nautilus_model/python/instruments/
crypto_future.rsuse std::{
collections::hash_map::DefaultHasher,
hash::{Hash, Hasher},
};
use nautilus_core::python::{serialization::from_dict_pyo3, to_pyvalue_err};
use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
use rust_decimal::Decimal;
use crate::{
identifiers::{InstrumentId, Symbol},
instruments::crypto_future::CryptoFuture,
types::{currency::Currency, money::Money, price::Price, quantity::Quantity},
};
#[pymethods]
impl CryptoFuture {
#[allow(clippy::too_many_arguments)]
#[new]
#[pyo3(signature = (id, raw_symbol, underlying, quote_currency, settlement_currency, is_inverse, activation_ns, expiration_ns, price_precision, size_precision, price_increment, size_increment, maker_fee, taker_fee, margin_init, margin_maint, ts_event, ts_init, multiplier=None, lot_size=None, max_quantity=None, min_quantity=None, max_notional=None, min_notional=None, max_price=None, min_price=None))]
fn py_new(
id: InstrumentId,
raw_symbol: Symbol,
underlying: Currency,
quote_currency: Currency,
settlement_currency: Currency,
is_inverse: bool,
activation_ns: u64,
expiration_ns: u64,
price_precision: u8,
size_precision: u8,
price_increment: Price,
size_increment: Quantity,
maker_fee: Decimal,
taker_fee: Decimal,
margin_init: Decimal,
margin_maint: Decimal,
ts_event: u64,
ts_init: u64,
multiplier: Option<Quantity>,
lot_size: Option<Quantity>,
max_quantity: Option<Quantity>,
min_quantity: Option<Quantity>,
max_notional: Option<Money>,
min_notional: Option<Money>,
max_price: Option<Price>,
min_price: Option<Price>,
) -> PyResult<Self> {
Self::new_checked(
id,
raw_symbol,
underlying,
quote_currency,
settlement_currency,
is_inverse,
activation_ns.into(),
expiration_ns.into(),
price_precision,
size_precision,
price_increment,
size_increment,
maker_fee,
taker_fee,
margin_init,
margin_maint,
multiplier,
lot_size,
max_quantity,
min_quantity,
max_notional,
min_notional,
max_price,
min_price,
ts_event.into(),
ts_init.into(),
)
.map_err(to_pyvalue_err)
}
fn __hash__(&self) -> isize {
let mut hasher = DefaultHasher::new();
self.hash(&mut hasher);
hasher.finish() as isize
}
fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
match op {
CompareOp::Eq => self.eq(other).into_py(py),
_ => panic!("Not implemented"),
}
}
#[getter]
fn type_str(&self) -> &str {
stringify!(CryptoFuture)
}
#[getter]
#[pyo3(name = "id")]
fn py_id(&self) -> InstrumentId {
self.id
}
#[getter]
#[pyo3(name = "raw_symbol")]
fn py_raw_symbol(&self) -> Symbol {
self.raw_symbol
}
#[getter]
#[pyo3(name = "underlying")]
fn py_underlying(&self) -> Currency {
self.underlying
}
#[getter]
#[pyo3(name = "quote_currency")]
fn py_quote_currency(&self) -> Currency {
self.quote_currency
}
#[getter]
#[pyo3(name = "settlement_currency")]
fn py_settlement_currency(&self) -> Currency {
self.settlement_currency
}
#[getter]
#[pyo3(name = "is_inverse")]
fn py_is_inverse(&self) -> bool {
self.is_inverse
}
#[getter]
#[pyo3(name = "activation_ns")]
fn py_activation_ns(&self) -> u64 {
self.activation_ns.as_u64()
}
#[getter]
#[pyo3(name = "expiration_ns")]
fn py_expiration_ns(&self) -> u64 {
self.expiration_ns.as_u64()
}
#[getter]
#[pyo3(name = "price_precision")]
fn py_price_precision(&self) -> u8 {
self.price_precision
}
#[getter]
#[pyo3(name = "size_precision")]
fn py_size_precision(&self) -> u8 {
self.size_precision
}
#[getter]
#[pyo3(name = "price_increment")]
fn py_price_increment(&self) -> Price {
self.price_increment
}
#[getter]
#[pyo3(name = "size_increment")]
fn py_size_increment(&self) -> Quantity {
self.size_increment
}
#[getter]
#[pyo3(name = "multiplier")]
fn py_multiplier(&self) -> Quantity {
self.multiplier
}
#[getter]
#[pyo3(name = "lot_size")]
fn py_lot_size(&self) -> Option<Quantity> {
Some(self.lot_size)
}
#[getter]
#[pyo3(name = "max_quantity")]
fn py_max_quantity(&self) -> Option<Quantity> {
self.max_quantity
}
#[getter]
#[pyo3(name = "min_quantity")]
fn py_min_quantity(&self) -> Option<Quantity> {
self.min_quantity
}
#[getter]
#[pyo3(name = "max_notional")]
