nautilus_model/python/orderbook/
book.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::collections::HashSet;
17
18use indexmap::IndexMap;
19use nautilus_core::python::{to_pyruntime_err, to_pyvalue_err};
20use pyo3::prelude::*;
21use rust_decimal::Decimal;
22
23use crate::{
24    data::{BookOrder, OrderBookDelta, OrderBookDeltas, OrderBookDepth10, QuoteTick, TradeTick},
25    enums::{BookType, OrderSide, OrderStatus},
26    identifiers::InstrumentId,
27    orderbook::{BookLevel, OrderBook, analysis::book_check_integrity, own::OwnOrderBook},
28    types::{Price, Quantity},
29};
30
31#[pymethods]
32impl OrderBook {
33    #[new]
34    fn py_new(instrument_id: InstrumentId, book_type: BookType) -> Self {
35        Self::new(instrument_id, book_type)
36    }
37
38    fn __repr__(&self) -> String {
39        format!("{self:?}")
40    }
41
42    fn __str__(&self) -> String {
43        // TODO: Return debug string for now
44        format!("{self:?}")
45    }
46
47    #[getter]
48    #[pyo3(name = "instrument_id")]
49    fn py_instrument_id(&self) -> InstrumentId {
50        self.instrument_id
51    }
52
53    #[getter]
54    #[pyo3(name = "book_type")]
55    fn py_book_type(&self) -> BookType {
56        self.book_type
57    }
58
59    #[getter]
60    #[pyo3(name = "sequence")]
61    fn py_sequence(&self) -> u64 {
62        self.sequence
63    }
64
65    #[getter]
66    #[pyo3(name = "ts_event")]
67    fn py_ts_event(&self) -> u64 {
68        self.ts_last.as_u64()
69    }
70
71    #[getter]
72    #[pyo3(name = "ts_init")]
73    fn py_ts_init(&self) -> u64 {
74        self.ts_last.as_u64()
75    }
76
77    #[getter]
78    #[pyo3(name = "ts_last")]
79    fn py_ts_last(&self) -> u64 {
80        self.ts_last.as_u64()
81    }
82
83    #[getter]
84    #[pyo3(name = "update_count")]
85    fn py_update_count(&self) -> u64 {
86        self.update_count
87    }
88
89    #[pyo3(name = "reset")]
90    fn py_reset(&mut self) {
91        self.reset();
92    }
93
94    #[pyo3(name = "add")]
95    #[pyo3(signature = (order, flags, sequence, ts_event))]
96    fn py_add(&mut self, order: BookOrder, flags: u8, sequence: u64, ts_event: u64) {
97        self.add(order, flags, sequence, ts_event.into());
98    }
99
100    #[pyo3(name = "update")]
101    #[pyo3(signature = (order, flags, sequence, ts_event))]
102    fn py_update(&mut self, order: BookOrder, flags: u8, sequence: u64, ts_event: u64) {
103        self.update(order, flags, sequence, ts_event.into());
104    }
105
106    #[pyo3(name = "delete")]
107    #[pyo3(signature = (order, flags, sequence, ts_event))]
108    fn py_delete(&mut self, order: BookOrder, flags: u8, sequence: u64, ts_event: u64) {
109        self.delete(order, flags, sequence, ts_event.into());
110    }
111
112    #[pyo3(name = "clear")]
113    #[pyo3(signature = (sequence, ts_event))]
114    fn py_clear(&mut self, sequence: u64, ts_event: u64) {
115        self.clear(sequence, ts_event.into());
116    }
117
118    #[pyo3(name = "clear_bids")]
119    #[pyo3(signature = (sequence, ts_event))]
120    fn py_clear_bids(&mut self, sequence: u64, ts_event: u64) {
121        self.clear_bids(sequence, ts_event.into());
122    }
123
124    #[pyo3(name = "clear_asks")]
125    #[pyo3(signature = (sequence, ts_event))]
126    fn py_clear_asks(&mut self, sequence: u64, ts_event: u64) {
127        self.clear_asks(sequence, ts_event.into());
128    }
129
130    #[pyo3(name = "apply_delta")]
131    fn py_apply_delta(&mut self, delta: &OrderBookDelta) {
