nautilus_model/python/data/
prices.rs

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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,
18    hash::{Hash, Hasher},
19    str::FromStr,
20};
21
22use nautilus_core::{
23    UnixNanos,
24    python::{
25        IntoPyObjectNautilusExt,
26        serialization::{from_dict_pyo3, to_dict_pyo3},
27        to_pyvalue_err,
28    },
29    serialization::Serializable,
30};
31use pyo3::{
32    IntoPyObjectExt,
33    prelude::*,
34    pyclass::CompareOp,
35    types::{PyDict, PyInt, PyString, PyTuple},
36};
37
38use crate::{
39    data::{IndexPriceUpdate, MarkPriceUpdate},
40    identifiers::InstrumentId,
41    python::common::PY_MODULE_MODEL,
42    types::price::{Price, PriceRaw},
43};
44
45impl MarkPriceUpdate {
46    /// Create a new [`MarkPriceUpdate`] extracted from the given [`PyAny`].
47    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
48        let instrument_id_obj: Bound<'_, PyAny> = obj.getattr("instrument_id")?.extract()?;
49        let instrument_id_str: String = instrument_id_obj.getattr("value")?.extract()?;
50        let instrument_id =
51            InstrumentId::from_str(instrument_id_str.as_str()).map_err(to_pyvalue_err)?;
52
53        let value_py: Bound<'_, PyAny> = obj.getattr("value")?.extract()?;
54        let value_raw: PriceRaw = value_py.getattr("raw")?.extract()?;
55        let value_prec: u8 = value_py.getattr("precision")?.extract()?;
56        let value = Price::from_raw(value_raw, value_prec);
57
58        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
59        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
60
61        Ok(Self::new(
62            instrument_id,
63            value,
64            ts_event.into(),
65            ts_init.into(),
66        ))
67    }
68}
69
70#[pymethods]
71impl MarkPriceUpdate {
72    #[new]
73    fn py_new(
74        instrument_id: InstrumentId,
75        value: Price,
76        ts_event: u64,
77        ts_init: u64,
78    ) -> PyResult<Self> {
79        Ok(Self::new(
80            instrument_id,
81            value,
82            ts_event.into(),
83            ts_init.into(),
84        ))
85    }
86
87    fn __setstate__(&mut self, state: &Bound<'_, PyAny>) -> PyResult<()> {
88        let py_tuple: &Bound<'_, PyTuple> = state.downcast::<PyTuple>()?;
89        let binding = py_tuple.get_item(0)?;
90        let instrument_id_str = binding.downcast::<PyString>()?.extract::<&str>()?;
91        let value_raw = py_tuple
92            .get_item(1)?
93            .downcast::<PyInt>()?
94            .extract::<PriceRaw>()?;
95        let value_prec = py_tuple.get_item(2)?.downcast::<PyInt>()?.extract::<u8>()?;
96
97        let ts_event = py_tuple
98            .get_item(7)?
99            .downcast::<PyInt>()?
100            .extract::<u64>()?;
101        let ts_init = py_tuple
102            .get_item(8)?
103            .downcast::<PyInt>()?
