nautilus_model/instruments/
synthetic.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::{
17    collections::HashMap,
18    hash::{Hash, Hasher},
19};
20
21use derive_builder::Builder;
22use evalexpr::{ContextWithMutableVariables, DefaultNumericTypes, HashMapContext, Node, Value};
23use nautilus_core::{UnixNanos, correctness::FAILED};
24use serde::{Deserialize, Serialize};
25
26use crate::{
27    identifiers::{InstrumentId, Symbol, Venue},
28    types::Price,
29};
30/// Represents a synthetic instrument with prices derived from component instruments using a
31/// formula.
32///
33/// The `id` for the synthetic will become `{symbol}.{SYNTH}`.
34#[derive(Clone, Debug, Builder)]
35#[cfg_attr(
36    feature = "python",
37    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
38)]
39pub struct SyntheticInstrument {
40    /// The unique identifier for the synthetic instrument.
41    pub id: InstrumentId,
42    /// The price precision for the synthetic instrument.
43    pub price_precision: u8,
44    /// The minimum price increment.
45    pub price_increment: Price,
46    /// The component instruments for the synthetic instrument.
47    pub components: Vec<InstrumentId>,
48    /// The derivation formula for the synthetic instrument.
49    pub formula: String,
50    /// UNIX timestamp (nanoseconds) when the data event occurred.
51    pub ts_event: UnixNanos,
52    /// UNIX timestamp (nanoseconds) when the data object was initialized.
53    pub ts_init: UnixNanos,
54    context: HashMapContext,
55    variables: Vec<String>,
56    operator_tree: Node,
57}
58
59impl Serialize for SyntheticInstrument {
60    fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
61    where
62        S: serde::Serializer,
63    {
64        use serde::ser::SerializeStruct;
65        let mut state = serializer.serialize_struct("SyntheticInstrument", 7)?;
66        state.serialize_field("id", &self.id)?;
67        state.serialize_field("price_precision", &self.price_precision)?;
68        state.serialize_field("price_increment", &self.price_increment)?;
69        state.serialize_field("components", &self.components)?;
70        state.serialize_field("formula", &self.formula)?;
71        state.serialize_field("ts_event", &self.ts_event)?;
72        state.serialize_field("ts_init", &self.ts_init)?;
73        state.end()
74    }
75}
76
77impl<'de> Deserialize<'de> for SyntheticInstrument {
78    fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>
79    where
80        D: serde::Deserializer<'de>,
81    {
82        #[derive(Deserialize)]
83        struct Fields {
84            id: InstrumentId,
85            price_precision: u8,
86            price_increment: Price,
87            components: Vec<InstrumentId>,
88            formula: String,
89            ts_event: UnixNanos,
90            ts_init: UnixNanos,
91        }
92
93        let fields = Fields::deserialize(deserializer)?;
94
95        let variables = fields
96            .components
97            .iter()
98            .map(std::string::ToString::to_string)
99            .collect();
100
101        let operator_tree =
102            evalexpr::build_operator_tree(&fields.formula).map_err(serde::de::Error::custom)?;
103
104        Ok(SyntheticInstrument {
105            id: fields.id,
106            price_precision: fields.price_precision,
107            price_increment: fields.price_increment,
108            components: fields.components,
109            formula: fields.formula,
110            ts_event: fields.ts_event,
111            ts_init: fields.ts_init,
112            context: HashMapContext::new(),
113            variables,
114            operator_tree,
115        })
116    }
117}
118
119impl SyntheticInstrument {
120    /// Creates a new [`SyntheticInstrument`] instance with correctness checking.
121    ///
122    /// # Notes
123    ///
124    /// PyO3 requires a `Result` type for proper error handling and stacktrace printing in Python.
