nautilus_model/python/data/
delta.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::{basic::CompareOp, prelude::*, types::PyDict};
31
32use super::data_to_pycapsule;
33use crate::{
34    data::{BookOrder, Data, NULL_ORDER, OrderBookDelta, order::OrderId},
35    enums::{BookAction, FromU8, OrderSide},
36    identifiers::InstrumentId,
37    python::common::PY_MODULE_MODEL,
38    types::{
39        price::{Price, PriceRaw},
40        quantity::{Quantity, QuantityRaw},
41    },
42};
43
44impl OrderBookDelta {
45    /// Create a new [`OrderBookDelta`] extracted from the given [`PyAny`].
46    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
47        let instrument_id_obj: Bound<'_, PyAny> = obj.getattr("instrument_id")?.extract()?;
48        let instrument_id_str: String = instrument_id_obj.getattr("value")?.extract()?;
49        let instrument_id = InstrumentId::from_str(instrument_id_str.as_str())
50            .map_err(to_pyvalue_err)
51            .unwrap();
52
53        let action_obj: Bound<'_, PyAny> = obj.getattr("action")?.extract()?;
54        let action_u8 = action_obj.getattr("value")?.extract()?;
55        let action = BookAction::from_u8(action_u8).unwrap();
56
57        let flags: u8 = obj.getattr("flags")?.extract()?;
58        let sequence: u64 = obj.getattr("sequence")?.extract()?;
59        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
60        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
61
62        let order_pyobject = obj.getattr("order")?;
63        let order: BookOrder = if order_pyobject.is_none() {
64            NULL_ORDER
65        } else {
66            let side_obj: Bound<'_, PyAny> = order_pyobject.getattr("side")?.extract()?;
67            let side_u8 = side_obj.getattr("value")?.extract()?;
68            let side = OrderSide::from_u8(side_u8).unwrap();
69
70            let price_py: Bound<'_, PyAny> = order_pyobject.getattr("price")?;
71            let price_raw: PriceRaw = price_py.getattr("raw")?.extract()?;
72            let price_prec: u8 = price_py.getattr("precision")?.extract()?;
73            let price = Price::from_raw(price_raw, price_prec);
74
75            let size_py: Bound<'_, PyAny> = order_pyobject.getattr("size")?;
76            let size_raw: QuantityRaw = size_py.getattr("raw")?.extract()?;
77            let size_prec: u8 = size_py.getattr("precision")?.extract()?;
78            let size = Quantity::from_raw(size_raw, size_prec);
79
80            let order_id: OrderId = order_pyobject.getattr("order_id")?.extract()?;
81            BookOrder {
82                side,
83                price,
84                size,
85                order_id,
86            }
87        };
88
89        Ok(Self::new(
90            instrument_id,
91            action,
92            order,
93            flags,
94            sequence,
95            ts_event.into(),
96            ts_init.into(),
97        ))
98    }
99}
100
101#[pymethods]
102impl OrderBookDelta {
103    #[new]
104    fn py_new(
105        instrument_id: InstrumentId,
106        action: BookAction,
107        order: BookOrder,
108        flags: u8,
109        sequence: u64,
110        ts_event: u64,
111        ts_init: u64,
112    ) -> PyResult<Self> {
113        Self::new_checked(
114            instrument_id,
115            action,
116            order,
117            flags,
118            sequence,
119            ts_event.into(),
120            ts_init.into(),
121        )
122        .map_err(to_pyvalue_err)
123    }
124
125    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
126        match op {
127            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
128            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
129            _ => py.NotImplemented(),
130        }
131    }
132
133    fn __hash__(&self) -> isize {
134        let mut h = DefaultHasher::new();
135        self.hash(&mut h);
136        h.finish() as isize
137    }
138
139    fn __repr__(&self) -> String {
140        format!("{self:?}")
141    }
142
143    fn __str__(&self) -> String {
144        self.to_string()
145    }
146
147    #[getter]
148    #[pyo3(name = "instrument_id")]
149    fn py_instrument_id(&self) -> InstrumentId {
150        self.instrument_id
151    }
152
153    #[getter]
154    #[pyo3(name = "action")]
155    fn py_action(&self) -> BookAction {
156        self.action
157    }
158
159    #[getter]
160    #[pyo3(name = "order")]
161    fn py_order(&self) -> BookOrder {
162        self.order
163    }
164
165    #[getter]
166    #[pyo3(name = "flags")]
167    fn py_flags(&self) -> u8 {
168        self.flags
169    }
170
171    #[getter]
172    #[pyo3(name = "sequence")]
173    fn py_sequence(&self) -> u64 {
174        self.sequence
175    }
176
177    #[getter]
178    #[pyo3(name = "ts_event")]
179    fn py_ts_event(&self) -> u64 {
180        self.ts_event.as_u64()
181    }
182
183    #[getter]
184    #[pyo3(name = "ts_init")]
185    fn py_ts_init(&self) -> u64 {
186        self.ts_init.as_u64()
187    }
188
189    #[staticmethod]
190    #[pyo3(name = "fully_qualified_name")]
191    fn py_fully_qualified_name() -> String {
192        format!("{}:{}", PY_MODULE_MODEL, stringify!(OrderBookDelta))
193    }
194
195    #[staticmethod]
196    #[pyo3(name = "get_metadata")]
197    fn py_get_metadata(
198        instrument_id: &InstrumentId,
199        price_precision: u8,
200        size_precision: u8,
201    ) -> PyResult<HashMap<String, String>> {
202        Ok(Self::get_metadata(
203            instrument_id,
204            price_precision,
205            size_precision,
206        ))
207    }
208
209    #[staticmethod]
210    #[pyo3(name = "get_fields")]
211    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
212        let py_dict = PyDict::new(py);
213        for (k, v) in Self::get_fields() {
214            py_dict.set_item(k, v)?;
215        }
216
217        Ok(py_dict)
218    }
219
220    /// Returns a new object from the given dictionary representation.
