nautilus_model/python/data/
quote.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    UnixNanos,
24    python::{
25        IntoPyObjectNautilusExt,
26        serialization::{from_dict_pyo3, to_dict_pyo3},
27        to_pyvalue_err,
28    },
29    serialization::{
30        Serializable,
31        msgpack::{FromMsgPack, ToMsgPack},
32    },
33};
34use pyo3::{
35    IntoPyObjectExt,
36    prelude::*,
37    pyclass::CompareOp,
38    types::{PyDict, PyInt, PyString, PyTuple},
39};
40
41use super::data_to_pycapsule;
42use crate::{
43    data::{Data, QuoteTick},
44    enums::PriceType,
45    identifiers::InstrumentId,
46    python::common::PY_MODULE_MODEL,
47    types::{
48        price::{Price, PriceRaw},
49        quantity::{Quantity, QuantityRaw},
50    },
51};
52
53impl QuoteTick {
54    /// Creates a new [`QuoteTick`] from a Python object.
55    ///
56    /// # Errors
57    ///
58    /// Returns a `PyErr` if extracting any attribute or converting types fails.
59    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
60        let instrument_id_obj: Bound<'_, PyAny> = obj.getattr("instrument_id")?.extract()?;
61        let instrument_id_str: String = instrument_id_obj.getattr("value")?.extract()?;
62        let instrument_id =
63            InstrumentId::from_str(instrument_id_str.as_str()).map_err(to_pyvalue_err)?;
64
65        let bid_price_py: Bound<'_, PyAny> = obj.getattr("bid_price")?.extract()?;
66        let bid_price_raw: PriceRaw = bid_price_py.getattr("raw")?.extract()?;
67        let bid_price_prec: u8 = bid_price_py.getattr("precision")?.extract()?;
68        let bid_price = Price::from_raw(bid_price_raw, bid_price_prec);
69
70        let ask_price_py: Bound<'_, PyAny> = obj.getattr("ask_price")?.extract()?;
71        let ask_price_raw: PriceRaw = ask_price_py.getattr("raw")?.extract()?;
72        let ask_price_prec: u8 = ask_price_py.getattr("precision")?.extract()?;
73        let ask_price = Price::from_raw(ask_price_raw, ask_price_prec);
74
75        let bid_size_py: Bound<'_, PyAny> = obj.getattr("bid_size")?.extract()?;
76        let bid_size_raw: QuantityRaw = bid_size_py.getattr("raw")?.extract()?;
77        let bid_size_prec: u8 = bid_size_py.getattr("precision")?.extract()?;
78        let bid_size = Quantity::from_raw(bid_size_raw, bid_size_prec);
79
80        let ask_size_py: Bound<'_, PyAny> = obj.getattr("ask_size")?.extract()?;
81        let ask_size_raw: QuantityRaw = ask_size_py.getattr("raw")?.extract()?;
82        let ask_size_prec: u8 = ask_size_py.getattr("precision")?.extract()?;
83        let ask_size = Quantity::from_raw(ask_size_raw, ask_size_prec);
84
85        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
86        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
87
88        Self::new_checked(
89            instrument_id,
90            bid_price,
91            ask_price,
92            bid_size,
93            ask_size,
94            ts_event.into(),
95            ts_init.into(),
96        )
97        .map_err(to_pyvalue_err)
98    }
99}
100
101#[pymethods]
102impl QuoteTick {
103    #[new]
104    fn py_new(
105        instrument_id: InstrumentId,
106        bid_price: Price,
107        ask_price: Price,
108        bid_size: Quantity,
109        ask_size: Quantity,
110        ts_event: u64,
111        ts_init: u64,
112    ) -> PyResult<Self> {
113        Self::new_checked(
114            instrument_id,
115            bid_price,
116            ask_price,
117            bid_size,
118            ask_size,
119            ts_event.into(),
120            ts_init.into(),
121        )
122        .map_err(to_pyvalue_err)
123    }
124
125    fn __setstate__(&mut self, state: &Bound<'_, PyAny>) -> PyResult<()> {
126        let py_tuple: &Bound<'_, PyTuple> = state.cast::<PyTuple>()?;
127        let binding = py_tuple.get_item(0)?;
128        let instrument_id_str: &str = binding.cast::<PyString>()?.extract()?;
