nautilus_databento/python/
live.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
16//! Python bindings for the Databento live client.
17
18use std::{
19    fs,
20    path::PathBuf,
21    str::FromStr,
22    sync::{Arc, RwLock},
23};
24
25use ahash::AHashMap;
26use databento::{dbn, live::Subscription};
27use indexmap::IndexMap;
28use nautilus_core::python::{IntoPyObjectNautilusExt, to_pyruntime_err, to_pyvalue_err};
29use nautilus_model::{
30    identifiers::{InstrumentId, Symbol, Venue},
31    python::{data::data_to_pycapsule, instruments::instrument_any_to_pyobject},
32};
33use pyo3::prelude::*;
34use time::OffsetDateTime;
35
36use crate::{
37    live::{DatabentoFeedHandler, LiveCommand, LiveMessage},
38    symbology::{check_consistent_symbology, infer_symbology_type, instrument_id_to_symbol_string},
39    types::DatabentoPublisher,
40};
41
42#[cfg_attr(
43    feature = "python",
44    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.databento")
45)]
46#[derive(Debug)]
47pub struct DatabentoLiveClient {
48    #[pyo3(get)]
49    pub key: String,
50    #[pyo3(get)]
51    pub dataset: String,
52    is_running: bool,
53    is_closed: bool,
54    cmd_tx: tokio::sync::mpsc::UnboundedSender<LiveCommand>,
55    cmd_rx: Option<tokio::sync::mpsc::UnboundedReceiver<LiveCommand>>,
56    buffer_size: usize,
57    publisher_venue_map: IndexMap<u16, Venue>,
58    symbol_venue_map: Arc<RwLock<AHashMap<Symbol, Venue>>>,
59    use_exchange_as_venue: bool,
60    bars_timestamp_on_close: bool,
61}
62
63impl DatabentoLiveClient {
64    #[must_use]
65    pub fn is_closed(&self) -> bool {
66        self.cmd_tx.is_closed()
67    }
68
69    async fn process_messages(
70        mut msg_rx: tokio::sync::mpsc::Receiver<LiveMessage>,
71        callback: PyObject,
72        callback_pyo3: PyObject,
73    ) -> PyResult<()> {
74        tracing::debug!("Processing messages...");
75        // Continue to process messages until channel is hung up
76        while let Some(msg) = msg_rx.recv().await {
77            tracing::trace!("Received message: {msg:?}");
78
79            match msg {
80                LiveMessage::Data(data) => Python::with_gil(|py| {
81                    let py_obj = data_to_pycapsule(py, data);
82                    call_python(py, &callback, py_obj);
83                }),
84                LiveMessage::Instrument(data) => {
85                    Python::with_gil(|py| match instrument_any_to_pyobject(py, data) {
86                        Ok(py_obj) => call_python(py, &callback, py_obj),
87                        Err(e) => tracing::error!("Failed creating instrument: {e}"),
88                    });
89                }
90                LiveMessage::Status(data) => Python::with_gil(|py| {
91                    let py_obj = data.into_py_any_unwrap(py);
92                    call_python(py, &callback_pyo3, py_obj);
93                }),
94                LiveMessage::Imbalance(data) => Python::with_gil(|py| {
95                    let py_obj = data.into_py_any_unwrap(py);
96                    call_python(py, &callback_pyo3, py_obj);
97                }),
98                LiveMessage::Statistics(data) => Python::with_gil(|py| {
99                    let py_obj = data.into_py_any_unwrap(py);
100                    call_python(py, &callback_pyo3, py_obj);
101                }),
102                LiveMessage::Close => {
103                    // Graceful close
104                    break;
105                }
106                LiveMessage::Error(e) => {
107                    // Return error to Python
108                    return Err(to_pyruntime_err(e));
109                }
110            }
111        }
112
113        msg_rx.close();
114        tracing::debug!("Closed message receiver");
115
116        Ok(())
117    }
118
119    fn send_command(&self, cmd: LiveCommand) -> PyResult<()> {
120        self.cmd_tx.send(cmd).map_err(to_pyruntime_err)
121    }
122}
123
124fn call_python(py: Python, callback: &PyObject, py_obj: PyObject) {
125    if let Err(e) = callback.call1(py, (py_obj,)) {
126        // TODO: Improve this by checking for the actual exception type
127        if !e.to_string().contains("CancelledError") {
128            tracing::error!("Error calling Python: {e}");
129        }
130    }
131}
132
133#[pymethods]
134impl DatabentoLiveClient {
135    /// # Errors
136    ///
137    /// Returns a `PyErr` if reading or parsing the publishers file fails.
