From 9824a22148d3adbe1c129229aa7d6b37b4bcb951 Mon Sep 17 00:00:00 2001
From: David Blom <davidsblom@gmail.com>
Date: Fri, 4 Oct 2024 14:04:52 +0200
Subject: [PATCH] Fix generating cancel rejections for dYdX

---
 nautilus_trader/adapters/dydx/execution.py    | 20 +++++----
 nautilus_trader/adapters/dydx/grpc/account.py | 41 ++++++++++++-------
 2 files changed, 38 insertions(+), 23 deletions(-)

diff --git a/nautilus_trader/adapters/dydx/execution.py b/nautilus_trader/adapters/dydx/execution.py
index 41cb9805d3d..d640e40f90a 100644
--- a/nautilus_trader/adapters/dydx/execution.py
+++ b/nautilus_trader/adapters/dydx/execution.py
@@ -1196,7 +1196,7 @@ async def _cancel_all_orders(self, command: CancelAllOrders) -> None:
                 client_order_id=order.client_order_id,
             )
 
-    async def _cancel_short_term_orders(self, orders: list[Order]) -> None:
+    async def _cancel_short_term_orders(self, orders: list[Order]) -> None:  # noqa: C901
         """
         Cancel multiple short order terms at once.
         """
@@ -1260,14 +1260,16 @@ async def _cancel_short_term_orders(self, orders: list[Order]) -> None:
                 )
                 if not retry_manager.result:
                     self._log.error(f"Failed to cancel batch of orders: {retry_manager.message}")
-                    self.generate_order_cancel_rejected(
-                        strategy_id=order.strategy_id,
-                        instrument_id=order.instrument_id,
-                        client_order_id=order.client_order_id,
-                        venue_order_id=order.venue_order_id,
-                        reason=retry_manager.message,
-                        ts_event=self._clock.timestamp_ns(),
-                    )
+
+                    for order in orders:
+                        self.generate_order_cancel_rejected(
+                            strategy_id=order.strategy_id,
+                            instrument_id=order.instrument_id,
+                            client_order_id=order.client_order_id,
+                            venue_order_id=order.venue_order_id,
+                            reason=retry_manager.message,
+                            ts_event=self._clock.timestamp_ns(),
+                        )
 
     async def _cancel_order_single(
         self,
diff --git a/nautilus_trader/adapters/dydx/grpc/account.py b/nautilus_trader/adapters/dydx/grpc/account.py
index 34ed83b415b..d61966e63c8 100644
--- a/nautilus_trader/adapters/dydx/grpc/account.py
+++ b/nautilus_trader/adapters/dydx/grpc/account.py
@@ -382,14 +382,22 @@ async def batch_cancel_orders(
         """
         Batch cancels orders for a subaccount.
 
-        Args:
-            wallet (Wallet): The wallet to use for signing the transaction.
-            wallet_address (str): The dYdX wallet address.
-            subaccount (int): The subaccount number.
-            short_term_cancels (List[OrderBatch]): List of OrderBatch objects containing the orders to cancel.
-            good_til_block (int): The last block the short term order cancellations can be executed at.
+        Parameters
+        ----------
+        wallet : Wallet
+            The wallet to use for signing the transaction.
+        wallet_address : str
+            The dYdX wallet address.
+        subaccount : int
+            The subaccount number.
+        short_term_cancels : list[OrderBatch]
+            List of OrderBatch objects containing the orders to cancel.
+        good_til_block : int
+            The last block the short term order cancellations can be executed at.
 
-        Returns:
+        Returns
+        -------
+        BroadcastTxResponse
             The response from the transaction broadcast.
 
         """
@@ -419,15 +427,20 @@ async def cancel_order(
         """
         Cancel an order.
 
-        Args:
-        ----
-            wallet (Wallet): The wallet to use for signing the transaction.
-            order_id (OrderId): The ID of the order to cancel.
-            good_til_block (int, optional): The block number until which the order is valid. Defaults to None.
-            good_til_block_time (int, optional): The block time until which the order is valid. Defaults to None.
+        Parameters
+        ----------
+        wallet : Wallet
+            The wallet to use for signing the transaction.
+        order_id : OrderId
+            The ID of the order to cancel.
+        good_til_block : int, optional
+            The block number until which the order is valid. Defaults to None.
+        good_til_block_time: int, optional
+            The block time until which the order is valid. Defaults to None.
 
-        Returns:
+        Returns
         -------
+        BroadcastTxResponse
             The response from the transaction broadcast.
 
         """