129        let bid_price_raw: PriceRaw = py_tuple.get_item(1)?.cast::<PyInt>()?.extract()?;
130        let ask_price_raw: PriceRaw = py_tuple.get_item(2)?.cast::<PyInt>()?.extract()?;
131        let bid_price_prec: u8 = py_tuple.get_item(3)?.cast::<PyInt>()?.extract()?;
132        let ask_price_prec: u8 = py_tuple.get_item(4)?.cast::<PyInt>()?.extract()?;
133
134        let bid_size_raw: QuantityRaw = py_tuple.get_item(5)?.cast::<PyInt>()?.extract()?;
135        let ask_size_raw: QuantityRaw = py_tuple.get_item(6)?.cast::<PyInt>()?.extract()?;
136        let bid_size_prec: u8 = py_tuple.get_item(7)?.cast::<PyInt>()?.extract()?;
137        let ask_size_prec: u8 = py_tuple.get_item(8)?.cast::<PyInt>()?.extract()?;
138        let ts_event: u64 = py_tuple.get_item(9)?.cast::<PyInt>()?.extract()?;
139        let ts_init: u64 = py_tuple.get_item(10)?.cast::<PyInt>()?.extract()?;
140
141        self.instrument_id = InstrumentId::from_str(instrument_id_str).map_err(to_pyvalue_err)?;
142        self.bid_price = Price::from_raw(bid_price_raw, bid_price_prec);
143        self.ask_price = Price::from_raw(ask_price_raw, ask_price_prec);
144        self.bid_size = Quantity::from_raw(bid_size_raw, bid_size_prec);
145        self.ask_size = Quantity::from_raw(ask_size_raw, ask_size_prec);
146        self.ts_event = ts_event.into();
147        self.ts_init = ts_init.into();
148
149        Ok(())
150    }
151
152    fn __getstate__(&self, py: Python) -> PyResult<Py<PyAny>> {
153        (
154            self.instrument_id.to_string(),
155            self.bid_price.raw,
156            self.ask_price.raw,
157            self.bid_price.precision,
158            self.ask_price.precision,
159            self.bid_size.raw,
160            self.ask_size.raw,
161            self.bid_size.precision,
162            self.ask_size.precision,
163            self.ts_event.as_u64(),
164            self.ts_init.as_u64(),
165        )
166            .into_py_any(py)
167    }
168
169    fn __reduce__(&self, py: Python) -> PyResult<Py<PyAny>> {
170        let safe_constructor = py.get_type::<Self>().getattr("_safe_constructor")?;
171        let state = self.__getstate__(py)?;
172        (safe_constructor, PyTuple::empty(py), state).into_py_any(py)
173    }
174
175    #[staticmethod]
176    fn _safe_constructor() -> PyResult<Self> {
177        Self::new_checked(
178            InstrumentId::from("NULL.NULL"),
179            Price::zero(0),
180            Price::zero(0),
181            Quantity::zero(0),
182            Quantity::zero(0),
183            UnixNanos::default(),
184            UnixNanos::default(),
185        )
186        .map_err(to_pyvalue_err)
187    }
188
189    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
190        match op {
191            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
192            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
193            _ => py.NotImplemented(),
194        }
195    }
196
197    fn __hash__(&self) -> isize {
198        let mut h = DefaultHasher::new();
199        self.hash(&mut h);
200        h.finish() as isize
201    }
202
203    fn __repr__(&self) -> String {
204        format!("{}({})", stringify!(QuoteTick), self)
205    }
206
207    fn __str__(&self) -> String {
208        self.to_string()
209    }
210
211    #[getter]
212    #[pyo3(name = "instrument_id")]
213    fn py_instrument_id(&self) -> InstrumentId {
214        self.instrument_id
215    }
216
217    #[getter]
218    #[pyo3(name = "bid_price")]
219    fn py_bid_price(&self) -> Price {
220        self.bid_price
221    }
222
223    #[getter]
224    #[pyo3(name = "ask_price")]
225    fn py_ask_price(&self) -> Price {
226        self.ask_price
227    }
228
229    #[getter]
230    #[pyo3(name = "bid_size")]
231    fn py_bid_size(&self) -> Quantity {
232        self.bid_size
233    }
234
235    #[getter]
236    #[pyo3(name = "ask_size")]
237    fn py_ask_size(&self) -> Quantity {
238        self.ask_size
239    }
