Struct SyntheticInstrument

pub struct SyntheticInstrument {
    pub id: InstrumentId,
    pub price_precision: u8,
    pub price_increment: Price,
    pub components: Vec<InstrumentId>,
    pub formula: String,
    pub ts_event: UnixNanos,
    pub ts_init: UnixNanos,
    /* private fields */
}

Represents a synthetic instrument with prices derived from component instruments using a formula.

The id for the synthetic will become {symbol}.{SYNTH}.

Fields

id: InstrumentId

The unique identifier for the synthetic instrument.

price_precision: u8

The price precision for the synthetic instrument.

price_increment: Price

The minimum price increment.

components: Vec<InstrumentId>

The component instruments for the synthetic instrument.

formula: String

The derivation formula for the synthetic instrument.

ts_event: UnixNanos

UNIX timestamp (nanoseconds) when the data event occurred.

ts_init: UnixNanos

UNIX timestamp (nanoseconds) when the data object was initialized.

Implementations

impl SyntheticInstrument

pub fn new_checked( symbol: Symbol, price_precision: u8, components: Vec<InstrumentId>, formula: String, ts_event: UnixNanos, ts_init: UnixNanos, ) -> Result<Self>

Creates a new SyntheticInstrument instance with correctness checking.

Notes

PyO3 requires a Result type for proper error handling and stacktrace printing in Python.

pub fn new( symbol: Symbol, price_precision: u8, components: Vec<InstrumentId>, formula: String, ts_event: UnixNanos, ts_init: UnixNanos, ) -> Self

Creates a new SyntheticInstrument instance

pub fn is_valid_formula(&self, formula: &str) -> bool

pub fn change_formula(&mut self, formula: String) -> Result<()>

pub fn calculate_from_map( &mut self, inputs: &HashMap<String, f64>, ) -> Result<Price>

Calculates the price of the synthetic instrument based on the given component input prices provided as a map.

pub fn calculate(&mut self, inputs: &[f64]) -> Result<Price>

Calculates the price of the synthetic instrument based on the given component input prices provided as an array of f64 values.

Trait Implementations

impl Clone for SyntheticInstrument

fn clone(&self) -> SyntheticInstrument

Returns a copy of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for SyntheticInstrument

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for SyntheticInstrument

fn default() -> Self

Creates a new default SyntheticInstrument instance for testing.

impl Hash for SyntheticInstrument

fn hash<H: Hasher>(&self, state: &mut H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl IntoPy<Py<PyAny>> for SyntheticInstrument

fn into_py(self, py: Python<'_>) -> PyObject

Performs the conversion.

impl PartialEq for SyntheticInstrument

fn eq(&self, other: &Self) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl PyClass for SyntheticInstrument

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for SyntheticInstrument

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

type BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<SyntheticInstrument>

This handles following two situations:

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn doc(py: Python<'_>) -> PyResult<&'static CStr>

Rendered class doc

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<isize>

fn weaklist_offset() -> Option<isize>

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a SyntheticInstrument

type Holder = Option<PyRef<'py, SyntheticInstrument>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a mut SyntheticInstrument

type Holder = Option<PyRefMut<'py, SyntheticInstrument>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl PyTypeInfo for SyntheticInstrument

const NAME: &'static str = "SyntheticInstrument"

Class name.

const MODULE: Option<&'static str>

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object_bound(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.

impl DerefToPyAny for SyntheticInstrument

impl Eq for SyntheticInstrument