nautilus_infrastructure/sql/models/
positions.rs

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

use std::str::FromStr;

use nautilus_core::nanos::UnixNanos;
use nautilus_model::{
    enums::{OrderSide, PositionSide},
    events::position::snapshot::PositionSnapshot,
    identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TraderId},
    types::{currency::Currency, money::Money, quantity::Quantity},
};
use sqlx::{postgres::PgRow, FromRow, Row};

pub struct PositionSnapshotModel(pub PositionSnapshot);

impl<'r> FromRow<'r, PgRow> for PositionSnapshotModel {
    fn from_row(row: &'r PgRow) -> Result<Self, sqlx::Error> {
        let id = row.try_get::<&str, _>("id").map(PositionId::from)?;
        let trader_id = row.try_get::<&str, _>("trader_id").map(TraderId::from)?;
        let strategy_id = row
            .try_get::<&str, _>("strategy_id")
            .map(StrategyId::from)?;
        let instrument_id = row
            .try_get::<&str, _>("instrument_id")
            .map(InstrumentId::from)?;
        let account_id = row.try_get::<&str, _>("account_id").map(AccountId::from)?;
        let opening_order_id = row
            .try_get::<&str, _>("opening_order_id")
            .map(ClientOrderId::from)?;
        let closing_order_id = row
            .try_get::<Option<&str>, _>("closing_order_id")
            .ok()
            .and_then(|x| x.map(ClientOrderId::from));
        let entry = row
            .try_get::<&str, _>("entry")
            .map(OrderSide::from_str)?
            .unwrap();
        let side = row
            .try_get::<&str, _>("side")
            .map(PositionSide::from_str)?
            .unwrap();
        let signed_qty = row.try_get::<f64, _>("signed_qty")?;
        let quantity = row.try_get::<&str, _>("quantity").map(Quantity::from)?;
        let peak_qty = row.try_get::<&str, _>("peak_qty").map(Quantity::from)?;

        let quote_currency = row
            .try_get::<&str, _>("quote_currency")
            .map(Currency::from)?;
        let base_currency = row
            .try_get::<Option<&str>, _>("base_currency")
            .ok()
            .and_then(|x| x.map(Currency::from));
        let settlement_currency = row
            .try_get::<&str, _>("settlement_currency")
            .map(Currency::from)?;

        let avg_px_open = row.try_get::<f64, _>("avg_px_open")?;
        let avg_px_close = row.try_get::<Option<f64>, _>("avg_px_close")?;
        let realized_return = row.try_get::<Option<f64>, _>("realized_return")?;
        let realized_pnl = row.try_get::<&str, _>("realized_pnl").map(Money::from)?;
        let unrealized_pnl = row
            .try_get::<Option<&str>, _>("unrealized_pnl")
            .ok()
            .and_then(|x| x.map(Money::from));
        let commissions: Vec<Money> = row
            .try_get::<&str, _>("commissions")?
            .parse::<serde_json::Value>()
            .unwrap()
            .as_array()
            .ok_or(sqlx::Error::Decode(
                "Expected a JSON array for commissions".into(),
            ))?
            .iter()
            .map(|x| {
                x.as_str()
                    .ok_or(sqlx::Error::Decode(
                        "Expected string values in the commissions array".into(),
                    ))
                    .and_then(|s| {
                        Money::from_str(s).map_err(|e| {
                            sqlx::Error::Decode(format!("Money parsing error: {}", e).into())
                        })
                    })
            })
            .collect::<Result<Vec<Money>, sqlx::Error>>()?;
        let duration_ns: Option<u64> = row
            .try_get::<Option<i64>, _>("duration_ns")?
            .map(|value| value as u64);

        let ts_opened = row.try_get::<String, _>("ts_opened").map(UnixNanos::from)?;
        let ts_closed: Option<UnixNanos> = row
            .try_get::<Option<String>, _>("ts_closed")?
            .map(UnixNanos::from);
        let ts_last = row.try_get::<String, _>("ts_last").map(UnixNanos::from)?;
        let ts_init = row.try_get::<String, _>("ts_init").map(UnixNanos::from)?;

        let snapshot = PositionSnapshot {
            trader_id,
            strategy_id,
            instrument_id,
            position_id: id,
            account_id,
            opening_order_id,
            closing_order_id,
            entry,
            side,
            signed_qty,
            quantity,
            peak_qty,
            quote_currency,
            base_currency,
            settlement_currency,
            avg_px_open,
            avg_px_close,
            realized_return,
            realized_pnl,
            unrealized_pnl,
            commissions,
            duration_ns,
            ts_opened,
            ts_closed,
            ts_last,
            ts_init,
        };

        Ok(PositionSnapshotModel(snapshot))
    }
}