nautilus_model/python/data/
bar.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, hash_map::DefaultHasher},
18    hash::{Hash, Hasher},
19    str::FromStr,
20};
21
22use nautilus_core::{
23    python::{
24        IntoPyObjectNautilusExt,
25        serialization::{from_dict_pyo3, to_dict_pyo3},
26        to_pyvalue_err,
27    },
28    serialization::Serializable,
29};
30use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict};
31
32use super::data_to_pycapsule;
33use crate::{
34    data::{
35        Data,
36        bar::{Bar, BarSpecification, BarType},
37    },
38    enums::{AggregationSource, BarAggregation, PriceType},
39    identifiers::InstrumentId,
40    python::common::PY_MODULE_MODEL,
41    types::{
42        price::{Price, PriceRaw},
43        quantity::{Quantity, QuantityRaw},
44    },
45};
46
47#[pymethods]
48impl BarSpecification {
49    #[new]
50    fn py_new(step: usize, aggregation: BarAggregation, price_type: PriceType) -> PyResult<Self> {
51        Self::new_checked(step, aggregation, price_type).map_err(to_pyvalue_err)
52    }
53
54    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
55        match op {
56            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
57            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
58            _ => py.NotImplemented(),
59        }
60    }
61
62    fn __hash__(&self) -> isize {
63        let mut h = DefaultHasher::new();
64        self.hash(&mut h);
65        h.finish() as isize
66    }
67
68    fn __repr__(&self) -> String {
69        format!("{self:?}")
70    }
71
72    fn __str__(&self) -> String {
73        self.to_string()
74    }
75
76    #[staticmethod]
77    #[pyo3(name = "fully_qualified_name")]
78    fn py_fully_qualified_name() -> String {
79        format!("{}:{}", PY_MODULE_MODEL, stringify!(BarSpecification))
80    }
81}
82
83#[pymethods]
84impl BarType {
85    #[new]
86    #[pyo3(signature = (instrument_id, spec, aggregation_source = AggregationSource::External)
87    )]
88    fn py_new(
89        instrument_id: InstrumentId,
90        spec: BarSpecification,
91        aggregation_source: AggregationSource,
92    ) -> Self {
93        Self::new(instrument_id, spec, aggregation_source)
94    }
95
96    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
97        match op {
98            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
99            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
100            _ => py.NotImplemented(),
101        }
102    }
103
104    fn __hash__(&self) -> isize {
105        let mut h = DefaultHasher::new();
106        self.hash(&mut h);
107        h.finish() as isize
108    }
109
110    fn __repr__(&self) -> String {
111        format!("{self:?}")
112    }
113
114    fn __str__(&self) -> String {
115        self.to_string()
116    }
117
118    #[staticmethod]
119    #[pyo3(name = "fully_qualified_name")]
120    fn py_fully_qualified_name() -> String {
121        format!("{}:{}", PY_MODULE_MODEL, stringify!(BarType))
122    }
123
124    #[staticmethod]
125    #[pyo3(name = "from_str")]
126    fn py_from_str(value: &str) -> PyResult<Self> {
127        Self::from_str(value).map_err(to_pyvalue_err)
128    }
129
130    #[staticmethod]
131    #[pyo3(name = "new_composite")]
132    fn py_new_composite(
133        instrument_id: InstrumentId,
134        spec: BarSpecification,
135        aggregation_source: AggregationSource,
136        composite_step: usize,
137        composite_aggregation: BarAggregation,
138        composite_aggregation_source: AggregationSource,
139    ) -> Self {
140        Self::new_composite(
141            instrument_id,
142            spec,
143            aggregation_source,
144            composite_step,
145            composite_aggregation,
146            composite_aggregation_source,
147        )
148    }
149
150    #[pyo3(name = "is_standard")]
151    fn py_is_standard(&self) -> bool {
152        self.is_standard()
153    }
154
155    #[pyo3(name = "is_composite")]
156    fn py_is_composite(&self) -> bool {
157        self.is_composite()
158    }
159
160    #[pyo3(name = "standard")]
161    fn py_standard(&self) -> Self {
162        self.standard()
163    }
164
165    #[pyo3(name = "composite")]
166    fn py_composite(&self) -> Self {
167        self.composite()
168    }
169}
170
171impl Bar {
172    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
173        let bar_type_obj: Bound<'_, PyAny> = obj.getattr("bar_type")?.extract()?;
174        let bar_type_str: String = bar_type_obj.call_method0("__str__")?.extract()?;
175        let bar_type = BarType::from(bar_type_str.as_str());
176
177        let open_py: Bound<'_, PyAny> = obj.getattr("open")?;
178        let price_prec: u8 = open_py.getattr("precision")?.extract()?;
179        let open_raw: PriceRaw = open_py.getattr("raw")?.extract()?;
180        let open = Price::from_raw(open_raw, price_prec);
181
182        let high_py: Bound<'_, PyAny> = obj.getattr("high")?;
183        let high_raw: PriceRaw = high_py.getattr("raw")?.extract()?;
184        let high = Price::from_raw(high_raw, price_prec);
185
186        let low_py: Bound<'_, PyAny> = obj.getattr("low")?;
187        let low_raw: PriceRaw = low_py.getattr("raw")?.extract()?;