104            .extract::<u64>()?;
105
106        self.instrument_id = InstrumentId::from_str(instrument_id_str).map_err(to_pyvalue_err)?;
107        self.value = Price::from_raw(value_raw, value_prec);
108        self.ts_event = ts_event.into();
109        self.ts_init = ts_init.into();
110
111        Ok(())
112    }
113
114    fn __getstate__(&self, py: Python) -> PyResult<PyObject> {
115        (
116            self.instrument_id.to_string(),
117            self.value.raw,
118            self.value.precision,
119            self.ts_event.as_u64(),
120            self.ts_init.as_u64(),
121        )
122            .into_py_any(py)
123    }
124
125    fn __reduce__(&self, py: Python) -> PyResult<PyObject> {
126        let safe_constructor = py.get_type::<Self>().getattr("_safe_constructor")?;
127        let state = self.__getstate__(py)?;
128        (safe_constructor, PyTuple::empty(py), state).into_py_any(py)
129    }
130
131    #[staticmethod]
132    fn _safe_constructor() -> Self {
133        Self::new(
134            InstrumentId::from("NULL.NULL"),
135            Price::zero(0),
136            UnixNanos::default(),
137            UnixNanos::default(),
138        )
139    }
140
141    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
142        match op {
143            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
144            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
145            _ => py.NotImplemented(),
146        }
147    }
148
149    fn __hash__(&self) -> isize {
150        let mut h = DefaultHasher::new();
151        self.hash(&mut h);
152        h.finish() as isize
153    }
154
155    fn __repr__(&self) -> String {
156        format!("{}({})", stringify!(MarkPriceUpdate), self)
157    }
158
159    fn __str__(&self) -> String {
160        self.to_string()
161    }
162
163    #[getter]
164    #[pyo3(name = "instrument_id")]
165    fn py_instrument_id(&self) -> InstrumentId {
166        self.instrument_id
167    }
168
169    #[getter]
170    #[pyo3(name = "value")]
171    fn py_value(&self) -> Price {
172        self.value
173    }
174
175    #[getter]
176    #[pyo3(name = "ts_event")]
177    fn py_ts_event(&self) -> u64 {
178        self.ts_event.as_u64()
179    }
180
181    #[getter]
182    #[pyo3(name = "ts_init")]
183    fn py_ts_init(&self) -> u64 {
184        self.ts_init.as_u64()
185    }
186
187    #[staticmethod]
188    #[pyo3(name = "fully_qualified_name")]
189    fn py_fully_qualified_name() -> String {
190        format!("{}:{}", PY_MODULE_MODEL, stringify!(MarkPriceUpdate))
191    }
192
193    /// Returns a new object from the given dictionary representation.
194    #[staticmethod]
195    #[pyo3(name = "from_dict")]
196    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
197        from_dict_pyo3(py, values)
198    }
199
200    #[staticmethod]
201    #[pyo3(name = "from_json")]
202    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
203        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
204    }
205
206    #[staticmethod]
207    #[pyo3(name = "from_msgpack")]
208    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
209        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
210    }
211
212    /// Return a dictionary representation of the object.
213    #[pyo3(name = "as_dict")]
214    fn py_as_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
215        to_dict_pyo3(py, self)
216    }
217
218    /// Return JSON encoded bytes representation of the object.
219    #[pyo3(name = "as_json")]
220    fn py_as_json(&self, py: Python<'_>) -> Py<PyAny> {
221        // SAFETY: Unwrap safe when serializing a valid object
222        self.as_json_bytes().unwrap().into_py_any_unwrap(py)
223    }
224
225    /// Return MsgPack encoded bytes representation of the object.
226    #[pyo3(name = "as_msgpack")]
227    fn py_as_msgpack(&self, py: Python<'_>) -> Py<PyAny> {
228        // SAFETY: Unwrap safe when serializing a valid object
229        self.as_msgpack_bytes().unwrap().into_py_any_unwrap(py)
230    }
231}
232
233impl IndexPriceUpdate {
234    /// Create a new [`IndexPriceUpdate`] extracted from the given [`PyAny`].
235    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
236        let instrument_id_obj: Bound<'_, PyAny> = obj.getattr("instrument_id")?.extract()?;
237        let instrument_id_str: String = instrument_id_obj.getattr("value")?.extract()?;
238        let instrument_id =
239            InstrumentId::from_str(instrument_id_str.as_str()).map_err(to_pyvalue_err)?;
240
241        let value_py: Bound<'_, PyAny> = obj.getattr("value")?.extract()?;
242        let value_raw: PriceRaw = value_py.getattr("raw")?.extract()?;
243        let value_prec: u8 = value_py.getattr("precision")?.extract()?;
244        let value = Price::from_raw(value_raw, value_prec);
245
246        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
247        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
248
249        Ok(Self::new(
250            instrument_id,
251            value,
252            ts_event.into(),
253            ts_init.into(),
254        ))
255    }
256}
257
258#[pymethods]
259impl IndexPriceUpdate {
260    #[new]
261    fn py_new(
262        instrument_id: InstrumentId,
263        value: Price,
264        ts_event: u64,
265        ts_init: u64,
266    ) -> PyResult<Self> {
267        Ok(Self::new(
268            instrument_id,
269            value,
270            ts_event.into(),
271            ts_init.into(),
272        ))
273    }
274
275    fn __setstate__(&mut self, state: &Bound<'_, PyAny>) -> PyResult<()> {
276        let py_tuple: &Bound<'_, PyTuple> = state.downcast::<PyTuple>()?;
277        let binding = py_tuple.get_item(0)?;
278        let instrument_id_str = binding.downcast::<PyString>()?.extract::<&str>()?;
279        let value_raw = py_tuple
280            .get_item(1)?
