nautilus_tardis/python/
csv.rs

// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

use std::path::PathBuf;

use nautilus_core::{ffi::cvec::CVec, python::to_pyvalue_err};
use nautilus_model::{
    data::{
        delta::OrderBookDelta, depth::OrderBookDepth10, quote::QuoteTick, trade::TradeTick, Data,
    },
    identifiers::InstrumentId,
};
use pyo3::{prelude::*, types::PyCapsule};

use crate::csv::{
    load_deltas, load_depth10_from_snapshot25, load_depth10_from_snapshot5, load_quote_ticks,
    load_trade_ticks,
};

#[pyfunction(name = "load_tardis_deltas")]
#[pyo3(signature = (filepath, price_precision, size_precision, instrument_id=None, limit=None))]
pub fn py_load_tardis_deltas(
    filepath: PathBuf,
    price_precision: u8,
    size_precision: u8,
    instrument_id: Option<InstrumentId>,
    limit: Option<usize>,
) -> PyResult<Vec<OrderBookDelta>> {
    load_deltas(
        filepath,
        price_precision,
        size_precision,
        instrument_id,
        limit,
    )
    .map_err(to_pyvalue_err)
}

#[pyfunction(name = "load_tardis_deltas_as_pycapsule")]
#[pyo3(signature = (filepath, price_precision, size_precision, instrument_id=None, limit=None))]
pub fn py_load_tardis_deltas_as_pycapsule(
    py: Python,
    filepath: PathBuf,
    price_precision: u8,
    size_precision: u8,
    instrument_id: Option<InstrumentId>,
    limit: Option<usize>,
) -> PyResult<PyObject> {
    let deltas = load_deltas(
        filepath,
        price_precision,
        size_precision,
        instrument_id,
        limit,
    )
    .map_err(to_pyvalue_err)?;
    let deltas: Vec<Data> = deltas.into_iter().map(Data::Delta).collect();

    let cvec: CVec = deltas.into();
    let capsule = PyCapsule::new_bound::<CVec>(py, cvec, None)?;
    Ok(capsule.into_py(py))
}

#[pyfunction(name = "load_tardis_depth10_from_snapshot5")]
#[pyo3(signature = (filepath, price_precision, size_precision, instrument_id=None, limit=None))]
pub fn py_load_tardis_depth10_from_snapshot5(
    filepath: PathBuf,
    price_precision: u8,
    size_precision: u8,
    instrument_id: Option<InstrumentId>,
    limit: Option<usize>,
) -> PyResult<Vec<OrderBookDepth10>> {
    load_depth10_from_snapshot5(
        filepath,
        price_precision,
        size_precision,
        instrument_id,
        limit,
    )
    .map_err(to_pyvalue_err)
}

#[pyfunction(name = "load_tardis_depth10_from_snapshot5_as_pycapsule")]
#[pyo3(signature = (filepath, price_precision, size_precision, instrument_id=None, limit=None))]
pub fn py_load_tardis_depth10_from_snapshot5_as_pycapsule(
    py: Python,
    filepath: PathBuf,
    price_precision: u8,
    size_precision: u8,
    instrument_id: Option<InstrumentId>,
    limit: Option<usize>,
) -> PyResult<PyObject> {
    let depths = load_depth10_from_snapshot5(
        filepath,
        price_precision,
        size_precision,
        instrument_id,
        limit,
    )
    .map_err(to_pyvalue_err)?;
    let depths: Vec<Data> = depths.into_iter().map(Data::Depth10).collect();

    let cvec: CVec = depths.into();
    let capsule = PyCapsule::new_bound::<CVec>(py, cvec, None)?;
    Ok(capsule.into_py(py))
}

#[pyfunction(name = "load_tardis_depth10_from_snapshot25")]
#[pyo3(signature = (filepath, price_precision, size_precision, instrument_id=None, limit=None))]
pub fn py_load_tardis_depth10_from_snapshot25(
    filepath: PathBuf,
    price_precision: u8,
    size_precision: u8,
    instrument_id: Option<InstrumentId>,
    limit: Option<usize>,
) -> PyResult<Vec<OrderBookDepth10>> {
    load_depth10_from_snapshot25(
        filepath,
        price_precision,
        size_precision,
        instrument_id,
        limit,
    )
    .map_err(to_pyvalue_err)
}

