nautilus_model/instruments/
futures_contract.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::hash::{Hash, Hasher};
17
18use nautilus_core::{
19    UnixNanos,
20    correctness::{
21        FAILED, check_equal_u8, check_valid_string_ascii, check_valid_string_ascii_optional,
22    },
23};
24use rust_decimal::Decimal;
25use serde::{Deserialize, Serialize};
26use ustr::Ustr;
27
28use super::{Instrument, any::InstrumentAny};
29use crate::{
30    enums::{AssetClass, InstrumentClass, OptionKind},
31    identifiers::{InstrumentId, Symbol},
32    types::{
33        currency::Currency,
34        money::Money,
35        price::{Price, check_positive_price},
36        quantity::{Quantity, check_positive_quantity},
37    },
38};
39
40/// Represents a generic deliverable futures contract instrument.
41#[repr(C)]
42#[derive(Clone, Copy, Debug, Serialize, Deserialize)]
43#[cfg_attr(
44    feature = "python",
45    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
46)]
47pub struct FuturesContract {
48    /// The instrument ID.
49    pub id: InstrumentId,
50    /// The raw/local/native symbol for the instrument, assigned by the venue.
51    pub raw_symbol: Symbol,
52    /// The futures contract asset class.
53    pub asset_class: AssetClass,
54    /// The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
55    pub exchange: Option<Ustr>,
56    /// The underlying asset.
57    pub underlying: Ustr,
58    /// UNIX timestamp (nanoseconds) for contract activation.
59    pub activation_ns: UnixNanos,
60    /// UNIX timestamp (nanoseconds) for contract expiration.
61    pub expiration_ns: UnixNanos,
62    /// The futures contract currency.
63    pub currency: Currency,
64    /// The price decimal precision.
65    pub price_precision: u8,
66    /// The minimum price increment (tick size).
67    pub price_increment: Price,
68    /// The minimum size increment.
69    pub size_increment: Quantity,
70    /// The trading size decimal precision.
71    pub size_precision: u8,
72    /// The contract multiplier.
73    pub multiplier: Quantity,
74    /// The rounded lot unit size (standard/board).
75    pub lot_size: Quantity,
76    /// The initial (order) margin requirement in percentage of order value.
77    pub margin_init: Decimal,
78    /// The maintenance (position) margin in percentage of position value.
79    pub margin_maint: Decimal,
80    /// The fee rate for liquidity makers as a percentage of order value.
81    pub maker_fee: Decimal,
82    /// The fee rate for liquidity takers as a percentage of order value.
83    pub taker_fee: Decimal,
84    /// The maximum allowable order quantity.
85    pub max_quantity: Option<Quantity>,
86    /// The minimum allowable order quantity.
87    pub min_quantity: Option<Quantity>,
88    /// The maximum allowable quoted price.
89    pub max_price: Option<Price>,
90    /// The minimum allowable quoted price.
91    pub min_price: Option<Price>,
92    /// UNIX timestamp (nanoseconds) when the data event occurred.
93    pub ts_event: UnixNanos,
94    /// UNIX timestamp (nanoseconds) when the data object was initialized.
95    pub ts_init: UnixNanos,
96}
97
98impl FuturesContract {
99    /// Creates a new [`FuturesContract`] instance with correctness checking.
100    ///
101    /// # Notes
102    ///
103    /// PyO3 requires a `Result` type for proper error handling and stacktrace printing in Python.
104    /// # Errors
105    ///
106    /// Returns an error if any input validation fails.
107    #[allow(clippy::too_many_arguments)]
108    pub fn new_checked(
109        instrument_id: InstrumentId,
110        raw_symbol: Symbol,
111        asset_class: AssetClass,
112        exchange: Option<Ustr>,
113        underlying: Ustr,
114        activation_ns: UnixNanos,
115        expiration_ns: UnixNanos,
116        currency: Currency,
117        price_precision: u8,
118        price_increment: Price,
119        multiplier: Quantity,
120        lot_size: Quantity,
121        max_quantity: Option<Quantity>,
122        min_quantity: Option<Quantity>,
123        max_price: Option<Price>,
124        min_price: Option<Price>,
125        margin_init: Option<Decimal>,
126        margin_maint: Option<Decimal>,
127        maker_fee: Option<Decimal>,
128        taker_fee: Option<Decimal>,
129        ts_event: UnixNanos,
130        ts_init: UnixNanos,
131    ) -> anyhow::Result<Self> {
132        check_valid_string_ascii_optional(exchange.map(|u| u.as_str()), stringify!(isin))?;
133        check_valid_string_ascii(underlying.as_str(), stringify!(underlying))?;
134        check_equal_u8(
135            price_precision,
136            price_increment.precision,
137            stringify!(price_precision),
138            stringify!(price_increment.precision),
139        )?;
140        check_positive_price(price_increment, stringify!(price_increment))?;
141        check_positive_quantity(multiplier, stringify!(multiplier))?;
142        check_positive_quantity(lot_size, stringify!(lot_size))?;
143
144        Ok(Self {
145            id: instrument_id,
146            raw_symbol,
147            asset_class,
148            exchange,
149            underlying,
150            activation_ns,
151            expiration_ns,
152            currency,
153            price_precision,
154            price_increment,
155            size_precision: 0,
156            size_increment: Quantity::from(1),
157            multiplier,
158            lot_size,
159            max_quantity,
160            min_quantity: Some(min_quantity.unwrap_or(1.into())),
161            max_price,
162            min_price,
163            margin_init: margin_init.unwrap_or_default(),
164            margin_maint: margin_maint.unwrap_or_default(),
165            maker_fee: maker_fee.unwrap_or_default(),
166            taker_fee: taker_fee.unwrap_or_default(),
167            ts_event,
168            ts_init,
169        })
170    }
171
172    /// Creates a new [`FuturesContract`] instance.
