nautilus_model/python/instruments/
crypto_future.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,
18    hash::{Hash, Hasher},
19};
20
21use nautilus_core::python::{serialization::from_dict_pyo3, to_pyvalue_err};
22use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
23use rust_decimal::Decimal;
24
25use crate::{
26    identifiers::{InstrumentId, Symbol},
27    instruments::CryptoFuture,
28    types::{Currency, Money, Price, Quantity},
29};
30
31#[pymethods]
32impl CryptoFuture {
33    #[allow(clippy::too_many_arguments)]
34    #[new]
35    #[pyo3(signature = (id, raw_symbol, underlying, quote_currency, settlement_currency, is_inverse, activation_ns, expiration_ns, price_precision, size_precision, price_increment, size_increment,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, margin_init=None, margin_maint=None, maker_fee=None, taker_fee=None))]
36    fn py_new(
37        id: InstrumentId,
38        raw_symbol: Symbol,
39        underlying: Currency,
40        quote_currency: Currency,
41        settlement_currency: Currency,
42        is_inverse: bool,
43        activation_ns: u64,
44        expiration_ns: u64,
45        price_precision: u8,
46        size_precision: u8,
47        price_increment: Price,
48        size_increment: Quantity,
49        ts_event: u64,
50        ts_init: u64,
51        multiplier: Option<Quantity>,
52        lot_size: Option<Quantity>,
53        max_quantity: Option<Quantity>,
54        min_quantity: Option<Quantity>,
55        max_notional: Option<Money>,
56        min_notional: Option<Money>,
57        max_price: Option<Price>,
58        min_price: Option<Price>,
59        margin_init: Option<Decimal>,
60        margin_maint: Option<Decimal>,
61        maker_fee: Option<Decimal>,
62        taker_fee: Option<Decimal>,
63    ) -> PyResult<Self> {
64        Self::new_checked(
65            id,
66            raw_symbol,
67            underlying,
68            quote_currency,
69            settlement_currency,
70            is_inverse,
71            activation_ns.into(),
72            expiration_ns.into(),
73            price_precision,
74            size_precision,
75            price_increment,
76            size_increment,
77            multiplier,
78            lot_size,
79            max_quantity,
80            min_quantity,
81            max_notional,
82            min_notional,
83            max_price,
84            min_price,
85            margin_init,
86            margin_maint,
87            maker_fee,
88            taker_fee,
89            ts_event.into(),
90            ts_init.into(),
91        )
92        .map_err(to_pyvalue_err)
93    }
94
95    fn __hash__(&self) -> isize {
96        let mut hasher = DefaultHasher::new();
97        self.hash(&mut hasher);
98        hasher.finish() as isize
99    }
100
101    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
102        match op {
103            CompareOp::Eq => self.eq(other).into_py(py),
104            _ => panic!("Not implemented"),
105        }
106    }
107
108    #[getter]
109    fn type_str(&self) -> &str {
110        stringify!(CryptoFuture)
111    }
112
113    #[getter]
114    #[pyo3(name = "id")]
115    fn py_id(&self) -> InstrumentId {
116        self.id
117    }
118
119    #[getter]
120    #[pyo3(name = "raw_symbol")]
121    fn py_raw_symbol(&self) -> Symbol {
122        self.raw_symbol
123    }
124
125    #[getter]
126    #[pyo3(name = "underlying")]
127    fn py_underlying(&self) -> Currency {
128        self.underlying
129    }
130
131    #[getter]
132    #[pyo3(name = "quote_currency")]
133    fn py_quote_currency(&self) -> Currency {
134        self.quote_currency
135    }
136
137    #[getter]
138    #[pyo3(name = "settlement_currency")]
139    fn py_settlement_currency(&self) -> Currency {
140        self.settlement_currency
141    }
142
143    #[getter]
144    #[pyo3(name = "is_inverse")]
145    fn py_is_inverse(&self) -> bool {
146        self.is_inverse
147    }
148
149    #[getter]
150    #[pyo3(name = "activation_ns")]
151    fn py_activation_ns(&self) -> u64 {
152        self.activation_ns.as_u64()
153    }
154
155    #[getter]
156    #[pyo3(name = "expiration_ns")]
157    fn py_expiration_ns(&self) -> u64 {
158        self.expiration_ns.as_u64()
159    }
160
161    #[getter]
162    #[pyo3(name = "price_precision")]
163    fn py_price_precision(&self) -> u8 {
164        self.price_precision
165    }
166
167    #[getter]
168    #[pyo3(name = "size_precision")]
169    fn py_size_precision(&self) -> u8 {
170        self.size_precision
171    }
172
173    #[getter]
174    #[pyo3(name = "price_increment")]
175    fn py_price_increment(&self) -> Price {
176        self.price_increment
177    }
178
179    #[getter]
180    #[pyo3(name = "size_increment")]
181    fn py_size_increment(&self) -> Quantity {
182        self.size_increment
183    }
184
185    #[getter]
186    #[pyo3(name = "multiplier")]
187    fn py_multiplier(&self) -> Quantity {
188        self.multiplier
189    }
190
191    #[getter]
192    #[pyo3(name = "lot_size")]
193    fn py_lot_size(&self) -> Option<Quantity> {
194        Some(self.lot_size)
195    }
196
197    #[getter]
198    #[pyo3(name = "max_quantity")]
199    fn py_max_quantity(&self) -> Option<Quantity> {
200        self.max_quantity
201    }
202
203    #[getter]
204    #[pyo3(name = "min_quantity")]
205    fn py_min_quantity(&self) -> Option<Quantity> {
206        self.min_quantity
207    }
208
209    #[getter]
210    #[pyo3(name = "max_notional")]
211    fn py_max_notional(&self) -> Option<Money> {