#[pyfunction(name = "load_tardis_depth10_from_snapshot25_as_pycapsule")]
#[pyo3(signature = (filepath, price_precision, size_precision, instrument_id=None, limit=None))]
pub fn py_load_tardis_depth10_from_snapshot25_as_pycapsule(
    py: Python,
    filepath: PathBuf,
    price_precision: u8,
    size_precision: u8,
    instrument_id: Option<InstrumentId>,
    limit: Option<usize>,
) -> PyResult<PyObject> {
    let depths = load_depth10_from_snapshot25(
        filepath,
        price_precision,
        size_precision,
        instrument_id,
        limit,
    )
    .map_err(to_pyvalue_err)?;
    let depths: Vec<Data> = depths.into_iter().map(Data::Depth10).collect();

    let cvec: CVec = depths.into();
    let capsule = PyCapsule::new_bound::<CVec>(py, cvec, None)?;
    Ok(capsule.into_py(py))
}

#[pyfunction(name = "load_tardis_quotes")]
#[pyo3(signature = (filepath, price_precision, size_precision, instrument_id=None, limit=None))]
pub fn py_load_tardis_quotes(
    filepath: PathBuf,
    price_precision: u8,
    size_precision: u8,
    instrument_id: Option<InstrumentId>,
    limit: Option<usize>,
) -> PyResult<Vec<QuoteTick>> {
    load_quote_ticks(
        filepath,
        price_precision,
        size_precision,
        instrument_id,
        limit,
    )
    .map_err(to_pyvalue_err)
}

#[pyfunction(name = "load_tardis_quotes_as_pycapsule")]
#[pyo3(signature = (filepath, price_precision, size_precision, instrument_id=None, limit=None))]
pub fn py_load_tardis_quotes_as_pycapsule(
    py: Python,
    filepath: PathBuf,
    price_precision: u8,
    size_precision: u8,
    instrument_id: Option<InstrumentId>,
    limit: Option<usize>,
) -> PyResult<PyObject> {
    let quotes = load_quote_ticks(
        filepath,
        price_precision,
        size_precision,
        instrument_id,
        limit,
    )
    .map_err(to_pyvalue_err)?;
    let quotes: Vec<Data> = quotes.into_iter().map(Data::Quote).collect();

    let cvec: CVec = quotes.into();
    let capsule = PyCapsule::new_bound::<CVec>(py, cvec, None)?;
    Ok(capsule.into_py(py))
}

#[pyfunction(name = "load_tardis_trades")]
#[pyo3(signature = (filepath, price_precision, size_precision, instrument_id=None, limit=None))]
pub fn py_load_tardis_trades(
    filepath: PathBuf,
    price_precision: u8,
    size_precision: u8,
    instrument_id: Option<InstrumentId>,
    limit: Option<usize>,
) -> PyResult<Vec<TradeTick>> {
    load_trade_ticks(
        filepath,
        price_precision,
        size_precision,
        instrument_id,
        limit,
    )
    .map_err(to_pyvalue_err)
}

#[pyfunction(name = "load_tardis_trades_as_pycapsule")]
#[pyo3(signature = (filepath, price_precision, size_precision, instrument_id=None, limit=None))]
pub fn py_load_tardis_trades_as_pycapsule(
    py: Python,
    filepath: PathBuf,
    price_precision: u8,
    size_precision: u8,
    instrument_id: Option<InstrumentId>,
    limit: Option<usize>,
) -> PyResult<PyObject> {
    let trades = load_trade_ticks(
        filepath,
        price_precision,
        size_precision,
        instrument_id,
        limit,
    )
    .map_err(to_pyvalue_err)?;
    let trades: Vec<Data> = trades.into_iter().map(Data::Trade).collect();

    let cvec: CVec = trades.into();
    let capsule = PyCapsule::new_bound::<CVec>(py, cvec, None)?;
    Ok(capsule.into_py(py))
}
nautilus_tardis/python/csv.rs

nautilus_tardis/python/
csv.rs