240
241    #[getter]
242    #[pyo3(name = "ts_event")]
243    fn py_ts_event(&self) -> u64 {
244        self.ts_event.as_u64()
245    }
246
247    #[getter]
248    #[pyo3(name = "ts_init")]
249    fn py_ts_init(&self) -> u64 {
250        self.ts_init.as_u64()
251    }
252
253    #[staticmethod]
254    #[pyo3(name = "fully_qualified_name")]
255    fn py_fully_qualified_name() -> String {
256        format!("{}:{}", PY_MODULE_MODEL, stringify!(QuoteTick))
257    }
258
259    #[staticmethod]
260    #[pyo3(name = "get_metadata")]
261    fn py_get_metadata(
262        instrument_id: &InstrumentId,
263        price_precision: u8,
264        size_precision: u8,
265    ) -> PyResult<HashMap<String, String>> {
266        Ok(Self::get_metadata(
267            instrument_id,
268            price_precision,
269            size_precision,
270        ))
271    }
272
273    #[staticmethod]
274    #[pyo3(name = "get_fields")]
275    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
276        let py_dict = PyDict::new(py);
277        for (k, v) in Self::get_fields() {
278            py_dict.set_item(k, v)?;
279        }
280
281        Ok(py_dict)
282    }
283
284    #[staticmethod]
285    #[pyo3(name = "from_raw")]
286    #[allow(clippy::too_many_arguments)]
287    fn py_from_raw(
288        instrument_id: InstrumentId,
289        bid_price_raw: PriceRaw,
290        ask_price_raw: PriceRaw,
291        bid_price_prec: u8,
292        ask_price_prec: u8,
293        bid_size_raw: QuantityRaw,
294        ask_size_raw: QuantityRaw,
295        bid_size_prec: u8,
296        ask_size_prec: u8,
297        ts_event: u64,
298        ts_init: u64,
299    ) -> PyResult<Self> {
300        Self::new_checked(
301            instrument_id,
302            Price::from_raw(bid_price_raw, bid_price_prec),
303            Price::from_raw(ask_price_raw, ask_price_prec),
304            Quantity::from_raw(bid_size_raw, bid_size_prec),
305            Quantity::from_raw(ask_size_raw, ask_size_prec),
306            ts_event.into(),
307            ts_init.into(),
308        )
309        .map_err(to_pyvalue_err)
310    }
311
312    /// Returns a new object from the given dictionary representation.
313    #[staticmethod]
314    #[pyo3(name = "from_dict")]
315    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
316        from_dict_pyo3(py, values)
317    }
318
319    #[staticmethod]
320    #[pyo3(name = "from_json")]
321    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
322        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
323    }
324
325    #[staticmethod]
326    #[pyo3(name = "from_msgpack")]
327    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
328        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
329    }
330
331    #[pyo3(name = "extract_price")]
332    fn py_extract_price(&self, price_type: PriceType) -> PyResult<Price> {
333        Ok(self.extract_price(price_type))
334    }
335
336    #[pyo3(name = "extract_size")]
337    fn py_extract_size(&self, price_type: PriceType) -> PyResult<Quantity> {
338        Ok(self.extract_size(price_type))
339    }
340
341    /// Creates a `PyCapsule` containing a raw pointer to a `Data::Quote` object.
342    ///
343    /// This function takes the current object (assumed to be of a type that can be represented as
344    /// `Data::Quote`), and encapsulates a raw pointer to it within a `PyCapsule`.
345    ///
346    /// # Safety
347    ///
348    /// This function is safe as long as the following conditions are met:
349    /// - The `Data::Quote` object pointed to by the capsule must remain valid for the lifetime of the capsule.
350    /// - The consumer of the capsule must ensure proper handling to avoid dereferencing a dangling pointer.
351    ///
352    /// # Panics
353    ///
354    /// The function will panic if the `PyCapsule` creation fails, which can occur if the
355    /// `Data::Quote` object cannot be converted into a raw pointer.
