nautilus_model/python/data/
depth.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};
20
21use nautilus_core::{
22    python::{
23        IntoPyObjectNautilusExt,
24        serialization::{from_dict_pyo3, to_dict_pyo3},
25        to_pyvalue_err,
26    },
27    serialization::Serializable,
28};
29use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict};
30
31use super::data_to_pycapsule;
32use crate::{
33    data::{
34        Data,
35        depth::{DEPTH10_LEN, OrderBookDepth10},
36        order::BookOrder,
37    },
38    enums::OrderSide,
39    identifiers::InstrumentId,
40    python::common::PY_MODULE_MODEL,
41    types::{Price, Quantity},
42};
43
44#[pymethods]
45impl OrderBookDepth10 {
46    #[allow(clippy::too_many_arguments)]
47    #[new]
48    fn py_new(
49        instrument_id: InstrumentId,
50        bids: [BookOrder; DEPTH10_LEN],
51        asks: [BookOrder; DEPTH10_LEN],
52        bid_counts: [u32; DEPTH10_LEN],
53        ask_counts: [u32; DEPTH10_LEN],
54        flags: u8,
55        sequence: u64,
56        ts_event: u64,
57        ts_init: u64,
58    ) -> Self {
59        Self::new(
60            instrument_id,
61            bids,
62            asks,
63            bid_counts,
64            ask_counts,
65            flags,
66            sequence,
67            ts_event.into(),
68            ts_init.into(),
69        )
70    }
71
72    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
73        match op {
74            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
75            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
76            _ => py.NotImplemented(),
77        }
78    }
79
80    fn __hash__(&self) -> isize {
81        let mut h = DefaultHasher::new();
82        self.hash(&mut h);
83        h.finish() as isize
84    }
85
86    fn __repr__(&self) -> String {
87        format!("{self:?}")
88    }
89
90    fn __str__(&self) -> String {
91        self.to_string()
92    }
93
94    #[getter]
95    #[pyo3(name = "instrument_id")]
96    fn py_instrument_id(&self) -> InstrumentId {
97        self.instrument_id
98    }
99
100    #[getter]
101    #[pyo3(name = "bids")]
102    fn py_bids(&self) -> [BookOrder; DEPTH10_LEN] {
103        self.bids
104    }
105
106    #[getter]
107    #[pyo3(name = "asks")]
108    fn py_asks(&self) -> [BookOrder; DEPTH10_LEN] {
109        self.asks
110    }
111
112    #[getter]
113    #[pyo3(name = "bid_counts")]
114    fn py_bid_counts(&self) -> [u32; DEPTH10_LEN] {
115        self.bid_counts
116    }
117
118    #[getter]
119    #[pyo3(name = "ask_counts")]
120    fn py_ask_counts(&self) -> [u32; DEPTH10_LEN] {
121        self.ask_counts
122    }
123
124    #[getter]
125    #[pyo3(name = "flags")]
126    fn py_flags(&self) -> u8 {
127        self.flags
128    }
129
130    #[getter]
131    #[pyo3(name = "sequence")]
132    fn py_sequence(&self) -> u64 {
133        self.sequence
134    }
135
136    #[getter]
137    #[pyo3(name = "ts_event")]
138    fn py_ts_event(&self) -> u64 {
139        self.ts_event.as_u64()
140    }
141
142    #[getter]
143    #[pyo3(name = "ts_init")]
144    fn py_ts_init(&self) -> u64 {
145        self.ts_init.as_u64()
146    }
147
148    #[staticmethod]
149    #[pyo3(name = "fully_qualified_name")]
150    fn py_fully_qualified_name() -> String {
151        format!("{}:{}", PY_MODULE_MODEL, stringify!(OrderBookDepth10))
152    }
153
154    #[staticmethod]
155    #[pyo3(name = "get_metadata")]
156    fn py_get_metadata(
157        instrument_id: &InstrumentId,
158        price_precision: u8,
159        size_precision: u8,
160    ) -> PyResult<HashMap<String, String>> {
161        Ok(Self::get_metadata(
162            instrument_id,
163            price_precision,
164            size_precision,
165        ))
166    }
167
168    #[staticmethod]
169    #[pyo3(name = "get_fields")]
170    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
171        let py_dict = PyDict::new(py);
172        for (k, v) in Self::get_fields() {
173            py_dict.set_item(k, v)?;
174        }
175
176        Ok(py_dict)
177    }
178
179    // TODO: Expose this properly from a test stub provider
180    #[staticmethod]
181    #[pyo3(name = "get_stub")]
182    fn py_get_stub() -> Self {
183        let instrument_id = InstrumentId::from("AAPL.XNAS");
