nautilus_common/xrate.rs
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// -------------------------------------------------------------------------------------------------
// 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.
// -------------------------------------------------------------------------------------------------
// ****************************************************************************
// The design of exchange rate calculations needs to be revisited,
// as its not efficient to be allocating so many structures and doing so many recalculations"
// ****************************************************************************
//! Exchange rate calculations between currencies.
//!
//! An exchange rate is the value of one asset versus that of another.
use std::collections::{HashMap, HashSet};
use itertools::Itertools;
use nautilus_core::correctness::{check_equal_usize, check_map_not_empty, FAILED};
use nautilus_model::{enums::PriceType, identifiers::Symbol, types::currency::Currency};
use rust_decimal::Decimal;
use rust_decimal_macros::dec;
use ustr::Ustr;
const DECIMAL_ONE: Decimal = dec!(1.0);
const DECIMAL_TWO: Decimal = dec!(2.0);
/// Returns the calculated exchange rate for the given price type using the
/// given dictionary of bid and ask quotes.
pub fn get_exchange_rate(
from_currency: Currency,
to_currency: Currency,
price_type: PriceType,
quotes_bid: HashMap<Symbol, Decimal>,
quotes_ask: HashMap<Symbol, Decimal>,
) -> anyhow::Result<Decimal> {
check_map_not_empty("es_bid, stringify!(quotes_bid)).expect(FAILED);
check_map_not_empty("es_ask, stringify!(quotes_ask)).expect(FAILED);
check_equal_usize(
quotes_bid.len(),
quotes_ask.len(),
"quotes_bid.len()",
"quotes_ask.len()",
)
.expect(FAILED);
if from_currency == to_currency {
return Ok(DECIMAL_ONE); // No conversion necessary
}
let calculation_quotes: HashMap<Symbol, Decimal> = match price_type {
PriceType::Bid => quotes_bid,
PriceType::Ask => quotes_ask,
PriceType::Mid => {
let mut calculation_quotes = HashMap::new();
for (symbol, bid_quote) in "es_bid {
if let Some(ask_quote) = quotes_ask.get(symbol) {
calculation_quotes.insert(*symbol, (bid_quote + ask_quote) / DECIMAL_TWO);
}
}
calculation_quotes
}
_ => panic!("Cannot calculate exchange rate for PriceType {price_type:?}"),
};
let mut exchange_rates: HashMap<Ustr, HashMap<Ustr, Decimal>> = HashMap::new();
// Build quote table
for (symbol, quote) in &calculation_quotes {
let pieces: Vec<&str> = symbol.as_str().split('/').collect();
let code_lhs = Ustr::from(pieces[0]);
let code_rhs = Ustr::from(pieces[1]);
let lhs_rates = exchange_rates.entry(code_lhs).or_default();
lhs_rates.insert(code_lhs, Decimal::new(1, 0));
lhs_rates.insert(code_rhs, *quote);
let rhs_rates = exchange_rates.entry(code_rhs).or_default();
rhs_rates.insert(code_lhs, Decimal::new(1, 0));
rhs_rates.insert(code_rhs, *quote);
}
// Clone exchange_rates to avoid borrowing conflicts
let exchange_rates_cloned = exchange_rates.clone();
// Generate possible currency pairs from all symbols
let mut codes: HashSet<&Ustr> = HashSet::new();
for (code_lhs, code_rhs) in exchange_rates_cloned.keys().flat_map(|k| {
exchange_rates_cloned
.keys()
.map(move |code_rhs| (k, code_rhs))
}) {
codes.insert(code_lhs);
codes.insert(code_rhs);
}
let _code_perms: Vec<(&Ustr, &Ustr)> = codes
.iter()
.cartesian_product(codes.iter())
.filter(|(a, b)| a != b)
.map(|(a, b)| (*a, *b))
.collect();
// TODO: Unable to solve borrowing issues for now (see top comment)
// Calculate currency inverses
// for (perm_0, perm_1) in code_perms.iter() {
// let exchange_rates_perm_0 = exchange_rates.entry(**perm_0).or_insert_with(HashMap::new);
// let exchange_rates_perm_1 = exchange_rates.entry(**perm_1).or_insert_with(HashMap::new);
// if !exchange_rates_perm_0.contains_key(perm_1) {
// if let Some(rate) = exchange_rates_perm_0.get(perm_1) {
// exchange_rates_perm_1
// .entry(**perm_0)
// .or_insert_with(|| Decimal::new(1, 0) / rate);
// }
// }
// if !exchange_rates_perm_1.contains_key(perm_0) {
// if let Some(rate) = exchange_rates_perm_1.get(perm_0) {
// exchange_rates_perm_0
// .entry(**perm_1)
// .or_insert_with(|| Decimal::new(1, 0) / rate);
// }
// }
// }
if let Some(quotes) = exchange_rates.get(&from_currency.code) {
if let Some(xrate) = quotes.get(&to_currency.code) {
return Ok(*xrate);
}
}
// TODO: Improve efficiency
let empty: HashMap<Ustr, Decimal> = HashMap::new();
let quotes = exchange_rates.get(&from_currency.code).unwrap_or(&empty);
Ok(quotes.get(&to_currency.code).copied().unwrap_or(dec!(0.0)))
}