nautilus_model/python/instruments/
crypto_option.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::hash_map::DefaultHasher,
18    hash::{Hash, Hasher},
19};
20
21use nautilus_core::python::{
22    IntoPyObjectNautilusExt, serialization::from_dict_pyo3, to_pyvalue_err,
23};
24use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
25use rust_decimal::Decimal;
26
27use crate::{
28    enums::OptionKind,
29    identifiers::{InstrumentId, Symbol},
30    instruments::CryptoOption,
31    types::{Currency, Money, Price, Quantity},
32};
33
34#[pymethods]
35impl CryptoOption {
36    #[allow(clippy::too_many_arguments)]
37    #[new]
38    #[pyo3(signature = (instrument_id, raw_symbol, underlying, quote_currency, settlement_currency, is_inverse, option_kind, strike_price, activation_ns, expiration_ns, price_precision, size_precision, price_increment, size_increment,ts_event, ts_init, multiplier=None, lot_size=None, max_quantity=None, min_quantity=None, max_notional=None, min_notional=None, max_price=None, min_price=None, margin_init=None, margin_maint=None, maker_fee=None, taker_fee=None))]
39    fn py_new(
40        instrument_id: InstrumentId,
41        raw_symbol: Symbol,
42        underlying: Currency,
43        quote_currency: Currency,
44        settlement_currency: Currency,
45        is_inverse: bool,
46        option_kind: OptionKind,
47        strike_price: Price,
48        activation_ns: u64,
49        expiration_ns: u64,
50        price_precision: u8,
51        size_precision: u8,
52        price_increment: Price,
53        size_increment: Quantity,
54        ts_event: u64,
55        ts_init: u64,
56        multiplier: Option<Quantity>,
57        lot_size: Option<Quantity>,
58        max_quantity: Option<Quantity>,
59        min_quantity: Option<Quantity>,
60        max_notional: Option<Money>,
61        min_notional: Option<Money>,
62        max_price: Option<Price>,
63        min_price: Option<Price>,
64        margin_init: Option<Decimal>,
65        margin_maint: Option<Decimal>,
66        maker_fee: Option<Decimal>,
67        taker_fee: Option<Decimal>,
68    ) -> PyResult<Self> {
69        Self::new_checked(
70            instrument_id,
71            raw_symbol,
72            underlying,
73            quote_currency,
74            settlement_currency,
75            is_inverse,
76            option_kind,
77            strike_price,
78            activation_ns.into(),
79            expiration_ns.into(),
80            price_precision,
81            size_precision,
82            price_increment,
83            size_increment,
84            multiplier,
85            lot_size,
86            max_quantity,
87            min_quantity,
88            max_notional,
89            min_notional,
90            max_price,
91            min_price,
92            margin_init,
93            margin_maint,
94            maker_fee,
95            taker_fee,
96            ts_event.into(),
97            ts_init.into(),
98        )
99        .map_err(to_pyvalue_err)
100    }
101
102    fn __hash__(&self) -> isize {
103        let mut hasher = DefaultHasher::new();
104        self.hash(&mut hasher);
105        hasher.finish() as isize
106    }
107
108    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
109        match op {
110            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
111            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
112            _ => py.NotImplemented(),
113        }
114    }
115
116    #[getter]
117    fn type_str(&self) -> &str {
118        stringify!(CryptoOption)
119    }
120
121    #[getter]
122    #[pyo3(name = "id")]
123    fn py_id(&self) -> InstrumentId {
124        self.id
125    }
126
127    #[getter]
128    #[pyo3(name = "raw_symbol")]
129    fn py_raw_symbol(&self) -> Symbol {
130        self.raw_symbol
131    }
132
133    #[getter]
134    #[pyo3(name = "underlying")]
135    fn py_underlying(&self) -> Currency {
136        self.underlying
137    }
138