281            .downcast::<PyInt>()?
282            .extract::<PriceRaw>()?;
283        let value_prec = py_tuple.get_item(2)?.downcast::<PyInt>()?.extract::<u8>()?;
284
285        let ts_event = py_tuple
286            .get_item(7)?
287            .downcast::<PyInt>()?
288            .extract::<u64>()?;
289        let ts_init = py_tuple
290            .get_item(8)?
291            .downcast::<PyInt>()?
292            .extract::<u64>()?;
293
294        self.instrument_id = InstrumentId::from_str(instrument_id_str).map_err(to_pyvalue_err)?;
295        self.value = Price::from_raw(value_raw, value_prec);
296        self.ts_event = ts_event.into();
297        self.ts_init = ts_init.into();
298
299        Ok(())
300    }
301
302    fn __getstate__(&self, py: Python) -> PyResult<PyObject> {
303        (
304            self.instrument_id.to_string(),
305            self.value.raw,
306            self.value.precision,
307            self.ts_event.as_u64(),
308            self.ts_init.as_u64(),
309        )
310            .into_py_any(py)
311    }
312
313    fn __reduce__(&self, py: Python) -> PyResult<PyObject> {
314        let safe_constructor = py.get_type::<Self>().getattr("_safe_constructor")?;
315        let state = self.__getstate__(py)?;
316        (safe_constructor, PyTuple::empty(py), state).into_py_any(py)
317    }
318
319    #[staticmethod]
320    fn _safe_constructor() -> Self {
321        Self::new(
322            InstrumentId::from("NULL.NULL"),
323            Price::zero(0),
324            UnixNanos::default(),
325            UnixNanos::default(),
326        )
327    }
328
329    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
330        match op {
331            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
332            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
333            _ => py.NotImplemented(),
334        }
335    }
336
337    fn __hash__(&self) -> isize {
338        let mut h = DefaultHasher::new();
339        self.hash(&mut h);
340        h.finish() as isize
341    }
342
343    fn __repr__(&self) -> String {
344        format!("{}({})", stringify!(IndexPriceUpdate), self)
345    }
346
347    fn __str__(&self) -> String {
348        self.to_string()
349    }
350
351    #[getter]
352    #[pyo3(name = "instrument_id")]
353    fn py_instrument_id(&self) -> InstrumentId {
354        self.instrument_id
355    }
356
357    #[getter]
358    #[pyo3(name = "value")]
359    fn py_value(&self) -> Price {
360        self.value
361    }
362
363    #[getter]
364    #[pyo3(name = "ts_event")]
365    fn py_ts_event(&self) -> u64 {
366        self.ts_event.as_u64()
367    }
368
369    #[getter]
370    #[pyo3(name = "ts_init")]
371    fn py_ts_init(&self) -> u64 {
372        self.ts_init.as_u64()
373    }
374
375    #[staticmethod]
376    #[pyo3(name = "fully_qualified_name")]
377    fn py_fully_qualified_name() -> String {
378        format!("{}:{}", PY_MODULE_MODEL, stringify!(IndexPriceUpdate))
379    }
380
381    /// Returns a new object from the given dictionary representation.
382    #[staticmethod]
383    #[pyo3(name = "from_dict")]
384    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
385        from_dict_pyo3(py, values)
386    }
387
388    #[staticmethod]
389    #[pyo3(name = "from_json")]
390    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
391        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
392    }
393
394    #[staticmethod]
395    #[pyo3(name = "from_msgpack")]
396    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
397        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
398    }
399
400    /// Return a dictionary representation of the object.
401    #[pyo3(name = "as_dict")]
402    fn py_as_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
403        to_dict_pyo3(py, self)
404    }
405
406    /// Return JSON encoded bytes representation of the object.
407    #[pyo3(name = "as_json")]
408    fn py_as_json(&self, py: Python<'_>) -> Py<PyAny> {
409        // SAFETY: Unwrap safe when serializing a valid object
410        self.as_json_bytes().unwrap().into_py_any_unwrap(py)
411    }
412
413    /// Return MsgPack encoded bytes representation of the object.
