nautilus_model/python/data/
bar.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::{
17    collections::{hash_map::DefaultHasher, HashMap},
18    hash::{Hash, Hasher},
19    str::FromStr,
20};
21
22use nautilus_core::{
23    python::{
24        serialization::{from_dict_pyo3, to_dict_pyo3},
25        to_pyvalue_err,
26    },
27    serialization::Serializable,
28};
29use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict};
30
31use super::data_to_pycapsule;
32use crate::{
33    data::{
34        bar::{Bar, BarSpecification, BarType},
35        Data,
36    },
37    enums::{AggregationSource, BarAggregation, PriceType},
38    identifiers::InstrumentId,
39    python::common::PY_MODULE_MODEL,
40    types::{
41        price::{Price, PriceRaw},
42        quantity::{Quantity, QuantityRaw},
43    },
44};
45
46#[pymethods]
47impl BarSpecification {
48    #[new]
49    fn py_new(step: usize, aggregation: BarAggregation, price_type: PriceType) -> PyResult<Self> {
50        Self::new_checked(step, aggregation, price_type).map_err(to_pyvalue_err)
51    }
52
53    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
54        match op {
55            CompareOp::Eq => self.eq(other).into_py(py),
56            CompareOp::Ne => self.ne(other).into_py(py),
57            _ => py.NotImplemented(),
58        }
59    }
60
61    fn __hash__(&self) -> isize {
62        let mut h = DefaultHasher::new();
63        self.hash(&mut h);
64        h.finish() as isize
65    }
66
67    fn __repr__(&self) -> String {
68        format!("{self:?}")
69    }
70
71    fn __str__(&self) -> String {
72        self.to_string()
73    }
74
75    #[staticmethod]
76    #[pyo3(name = "fully_qualified_name")]
77    fn py_fully_qualified_name() -> String {
78        format!("{}:{}", PY_MODULE_MODEL, stringify!(BarSpecification))
79    }
80}
81
82#[pymethods]
83impl BarType {
84    #[new]
85    #[pyo3(signature = (instrument_id, spec, aggregation_source = AggregationSource::External)
86    )]
87    fn py_new(
88        instrument_id: InstrumentId,
89        spec: BarSpecification,
90        aggregation_source: AggregationSource,
91    ) -> Self {
92        Self::new(instrument_id, spec, aggregation_source)
93    }
94
95    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
96        match op {
97            CompareOp::Eq => self.eq(other).into_py(py),
98            CompareOp::Ne => self.ne(other).into_py(py),
99            _ => py.NotImplemented(),
100        }
101    }
102
103    fn __hash__(&self) -> isize {
104        let mut h = DefaultHasher::new();
105        self.hash(&mut h);
106        h.finish() as isize
107    }
108
109    fn __repr__(&self) -> String {
110        format!("{self:?}")
111    }
112
113    fn __str__(&self) -> String {
114        self.to_string()
115    }
116
117    #[staticmethod]
118    #[pyo3(name = "fully_qualified_name")]
119    fn py_fully_qualified_name() -> String {
120        format!("{}:{}", PY_MODULE_MODEL, stringify!(BarType))
121    }
122
123    #[staticmethod]
124    #[pyo3(name = "from_str")]
125    fn py_from_str(value: &str) -> PyResult<Self> {
126        Self::from_str(value).map_err(to_pyvalue_err)
127    }
128
129    #[staticmethod]
130    #[pyo3(name = "new_composite")]
131    fn py_new_composite(
132        instrument_id: InstrumentId,
133        spec: BarSpecification,
134        aggregation_source: AggregationSource,
135        composite_step: usize,
136        composite_aggregation: BarAggregation,
137        composite_aggregation_source: AggregationSource,
138    ) -> Self {
139        Self::new_composite(
140            instrument_id,
141            spec,
142            aggregation_source,
143            composite_step,
144            composite_aggregation,
145            composite_aggregation_source,
146        )
147    }
148