188        let low = Price::from_raw(low_raw, price_prec);
189
190        let close_py: Bound<'_, PyAny> = obj.getattr("close")?;
191        let close_raw: PriceRaw = close_py.getattr("raw")?.extract()?;
192        let close = Price::from_raw(close_raw, price_prec);
193
194        let volume_py: Bound<'_, PyAny> = obj.getattr("volume")?;
195        let volume_raw: QuantityRaw = volume_py.getattr("raw")?.extract()?;
196        let volume_prec: u8 = volume_py.getattr("precision")?.extract()?;
197        let volume = Quantity::from_raw(volume_raw, volume_prec);
198
199        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
200        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
201
202        Ok(Self::new(
203            bar_type,
204            open,
205            high,
206            low,
207            close,
208            volume,
209            ts_event.into(),
210            ts_init.into(),
211        ))
212    }
213}
214
215#[pymethods]
216#[allow(clippy::too_many_arguments)]
217impl Bar {
218    #[new]
219    fn py_new(
220        bar_type: BarType,
221        open: Price,
222        high: Price,
223        low: Price,
224        close: Price,
225        volume: Quantity,
226        ts_event: u64,
227        ts_init: u64,
228    ) -> PyResult<Self> {
229        Self::new_checked(
230            bar_type,
231            open,
232            high,
233            low,
234            close,
235            volume,
236            ts_event.into(),
237            ts_init.into(),
238        )
239        .map_err(to_pyvalue_err)
240    }
241
242    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
243        match op {
244            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
245            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
246            _ => py.NotImplemented(),
247        }
248    }
249
250    fn __hash__(&self) -> isize {
251        let mut h = DefaultHasher::new();
252        self.hash(&mut h);
253        h.finish() as isize
254    }
255
256    fn __repr__(&self) -> String {
257        format!("{self:?}")
258    }
259
260    fn __str__(&self) -> String {
261        self.to_string()
262    }
263
264    #[getter]
265    #[pyo3(name = "bar_type")]
266    fn py_bar_type(&self) -> BarType {
267        self.bar_type
268    }
269
270    #[getter]
271    #[pyo3(name = "open")]
272    fn py_open(&self) -> Price {
273        self.open
274    }
275
276    #[getter]
277    #[pyo3(name = "high")]
278    fn py_high(&self) -> Price {
279        self.high
280    }
281
282    #[getter]
283    #[pyo3(name = "low")]
284    fn py_low(&self) -> Price {
285        self.low
286    }
287
288    #[getter]
289    #[pyo3(name = "close")]
290    fn py_close(&self) -> Price {
291        self.close
292    }
293
294    #[getter]
295    #[pyo3(name = "volume")]
296    fn py_volume(&self) -> Quantity {
297        self.volume
298    }
299
300    #[getter]
301    #[pyo3(name = "ts_event")]
302    fn py_ts_event(&self) -> u64 {
303        self.ts_event.as_u64()
304    }
305
306    #[getter]
307    #[pyo3(name = "ts_init")]
308    fn py_ts_init(&self) -> u64 {
309        self.ts_init.as_u64()
310    }
311
312    #[staticmethod]
313    #[pyo3(name = "fully_qualified_name")]
314    fn py_fully_qualified_name() -> String {
315        format!("{}:{}", PY_MODULE_MODEL, stringify!(Bar))
316    }
317
318    #[staticmethod]
319    #[pyo3(name = "get_metadata")]
320    fn py_get_metadata(
321        bar_type: &BarType,
322        price_precision: u8,
323        size_precision: u8,
324    ) -> PyResult<HashMap<String, String>> {
325        Ok(Self::get_metadata(
326            bar_type,
327            price_precision,
328            size_precision,
329        ))
330    }
331
332    #[staticmethod]
333    #[pyo3(name = "get_fields")]
334    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
335        let py_dict = PyDict::new(py);
336        for (k, v) in Self::get_fields() {
337            py_dict.set_item(k, v)?;
338        }
339
340        Ok(py_dict)
341    }
342
343    /// Returns a new object from the given dictionary representation.
344    #[staticmethod]
345    #[pyo3(name = "from_dict")]
346    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
347        from_dict_pyo3(py, values)
348    }
349
350    #[staticmethod]
351    #[pyo3(name = "from_json")]
352    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
353        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
354    }
355
356    #[staticmethod]
357    #[pyo3(name = "from_msgpack")]
358    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
359        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
360    }
361
362    /// Creates a `PyCapsule` containing a raw pointer to a `Data::Bar` object.
363    ///
364    /// This function takes the current object (assumed to be of a type that can be represented as
365    /// `Data::Bar`), and encapsulates a raw pointer to it within a `PyCapsule`.
366    ///
367    /// # Safety
368    ///
369    /// This function is safe as long as the following conditions are met:
370    /// - The `Data::Delta` object pointed to by the capsule must remain valid for the lifetime of the capsule.
371    /// - The consumer of the capsule must ensure proper handling to avoid dereferencing a dangling pointer.