132        self.apply_delta(delta);
133    }
134
135    #[pyo3(name = "apply_deltas")]
136    fn py_apply_deltas(&mut self, deltas: &OrderBookDeltas) {
137        self.apply_deltas(deltas);
138    }
139
140    #[pyo3(name = "apply_depth")]
141    fn py_apply_depth(&mut self, depth: &OrderBookDepth10) {
142        self.apply_depth(depth);
143    }
144
145    #[pyo3(name = "check_integrity")]
146    fn py_check_integrity(&mut self) -> PyResult<()> {
147        book_check_integrity(self).map_err(to_pyruntime_err)
148    }
149
150    #[pyo3(name = "bids")]
151    #[pyo3(signature = (depth=None))]
152    fn py_bids(&self, depth: Option<usize>) -> Vec<BookLevel> {
153        self.bids(depth)
154            .map(|level_ref| (*level_ref).clone())
155            .collect()
156    }
157
158    #[pyo3(name = "asks")]
159    #[pyo3(signature = (depth=None))]
160    fn py_asks(&self, depth: Option<usize>) -> Vec<BookLevel> {
161        self.asks(depth)
162            .map(|level_ref| (*level_ref).clone())
163            .collect()
164    }
165
166    #[pyo3(name = "bids_to_dict")]
167    #[pyo3(signature = (depth=None))]
168    fn py_bids_to_dict(&self, depth: Option<usize>) -> IndexMap<Decimal, Decimal> {
169        self.bids_as_map(depth)
170    }
171
172    #[pyo3(name = "asks_to_dict")]
173    #[pyo3(signature = (depth=None))]
174    fn py_asks_to_dict(&self, depth: Option<usize>) -> IndexMap<Decimal, Decimal> {
175        self.asks_as_map(depth)
176    }
177
178    #[pyo3(name = "group_bids")]
179    #[pyo3(signature = (group_size, depth=None))]
180    pub fn py_group_bids(
181        &self,
182        group_size: Decimal,
183        depth: Option<usize>,
184    ) -> IndexMap<Decimal, Decimal> {
185        self.group_bids(group_size, depth)
186    }
187
188    #[pyo3(name = "group_asks")]
189    #[pyo3(signature = (group_size, depth=None))]
190    pub fn py_group_asks(
191        &self,
192        group_size: Decimal,
193        depth: Option<usize>,
194    ) -> IndexMap<Decimal, Decimal> {
195        self.group_asks(group_size, depth)
196    }
197
198    #[pyo3(name = "bids_filtered_to_dict")]
199    #[pyo3(signature = (depth=None, own_book=None, status=None, accepted_buffer_ns=None, ts_now=None))]
200    fn py_bids_filtered_to_dict(
201        &self,
202        depth: Option<usize>,
203        own_book: Option<&OwnOrderBook>,
204        status: Option<HashSet<OrderStatus>>,
205        accepted_buffer_ns: Option<u64>,
206        ts_now: Option<u64>,
207    ) -> IndexMap<Decimal, Decimal> {
208        self.bids_filtered_as_map(depth, own_book, status, accepted_buffer_ns, ts_now)
209    }
210
211    #[pyo3(name = "asks_filtered_to_dict")]
212    #[pyo3(signature = (depth=None, own_book=None, status=None, accepted_buffer_ns=None, ts_now=None))]
213    fn py_asks_filtered_to_dict(
214        &self,
215        depth: Option<usize>,
216        own_book: Option<&OwnOrderBook>,
217        status: Option<HashSet<OrderStatus>>,
218        accepted_buffer_ns: Option<u64>,
219        ts_now: Option<u64>,
220    ) -> IndexMap<Decimal, Decimal> {
221        self.asks_filtered_as_map(depth, own_book, status, accepted_buffer_ns, ts_now)
222    }
223
224    #[pyo3(name = "group_bids_filtered")]
225    #[pyo3(signature = (group_size, depth=None, own_book=None, status=None, accepted_buffer_ns=None, ts_now=None))]
226    fn py_group_bids_filered(
227        &self,
228        group_size: Decimal,
229        depth: Option<usize>,
230        own_book: Option<&OwnOrderBook>,