fn py_max_notional(&self) -> Option<Money> {
self.max_notional
}
#[getter]
#[pyo3(name = "min_notional")]
fn py_min_notional(&self) -> Option<Money> {
self.min_notional
}
#[getter]
#[pyo3(name = "max_price")]
fn py_max_price(&self) -> Option<Price> {
self.max_price
}
#[getter]
#[pyo3(name = "min_price")]
fn py_min_price(&self) -> Option<Price> {
self.min_price
}
#[getter]
#[pyo3(name = "margin_init")]
fn py_margin_init(&self) -> Decimal {
self.margin_init
}
#[getter]
#[pyo3(name = "margin_maint")]
fn py_margin_maint(&self) -> Decimal {
self.margin_maint
}
#[getter]
#[pyo3(name = "maker_fee")]
fn py_maker_fee(&self) -> Decimal {
self.maker_fee
}
#[getter]
#[pyo3(name = "taker_fee")]
fn py_taker_fee(&self) -> Decimal {
self.taker_fee
}
#[getter]
#[pyo3(name = "info")]
fn py_info(&self, py: Python<'_>) -> PyResult<PyObject> {
Ok(PyDict::new_bound(py).into())
}
#[getter]
#[pyo3(name = "ts_event")]
fn py_ts_event(&self) -> u64 {
self.ts_event.as_u64()
}
#[getter]
#[pyo3(name = "ts_init")]
fn py_ts_init(&self) -> u64 {
self.ts_init.as_u64()
}
#[staticmethod]
#[pyo3(name = "from_dict")]
fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
from_dict_pyo3(py, values)
}
#[pyo3(name = "to_dict")]
fn py_to_dict(&self, py: Python<'_>) -> PyResult<PyObject> {
let dict = PyDict::new_bound(py);
dict.set_item("type", stringify!(CryptoFuture))?;
dict.set_item("id", self.id.to_string())?;
dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
dict.set_item("underlying", self.underlying.code.to_string())?;
dict.set_item("quote_currency", self.quote_currency.code.to_string())?;
dict.set_item(
"settlement_currency",
self.settlement_currency.code.to_string(),
)?;
dict.set_item("is_inverse", self.is_inverse)?;
dict.set_item("activation_ns", self.activation_ns.as_u64())?;
dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
dict.set_item("price_precision", self.price_precision)?;
dict.set_item("size_precision", self.size_precision)?;
dict.set_item("price_increment", self.price_increment.to_string())?;
dict.set_item("size_increment", self.size_increment.to_string())?;
dict.set_item("margin_init", self.margin_init.to_string())?;
dict.set_item("margin_maint", self.margin_maint.to_string())?;
dict.set_item("multiplier", self.multiplier.to_string())?;
dict.set_item("lot_size", self.lot_size.to_string())?;
dict.set_item("info", PyDict::new_bound(py))?;
dict.set_item("maker_fee", self.maker_fee.to_string())?;
dict.set_item("taker_fee", self.taker_fee.to_string())?;
dict.set_item("ts_event", self.ts_event.as_u64())?;
dict.set_item("ts_init", self.ts_init.as_u64())?;
match self.max_quantity {
Some(value) => dict.set_item("max_quantity", value.to_string())?,
None => dict.set_item("max_quantity", py.None())?,
}
match self.min_quantity {
Some(value) => dict.set_item("min_quantity", value.to_string())?,
None => dict.set_item("min_quantity", py.None())?,
}
match self.max_notional {
Some(value) => dict.set_item("max_notional", value.to_string())?,
None => dict.set_item("max_notional", py.None())?,
}
match self.min_notional {
Some(value) => dict.set_item("min_notional", value.to_string())?,
None => dict.set_item("min_notional", py.None())?,
}
match self.max_price {
Some(value) => dict.set_item("max_price", value.to_string())?,
None => dict.set_item("max_price", py.None())?,
}
match self.min_price {
Some(value) => dict.set_item("min_price", value.to_string())?,
None => dict.set_item("min_price", py.None())?,
}
Ok(dict.into())
}
}
#[cfg(test)]
mod tests {
use pyo3::{prelude::*, prepare_freethreaded_python, types::PyDict};
use rstest::rstest;
use crate::instruments::{crypto_future::CryptoFuture, stubs::*};
#[rstest]
fn test_dict_round_trip(crypto_future_btcusdt: CryptoFuture) {
prepare_freethreaded_python();
Python::with_gil(|py| {
let crypto_future = crypto_future_btcusdt;
let values = crypto_future.py_to_dict(py).unwrap();
let values: Py<PyDict> = values.extract(py).unwrap();
let new_crypto_future = CryptoFuture::py_from_dict(py, values).unwrap();
assert_eq!(crypto_future, new_crypto_future);
})
}
}