184        let flags = 0;
185        let sequence = 0;
186        let ts_event = 1;
187        let ts_init = 2;
188
189        let mut bids: [BookOrder; DEPTH10_LEN] = [BookOrder::default(); DEPTH10_LEN];
190        let mut asks: [BookOrder; DEPTH10_LEN] = [BookOrder::default(); DEPTH10_LEN];
191
192        // Create bids
193        let mut price = 99.00;
194        let mut quantity = 100.0;
195        let mut order_id = 1;
196
197        for order in bids.iter_mut().take(DEPTH10_LEN) {
198            *order = BookOrder::new(
199                OrderSide::Buy,
200                Price::new(price, 2),
201                Quantity::new(quantity, 0),
202                order_id,
203            );
204
205            price -= 1.0;
206            quantity += 100.0;
207            order_id += 1;
208        }
209
210        // Create asks
211        let mut price = 100.00;
212        let mut quantity = 100.0;
213        let mut order_id = 11;
214
215        for order in asks.iter_mut().take(DEPTH10_LEN) {
216            *order = BookOrder::new(
217                OrderSide::Sell,
218                Price::new(price, 2),
219                Quantity::new(quantity, 0),
220                order_id,
221            );
222
223            price += 1.0;
224            quantity += 100.0;
225            order_id += 1;
226        }
227
228        let bid_counts: [u32; 10] = [1; 10];
229        let ask_counts: [u32; 10] = [1; 10];
230
231        Self::new(
232            instrument_id,
233            bids,
234            asks,
235            bid_counts,
236            ask_counts,
237            flags,
238            sequence,
239            ts_event.into(),
240            ts_init.into(),
241        )
242    }
243
244    /// Returns a new object from the given dictionary representation.
245    #[staticmethod]
246    #[pyo3(name = "from_dict")]
247    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
248        from_dict_pyo3(py, values)
249    }
250
251    #[staticmethod]
252    #[pyo3(name = "from_json")]
253    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
254        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
255    }
256
257    #[staticmethod]
258    #[pyo3(name = "from_msgpack")]
259    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
260        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
261    }
262
263    /// Creates a `PyCapsule` containing a raw pointer to a `Data::Depth10` object.
264    ///
265    /// This function takes the current object (assumed to be of a type that can be represented as
266    /// `Data::Depth10`), and encapsulates a raw pointer to it within a `PyCapsule`.
267    ///
268    /// # Safety
269    ///
270    /// This function is safe as long as the following conditions are met:
271    /// - The `Data::Depth10` object pointed to by the capsule must remain valid for the lifetime of the capsule.
272    /// - The consumer of the capsule must ensure proper handling to avoid dereferencing a dangling pointer.
273    ///
274    /// # Panics
275    ///
276    /// The function will panic if the `PyCapsule` creation fails, which can occur if the
277    /// `Data::Depth10` object cannot be converted into a raw pointer.
278    #[pyo3(name = "as_pycapsule")]
279    fn py_as_pycapsule(&self, py: Python<'_>) -> PyObject {
280        data_to_pycapsule(py, Data::from(*self))
281    }
282
283    /// Return a dictionary representation of the object.
284    #[pyo3(name = "as_dict")]
285    fn py_as_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
286        to_dict_pyo3(py, self)
287    }
288
289    /// Return JSON encoded bytes representation of the object.
290    #[pyo3(name = "as_json")]
291    fn py_as_json(&self, py: Python<'_>) -> Py<PyAny> {
292        // Unwrapping is safe when serializing a valid object
293        self.as_json_bytes().unwrap().into_py_any_unwrap(py)
294    }
295
296    /// Return MsgPack encoded bytes representation of the object.
297    #[pyo3(name = "as_msgpack")]
298    fn py_as_msgpack(&self, py: Python<'_>) -> Py<PyAny> {
299        // Unwrapping is safe when serializing a valid object
300        self.as_msgpack_bytes().unwrap().into_py_any_unwrap(py)
301    }
302}
nautilus_model/python/data/depth.rs

nautilus_model/python/data/
depth.rs
