nautilus_model/python/instruments/
futures_spread.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::FuturesSpread,
32    types::{Currency, Price, Quantity},
33};
34
35#[pymethods]
36impl FuturesSpread {
37    #[allow(clippy::too_many_arguments)]
38    #[new]
39    #[pyo3(signature = (id, raw_symbol, asset_class, underlying, strategy_type, 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        strategy_type: String,
46        activation_ns: u64,
47        expiration_ns: u64,
48        currency: Currency,
49        price_precision: u8,
50        price_increment: Price,
51        multiplier: Quantity,
52        lot_size: Quantity,
53        ts_event: u64,
54        ts_init: u64,
55        max_quantity: Option<Quantity>,
56        min_quantity: Option<Quantity>,
57        max_price: Option<Price>,
58        min_price: Option<Price>,
59        margin_init: Option<Decimal>,
60        margin_maint: Option<Decimal>,
61        maker_fee: Option<Decimal>,
62        taker_fee: Option<Decimal>,
63        exchange: Option<String>,
64    ) -> PyResult<Self> {
65        Self::new_checked(
66            id,
67            raw_symbol,
68            asset_class,
69            exchange.map(|x| Ustr::from(&x)),
70            underlying.into(),
71            strategy_type.into(),
72            activation_ns.into(),
73            expiration_ns.into(),
74            currency,
75            price_precision,
76            price_increment,
77            multiplier,
78            lot_size,
79            max_quantity,
80            min_quantity,
81            max_price,
82            min_price,
83            margin_init,
84            margin_maint,
85            maker_fee,
86            taker_fee,
87            ts_event.into(),
88            ts_init.into(),
89        )
90        .map_err(to_pyvalue_err)
91    }
92
93    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
94        match op {
95            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
96            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
97            _ => py.NotImplemented(),
98        }
99    }
100
101    fn __hash__(&self) -> isize {
102        let mut hasher = DefaultHasher::new();
103        self.hash(&mut hasher);
104        hasher.finish() as isize
105    }
106
107    #[getter]
108    fn type_str(&self) -> &str {
109        stringify!(FuturesSpread)
110    }
111
112    #[getter]
113    #[pyo3(name = "id")]
114    fn py_id(&self) -> InstrumentId {
115        self.id
116    }
117
118    #[getter]
119    #[pyo3(name = "raw_symbol")]
120    fn py_raw_symbol(&self) -> Symbol {
121        self.raw_symbol
122    }
123
124    #[getter]
125    #[pyo3(name = "asset_class")]
126    fn py_asset_class(&self) -> AssetClass {
127        self.asset_class
128    }
129
130    #[getter]
131    #[pyo3(name = "exchange")]
132    fn py_exchange(&self) -> Option<String> {
133        self.exchange.map(|e| e.to_string())
134    }
135
136    #[getter]
137    #[pyo3(name = "underlying")]
138    fn py_underlying(&self) -> &str {
139        self.underlying.as_str()
140    }
141
142    #[getter]
143    #[pyo3(name = "strategy_type")]
144    fn py_strategy_type(&self) -> &str {
145        self.strategy_type.as_str()
146    }
147
148    #[getter]
149    #[pyo3(name = "activation_ns")]
150    fn py_activation_ns(&self) -> u64 {
151        self.activation_ns.as_u64()
152    }
153
154    #[getter]
155    #[pyo3(name = "expiration_ns")]
156    fn py_expiration_ns(&self) -> u64 {
157        self.expiration_ns.as_u64()
158    }
159
160    #[getter]
161    #[pyo3(name = "currency")]
162    fn py_currency(&self) -> Currency {
163        self.currency
164    }
165
166    #[getter]
167    #[pyo3(name = "price_precision")]
168    fn py_price_precision(&self) -> u8 {
169        self.price_precision
170    }
171
172    #[getter]
173    #[pyo3(name = "price_increment")]
174    fn py_price_increment(&self) -> Price {
175        self.price_increment
176    }
177
178    #[getter]
179    #[pyo3(name = "size_increment")]
180    fn py_size_increment(&self) -> Quantity {
181        self.size_increment
182    }
183
184    #[getter]
185    #[pyo3(name = "size_precision")]
186    fn py_size_precision(&self) -> u8 {
187        self.size_precision
188    }
189
190    #[getter]
191    #[pyo3(name = "multiplier")]
192    fn py_multiplier(&self) -> Quantity {