372    ///
373    /// # Panics
374    ///
375    /// The function will panic if the `PyCapsule` creation fails, which can occur if the
376    /// `Data::Bar` object cannot be converted into a raw pointer.
377    #[pyo3(name = "as_pycapsule")]
378    fn py_as_pycapsule(&self, py: Python<'_>) -> PyObject {
379        data_to_pycapsule(py, Data::Bar(*self))
380    }
381
382    /// Return a dictionary representation of the object.
383    #[pyo3(name = "as_dict")]
384    fn py_as_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
385        to_dict_pyo3(py, self)
386    }
387
388    /// Return JSON encoded bytes representation of the object.
389    #[pyo3(name = "as_json")]
390    fn py_as_json(&self, py: Python<'_>) -> Py<PyAny> {
391        // Unwrapping is safe when serializing a valid object
392        self.as_json_bytes().unwrap().into_py_any_unwrap(py)
393    }
394
395    /// Return MsgPack encoded bytes representation of the object.
396    #[pyo3(name = "as_msgpack")]
397    fn py_as_msgpack(&self, py: Python<'_>) -> Py<PyAny> {
398        // Unwrapping is safe when serializing a valid object
399        self.as_msgpack_bytes().unwrap().into_py_any_unwrap(py)
400    }
401}
402
403////////////////////////////////////////////////////////////////////////////////
404// Tests
405////////////////////////////////////////////////////////////////////////////////
406#[cfg(test)]
407mod tests {
408    use nautilus_core::python::IntoPyObjectNautilusExt;
409    use pyo3::Python;
410    use rstest::rstest;
411
412    use crate::{
413        data::{Bar, BarType},
414        types::{Price, Quantity},
415    };
416
417    #[rstest]
418    #[case("10.0000", "10.0010", "10.0020", "10.0005")] // low > high
419    #[case("10.0000", "10.0010", "10.0005", "10.0030")] // close > high
420    #[case("10.0000", "9.9990", "9.9980", "9.9995")] // high < open
421    #[case("10.0000", "10.0010", "10.0015", "10.0020")] // low > close
422    #[case("10.0000", "10.0000", "10.0001", "10.0002")] // low > high (equal high/open edge case)
423    fn test_bar_py_new_invalid(
424        #[case] open: &str,
425        #[case] high: &str,
426        #[case] low: &str,
427        #[case] close: &str,
428    ) {
429        pyo3::prepare_freethreaded_python();
430
431        let bar_type = BarType::from("AUDUSD.SIM-1-MINUTE-LAST-INTERNAL");
432        let open = Price::from(open);
433        let high = Price::from(high);
434        let low = Price::from(low);
435        let close = Price::from(close);
436        let volume = Quantity::from(100_000);
437        let ts_event = 0;
438        let ts_init = 1;
439
440        let result = Bar::py_new(bar_type, open, high, low, close, volume, ts_event, ts_init);
441        assert!(result.is_err());
442    }
443
444    #[rstest]
445    fn test_bar_py_new() {
446        pyo3::prepare_freethreaded_python();
447
448        let bar_type = BarType::from("AUDUSD.SIM-1-MINUTE-LAST-INTERNAL");
449        let open = Price::from("1.00005");
450        let high = Price::from("1.00010");
451        let low = Price::from("1.00000");
452        let close = Price::from("1.00007");
453        let volume = Quantity::from(100_000);
454        let ts_event = 0;
455        let ts_init = 1;
456
457        let result = Bar::py_new(bar_type, open, high, low, close, volume, ts_event, ts_init);
458        assert!(result.is_ok());
459    }
460
461    #[rstest]
462    fn test_as_dict() {
463        pyo3::prepare_freethreaded_python();
464        let bar = Bar::default();
465
466        Python::with_gil(|py| {
467            let dict_string = bar.py_as_dict(py).unwrap().to_string();
468            let expected_string = r"{'type': 'Bar', 'bar_type': 'AUDUSD.SIM-1-MINUTE-LAST-INTERNAL', 'open': '1.00010', 'high': '1.00020', 'low': '1.00000', 'close': '1.00010', 'volume': '100000', 'ts_event': 0, 'ts_init': 0}";
469            assert_eq!(dict_string, expected_string);
470        });
471    }
472
473    #[rstest]
474    fn test_as_from_dict() {
475        pyo3::prepare_freethreaded_python();
476        let bar = Bar::default();
477
478        Python::with_gil(|py| {
479            let dict = bar.py_as_dict(py).unwrap();
480            let parsed = Bar::py_from_dict(py, dict).unwrap();
481            assert_eq!(parsed, bar);
482        });
483    }
484
485    #[rstest]
486    fn test_from_pyobject() {
487        pyo3::prepare_freethreaded_python();
488        let bar = Bar::default();
489
490        Python::with_gil(|py| {
491            let bar_pyobject = bar.into_py_any_unwrap(py);
492            let parsed_bar = Bar::from_pyobject(bar_pyobject.bind(py)).unwrap();
493            assert_eq!(parsed_bar, bar);
494        });
495    }
496}
nautilus_model/python/data/bar.rs

nautilus_model/python/data/
bar.rs
