nautilus_analysis/python/statistics/
long_ratio.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::collections::BTreeMap;
17
18#[allow(unused_imports)] // Used in template pattern for returns conversion
19use nautilus_core::UnixNanos;
20use nautilus_model::enums::OrderSide;
21use pyo3::prelude::*;
22
23use crate::{statistic::PortfolioStatistic, statistics::long_ratio::LongRatio};
24
25#[pymethods]
26impl LongRatio {
27    #[new]
28    #[pyo3(signature = (precision=None))]
29    fn py_new(precision: Option<usize>) -> Self {
30        Self::new(precision)
31    }
32
33    fn __repr__(&self) -> String {
34        self.to_string()
35    }
36
37    #[getter]
38    #[pyo3(name = "name")]
39    fn py_name(&self) -> String {
40        self.name()
41    }
42
43    #[pyo3(name = "calculate_from_positions")]
44    fn py_calculate_from_positions(
45        &mut self,
46        py: Python,
47        positions: Vec<Py<PyAny>>,
48    ) -> PyResult<Option<f64>> {
49        if positions.is_empty() {
50            return Ok(None);
51        }
52
53        // Extract entry side from each Cython Position object
54        // OrderSide.Buy has value 1 in both Cython and Rust
55        let mut longs = 0;
56        for position in &positions {
57            let entry = position.getattr(py, "entry")?;
58            let entry_value: u8 = entry.extract(py)?;
59            if entry_value == OrderSide::Buy as u8 {
60                longs += 1;
61            }
62        }
63
64        let value = f64::from(longs) / positions.len() as f64;
65        let scale = 10f64.powi(self.precision as i32);
66        Ok(Some((value * scale).round() / scale))
67    }
68
69    #[pyo3(name = "calculate_from_realized_pnls")]
70    fn py_calculate_from_realized_pnls(&mut self, _realized_pnls: Vec<f64>) -> Option<f64> {
71        None
72    }
73
74    #[pyo3(name = "calculate_from_returns")]
75    #[allow(unused_variables)] // Pattern preserved for consistency across statistics
76    fn py_calculate_from_returns(&mut self, _returns: BTreeMap<u64, f64>) -> Option<f64> {
77        None
78    }
79}
nautilus_analysis/python/statistics/long_ratio.rs

nautilus_analysis/python/statistics/
long_ratio.rs