193        self.multiplier
194    }
195
196    #[getter]
197    #[pyo3(name = "lot_size")]
198    fn py_lot_size(&self) -> Quantity {
199        self.lot_size
200    }
201
202    #[getter]
203    #[pyo3(name = "max_quantity")]
204    fn py_max_quantity(&self) -> Option<Quantity> {
205        self.max_quantity
206    }
207
208    #[getter]
209    #[pyo3(name = "min_quantity")]
210    fn py_min_quantity(&self) -> Option<Quantity> {
211        self.min_quantity
212    }
213
214    #[getter]
215    #[pyo3(name = "max_price")]
216    fn py_max_price(&self) -> Option<Price> {
217        self.max_price
218    }
219
220    #[getter]
221    #[pyo3(name = "min_price")]
222    fn py_min_price(&self) -> Option<Price> {
223        self.min_price
224    }
225
226    #[getter]
227    #[pyo3(name = "margin_init")]
228    fn py_margin_init(&self) -> Decimal {
229        self.margin_init
230    }
231
232    #[getter]
233    #[pyo3(name = "margin_maint")]
234    fn py_margin_maint(&self) -> Decimal {
235        self.margin_maint
236    }
237
238    #[getter]
239    #[pyo3(name = "info")]
240    fn py_info(&self, py: Python<'_>) -> PyResult<PyObject> {
241        Ok(PyDict::new(py).into())
242    }
243
244    #[getter]
245    #[pyo3(name = "ts_event")]
246    fn py_ts_event(&self) -> u64 {
247        self.ts_event.as_u64()
248    }
249
250    #[getter]
251    #[pyo3(name = "ts_init")]
252    fn py_ts_init(&self) -> u64 {
253        self.ts_init.as_u64()
254    }
255
256    #[staticmethod]
257    #[pyo3(name = "from_dict")]
258    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
259        from_dict_pyo3(py, values)
260    }
261
262    #[pyo3(name = "to_dict")]
263    fn py_to_dict(&self, py: Python<'_>) -> PyResult<PyObject> {
264        let dict = PyDict::new(py);
265        dict.set_item("type", stringify!(FuturesSpread))?;
266        dict.set_item("id", self.id.to_string())?;
267        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
268        dict.set_item("asset_class", self.asset_class.to_string())?;
269        dict.set_item("underlying", self.underlying.to_string())?;
270        dict.set_item("strategy_type", self.strategy_type.to_string())?;
271        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
272        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
273        dict.set_item("currency", self.currency.code.to_string())?;
274        dict.set_item("price_precision", self.price_precision)?;
275        dict.set_item("price_increment", self.price_increment.to_string())?;
276        dict.set_item("size_increment", self.size_increment.to_string())?;
277        dict.set_item("size_precision", self.size_precision)?;
278        dict.set_item("multiplier", self.multiplier.to_string())?;
279        dict.set_item("lot_size", self.lot_size.to_string())?;
280        dict.set_item("margin_init", self.margin_init.to_string())?;
281        dict.set_item("margin_maint", self.margin_maint.to_string())?;
282        dict.set_item("maker_fee", self.maker_fee.to_string())?;
283        dict.set_item("taker_fee", self.taker_fee.to_string())?;
284        dict.set_item("info", PyDict::new(py))?;
285        dict.set_item("ts_event", self.ts_event.as_u64())?;
286        dict.set_item("ts_init", self.ts_init.as_u64())?;
287        match self.max_quantity {
288            Some(value) => dict.set_item("max_quantity", value.to_string())?,
289            None => dict.set_item("max_quantity", py.None())?,
290        }
291        match self.min_quantity {
292            Some(value) => dict.set_item("min_quantity", value.to_string())?,
293            None => dict.set_item("min_quantity", py.None())?,
294        }
295        match self.max_price {
296            Some(value) => dict.set_item("max_price", value.to_string())?,
297            None => dict.set_item("max_price", py.None())?,
298        }
299        match self.min_price {
300            Some(value) => dict.set_item("min_price", value.to_string())?,
301            None => dict.set_item("min_price", py.None())?,
302        }
303        match self.exchange {
304            Some(value) => dict.set_item("exchange", value.to_string())?,
305            None => dict.set_item("exchange", py.None())?,
306        }
307        Ok(dict.into())
308    }
309}
nautilus_model/python/instruments/futures_spread.rs

nautilus_model/python/instruments/
futures_spread.rs