149    #[pyo3(name = "is_standard")]
150    fn py_is_standard(&self) -> bool {
151        self.is_standard()
152    }
153
154    #[pyo3(name = "is_composite")]
155    fn py_is_composite(&self) -> bool {
156        self.is_composite()
157    }
158
159    #[pyo3(name = "standard")]
160    fn py_standard(&self) -> Self {
161        self.standard()
162    }
163
164    #[pyo3(name = "composite")]
165    fn py_composite(&self) -> Self {
166        self.composite()
167    }
168}
169
170impl Bar {
171    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
172        let bar_type_obj: Bound<'_, PyAny> = obj.getattr("bar_type")?.extract()?;
173        let bar_type_str: String = bar_type_obj.call_method0("__str__")?.extract()?;
174        let bar_type = BarType::from(bar_type_str.as_str());
175
176        let open_py: Bound<'_, PyAny> = obj.getattr("open")?;
177        let price_prec: u8 = open_py.getattr("precision")?.extract()?;
178        let open_raw: PriceRaw = open_py.getattr("raw")?.extract()?;
179        let open = Price::from_raw(open_raw, price_prec);
180
181        let high_py: Bound<'_, PyAny> = obj.getattr("high")?;
182        let high_raw: PriceRaw = high_py.getattr("raw")?.extract()?;
183        let high = Price::from_raw(high_raw, price_prec);
184
185        let low_py: Bound<'_, PyAny> = obj.getattr("low")?;
186        let low_raw: PriceRaw = low_py.getattr("raw")?.extract()?;
187        let low = Price::from_raw(low_raw, price_prec);
188
189        let close_py: Bound<'_, PyAny> = obj.getattr("close")?;
190        let close_raw: PriceRaw = close_py.getattr("raw")?.extract()?;
191        let close = Price::from_raw(close_raw, price_prec);
192
193        let volume_py: Bound<'_, PyAny> = obj.getattr("volume")?;
194        let volume_raw: QuantityRaw = volume_py.getattr("raw")?.extract()?;
195        let volume_prec: u8 = volume_py.getattr("precision")?.extract()?;
196        let volume = Quantity::from_raw(volume_raw, volume_prec);
197
198        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
199        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
200
201        Ok(Self::new(
202            bar_type,
203            open,
204            high,
205            low,
206            close,
207            volume,
208            ts_event.into(),
209            ts_init.into(),
210        ))
211    }
212}
213
214#[pymethods]
215#[allow(clippy::too_many_arguments)]
216impl Bar {
217    #[new]
218    fn py_new(
219        bar_type: BarType,
220        open: Price,
221        high: Price,
222        low: Price,
223        close: Price,
224        volume: Quantity,
225        ts_event: u64,
226        ts_init: u64,
227    ) -> PyResult<Self> {
228        Self::new_checked(
229            bar_type,
230            open,
231            high,
232            low,
233            close,
234            volume,
235            ts_event.into(),
236            ts_init.into(),
237        )
238        .map_err(to_pyvalue_err)
239    }
240
241    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
242        match op {
243            CompareOp::Eq => self.eq(other).into_py(py),
244            CompareOp::Ne => self.ne(other).into_py(py),
245            _ => py.NotImplemented(),
246        }
247    }
248
249    fn __hash__(&self) -> isize {
250        let mut h = DefaultHasher::new();
251        self.hash(&mut h);
252        h.finish() as isize
253    }
254
255    fn __repr__(&self) -> String {
256        format!("{self:?}")
257    }
258
259    fn __str__(&self) -> String {
260        self.to_string()
261    }
262
263    #[getter]
264    #[pyo3(name = "bar_type")]
265    fn py_bar_type(&self) -> BarType {
266        self.bar_type
267    }
268
269    #[getter]
270    #[pyo3(name = "open")]
271    fn py_open(&self) -> Price {
272        self.open
273    }
274