221    #[staticmethod]
222    #[pyo3(name = "from_dict")]
223    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
224        from_dict_pyo3(py, values)
225    }
226
227    #[staticmethod]
228    #[pyo3(name = "from_json")]
229    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
230        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
231    }
232
233    #[staticmethod]
234    #[pyo3(name = "from_msgpack")]
235    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
236        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
237    }
238
239    /// Creates a `PyCapsule` containing a raw pointer to a `Data::Delta` object.
240    ///
241    /// This function takes the current object (assumed to be of a type that can be represented as
242    /// `Data::Delta`), and encapsulates a raw pointer to it within a `PyCapsule`.
243    ///
244    /// # Safety
245    ///
246    /// This function is safe as long as the following conditions are met:
247    /// - The `Data::Delta` object pointed to by the capsule must remain valid for the lifetime of the capsule.
248    /// - The consumer of the capsule must ensure proper handling to avoid dereferencing a dangling pointer.
249    ///
250    /// # Panics
251    ///
252    /// The function will panic if the `PyCapsule` creation fails, which can occur if the
253    /// `Data::Delta` object cannot be converted into a raw pointer.
254    #[pyo3(name = "as_pycapsule")]
255    fn py_as_pycapsule(&self, py: Python<'_>) -> PyObject {
256        data_to_pycapsule(py, Data::Delta(*self))
257    }
258
259    /// Return a dictionary representation of the object.
260    #[pyo3(name = "as_dict")]
261    fn py_as_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
262        to_dict_pyo3(py, self)
263    }
264
265    /// Return JSON encoded bytes representation of the object.
266    #[pyo3(name = "as_json")]
267    fn py_as_json(&self, py: Python<'_>) -> Py<PyAny> {
268        // Unwrapping is safe when serializing a valid object
269        self.as_json_bytes().unwrap().into_py_any_unwrap(py)
270    }
271
272    /// Return MsgPack encoded bytes representation of the object.
273    #[pyo3(name = "as_msgpack")]
274    fn py_as_msgpack(&self, py: Python<'_>) -> Py<PyAny> {
275        // Unwrapping is safe when serializing a valid object
276        self.as_msgpack_bytes().unwrap().into_py_any_unwrap(py)
277    }
278}
279
280////////////////////////////////////////////////////////////////////////////////
281// Tests
282////////////////////////////////////////////////////////////////////////////////
283#[cfg(test)]
284mod tests {
285    use rstest::rstest;
286
287    use super::*;
288    use crate::data::stubs::*;
289
290    #[rstest]
291    fn test_order_book_delta_py_new_with_zero_size_returns_error() {
292        pyo3::prepare_freethreaded_python();
293
294        Python::with_gil(|_py| {
295            let instrument_id = InstrumentId::from("AAPL.XNAS");
296            let action = BookAction::Add;
297            let zero_size = Quantity::from(0);
298            let price = Price::from("100.00");
299            let side = OrderSide::Buy;
300            let order_id = 123_456;
301            let flags = 0;
302            let sequence = 1;
303            let ts_event = 1;
304            let ts_init = 2;
305
306            let order = BookOrder::new(side, price, zero_size, order_id);
307
308            let result = OrderBookDelta::py_new(
309                instrument_id,
310                action,
311                order,
312                flags,
313                sequence,
314                ts_event,
315                ts_init,
316            );
317            assert!(result.is_err());
318        });
319    }
320
321    #[rstest]
322    fn test_as_dict(stub_delta: OrderBookDelta) {
323        pyo3::prepare_freethreaded_python();
324        let delta = stub_delta;
325
326        Python::with_gil(|py| {
327            let dict_string = delta.py_as_dict(py).unwrap().to_string();
328            let expected_string = r"{'type': 'OrderBookDelta', 'instrument_id': 'AAPL.XNAS', 'action': 'ADD', 'order': {'side': 'BUY', 'price': '100.00', 'size': '10', 'order_id': 123456}, 'flags': 0, 'sequence': 1, 'ts_event': 1, 'ts_init': 2}";
329            assert_eq!(dict_string, expected_string);
330        });
331    }
332
333    #[rstest]
334    fn test_from_dict(stub_delta: OrderBookDelta) {
335        pyo3::prepare_freethreaded_python();
336        let delta = stub_delta;
337
338        Python::with_gil(|py| {
339            let dict = delta.py_as_dict(py).unwrap();
340            let parsed = OrderBookDelta::py_from_dict(py, dict).unwrap();
341            assert_eq!(parsed, delta);
342        });
343    }
344
345    #[rstest]
346    fn test_from_pyobject(stub_delta: OrderBookDelta) {
347        pyo3::prepare_freethreaded_python();
348        let delta = stub_delta;
349
350        Python::with_gil(|py| {
351            let delta_pyobject = delta.into_py_any_unwrap(py);
352            let parsed_delta = OrderBookDelta::from_pyobject(delta_pyobject.bind(py)).unwrap();
353            assert_eq!(parsed_delta, delta);
354        });
355    }
356}
nautilus_model/python/data/delta.rs

nautilus_model/python/data/
delta.rs
