache::Cache, clock::Clock};
 use nautilus_model::{
     enums::{AccountType, BookType, OmsType},
     instruments::InstrumentAny,
@@ -49,7 +48,7 @@ impl OrderEngineAdapter {
         book_type: BookType,
         oms_type: OmsType,
         account_type: AccountType,
-        clock: &'static AtomicTime,
+        clock: Rc<RefCell<dyn Clock>>,
         cache: Rc<RefCell<Cache>>,
         config: OrderMatchingEngineConfig,
     ) -> Self {

crates/execution/src/matching_engine/engine.rs

@@ -29,9 +29,10 @@ use std::{
 use chrono::TimeDelta;
 use nautilus_common::{
     cache::Cache,
+    clock::Clock,
     msgbus::{self},
 };
-use nautilus_core::{AtomicTime, UUID4, UnixNanos};
+use nautilus_core::{UUID4, UnixNanos};
 use nautilus_model::{
     data::{Bar, BarType, OrderBookDelta, OrderBookDeltas, QuoteTick, TradeTick, order::BookOrder},
     enums::{
@@ -84,7 +85,7 @@ pub struct OrderMatchingEngine {
     pub market_status: MarketStatus,
     /// The config for the matching engine.
     pub config: OrderMatchingEngineConfig,
-    clock: &'static AtomicTime,
+    clock: Rc<RefCell<dyn Clock>>,
     cache: Rc<RefCell<Cache>>,
     book: OrderBook,
     pub core: OrderMatchingCore,
@@ -112,7 +113,7 @@ impl OrderMatchingEngine {
         book_type: BookType,
         oms_type: OmsType,
         account_type: AccountType,
-        clock: &'static AtomicTime,
+        clock: Rc<RefCell<dyn Clock>>,
         cache: Rc<RefCell<Cache>>,
         config: OrderMatchingEngineConfig,
     ) -> Self {
@@ -495,7 +496,7 @@ impl OrderMatchingEngine {
             // Check for instrument expiration or activation
             if EXPIRING_INSTRUMENT_TYPES.contains(&self.instrument.instrument_class()) {
                 if let Some(activation_ns) = self.instrument.activation_ns() {
-                    if self.clock.get_time_ns() < activation_ns {
+                    if self.clock.borrow().timestamp_ns() < activation_ns {
                         self.generate_order_rejected(
                             order,
                             format!(
@@ -509,7 +510,7 @@ impl OrderMatchingEngine {
                     }
                 }
                 if let Some(expiration_ns) = self.instrument.expiration_ns() {
-                    if self.clock.get_time_ns() >= expiration_ns {
+                    if self.clock.borrow().timestamp_ns() >= expiration_ns {
                         self.generate_order_rejected(
                             order,
                             format!(
@@ -1045,7 +1046,7 @@ impl OrderMatchingEngine {
     /// Iterate the matching engine by processing the bid and ask order sides
     /// and advancing time up to the given UNIX `timestamp_ns`.
     pub fn iterate(&mut self, timestamp_ns: UnixNanos) {
-        self.clock.set_time(timestamp_ns);
+        // TODO implement correct clock fixed time setting self.clock.set_time(ts_now);
 
         // Check for updates in orderbook and set bid and ask in order matching core and iterate
         if self.book.has_bid() {
@@ -2104,7 +2105,7 @@ impl OrderMatchingEngine {
     // -- EVENT GENERATORS -----------------------------------------------------
 
     fn generate_order_rejected(&self, order: &OrderAny, reason: Ustr) {
-        let ts_now = self.clock.get_time_ns();
+        let ts_now = self.clock.borrow().timestamp_ns();
         let account_id = order
             .account_id()
             .unwrap_or(self.account_ids.get(&order.trader_id()).unwrap().to_owned());
@@ -2125,7 +2126,7 @@ impl OrderMatchingEngine {
     }
 
     fn generate_order_accepted(&self, order: &mut OrderAny, venue_order_id: VenueOrderId) {
-        let ts_now = self.clock.get_time_ns();
+        let ts_now = self.clock.borrow().timestamp_ns();
         let account_id = order
             .account_id()
             .unwrap_or(self.account_ids.get(&order.trader_id()).unwrap().to_owned());
@@ -2158,7 +2159,7 @@ impl OrderMatchingEngine {
         venue_order_id: Option<VenueOrderId>,
         account_id: Option<AccountId>,
     ) {
-        let ts_now = self.clock.get_time_ns();
+        let ts_now = self.clock.borrow().timestamp_ns();
         let event = OrderEventAny::ModifyRejected(OrderModifyRejected::new(
             trader_id,
             strategy_id,
@@ -2186,7 +2187,7 @@ impl OrderMatchingEngine {
         venue_order_id: VenueOrderId,
         reason: Ustr,
     ) {
-        let ts_now = self.clock.get_time_ns();
+        let ts_now = self.clock.borrow().timestamp_ns();
         let event = OrderEventAny::CancelRejected(OrderCancelRejected::new(
             trader_id,
             strategy_id,
@@ -2210,7 +2211,7 @@ impl OrderMatchingEngine {
         price: Option<Price>,
         trigger_price: Option<Price>,
     ) {
-        let ts_now = self.clock.get_time_ns();
+        let ts_now = self.clock.borrow().timestamp_ns();
         let event = OrderEventAny::Updated(OrderUpdated::new(
             order.trader_id(),
             order.strategy_id(),
@@ -2233,7 +2234,7 @@ impl OrderMatchingEngine {
     }
 
     fn generate_order_canceled(&self, order: &OrderAny, venue_order_id: VenueOrderId) {
-        let ts_now = self.clock.get_time_ns();
+        let ts_now = self.clock.borrow().timestamp_ns();
         let event = OrderEventAny::Canceled(OrderCanceled::new(
             order.trader_id(),
             order.strategy_id(),
@@ -2250,7 +2251,7 @@ impl OrderMatchingEngine {
     }
 
     fn generate_order_triggered(&self, order: &OrderAny) {
-        let ts_now = self.clock.get_time_ns();
+        let ts_now = self.clock.borrow().timestamp_ns();
         let event = OrderEventAny::Triggered(OrderTriggered::new(
             order.trader_id(),
             order.strategy_id(),
@@ -2267,7 +2268,7 @@ impl OrderMatchingEngine {
     }
 
     fn generate_order_expired(&self, order: &OrderAny) {
-        let ts_now = self.clock.get_time_ns();
+        let ts_now = self.clock.borrow().timestamp_ns();
         let event = OrderEventAny::Expired(OrderExpired::new(
             order.trader_id(),
             order.strategy_id(),
@@ -2295,7 +2296,7 @@ impl OrderMatchingEngine {
         commission: Money,
         liquidity_side: LiquiditySide,
     ) {
-        let ts_now = self.clock.get_time_ns();
+        let ts_now = self.clock.borrow().timestamp_ns();
         let account_id = order
             .account_id()
             .unwrap_or(self.account_ids.get(&order.trader_id()).unwrap().to_owned());