275    #[getter]
276    #[pyo3(name = "high")]
277    fn py_high(&self) -> Price {
278        self.high
279    }
280
281    #[getter]
282    #[pyo3(name = "low")]
283    fn py_low(&self) -> Price {
284        self.low
285    }
286
287    #[getter]
288    #[pyo3(name = "close")]
289    fn py_close(&self) -> Price {
290        self.close
291    }
292
293    #[getter]
294    #[pyo3(name = "volume")]
295    fn py_volume(&self) -> Quantity {
296        self.volume
297    }
298
299    #[getter]
300    #[pyo3(name = "ts_event")]
301    fn py_ts_event(&self) -> u64 {
302        self.ts_event.as_u64()
303    }
304
305    #[getter]
306    #[pyo3(name = "ts_init")]
307    fn py_ts_init(&self) -> u64 {
308        self.ts_init.as_u64()
309    }
310
311    #[staticmethod]
312    #[pyo3(name = "fully_qualified_name")]
313    fn py_fully_qualified_name() -> String {
314        format!("{}:{}", PY_MODULE_MODEL, stringify!(Bar))
315    }
316
317    #[staticmethod]
318    #[pyo3(name = "get_metadata")]
319    fn py_get_metadata(
320        bar_type: &BarType,
321        price_precision: u8,
322        size_precision: u8,
323    ) -> PyResult<HashMap<String, String>> {
324        Ok(Self::get_metadata(
325            bar_type,
326            price_precision,
327            size_precision,
328        ))
329    }
330
331    #[staticmethod]
332    #[pyo3(name = "get_fields")]
333    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
334        let py_dict = PyDict::new(py);
335        for (k, v) in Self::get_fields() {
336            py_dict.set_item(k, v)?;
337        }
338
339        Ok(py_dict)
340    }
341
342    /// Returns a new object from the given dictionary representation.
343    #[staticmethod]
344    #[pyo3(name = "from_dict")]
345    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
346        from_dict_pyo3(py, values)
347    }
348
349    #[staticmethod]
350    #[pyo3(name = "from_json")]
351    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
352        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
353    }
354
355    #[staticmethod]
356    #[pyo3(name = "from_msgpack")]
357    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
358        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
359    }
360
361    /// Creates a `PyCapsule` containing a raw pointer to a `Data::Bar` object.
362    ///
363    /// This function takes the current object (assumed to be of a type that can be represented as
364    /// `Data::Bar`), and encapsulates a raw pointer to it within a `PyCapsule`.
365    ///
366    /// # Safety
367    ///
368    /// This function is safe as long as the following conditions are met:
369    /// - The `Data::Delta` object pointed to by the capsule must remain valid for the lifetime of the capsule.
370    /// - The consumer of the capsule must ensure proper handling to avoid dereferencing a dangling pointer.
371    ///
372    /// # Panics
373    ///
374    /// The function will panic if the `PyCapsule` creation fails, which can occur if the
375    /// `Data::Bar` object cannot be converted into a raw pointer.
376    #[pyo3(name = "as_pycapsule")]
377    fn py_as_pycapsule(&self, py: Python<'_>) -> PyObject {
378        data_to_pycapsule(py, Data::Bar(*self))
379    }
380
381    /// Return a dictionary representation of the object.
382    #[pyo3(name = "as_dict")]
383    fn py_as_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
384        to_dict_pyo3(py, self)
385    }
386
387    /// Return JSON encoded bytes representation of the object.
388    #[pyo3(name = "as_json")]
389    fn py_as_json(&self, py: Python<'_>) -> Py<PyAny> {
390        // Unwrapping is safe when serializing a valid object
391        self.as_json_bytes().unwrap().into_py(py)
392    }
393
394    /// Return MsgPack encoded bytes representation of the object.