173    ///
174    /// # Panics
175    ///
176    /// Panics if any input parameter is invalid (see `new_checked`).
177    #[allow(clippy::too_many_arguments)]
178    pub fn new(
179        instrument_id: InstrumentId,
180        raw_symbol: Symbol,
181        asset_class: AssetClass,
182        exchange: Option<Ustr>,
183        underlying: Ustr,
184        activation_ns: UnixNanos,
185        expiration_ns: UnixNanos,
186        currency: Currency,
187        price_precision: u8,
188        price_increment: Price,
189        multiplier: Quantity,
190        lot_size: Quantity,
191        max_quantity: Option<Quantity>,
192        min_quantity: Option<Quantity>,
193        max_price: Option<Price>,
194        min_price: Option<Price>,
195        margin_init: Option<Decimal>,
196        margin_maint: Option<Decimal>,
197        maker_fee: Option<Decimal>,
198        taker_fee: Option<Decimal>,
199        ts_event: UnixNanos,
200        ts_init: UnixNanos,
201    ) -> Self {
202        Self::new_checked(
203            instrument_id,
204            raw_symbol,
205            asset_class,
206            exchange,
207            underlying,
208            activation_ns,
209            expiration_ns,
210            currency,
211            price_precision,
212            price_increment,
213            multiplier,
214            lot_size,
215            max_quantity,
216            min_quantity,
217            max_price,
218            min_price,
219            margin_init,
220            margin_maint,
221            maker_fee,
222            taker_fee,
223            ts_event,
224            ts_init,
225        )
226        .expect(FAILED)
227    }
228}
229
230impl PartialEq<Self> for FuturesContract {
231    fn eq(&self, other: &Self) -> bool {
232        self.id == other.id
233    }
234}
235
236impl Eq for FuturesContract {}
237
238impl Hash for FuturesContract {
239    fn hash<H: Hasher>(&self, state: &mut H) {
240        self.id.hash(state);
241    }
242}
243
244impl Instrument for FuturesContract {
245    fn into_any(self) -> InstrumentAny {
246        InstrumentAny::FuturesContract(self)
247    }
248
249    fn id(&self) -> InstrumentId {
250        self.id
251    }
252
253    fn raw_symbol(&self) -> Symbol {
254        self.raw_symbol
255    }
256
257    fn asset_class(&self) -> AssetClass {
258        self.asset_class
259    }
260
261    fn instrument_class(&self) -> InstrumentClass {
262        InstrumentClass::Future
263    }
264    fn underlying(&self) -> Option<Ustr> {
265        Some(self.underlying)
266    }
267
268    fn base_currency(&self) -> Option<Currency> {
269        None
270    }
271
272    fn quote_currency(&self) -> Currency {
273        self.currency
274    }
275
276    fn settlement_currency(&self) -> Currency {
277        self.currency
278    }
279
280    fn isin(&self) -> Option<Ustr> {
281        None
282    }
283
284    fn option_kind(&self) -> Option<OptionKind> {
285        None
286    }
287
288    fn exchange(&self) -> Option<Ustr> {
289        self.exchange
290    }
291
292    fn strike_price(&self) -> Option<Price> {
293        None
294    }
295
296    fn activation_ns(&self) -> Option<UnixNanos> {
297        Some(self.activation_ns)
298    }
299
300    fn expiration_ns(&self) -> Option<UnixNanos> {
301        Some(self.expiration_ns)
302    }
303
304    fn is_inverse(&self) -> bool {
305        false
306    }
307
308    fn price_precision(&self) -> u8 {
309        self.price_precision
310    }
311
312    fn size_precision(&self) -> u8 {
313        0
314    }
315
316    fn price_increment(&self) -> Price {
317        self.price_increment
318    }
319
320    fn size_increment(&self) -> Quantity {
321        Quantity::from(1)
322    }
323
324    fn multiplier(&self) -> Quantity {
325        self.multiplier
326    }
327
328    fn lot_size(&self) -> Option<Quantity> {
329        Some(self.lot_size)
330    }
331
332    fn max_quantity(&self) -> Option<Quantity> {
333        self.max_quantity
334    }
335
336    fn min_quantity(&self) -> Option<Quantity> {
337        self.min_quantity
338    }
339
340    fn max_notional(&self) -> Option<Money> {
341        None
342    }
343
344    fn min_notional(&self) -> Option<Money> {
345        None
346    }
347
348    fn max_price(&self) -> Option<Price> {
349        self.max_price
350    }
351
352    fn min_price(&self) -> Option<Price> {
353        self.min_price
354    }
355
356    fn ts_event(&self) -> UnixNanos {
357        self.ts_event
358    }
359
360    fn ts_init(&self) -> UnixNanos {
361        self.ts_init
362    }
363}
364
365////////////////////////////////////////////////////////////////////////////////
366// Tests
367////////////////////////////////////////////////////////////////////////////////
368#[cfg(test)]
369mod tests {
370    use rstest::rstest;
371
372    use crate::instruments::stubs::*;
373
374    #[rstest]
375    fn test_equality() {
376        let futures_contract = futures_contract_es(None, None);
377        assert_eq!(futures_contract, futures_contract.clone());
378    }
379}
nautilus_model/instruments/futures_contract.rs

nautilus_model/instruments/
futures_contract.rs