414    #[pyo3(name = "as_msgpack")]
415    fn py_as_msgpack(&self, py: Python<'_>) -> Py<PyAny> {
416        // SAFETY: Unwrap safe when serializing a valid object
417        self.as_msgpack_bytes().unwrap().into_py_any_unwrap(py)
418    }
419}
420
421////////////////////////////////////////////////////////////////////////////////
422// Tests
423////////////////////////////////////////////////////////////////////////////////
424#[cfg(test)]
425mod tests {
426    use nautilus_core::python::IntoPyObjectNautilusExt;
427    use pyo3::Python;
428    use rstest::{fixture, rstest};
429
430    use super::*;
431    use crate::{identifiers::InstrumentId, types::Price};
432
433    #[fixture]
434    fn mark_price() -> MarkPriceUpdate {
435        MarkPriceUpdate::new(
436            InstrumentId::from("BTC-USDT.OKX"),
437            Price::from("100_000.00"),
438            UnixNanos::from(1),
439            UnixNanos::from(2),
440        )
441    }
442
443    #[fixture]
444    fn index_price() -> IndexPriceUpdate {
445        IndexPriceUpdate::new(
446            InstrumentId::from("BTC-USDT.OKX"),
447            Price::from("100_000.00"),
448            UnixNanos::from(1),
449            UnixNanos::from(2),
450        )
451    }
452
453    #[rstest]
454    fn test_mark_price_as_dict(mark_price: MarkPriceUpdate) {
455        pyo3::prepare_freethreaded_python();
456
457        Python::with_gil(|py| {
458            let dict_string = mark_price.py_as_dict(py).unwrap().to_string();
459            let expected_string = r"{'type': 'MarkPriceUpdate', 'instrument_id': 'BTC-USDT.OKX', 'value': '100000.00', 'ts_event': 1, 'ts_init': 2}";
460            assert_eq!(dict_string, expected_string);
461        });
462    }
463
464    #[rstest]
465    fn test_mark_price_from_dict(mark_price: MarkPriceUpdate) {
466        pyo3::prepare_freethreaded_python();
467
468        Python::with_gil(|py| {
469            let dict = mark_price.py_as_dict(py).unwrap();
470            let parsed = MarkPriceUpdate::py_from_dict(py, dict).unwrap();
471            assert_eq!(parsed, mark_price);
472        });
473    }
474
475    #[rstest]
476    fn test_mark_price_from_pyobject(mark_price: MarkPriceUpdate) {
477        pyo3::prepare_freethreaded_python();
478
479        Python::with_gil(|py| {
480            let tick_pyobject = mark_price.into_py_any_unwrap(py);
481            let parsed_tick = MarkPriceUpdate::from_pyobject(tick_pyobject.bind(py)).unwrap();
482            assert_eq!(parsed_tick, mark_price);
483        });
484    }
485
486    #[rstest]
487    fn test_index_price_as_dict(index_price: IndexPriceUpdate) {
488        pyo3::prepare_freethreaded_python();
489
490        Python::with_gil(|py| {
491            let dict_string = index_price.py_as_dict(py).unwrap().to_string();
492            let expected_string = r"{'type': 'IndexPriceUpdate', 'instrument_id': 'BTC-USDT.OKX', 'value': '100000.00', 'ts_event': 1, 'ts_init': 2}";
493            assert_eq!(dict_string, expected_string);
494        });
495    }
496
497    #[rstest]
498    fn test_index_price_from_dict(index_price: IndexPriceUpdate) {
499        pyo3::prepare_freethreaded_python();
500
501        Python::with_gil(|py| {
502            let dict = index_price.py_as_dict(py).unwrap();
503            let parsed = IndexPriceUpdate::py_from_dict(py, dict).unwrap();
504            assert_eq!(parsed, index_price);
505        });
506    }
507
508    #[rstest]
509    fn test_index_price_from_pyobject(index_price: IndexPriceUpdate) {
510        pyo3::prepare_freethreaded_python();
511
512        Python::with_gil(|py| {
513            let tick_pyobject = index_price.into_py_any_unwrap(py);
514            let parsed_tick = IndexPriceUpdate::from_pyobject(tick_pyobject.bind(py)).unwrap();
515            assert_eq!(parsed_tick, index_price);
516        });
517    }
518}
nautilus_model/python/data/prices.rs

nautilus_model/python/data/
prices.rs
