nautilus_model/python/instruments/
futures_contract.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;
26use ustr::Ustr;
27
28use crate::{
29    enums::AssetClass,
30    identifiers::{InstrumentId, Symbol},
31    instruments::FuturesContract,
32    types::{Currency, Price, Quantity},
33};
34
35#[pymethods]
36impl FuturesContract {
37    #[allow(clippy::too_many_arguments)]
38    #[new]
39    #[pyo3(signature = (id, raw_symbol, asset_class, underlying, activation_ns, expiration_ns, currency, price_precision, price_increment, multiplier, lot_size, ts_event, ts_init, max_quantity=None, min_quantity=None, max_price=None, min_price=None, margin_init=None, margin_maint=None, maker_fee=None, taker_fee=None, exchange=None))]
40    fn py_new(
41        id: InstrumentId,
42        raw_symbol: Symbol,
43        asset_class: AssetClass,
44        underlying: String,
45        activation_ns: u64,
46        expiration_ns: u64,
47        currency: Currency,
48        price_precision: u8,
49        price_increment: Price,
50        multiplier: Quantity,
51        lot_size: Quantity,
52        ts_event: u64,
53        ts_init: u64,
54        max_quantity: Option<Quantity>,
55        min_quantity: Option<Quantity>,
56        max_price: Option<Price>,
57        min_price: Option<Price>,
58        margin_init: Option<Decimal>,
59        margin_maint: Option<Decimal>,
60        maker_fee: Option<Decimal>,
61        taker_fee: Option<Decimal>,
62        exchange: Option<String>,
63    ) -> PyResult<Self> {
64        Self::new_checked(
65            id,
66            raw_symbol,
67            asset_class,
68            exchange.map(|x| Ustr::from(&x)),
69            underlying.into(),
70            activation_ns.into(),
71            expiration_ns.into(),
72            currency,
73            price_precision,
74            price_increment,
75            multiplier,
76            lot_size,
77            max_quantity,
78            min_quantity,
79            max_price,
80            min_price,
81            margin_init,
82            margin_maint,
83            maker_fee,
84            taker_fee,
85            ts_event.into(),
86            ts_init.into(),
87        )
88        .map_err(to_pyvalue_err)
89    }
90
91    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
92        match op {
93            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
94            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
95            _ => py.NotImplemented(),
96        }
97    }
98
99    fn __hash__(&self) -> isize {
100        let mut hasher = DefaultHasher::new();
101        self.hash(&mut hasher);
102        hasher.finish() as isize
103    }
104
105    #[getter]
106    fn type_str(&self) -> &str {
107        stringify!(FuturesContract)
108    }
109
110    #[getter]
111    #[pyo3(name = "id")]
112    fn py_id(&self) -> InstrumentId {
113        self.id
114    }
115
116    #[getter]
117    #[pyo3(name = "raw_symbol")]
118    fn py_raw_symbol(&self) -> Symbol {
119        self.raw_symbol
120    }
121
122    #[getter]
123    #[pyo3(name = "asset_class")]
124    fn py_asset_class(&self) -> AssetClass {
125        self.asset_class
126    }
127
128    #[getter]
129    #[pyo3(name = "exchange")]
130    fn py_exchange(&self) -> Option<String> {
131        self.exchange.map(|e| e.to_string())
132    }
133
134    #[getter]
135    #[pyo3(name = "underlying")]
136    fn py_underlying(&self) -> &str {
137        self.underlying.as_str()
138    }
139
140    #[getter]
141    #[pyo3(name = "activation_ns")]
142    fn py_activation_ns(&self) -> u64 {
143        self.activation_ns.as_u64()
144    }
145
146    #[getter]
147    #[pyo3(name = "expiration_ns")]
148    fn py_expiration_ns(&self) -> u64 {
149        self.expiration_ns.as_u64()
150    }
151
152    #[getter]
153    #[pyo3(name = "currency")]
154    fn py_currency(&self) -> Currency {
155        self.currency
156    }
157
158    #[getter]
159    #[pyo3(name = "price_precision")]
160    fn py_price_precision(&self) -> u8 {
161        self.price_precision
162    }
163
164    #[getter]
165    #[pyo3(name = "price_increment")]
166    fn py_price_increment(&self) -> Price {
167        self.price_increment
168    }
169
170    #[getter]
171    #[pyo3(name = "multiplier")]
172    fn py_multiplier(&self) -> Quantity {
173        self.multiplier
174    }
175
176    #[getter]
177    #[pyo3(name = "lot_size")]
178    fn py_lot_size(&self) -> Quantity {
