Improve external order handling for OKX and Coinbase Intx

Author: cjdsellers

nautilus_trader/adapters/coinbase_intx/execution.py

@@ -57,6 +57,7 @@
 from nautilus_trader.model.functions import time_in_force_to_pyo3
 from nautilus_trader.model.identifiers import AccountId
 from nautilus_trader.model.identifiers import ClientId
+from nautilus_trader.model.identifiers import ClientOrderId
 from nautilus_trader.model.identifiers import VenueOrderId
 from nautilus_trader.model.orders import LimitOrder
 from nautilus_trader.model.orders import MarketOrder
@@ -618,6 +619,9 @@ async def _submit_stop_limit_order(
             reduce_only=order.is_reduce_only if order.is_reduce_only else None,
         )
 
+    def _is_external_order(self, client_order_id: ClientOrderId) -> bool:
+        return not client_order_id or not self._cache.strategy_id_for_order(client_order_id)
+
     def _handle_msg(self, msg: Any) -> None:  # noqa: C901 (too complex)
         # Note: These FIX execution reports are using a default precision of 8 for now,
         # this avoids the need to track a separate cache down in Rust. Ensure all price
@@ -626,8 +630,9 @@ def _handle_msg(self, msg: Any) -> None:  # noqa: C901 (too complex)
 
         if isinstance(msg, nautilus_pyo3.OrderStatusReport):
             report = OrderStatusReport.from_pyo3(msg)
-            if report.order_status is None:
-                self._log.warning(f"No ClientOrderId to process {report}")
+
+            if self._is_external_order(report.client_order_id):
+                self._send_order_status_report(report)
                 return
 
             order = self._cache.order(report.client_order_id)
@@ -686,8 +691,9 @@ def _handle_msg(self, msg: Any) -> None:  # noqa: C901 (too complex)
                 self._log.warning(f"Received unhandled execution report {report}")
         elif isinstance(msg, nautilus_pyo3.FillReport):
             report = FillReport.from_pyo3(msg)
-            if report.client_order_id is None:
-                self._log.warning(f"No ClientOrderId to process {report}")
+
+            if self._is_external_order(report.client_order_id):
+                self._send_order_status_report(report)
                 return
 
             order = self._cache.order(report.client_order_id)

nautilus_trader/adapters/okx/execution.py

@@ -54,6 +54,7 @@
 from nautilus_trader.model.functions import order_type_to_pyo3
 from nautilus_trader.model.identifiers import AccountId
 from nautilus_trader.model.identifiers import ClientId
+from nautilus_trader.model.identifiers import ClientOrderId
 from nautilus_trader.model.orders import Order
 
 
@@ -601,6 +602,9 @@ async def _submit_order(self, command: SubmitOrder) -> None:
 
     # -- WEBSOCKET HANDLERS -----------------------------------------------------------------------
 
+    def _is_external_order(self, client_order_id: ClientOrderId) -> bool:
+        return not client_order_id or not self._cache.strategy_id_for_order(client_order_id)
+
     def _handle_msg(self, msg: Any) -> None:
         if isinstance(msg, nautilus_pyo3.OKXWebSocketError):
             self._log.error(repr(msg))
@@ -663,6 +667,10 @@ def _handle_order_modify_rejected_pyo3(
     def _handle_order_status_report_pyo3(self, msg: nautilus_pyo3.OrderStatusReport) -> None:
         report = OrderStatusReport.from_pyo3(msg)
 
+        if self._is_external_order(report.client_order_id):
+            self._send_order_status_report(report)
+            return
+
         order = self._cache.order(report.client_order_id)
         if order is None:
             self._log.error(
@@ -731,8 +739,9 @@ def _handle_fill_report_pyo3(self, msg: nautilus_pyo3.FillReport) -> None:
         Handle PyO3 FillReport (both fills channel and order status derived).
         """
         report = FillReport.from_pyo3(msg)
-        if report.client_order_id is None:
-            self._log.warning(f"No ClientOrderId to process {report}")
+
+        if self._is_external_order(report.client_order_id):
+            self._send_order_status_report(report)
             return
 
         order = self._cache.order(report.client_order_id)