fix: leave the OMS unchanged when a fill is rejected

src/tradeforge/execution/oms.py

@@ -118,9 +118,9 @@ def fill(
             queue_wait_ns=queue_wait_ns,
             sequence_id=sequence_id,
         )
+        order.apply_fill(quantity_base, at_ns=at_ns)
         self._next_fill_id += 1
         self._fills.append(fill)
-        order.apply_fill(quantity_base, at_ns=at_ns)
         self._inventory_base += order.side.sign * quantity_base
         if order.status is OrderStatus.FILLED and order.client_order_id in self._working:
             self._working.remove(order.client_order_id)

tests/unit/test_oms.py

@@ -0,0 +1,51 @@
+"""Rejected fills must leave the OMS journal, inventory and identifiers intact."""
+
+from dataclasses import asdict
+from decimal import Decimal
+
+import pytest
+
+from tradeforge.domain.enums import LiquidityFlag, PlacementStyle, Side
+from tradeforge.domain.exceptions import OrderStateError
+from tradeforge.execution.oms import Oms
+
+
+@pytest.mark.parametrize("side", [Side.BUY, Side.SELL])
+@pytest.mark.parametrize("already_filled", [0, 40])
+@pytest.mark.parametrize("quantity", [0, -1, True, 0.5, float("nan"), float("inf"), 101, None])
+def test_rejected_fill_does_not_enter_the_oms_journal(side, already_filled, quantity):
+    oms = Oms()
+    order = oms.create_child(
+        symbol="TEST",
+        side=side,
+        quantity_base=100,
+        created_ns=0,
+        parent_order_id="parent",
+        slice_index=0,
+        style=PlacementStyle.AGGRESSIVE,
+    )
+    oms.accept(order, at_ns=1)
+
+    def fill(amount, at_ns):
+        return oms.fill(
+            order,
+            quantity_base=amount,
+            price_ticks=100,
+            at_ns=at_ns,
+            liquidity=LiquidityFlag.TAKER,
+            fee=Decimal("0"),
+        )
+
+    if already_filled:
+        fill(already_filled, 2)
+    before = (asdict(order), oms.fills, oms.inventory_base, oms.n_open_orders)
+
+    with pytest.raises(OrderStateError):
+        fill(quantity, 3)
+
+    assert (asdict(order), oms.fills, oms.inventory_base, oms.n_open_orders) == before
+    completed = fill(100 - already_filled, 4)
+    assert completed.fill.fill_id == (2 if already_filled else 1)
+    assert sum(item.quantity_base for item in oms.fills) == 100
+    assert oms.inventory_base == side.sign * 100
+    assert oms.n_open_orders == 0