179        self.lot_size
180    }
181
182    #[getter]
183    #[pyo3(name = "max_quantity")]
184    fn py_max_quantity(&self) -> Option<Quantity> {
185        self.max_quantity
186    }
187
188    #[getter]
189    #[pyo3(name = "min_quantity")]
190    fn py_min_quantity(&self) -> Option<Quantity> {
191        self.min_quantity
192    }
193
194    #[getter]
195    #[pyo3(name = "max_price")]
196    fn py_max_price(&self) -> Option<Price> {
197        self.max_price
198    }
199
200    #[getter]
201    #[pyo3(name = "min_price")]
202    fn py_min_price(&self) -> Option<Price> {
203        self.min_price
204    }
205
206    #[getter]
207    #[pyo3(name = "size_increment")]
208    fn py_size_increment(&self) -> Quantity {
209        self.size_increment
210    }
211
212    #[getter]
213    #[pyo3(name = "size_precision")]
214    fn py_size_precision(&self) -> u8 {
215        self.size_precision
216    }
217
218    #[getter]
219    #[pyo3(name = "ts_event")]
220    fn py_ts_event(&self) -> u64 {
221        self.ts_event.as_u64()
222    }
223
224    #[getter]
225    #[pyo3(name = "ts_init")]
226    fn py_ts_init(&self) -> u64 {
227        self.ts_init.as_u64()
228    }
229
230    #[getter]
231    #[pyo3(name = "margin_init")]
232    fn py_margin_init(&self) -> Decimal {
233        self.margin_init
234    }
235
236    #[getter]
237    #[pyo3(name = "margin_maint")]
238    fn py_margin_maint(&self) -> Decimal {
239        self.margin_maint
240    }
241
242    #[getter]
243    #[pyo3(name = "info")]
244    fn py_info(&self, py: Python<'_>) -> PyResult<PyObject> {
245        Ok(PyDict::new(py).into())
246    }
247
248    #[staticmethod]
249    #[pyo3(name = "from_dict")]
250    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
251        from_dict_pyo3(py, values)
252    }
253
254    #[pyo3(name = "to_dict")]
255    fn py_to_dict(&self, py: Python<'_>) -> PyResult<PyObject> {
256        let dict = PyDict::new(py);
257        dict.set_item("type", stringify!(FuturesContract))?;
258        dict.set_item("id", self.id.to_string())?;
259        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
260        dict.set_item("asset_class", self.asset_class.to_string())?;
261        dict.set_item("underlying", self.underlying.to_string())?;
262        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
263        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
264        dict.set_item("currency", self.currency.code.to_string())?;
265        dict.set_item("price_precision", self.price_precision)?;
266        dict.set_item("price_increment", self.price_increment.to_string())?;
267        dict.set_item("size_increment", self.size_increment.to_string())?;
268        dict.set_item("size_precision", self.size_precision)?;
269        dict.set_item("multiplier", self.multiplier.to_string())?;
270        dict.set_item("lot_size", self.lot_size.to_string())?;
271        dict.set_item("margin_init", self.margin_init.to_string())?;
272        dict.set_item("margin_maint", self.margin_maint.to_string())?;
273        dict.set_item("maker_fee", self.maker_fee.to_string())?;
274        dict.set_item("taker_fee", self.taker_fee.to_string())?;
275        dict.set_item("info", PyDict::new(py))?;
276        dict.set_item("ts_event", self.ts_event.as_u64())?;
277        dict.set_item("ts_init", self.ts_init.as_u64())?;
278        match self.max_quantity {
279            Some(value) => dict.set_item("max_quantity", value.to_string())?,
280            None => dict.set_item("max_quantity", py.None())?,
281        }
282        match self.min_quantity {
283            Some(value) => dict.set_item("min_quantity", value.to_string())?,
284            None => dict.set_item("min_quantity", py.None())?,
285        }
286        match self.max_price {
287            Some(value) => dict.set_item("max_price", value.to_string())?,
288            None => dict.set_item("max_price", py.None())?,
289        }
290        match self.min_price {
291            Some(value) => dict.set_item("min_price", value.to_string())?,
292            None => dict.set_item("min_price", py.None())?,
293        }
294        match self.exchange {
295            Some(value) => dict.set_item("exchange", value.to_string())?,
296            None => dict.set_item("exchange", py.None())?,
297        }
298        Ok(dict.into())
299    }
300}
nautilus_model/python/instruments/futures_contract.rs

nautilus_model/python/instruments/
futures_contract.rs