138    #[new]
139    pub fn py_new(
140        key: String,
141        dataset: String,
142        publishers_filepath: PathBuf,
143        use_exchange_as_venue: bool,
144        bars_timestamp_on_close: Option<bool>,
145    ) -> PyResult<Self> {
146        let publishers_json = fs::read_to_string(publishers_filepath).map_err(to_pyvalue_err)?;
147        let publishers_vec: Vec<DatabentoPublisher> =
148            serde_json::from_str(&publishers_json).map_err(to_pyvalue_err)?;
149        let publisher_venue_map = publishers_vec
150            .into_iter()
151            .map(|p| (p.publisher_id, Venue::from(p.venue.as_str())))
152            .collect::<IndexMap<u16, Venue>>();
153
154        let (cmd_tx, cmd_rx) = tokio::sync::mpsc::unbounded_channel::<LiveCommand>();
155
156        // Hard-coded to a reasonable size for now
157        let buffer_size = 100_000;
158
159        Ok(Self {
160            key,
161            dataset,
162            cmd_tx,
163            cmd_rx: Some(cmd_rx),
164            buffer_size,
165            is_running: false,
166            is_closed: false,
167            publisher_venue_map,
168            symbol_venue_map: Arc::new(RwLock::new(AHashMap::new())),
169            use_exchange_as_venue,
170            bars_timestamp_on_close: bars_timestamp_on_close.unwrap_or(true),
171        })
172    }
173
174    #[pyo3(name = "is_running")]
175    const fn py_is_running(&self) -> bool {
176        self.is_running
177    }
178
179    #[pyo3(name = "is_closed")]
180    const fn py_is_closed(&self) -> bool {
181        self.is_closed
182    }
183
184    #[pyo3(name = "subscribe")]
185    #[pyo3(signature = (schema, instrument_ids, start=None, snapshot=None))]
186    fn py_subscribe(
187        &mut self,
188        schema: String,
189        instrument_ids: Vec<InstrumentId>,
190        start: Option<u64>,
191        snapshot: Option<bool>,
192    ) -> PyResult<()> {
193        let mut symbol_venue_map = self
194            .symbol_venue_map
195            .write()
196            .map_err(|e| to_pyruntime_err(format!("symbol_venue_map lock poisoned: {e}")))?;
197        let symbols: Vec<String> = instrument_ids
198            .iter()
199            .map(|instrument_id| {
200                instrument_id_to_symbol_string(*instrument_id, &mut symbol_venue_map)
201            })
202            .collect();
203        let first_symbol = symbols
204            .first()
205            .ok_or_else(|| to_pyvalue_err("No symbols provided"))?;
206        let stype_in = infer_symbology_type(first_symbol);
207        let symbols: Vec<&str> = symbols.iter().map(String::as_str).collect();
208        check_consistent_symbology(symbols.as_slice()).map_err(to_pyvalue_err)?;
209        let mut sub = Subscription::builder()
210            .symbols(symbols)
211            .schema(dbn::Schema::from_str(&schema).map_err(to_pyvalue_err)?)
212            .stype_in(stype_in)
213            .build();
214
215        if let Some(start) = start {
216            let start = OffsetDateTime::from_unix_timestamp_nanos(i128::from(start))
217                .map_err(to_pyvalue_err)?;
218            sub.start = Some(start);
219        }
220        sub.use_snapshot = snapshot.unwrap_or(false);
221
222        self.send_command(LiveCommand::Subscribe(sub))
223    }
224
225    #[pyo3(name = "start")]
226    fn py_start<'py>(
227        &mut self,
228        py: Python<'py>,
229        callback: PyObject,
230        callback_pyo3: PyObject,
231    ) -> PyResult<Bound<'py, PyAny>> {
232        if self.is_closed {
233            return Err(to_pyruntime_err("Client already closed"));
234        }
235        if self.is_running {
236            return Err(to_pyruntime_err("Client already running"));
237        }
238
239        tracing::debug!("Starting client");
240
241        self.is_running = true;
242
243        let (msg_tx, msg_rx) = tokio::sync::mpsc::channel::<LiveMessage>(self.buffer_size);
244
245        // Consume the receiver
246        // SAFETY: We guard the client from being started more than once with the
247        // `is_running` flag, so here it is safe to unwrap the command receiver.
248        let cmd_rx = self
249            .cmd_rx
250            .take()
251            .ok_or_else(|| to_pyruntime_err("Command receiver already taken"))?;
252
253        let mut feed_handler = DatabentoFeedHandler::new(
254            self.key.clone(),
255            self.dataset.clone(),
256            cmd_rx,
257            msg_tx,
258            self.publisher_venue_map.clone(),
259            self.symbol_venue_map.clone(),
260            self.use_exchange_as_venue,
261            self.bars_timestamp_on_close,
262        );
263
264        self.send_command(LiveCommand::Start)?;
265
266        pyo3_async_runtimes::tokio::future_into_py(py, async move {
267            let (proc_handle, feed_handle) = tokio::join!(
268                Self::process_messages(msg_rx, callback, callback_pyo3),
269                feed_handler.run(),
270            );
271
272            match proc_handle {
273                Ok(()) => tracing::debug!("Message processor completed"),
274                Err(e) => tracing::error!("Message processor error: {e}"),
275            }
276
277            match feed_handle {
278                Ok(()) => tracing::debug!("Feed handler completed"),
279                Err(e) => tracing::error!("Feed handler error: {e}"),
280            }
281
282            Ok(())
283        })
284    }
285
286    #[pyo3(name = "close")]
287    fn py_close(&mut self) -> PyResult<()> {
288        if !self.is_running {
289            return Err(to_pyruntime_err("Client never started"));
290        }
291        if self.is_closed {
292            return Err(to_pyruntime_err("Client already closed"));
293        }
294
295        tracing::debug!("Closing client");
296
297        if !self.is_closed() {
298            self.send_command(LiveCommand::Close)?;
299        }
300
301        self.is_running = false;
302        self.is_closed = true;
303
304        Ok(())
305    }
306}
nautilus_databento/python/live.rs

nautilus_databento/python/
live.rs
