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::{
29        Serializable,
30        msgpack::{FromMsgPack, ToMsgPack},
31    },
32};
33use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
34
35use super::data_to_pycapsule;
36use crate::{
37    data::{BookOrder, Data, NULL_ORDER, OrderBookDelta, order::OrderId},
38    enums::{BookAction, FromU8, OrderSide},
39    identifiers::InstrumentId,
40    python::common::PY_MODULE_MODEL,
41    types::{
42        price::{Price, PriceRaw},
43        quantity::{Quantity, QuantityRaw},
44    },
45};
46
47impl OrderBookDelta {
48    /// Creates a new [`OrderBookDelta`] from a Python object.
49    ///
50    /// # Panics
51    ///
52    /// Panics if converting `instrument_id` from string or `action` from u8 fails.
53    ///
54    /// # Errors
55    ///
56    /// Returns a `PyErr` if extracting any attribute or converting types fails.
57    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
58        let instrument_id_obj: Bound<'_, PyAny> = obj.getattr("instrument_id")?.extract()?;
59        let instrument_id_str: String = instrument_id_obj.getattr("value")?.extract()?;
60        let instrument_id = InstrumentId::from_str(instrument_id_str.as_str())
61            .map_err(to_pyvalue_err)
62            .unwrap();
63
64        let action_obj: Bound<'_, PyAny> = obj.getattr("action")?.extract()?;
65        let action_u8 = action_obj.getattr("value")?.extract()?;
66        let action = BookAction::from_u8(action_u8).unwrap();
67
68        let flags: u8 = obj.getattr("flags")?.extract()?;
69        let sequence: u64 = obj.getattr("sequence")?.extract()?;
70        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
71        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
72
73        let order_pyobject = obj.getattr("order")?;
74        let order: BookOrder = if order_pyobject.is_none() {
75            NULL_ORDER
76        } else {
77            let side_obj: Bound<'_, PyAny> = order_pyobject.getattr("side")?.extract()?;
78            let side_u8 = side_obj.getattr("value")?.extract()?;
79            let side = OrderSide::from_u8(side_u8).unwrap();
80
81            let price_py: Bound<'_, PyAny> = order_pyobject.getattr("price")?;
82            let price_raw: PriceRaw = price_py.getattr("raw")?.extract()?;
83            let price_prec: u8 = price_py.getattr("precision")?.extract()?;
84            let price = Price::from_raw(price_raw, price_prec);
85
86            let size_py: Bound<'_, PyAny> = order_pyobject.getattr("size")?;
87            let size_raw: QuantityRaw = size_py.getattr("raw")?.extract()?;
88            let size_prec: u8 = size_py.getattr("precision")?.extract()?;
89            let size = Quantity::from_raw(size_raw, size_prec);
90
91            let order_id: OrderId = order_pyobject.getattr("order_id")?.extract()?;
92            BookOrder {
93                side,
94                price,
95                size,
96                order_id,
97            }
98        };
99
100        Ok(Self::new(
101            instrument_id,
102            action,
103            order,
104            flags,
105            sequence,
106            ts_event.into(),
107            ts_init.into(),
108        ))
109    }
110}
111
112#[pymethods]
113impl OrderBookDelta {
114    #[new]
115    fn py_new(
116        instrument_id: InstrumentId,
117        action: BookAction,
118        order: BookOrder,
119        flags: u8,
120        sequence: u64,
121        ts_event: u64,
122        ts_init: u64,
123    ) -> PyResult<Self> {
124        Self::new_checked(
125            instrument_id,
126            action,
127            order,
128            flags,
129            sequence,
130            ts_event.into(),
131            ts_init.into(),
132        )
133        .map_err(to_pyvalue_err)
134    }
135
136    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
137        match op {
138            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
139            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
140            _ => py.NotImplemented(),
141        }
142    }
143
144    fn __hash__(&self) -> isize {
145        let mut h = DefaultHasher::new();
146        self.hash(&mut h);
147        h.finish() as isize
148    }
149
150    fn __repr__(&self) -> String {
151        format!("{self:?}")
152    }
153
154    fn __str__(&self) -> String {
155        self.to_string()
156    }
157
158    #[getter]
159    #[pyo3(name = "instrument_id")]
160    fn py_instrument_id(&self) -> InstrumentId {
161        self.instrument_id
162    }
163
164    #[getter]
165    #[pyo3(name = "action")]
166    fn py_action(&self) -> BookAction {
167        self.action
168    }
169
170    #[getter]
171    #[pyo3(name = "order")]
172    fn py_order(&self) -> BookOrder {
173        self.order
174    }
175
176    #[getter]
177    #[pyo3(name = "flags")]
178    fn py_flags(&self) -> u8 {
179        self.flags
180    }
181
182    #[getter]
183    #[pyo3(name = "sequence")]
184    fn py_sequence(&self) -> u64 {
185        self.sequence
186    }
187
188    #[getter]
189    #[pyo3(name = "ts_event")]
190    fn py_ts_event(&self) -> u64 {
191        self.ts_event.as_u64()
192    }
193
194    #[getter]
195    #[pyo3(name = "ts_init")]
196    fn py_ts_init(&self) -> u64 {
197        self.ts_init.as_u64()
198    }
199
200    #[staticmethod]
201    #[pyo3(name = "fully_qualified_name")]
202    fn py_fully_qualified_name() -> String {
203        format!("{}:{}", PY_MODULE_MODEL, stringify!(OrderBookDelta))
204    }
205
206    #[staticmethod]
207    #[pyo3(name = "get_metadata")]
208    fn py_get_metadata(
209        instrument_id: &InstrumentId,
210        price_precision: u8,
211        size_precision: u8,
212    ) -> PyResult<HashMap<String, String>> {
213        Ok(Self::get_metadata(
214            instrument_id,
215            price_precision,
216            size_precision,
217        ))
218    }
219
220    #[staticmethod]
221    #[pyo3(name = "get_fields")]
222    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
223        let py_dict = PyDict::new(py);
224        for (k, v) in Self::get_fields() {
225            py_dict.set_item(k, v)?;
226        }
227
228        Ok(py_dict)
229    }
230
231    /// Returns a new object from the given dictionary representation.