356    #[pyo3(name = "as_pycapsule")]
357    fn py_as_pycapsule(&self, py: Python<'_>) -> Py<PyAny> {
358        data_to_pycapsule(py, Data::Quote(*self))
359    }
360
361    /// Return a dictionary representation of the object.
362    #[pyo3(name = "to_dict")]
363    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
364        to_dict_pyo3(py, self)
365    }
366
367    /// Return JSON encoded bytes representation of the object.
368    #[pyo3(name = "to_json_bytes")]
369    fn py_to_json_bytes(&self, py: Python<'_>) -> Py<PyAny> {
370        // SAFETY: Unwrap safe when serializing a valid object
371        self.to_json_bytes().unwrap().into_py_any_unwrap(py)
372    }
373
374    /// Return MsgPack encoded bytes representation of the object.
375    #[pyo3(name = "to_msgpack_bytes")]
376    fn py_to_msgpack_bytes(&self, py: Python<'_>) -> Py<PyAny> {
377        // SAFETY: Unwrap safe when serializing a valid object
378        self.to_msgpack_bytes().unwrap().into_py_any_unwrap(py)
379    }
380}
381
382#[cfg(test)]
383mod tests {
384    use nautilus_core::python::IntoPyObjectNautilusExt;
385    use pyo3::Python;
386    use rstest::rstest;
387
388    use crate::{
389        data::{QuoteTick, stubs::quote_ethusdt_binance},
390        identifiers::InstrumentId,
391        types::{Price, Quantity},
392    };
393
394    #[rstest]
395    #[case(
396    Price::from_raw(10_000_000, 6),
397    Price::from_raw(10_001_000, 7), // Mismatched precision
398    Quantity::from_raw(1_000_000, 6),
399    Quantity::from_raw(1_000_000, 6),
400)]
401    #[case(
402    Price::from_raw(10_000_000, 6),
403    Price::from_raw(10_001_000, 6),
404    Quantity::from_raw(1_000_000, 6),
405    Quantity::from_raw(1_000_000, 7), // Mismatched precision
406)]
407    fn test_quote_tick_py_new_invalid_precisions(
408        #[case] bid_price: Price,
409        #[case] ask_price: Price,
410        #[case] bid_size: Quantity,
411        #[case] ask_size: Quantity,
412    ) {
413        let instrument_id = InstrumentId::from("ETH-USDT-SWAP.OKX");
414        let ts_event = 0;
415        let ts_init = 1;
416
417        let result = QuoteTick::py_new(
418            instrument_id,
419            bid_price,
420            ask_price,
421            bid_size,
422            ask_size,
423            ts_event,
424            ts_init,
425        );
426
427        assert!(result.is_err());
428    }
429
430    #[rstest]
431    fn test_to_dict(quote_ethusdt_binance: QuoteTick) {
432        let quote = quote_ethusdt_binance;
433
434        Python::initialize();
435        Python::attach(|py| {
436            let dict_string = quote.py_to_dict(py).unwrap().to_string();
437            let expected_string = r"{'type': 'QuoteTick', 'instrument_id': 'ETHUSDT-PERP.BINANCE', 'bid_price': '10000.0000', 'ask_price': '10001.0000', 'bid_size': '1.00000000', 'ask_size': '1.00000000', 'ts_event': 0, 'ts_init': 1}";
438            assert_eq!(dict_string, expected_string);
439        });
440    }
441
442    #[rstest]
443    fn test_from_dict(quote_ethusdt_binance: QuoteTick) {
444        let quote = quote_ethusdt_binance;
445
446        Python::initialize();
447        Python::attach(|py| {
448            let dict = quote.py_to_dict(py).unwrap();
449            let parsed = QuoteTick::py_from_dict(py, dict).unwrap();
450            assert_eq!(parsed, quote);
451        });
452    }
453
454    #[rstest]
455    fn test_from_pyobject(quote_ethusdt_binance: QuoteTick) {
456        let quote = quote_ethusdt_binance;
457
458        Python::initialize();
459        Python::attach(|py| {
460            let tick_pyobject = quote.into_py_any_unwrap(py);
461            let parsed_tick = QuoteTick::from_pyobject(tick_pyobject.bind(py)).unwrap();
462            assert_eq!(parsed_tick, quote);
463        });
464    }
465}
nautilus_model/python/data/quote.rs

nautilus_model/python/data/
quote.rs