212        self.max_notional
213    }
214
215    #[getter]
216    #[pyo3(name = "min_notional")]
217    fn py_min_notional(&self) -> Option<Money> {
218        self.min_notional
219    }
220
221    #[getter]
222    #[pyo3(name = "max_price")]
223    fn py_max_price(&self) -> Option<Price> {
224        self.max_price
225    }
226
227    #[getter]
228    #[pyo3(name = "min_price")]
229    fn py_min_price(&self) -> Option<Price> {
230        self.min_price
231    }
232
233    #[getter]
234    #[pyo3(name = "margin_init")]
235    fn py_margin_init(&self) -> Decimal {
236        self.margin_init
237    }
238
239    #[getter]
240    #[pyo3(name = "margin_maint")]
241    fn py_margin_maint(&self) -> Decimal {
242        self.margin_maint
243    }
244
245    #[getter]
246    #[pyo3(name = "maker_fee")]
247    fn py_maker_fee(&self) -> Decimal {
248        self.maker_fee
249    }
250
251    #[getter]
252    #[pyo3(name = "taker_fee")]
253    fn py_taker_fee(&self) -> Decimal {
254        self.taker_fee
255    }
256
257    #[getter]
258    #[pyo3(name = "info")]
259    fn py_info(&self, py: Python<'_>) -> PyResult<PyObject> {
260        Ok(PyDict::new(py).into())
261    }
262
263    #[getter]
264    #[pyo3(name = "ts_event")]
265    fn py_ts_event(&self) -> u64 {
266        self.ts_event.as_u64()
267    }
268
269    #[getter]
270    #[pyo3(name = "ts_init")]
271    fn py_ts_init(&self) -> u64 {
272        self.ts_init.as_u64()
273    }
274
275    #[staticmethod]
276    #[pyo3(name = "from_dict")]
277    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
278        from_dict_pyo3(py, values)
279    }
280
281    #[pyo3(name = "to_dict")]
282    fn py_to_dict(&self, py: Python<'_>) -> PyResult<PyObject> {
283        let dict = PyDict::new(py);
284        dict.set_item("type", stringify!(CryptoFuture))?;
285        dict.set_item("id", self.id.to_string())?;
286        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
287        dict.set_item("underlying", self.underlying.code.to_string())?;
288        dict.set_item("quote_currency", self.quote_currency.code.to_string())?;
289        dict.set_item(
290            "settlement_currency",
291            self.settlement_currency.code.to_string(),
292        )?;
293        dict.set_item("is_inverse", self.is_inverse)?;
294        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
295        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
296        dict.set_item("price_precision", self.price_precision)?;
297        dict.set_item("size_precision", self.size_precision)?;
298        dict.set_item("price_increment", self.price_increment.to_string())?;
299        dict.set_item("size_increment", self.size_increment.to_string())?;
300        dict.set_item("margin_init", self.margin_init.to_string())?;
301        dict.set_item("margin_maint", self.margin_maint.to_string())?;
302        dict.set_item("multiplier", self.multiplier.to_string())?;
303        dict.set_item("lot_size", self.lot_size.to_string())?;
304        dict.set_item("info", PyDict::new(py))?;
305        dict.set_item("maker_fee", self.maker_fee.to_string())?;
306        dict.set_item("taker_fee", self.taker_fee.to_string())?;
307        dict.set_item("ts_event", self.ts_event.as_u64())?;
308        dict.set_item("ts_init", self.ts_init.as_u64())?;
309        match self.max_quantity {
310            Some(value) => dict.set_item("max_quantity", value.to_string())?,
311            None => dict.set_item("max_quantity", py.None())?,
312        }
313        match self.min_quantity {
314            Some(value) => dict.set_item("min_quantity", value.to_string())?,
315            None => dict.set_item("min_quantity", py.None())?,
316        }
317        match self.max_notional {
318            Some(value) => dict.set_item("max_notional", value.to_string())?,
319            None => dict.set_item("max_notional", py.None())?,
320        }
321        match self.min_notional {
322            Some(value) => dict.set_item("min_notional", value.to_string())?,
323            None => dict.set_item("min_notional", py.None())?,
324        }
325        match self.max_price {
326            Some(value) => dict.set_item("max_price", value.to_string())?,
327            None => dict.set_item("max_price", py.None())?,
328        }
329        match self.min_price {
330            Some(value) => dict.set_item("min_price", value.to_string())?,
331            None => dict.set_item("min_price", py.None())?,
332        }
333        Ok(dict.into())
334    }
335}
336
337////////////////////////////////////////////////////////////////////////////////
338// Tests
339////////////////////////////////////////////////////////////////////////////////
340#[cfg(test)]
341mod tests {
342    use pyo3::{prelude::*, prepare_freethreaded_python, types::PyDict};
343    use rstest::rstest;
344
345    use crate::instruments::{stubs::*, CryptoFuture};
346
347    #[rstest]
348    fn test_dict_round_trip(crypto_future_btcusdt: CryptoFuture) {
349        prepare_freethreaded_python();
350        Python::with_gil(|py| {
351            let crypto_future = crypto_future_btcusdt;
352            let values = crypto_future.py_to_dict(py).unwrap();
353            let values: Py<PyDict> = values.extract(py).unwrap();
354            let new_crypto_future = CryptoFuture::py_from_dict(py, values).unwrap();
355            assert_eq!(crypto_future, new_crypto_future);
356        })
357    }
358}
nautilus_model/python/instruments/crypto_future.rs

nautilus_model/python/instruments/
crypto_future.rs