232    #[staticmethod]
233    #[pyo3(name = "from_dict")]
234    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
235        from_dict_pyo3(py, values)
236    }
237
238    #[staticmethod]
239    #[pyo3(name = "from_json")]
240    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
241        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
242    }
243
244    #[staticmethod]
245    #[pyo3(name = "from_msgpack")]
246    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
247        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
248    }
249
250    /// Creates a `PyCapsule` containing a raw pointer to a `Data::Delta` object.
251    ///
252    /// This function takes the current object (assumed to be of a type that can be represented as
253    /// `Data::Delta`), and encapsulates a raw pointer to it within a `PyCapsule`.
254    ///
255    /// # Safety
256    ///
257    /// This function is safe as long as the following conditions are met:
258    /// - The `Data::Delta` object pointed to by the capsule must remain valid for the lifetime of the capsule.
259    /// - The consumer of the capsule must ensure proper handling to avoid dereferencing a dangling pointer.
260    ///
261    /// # Panics
262    ///
263    /// The function will panic if the `PyCapsule` creation fails, which can occur if the
264    /// `Data::Delta` object cannot be converted into a raw pointer.
265    #[pyo3(name = "as_pycapsule")]
266    fn py_as_pycapsule(&self, py: Python<'_>) -> Py<PyAny> {
267        data_to_pycapsule(py, Data::Delta(*self))
268    }
269
270    /// Return a dictionary representation of the object.
271    #[pyo3(name = "to_dict")]
272    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
273        to_dict_pyo3(py, self)
274    }
275
276    /// Return JSON encoded bytes representation of the object.
277    #[pyo3(name = "to_json_bytes")]
278    fn py_to_json_bytes(&self, py: Python<'_>) -> Py<PyAny> {
279        // SAFETY: Unwrap safe when serializing a valid object
280        self.to_json_bytes().unwrap().into_py_any_unwrap(py)
281    }
282
283    /// Return MsgPack encoded bytes representation of the object.
284    #[pyo3(name = "to_msgpack_bytes")]
285    fn py_to_msgpack_bytes(&self, py: Python<'_>) -> Py<PyAny> {
286        // SAFETY: Unwrap safe when serializing a valid object
287        self.to_msgpack_bytes().unwrap().into_py_any_unwrap(py)
288    }
289}
290
291#[cfg(test)]
292mod tests {
293    use rstest::rstest;
294
295    use super::*;
296    use crate::data::stubs::*;
297
298    #[rstest]
299    fn test_order_book_delta_py_new_with_zero_size_returns_error() {
300        Python::initialize();
301        Python::attach(|_py| {
302            let instrument_id = InstrumentId::from("AAPL.XNAS");
303            let action = BookAction::Add;
304            let zero_size = Quantity::from(0);
305            let price = Price::from("100.00");
306            let side = OrderSide::Buy;
307            let order_id = 123_456;
308            let flags = 0;
309            let sequence = 1;
310            let ts_event = 1;
311            let ts_init = 2;
312
313            let order = BookOrder::new(side, price, zero_size, order_id);
314
315            let result = OrderBookDelta::py_new(
316                instrument_id,
317                action,
318                order,
319                flags,
320                sequence,
321                ts_event,
322                ts_init,
323            );
324            assert!(result.is_err());
325        });
326    }
327
328    #[rstest]
329    fn test_to_dict(stub_delta: OrderBookDelta) {
330        let delta = stub_delta;
331
332        Python::initialize();
333        Python::attach(|py| {
334            let dict_string = delta.py_to_dict(py).unwrap().to_string();
335            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}";
336            assert_eq!(dict_string, expected_string);
337        });
338    }
339
340    #[rstest]
341    fn test_from_dict(stub_delta: OrderBookDelta) {
342        let delta = stub_delta;
343
344        Python::initialize();
345        Python::attach(|py| {
346            let dict = delta.py_to_dict(py).unwrap();
347            let parsed = OrderBookDelta::py_from_dict(py, dict).unwrap();
348            assert_eq!(parsed, delta);
349        });
350    }
351
352    #[rstest]
353    fn test_from_pyobject(stub_delta: OrderBookDelta) {
354        let delta = stub_delta;
355
356        Python::initialize();
357        Python::attach(|py| {
358            let delta_pyobject = delta.into_py_any_unwrap(py);
359            let parsed_delta = OrderBookDelta::from_pyobject(delta_pyobject.bind(py)).unwrap();
360            assert_eq!(parsed_delta, delta);
361        });
362    }
363}
nautilus_model/python/data/delta.rs

nautilus_model/python/data/
delta.rs