231        status: Option<HashSet<OrderStatus>>,
232        accepted_buffer_ns: Option<u64>,
233        ts_now: Option<u64>,
234    ) -> IndexMap<Decimal, Decimal> {
235        self.group_bids_filtered(
236            group_size,
237            depth,
238            own_book,
239            status,
240            accepted_buffer_ns,
241            ts_now,
242        )
243    }
244
245    #[pyo3(name = "group_asks_filtered")]
246    #[pyo3(signature = (group_size, depth=None, own_book=None, status=None, accepted_buffer_ns=None, ts_now=None))]
247    fn py_group_asks_filtered(
248        &self,
249        group_size: Decimal,
250        depth: Option<usize>,
251        own_book: Option<&OwnOrderBook>,
252        status: Option<HashSet<OrderStatus>>,
253        accepted_buffer_ns: Option<u64>,
254        ts_now: Option<u64>,
255    ) -> IndexMap<Decimal, Decimal> {
256        self.group_asks_filtered(
257            group_size,
258            depth,
259            own_book,
260            status,
261            accepted_buffer_ns,
262            ts_now,
263        )
264    }
265
266    #[pyo3(name = "best_bid_price")]
267    fn py_best_bid_price(&self) -> Option<Price> {
268        self.best_bid_price()
269    }
270
271    #[pyo3(name = "best_ask_price")]
272    fn py_best_ask_price(&self) -> Option<Price> {
273        self.best_ask_price()
274    }
275
276    #[pyo3(name = "best_bid_size")]
277    fn py_best_bid_size(&self) -> Option<Quantity> {
278        self.best_bid_size()
279    }
280
281    #[pyo3(name = "best_ask_size")]
282    fn py_best_ask_size(&self) -> Option<Quantity> {
283        self.best_ask_size()
284    }
285
286    #[pyo3(name = "spread")]
287    fn py_spread(&self) -> Option<f64> {
288        self.spread()
289    }
290
291    #[pyo3(name = "midpoint")]
292    fn py_midpoint(&self) -> Option<f64> {
293        self.midpoint()
294    }
295
296    #[pyo3(name = "get_avg_px_for_quantity")]
297    fn py_get_avg_px_for_quantity(&self, qty: Quantity, order_side: OrderSide) -> f64 {
298        self.get_avg_px_for_quantity(qty, order_side)
299    }
300
301    #[pyo3(name = "get_avg_px_qty_for_exposure")]
302    fn py_get_avg_px_qty_for_exposure(
303        &self,
304        qty: Quantity,
305        order_side: OrderSide,
306    ) -> (f64, f64, f64) {
307        self.get_avg_px_qty_for_exposure(qty, order_side)
308    }
309
310    #[pyo3(name = "get_quantity_for_price")]
311    fn py_get_quantity_for_price(&self, price: Price, order_side: OrderSide) -> f64 {
312        self.get_quantity_for_price(price, order_side)
313    }
314
315    #[pyo3(name = "simulate_fills")]
316    fn py_simulate_fills(&self, order: &BookOrder) -> Vec<(Price, Quantity)> {
317        self.simulate_fills(order)
318    }
319
320    #[pyo3(name = "pprint")]
321    #[pyo3(signature = (num_levels=3))]
322    fn py_pprint(&self, num_levels: usize) -> String {
323        self.pprint(num_levels)
324    }
325}
326
327#[pyfunction()]
328#[pyo3(name = "update_book_with_quote_tick")]
329pub fn py_update_book_with_quote_tick(book: &mut OrderBook, quote: &QuoteTick) -> PyResult<()> {
330    book.update_quote_tick(quote).map_err(to_pyvalue_err)
331}
332
333#[pyfunction()]
334#[pyo3(name = "update_book_with_trade_tick")]
335pub fn py_update_book_with_trade_tick(book: &mut OrderBook, trade: &TradeTick) -> PyResult<()> {
336    book.update_trade_tick(trade).map_err(to_pyvalue_err)
337}
nautilus_model/python/orderbook/book.rs

nautilus_model/python/orderbook/
book.rs