139    #[getter]
140    #[pyo3(name = "quote_currency")]
141    fn py_quote_currency(&self) -> Currency {
142        self.quote_currency
143    }
144
145    #[getter]
146    #[pyo3(name = "settlement_currency")]
147    fn py_settlement_currency(&self) -> Currency {
148        self.settlement_currency
149    }
150
151    #[getter]
152    #[pyo3(name = "is_inverse")]
153    fn py_is_inverse(&self) -> bool {
154        self.is_inverse
155    }
156
157    #[getter]
158    #[pyo3(name = "option_kind")]
159    fn py_option_kind(&self) -> OptionKind {
160        self.option_kind
161    }
162
163    #[getter]
164    #[pyo3(name = "strike_price")]
165    fn py_strike_price(&self) -> Price {
166        self.strike_price
167    }
168
169    #[getter]
170    #[pyo3(name = "activation_ns")]
171    fn py_activation_ns(&self) -> u64 {
172        self.activation_ns.as_u64()
173    }
174
175    #[getter]
176    #[pyo3(name = "expiration_ns")]
177    fn py_expiration_ns(&self) -> u64 {
178        self.expiration_ns.as_u64()
179    }
180
181    #[getter]
182    #[pyo3(name = "price_precision")]
183    fn py_price_precision(&self) -> u8 {
184        self.price_precision
185    }
186
187    #[getter]
188    #[pyo3(name = "size_precision")]
189    fn py_size_precision(&self) -> u8 {
190        self.size_precision
191    }
192
193    #[getter]
194    #[pyo3(name = "price_increment")]
195    fn py_price_increment(&self) -> Price {
196        self.price_increment
197    }
198
199    #[getter]
200    #[pyo3(name = "size_increment")]
201    fn py_size_increment(&self) -> Quantity {
202        self.size_increment
203    }
204
205    #[getter]
206    #[pyo3(name = "multiplier")]
207    fn py_multiplier(&self) -> Quantity {
208        self.multiplier
209    }
210
211    #[getter]
212    #[pyo3(name = "lot_size")]
213    fn py_lot_size(&self) -> Option<Quantity> {
214        Some(self.lot_size)
215    }
216
217    #[getter]
218    #[pyo3(name = "max_quantity")]
219    fn py_max_quantity(&self) -> Option<Quantity> {
220        self.max_quantity
221    }
222
223    #[getter]
224    #[pyo3(name = "min_quantity")]
225    fn py_min_quantity(&self) -> Option<Quantity> {
226        self.min_quantity
227    }
228
229    #[getter]
230    #[pyo3(name = "max_notional")]
231    fn py_max_notional(&self) -> Option<Money> {
232        self.max_notional
233    }
234
235    #[getter]
236    #[pyo3(name = "min_notional")]
237    fn py_min_notional(&self) -> Option<Money> {
238        self.min_notional
239    }
240
241    #[getter]
242    #[pyo3(name = "max_price")]
243    fn py_max_price(&self) -> Option<Price> {
244        self.max_price
245    }
246
247    #[getter]
248    #[pyo3(name = "min_price")]
249    fn py_min_price(&self) -> Option<Price> {
250        self.min_price
251    }
252
253    #[getter]
254    #[pyo3(name = "margin_init")]
255    fn py_margin_init(&self) -> Decimal {
256        self.margin_init
257    }
258
259    #[getter]
260    #[pyo3(name = "margin_maint")]
261    fn py_margin_maint(&self) -> Decimal {
262        self.margin_maint
263    }
264
265    #[getter]
266    #[pyo3(name = "maker_fee")]
267    fn py_maker_fee(&self) -> Decimal {
268        self.maker_fee
269    }
270
271    #[getter]
272    #[pyo3(name = "taker_fee")]
273    fn py_taker_fee(&self) -> Decimal {
274        self.taker_fee
275    }
276
277    #[getter]
278    #[pyo3(name = "info")]
279    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
280        Ok(PyDict::new(py).into())
281    }
282
283    #[getter]
284    #[pyo3(name = "ts_event")]
285    fn py_ts_event(&self) -> u64 {
286        self.ts_event.as_u64()
287    }
288
289    #[getter]
290    #[pyo3(name = "ts_init")]
291    fn py_ts_init(&self) -> u64 {
292        self.ts_init.as_u64()
293    }
294
295    #[staticmethod]
296    #[pyo3(name = "from_dict")]
297    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
298        from_dict_pyo3(py, values)
299    }
300
301    #[pyo3(name = "to_dict")]