125    pub fn new_checked(
126        symbol: Symbol,
127        price_precision: u8,
128        components: Vec<InstrumentId>,
129        formula: String,
130        ts_event: UnixNanos,
131        ts_init: UnixNanos,
132    ) -> anyhow::Result<Self> {
133        let price_increment = Price::new(10f64.powi(-i32::from(price_precision)), price_precision);
134
135        // Extract variables from the component instruments
136        let variables: Vec<String> = components
137            .iter()
138            .map(std::string::ToString::to_string)
139            .collect();
140
141        let operator_tree = evalexpr::build_operator_tree(&formula)?;
142
143        Ok(Self {
144            id: InstrumentId::new(symbol, Venue::synthetic()),
145            price_precision,
146            price_increment,
147            components,
148            formula,
149            context: HashMapContext::new(),
150            variables,
151            operator_tree,
152            ts_event,
153            ts_init,
154        })
155    }
156
157    /// Creates a new [`SyntheticInstrument`] instance
158    pub fn new(
159        symbol: Symbol,
160        price_precision: u8,
161        components: Vec<InstrumentId>,
162        formula: String,
163        ts_event: UnixNanos,
164        ts_init: UnixNanos,
165    ) -> Self {
166        Self::new_checked(
167            symbol,
168            price_precision,
169            components,
170            formula,
171            ts_event,
172            ts_init,
173        )
174        .expect(FAILED)
175    }
176
177    #[must_use]
178    pub fn is_valid_formula(&self, formula: &str) -> bool {
179        evalexpr::build_operator_tree::<DefaultNumericTypes>(formula).is_ok()
180    }
181
182    pub fn change_formula(&mut self, formula: String) -> anyhow::Result<()> {
183        let operator_tree = evalexpr::build_operator_tree::<DefaultNumericTypes>(&formula)?;
184        self.formula = formula;
185        self.operator_tree = operator_tree;
186        Ok(())
187    }
188
189    /// Calculates the price of the synthetic instrument based on the given component input prices
190    /// provided as a map.
191    #[allow(dead_code)]
192    pub fn calculate_from_map(&mut self, inputs: &HashMap<String, f64>) -> anyhow::Result<Price> {
193        let mut input_values = Vec::new();
194
195        for variable in &self.variables {
196            if let Some(&value) = inputs.get(variable) {
197                input_values.push(value);
198                self.context
199                    .set_value(variable.clone(), Value::Float(value))
200                    .expect("TODO: Unable to set value");
201            } else {
202                panic!("Missing price for component: {variable}");
203            }
204        }
205
206        self.calculate(&input_values)
207    }
208
209    /// Calculates the price of the synthetic instrument based on the given component input prices
210    /// provided as an array of `f64` values.
211    pub fn calculate(&mut self, inputs: &[f64]) -> anyhow::Result<Price> {
212        if inputs.len() != self.variables.len() {
213            return Err(anyhow::anyhow!("Invalid number of input values"));
214        }
215
216        for (variable, input) in self.variables.iter().zip(inputs) {
217            self.context
218                .set_value(variable.clone(), Value::Float(*input))?;
219        }
220
221        let result: Value = self.operator_tree.eval_with_context(&self.context)?;
222
223        match result {
224            Value::Float(price) => Ok(Price::new(price, self.price_precision)),
225            _ => Err(anyhow::anyhow!(
226                "Failed to evaluate formula to a floating point number"
227            )),
228        }
229    }
230}
231
232impl PartialEq<Self> for SyntheticInstrument {
233    fn eq(&self, other: &Self) -> bool {
234        self.id == other.id
235    }
236}
237
238impl Eq for SyntheticInstrument {}
239
240impl Hash for SyntheticInstrument {
241    fn hash<H: Hasher>(&self, state: &mut H) {
242        self.id.hash(state);
243    }
244}
245
246////////////////////////////////////////////////////////////////////////////////
247// Tests
248///////////////////////////////////////////////////////////////////////////////
249#[cfg(test)]
250mod tests {
251    use rstest::rstest;
252
253    use super::*;
254
255    #[rstest]
256    fn test_calculate_from_map() {
257        let mut synth = SyntheticInstrument::default();
258        let mut inputs = HashMap::new();
259        inputs.insert("BTC.BINANCE".to_string(), 100.0);
260        inputs.insert("LTC.BINANCE".to_string(), 200.0);
261        let price = synth.calculate_from_map(&inputs).unwrap();
262
263        assert_eq!(price.as_f64(), 150.0);
264        assert_eq!(
265            synth.formula,
266            "(BTC.BINANCE + LTC.BINANCE) / 2.0".to_string()
267        );
268    }
269
270    #[rstest]
271    fn test_calculate() {
272        let mut synth = SyntheticInstrument::default();
273        let inputs = vec![100.0, 200.0];
274        let price = synth.calculate(&inputs).unwrap();
275        assert_eq!(price.as_f64(), 150.0);
276    }
277
278    #[rstest]
279    fn test_change_formula() {
280        let mut synth = SyntheticInstrument::default();
281        let new_formula = "(BTC.BINANCE + LTC.BINANCE) / 4".to_string();
282        synth.change_formula(new_formula.clone()).unwrap();
283
284        let mut inputs = HashMap::new();
285        inputs.insert("BTC.BINANCE".to_string(), 100.0);
286        inputs.insert("LTC.BINANCE".to_string(), 200.0);
287        let price = synth.calculate_from_map(&inputs).unwrap();
288
289        assert_eq!(price.as_f64(), 75.0);
290        assert_eq!(synth.formula, new_formula);
291    }
292}
nautilus_model/instruments/synthetic.rs

nautilus_model/instruments/
synthetic.rs