395    #[pyo3(name = "as_msgpack")]
396    fn py_as_msgpack(&self, py: Python<'_>) -> Py<PyAny> {
397        // Unwrapping is safe when serializing a valid object
398        self.as_msgpack_bytes().unwrap().into_py(py)
399    }
400}
401
402////////////////////////////////////////////////////////////////////////////////
403// Tests
404////////////////////////////////////////////////////////////////////////////////
405#[cfg(test)]
406mod tests {
407    use pyo3::{IntoPy, Python};
408    use rstest::rstest;
409
410    use crate::{
411        data::{Bar, BarType},
412        types::{Price, Quantity},
413    };
414
415    #[rstest]
416    #[case("10.0000", "10.0010", "10.0020", "10.0005")] // low > high
417    #[case("10.0000", "10.0010", "10.0005", "10.0030")] // close > high
418    #[case("10.0000", "9.9990", "9.9980", "9.9995")] // high < open
419    #[case("10.0000", "10.0010", "10.0015", "10.0020")] // low > close
420    #[case("10.0000", "10.0000", "10.0001", "10.0002")] // low > high (equal high/open edge case)
421    fn test_bar_py_new_invalid(
422        #[case] open: &str,
423        #[case] high: &str,
424        #[case] low: &str,
425        #[case] close: &str,
426    ) {
427        pyo3::prepare_freethreaded_python();
428
429        let bar_type = BarType::from("AUDUSD.SIM-1-MINUTE-LAST-INTERNAL");
430        let open = Price::from(open);
431        let high = Price::from(high);
432        let low = Price::from(low);
433        let close = Price::from(close);
434        let volume = Quantity::from(100_000);
435        let ts_event = 0;
436        let ts_init = 1;
437
438        let result = Bar::py_new(bar_type, open, high, low, close, volume, ts_event, ts_init);
439        assert!(result.is_err());
440    }
441
442    #[rstest]
443    fn test_bar_py_new() {
444        pyo3::prepare_freethreaded_python();
445
446        let bar_type = BarType::from("AUDUSD.SIM-1-MINUTE-LAST-INTERNAL");
447        let open = Price::from("1.00005");
448        let high = Price::from("1.00010");
449        let low = Price::from("1.00000");
450        let close = Price::from("1.00007");
451        let volume = Quantity::from(100_000);
452        let ts_event = 0;
453        let ts_init = 1;
454
455        let result = Bar::py_new(bar_type, open, high, low, close, volume, ts_event, ts_init);
456        assert!(result.is_ok());
457    }
458
459    #[rstest]
460    fn test_as_dict() {
461        pyo3::prepare_freethreaded_python();
462        let bar = Bar::default();
463
464        Python::with_gil(|py| {
465            let dict_string = bar.py_as_dict(py).unwrap().to_string();
466            let expected_string = r"{'type': 'Bar', 'bar_type': 'AUDUSD.SIM-1-MINUTE-LAST-INTERNAL', 'open': '1.00010', 'high': '1.00020', 'low': '1.00000', 'close': '1.00010', 'volume': '100000', 'ts_event': 0, 'ts_init': 0}";
467            assert_eq!(dict_string, expected_string);
468        });
469    }
470
471    #[rstest]
472    fn test_as_from_dict() {
473        pyo3::prepare_freethreaded_python();
474        let bar = Bar::default();
475
476        Python::with_gil(|py| {
477            let dict = bar.py_as_dict(py).unwrap();
478            let parsed = Bar::py_from_dict(py, dict).unwrap();
479            assert_eq!(parsed, bar);
480        });
481    }
482
483    #[rstest]
484    fn test_from_pyobject() {
485        pyo3::prepare_freethreaded_python();
486        let bar = Bar::default();
487
488        Python::with_gil(|py| {
489            let bar_pyobject = bar.into_py(py);
490            let parsed_bar = Bar::from_pyobject(bar_pyobject.bind(py)).unwrap();
491            assert_eq!(parsed_bar, bar);
492        });
493    }
494}
nautilus_model/python/data/bar.rs

nautilus_model/python/data/
bar.rs
