nautilus_model/defi/data/
swap.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::fmt::Display;
17
18use alloy_primitives::{Address, I256, U160};
19use nautilus_core::UnixNanos;
20
21use crate::{
22    defi::{
23        PoolIdentifier, SharedChain, SharedDex, Token,
24        data::swap_trade_info::{SwapTradeInfo, SwapTradeInfoCalculator},
25    },
26    identifiers::InstrumentId,
27};
28
29/// Raw swap data directly from the blockchain event log.
30#[derive(Debug, Clone)]
31pub struct RawSwapData {
32    /// Amount of token0 involved in the swap (positive = in, negative = out).
33    pub amount0: I256,
34    /// Amount of token1 involved in the swap (positive = in, negative = out).
35    pub amount1: I256,
36    /// Square root price of the pool AFTER the swap (Q64.96 fixed-point format).
37    pub sqrt_price_x96: U160,
38}
39
40impl RawSwapData {
41    /// Creates a new [`RawSwapData`] instance with the specified values.
42    pub fn new(amount0: I256, amount1: I256, sqrt_price_x96: U160) -> Self {
43        Self {
44            amount0,
45            amount1,
46            sqrt_price_x96,
47        }
48    }
49}
50
51/// Represents a token swap transaction on a decentralized exchange (DEX).
52///
53/// This structure captures both the raw blockchain data from a swap event and
54/// optionally includes computed market-oriented trade information. It serves as
55/// the primary data structure for tracking and analyzing DEX swap activity.
56#[derive(Debug, Clone, PartialEq)]
57#[cfg_attr(
58    feature = "python",
59    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
60)]
61pub struct PoolSwap {
62    /// The blockchain network where the swap occurred.
63    pub chain: SharedChain,
64    /// The decentralized exchange where the swap was executed.
65    pub dex: SharedDex,
66    /// The instrument ID for this pool's trading pair.
67    pub instrument_id: InstrumentId,
68    /// The unique identifier for this pool (could be an address or other protocol-specific hex string).
69    pub pool_identifier: PoolIdentifier,
70    /// The blockchain block number at which the swap was executed.
71    pub block: u64,
72    /// The unique hash identifier of the blockchain transaction containing the swap.
73    pub transaction_hash: String,
74    /// The index position of the transaction within the block.
75    pub transaction_index: u32,
76    /// The index position of the swap event log within the transaction.
77    pub log_index: u32,
78    /// The blockchain address of the user or contract that initiated the swap.
79    pub sender: Address,
80    /// The blockchain address that received the swapped tokens.
81    pub recipient: Address,
82    /// The sqrt price after the swap (Q64.96 format).
83    pub sqrt_price_x96: U160,
84    /// The amount of token0 involved in the swap.
85    pub amount0: I256,
86    /// The amount of token1 involved in the swap.
87    pub amount1: I256,
88    /// The liquidity of the pool after the swap occurred.
89    pub liquidity: u128,
90    /// The current tick of the pool after the swap occurred.
91    pub tick: i32,
92    /// UNIX timestamp (nanoseconds) when the swap occurred.
93    pub timestamp: Option<UnixNanos>,
94    /// UNIX timestamp (nanoseconds) when the instance was initialized.
95    pub ts_init: Option<UnixNanos>,
96    /// Optional computed trade information in market-oriented format.
97    /// This translates raw blockchain data into standard trading terminology.
98    pub trade_info: Option<SwapTradeInfo>,
99}
100
101impl PoolSwap {
102    /// Creates a new [`PoolSwap`] instance with the specified properties.
103    #[must_use]
104    #[allow(clippy::too_many_arguments)]
105    pub fn new(
106        chain: SharedChain,
107        dex: SharedDex,
108        instrument_id: InstrumentId,
109        pool_identifier: PoolIdentifier,
110        block: u64,
111        transaction_hash: String,
112        transaction_index: u32,
113        log_index: u32,
114        timestamp: Option<UnixNanos>,
115        sender: Address,
116        recipient: Address,
117        amount0: I256,
118        amount1: I256,
119        sqrt_price_x96: U160,
120        liquidity: u128,
121        tick: i32,
122    ) -> Self {
123        Self {
124            chain,
125            dex,
126            instrument_id,
127            pool_identifier,
128            block,
129            transaction_hash,
130            transaction_index,
131            log_index,
132            timestamp,
133            sender,
134            recipient,
135            amount0,
136            amount1,
137            sqrt_price_x96,
138            liquidity,
139            tick,
140            ts_init: timestamp, // TODO: Use swap timestamp as init timestamp for now
141            trade_info: None,
142        }
143    }
144
145    /// Calculates and populates the `trade_info` field with market-oriented trade data.
146    ///
147    /// This method transforms the raw blockchain swap data (token0/token1 amounts) into
148    /// standard trading terminology (base/quote, buy/sell, execution price). The computation
149    /// determines token roles based on priority and handles decimal adjustments.
150    ///
151    /// # Arguments
152    ///
153    /// * `token0` - Reference to token0 in the pool
154    /// * `token1` - Reference to token1 in the pool
155    /// * `sqrt_price_x96` - Optional square root price before the swap (Q96 format) for calculating price impact and slippage
156    ///
157    /// # Errors
158    ///
159    /// Returns an error if the trade info computation or price calculations fail.
160    ///
161    pub fn calculate_trade_info(
162        &mut self,
163        token0: &Token,
164        token1: &Token,
165        sqrt_price_x96: Option<U160>,
166    ) -> anyhow::Result<()> {
167        let trade_info_calculator = SwapTradeInfoCalculator::new(
168            token0,
169            token1,
170            RawSwapData::new(self.amount0, self.amount1, self.sqrt_price_x96),
171        );
172        self.trade_info = Some(trade_info_calculator.compute(sqrt_price_x96)?);
173
174        Ok(())
175    }
176}
177
178impl Display for PoolSwap {
179    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
180        write!(
181            f,
182            "{}(instrument_id={})",
183            stringify!(PoolSwap),
184            self.instrument_id,
185        )
186    }
187}
nautilus_model/defi/data/swap.rs

nautilus_model/defi/data/
swap.rs