302    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
303        let dict = PyDict::new(py);
304        dict.set_item("type", stringify!(CryptoOption))?;
305        dict.set_item("id", self.id.to_string())?;
306        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
307        dict.set_item("underlying", self.underlying.code.to_string())?;
308        dict.set_item("quote_currency", self.quote_currency.code.to_string())?;
309        dict.set_item(
310            "settlement_currency",
311            self.settlement_currency.code.to_string(),
312        )?;
313        dict.set_item("is_inverse", self.is_inverse)?;
314        dict.set_item("option_kind", self.option_kind.to_string())?;
315        dict.set_item("strike_price", self.strike_price.to_string())?;
316        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
317        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
318        dict.set_item("price_precision", self.price_precision)?;
319        dict.set_item("size_precision", self.size_precision)?;
320        dict.set_item("price_increment", self.price_increment.to_string())?;
321        dict.set_item("size_increment", self.size_increment.to_string())?;
322        dict.set_item("multiplier", self.multiplier.to_string())?;
323        dict.set_item("lot_size", self.lot_size.to_string())?;
324        dict.set_item("margin_init", self.margin_init.to_string())?;
325        dict.set_item("margin_maint", self.margin_maint.to_string())?;
326        dict.set_item("maker_fee", self.maker_fee.to_string())?;
327        dict.set_item("taker_fee", self.taker_fee.to_string())?;
328        dict.set_item("ts_event", self.ts_event.as_u64())?;
329        dict.set_item("ts_init", self.ts_init.as_u64())?;
330        dict.set_item("info", PyDict::new(py))?;
331        match self.max_quantity {
332            Some(value) => dict.set_item("max_quantity", value.to_string())?,
333            None => dict.set_item("max_quantity", py.None())?,
334        }
335        match self.min_quantity {
336            Some(value) => dict.set_item("min_quantity", value.to_string())?,
337            None => dict.set_item("min_quantity", py.None())?,
338        }
339        match self.max_notional {
340            Some(value) => dict.set_item("max_notional", value.to_string())?,
341            None => dict.set_item("max_notional", py.None())?,
342        }
343        match self.min_notional {
344            Some(value) => dict.set_item("min_notional", value.to_string())?,
345            None => dict.set_item("min_notional", py.None())?,
346        }
347        match self.max_price {
348            Some(value) => dict.set_item("max_price", value.to_string())?,
349            None => dict.set_item("max_price", py.None())?,
350        }
351        match self.min_price {
352            Some(value) => dict.set_item("min_price", value.to_string())?,
353            None => dict.set_item("min_price", py.None())?,
354        }
355        Ok(dict.into())
356    }
357}
358
359////////////////////////////////////////////////////////////////////////////////
360// Tests
361////////////////////////////////////////////////////////////////////////////////
362#[cfg(test)]
363mod tests {
364    use pyo3::{prelude::*, types::PyDict};
365    use rstest::rstest;
366
367    use crate::instruments::{CryptoOption, stubs::*};
368
369    #[rstest]
370    fn test_dict_round_trip(crypto_option_btc_deribit: CryptoOption) {
371        Python::initialize();
372        Python::attach(|py| {
373            let crypto_option = crypto_option_btc_deribit;
374            let values = crypto_option.py_to_dict(py).unwrap();
375            let values: Py<PyDict> = values.extract(py).unwrap();
376            let new_crypto_future = CryptoOption::py_from_dict(py, values).unwrap();
377            assert_eq!(crypto_option, new_crypto_future);
378        })
379    }
380}
nautilus_model/python/instruments/crypto_option.rs

nautilus_model/python/instruments/
crypto_option.rs
