nautilus_model/python/
mod.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
16//! Python bindings from `pyo3`.
17
18use pyo3::prelude::*;
19
20pub mod account;
21pub mod common;
22pub mod data;
23pub mod enums;
24pub mod events;
25pub mod identifiers;
26pub mod instruments;
27pub mod macros;
28pub mod orderbook;
29pub mod orders;
30pub mod position;
31pub mod types;
32
33/// Loaded as nautilus_pyo3.model
34///
35/// # Errors
36///
37/// Returns a `PyErr` if registering any module components fails.
38#[pymodule]
39pub fn model(_: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
40    // Types
41    m.add("HIGH_PRECISION", crate::types::fixed::HIGH_PRECISION_MODE)?;
42    m.add("FIXED_SCALAR", crate::types::fixed::FIXED_SCALAR)?;
43    m.add("FIXED_PRECISION", crate::types::fixed::FIXED_PRECISION)?;
44    m.add("PRECISION_BYTES", crate::types::fixed::PRECISION_BYTES)?;
45    m.add_class::<crate::types::currency::Currency>()?;
46    m.add_class::<crate::types::money::Money>()?;
47    m.add_class::<crate::types::price::Price>()?;
48    m.add_class::<crate::types::quantity::Quantity>()?;
49    m.add_class::<crate::types::balance::AccountBalance>()?;
50    m.add_class::<crate::types::balance::MarginBalance>()?;
51    // Data
52    m.add_function(wrap_pyfunction!(data::drop_cvec_pycapsule, m)?)?;
53    m.add_class::<crate::data::DataType>()?;
54    m.add_class::<crate::data::bar::BarSpecification>()?;
55    m.add_class::<crate::data::bar::BarType>()?;
56    m.add_class::<crate::data::bar::Bar>()?;
57    m.add_class::<crate::data::bet::Bet>()?;
58    m.add_class::<crate::data::bet::BetPosition>()?;
59    m.add_class::<crate::data::order::BookOrder>()?;
60    m.add_class::<crate::data::delta::OrderBookDelta>()?;
61    m.add_class::<crate::data::deltas::OrderBookDeltas>()?;
62    m.add_class::<crate::data::depth::OrderBookDepth10>()?;
63    m.add_class::<crate::data::greeks::BlackScholesGreeksResult>()?;
64    m.add_class::<crate::data::greeks::ImplyVolAndGreeksResult>()?;
65    m.add_class::<crate::data::quote::QuoteTick>()?;
66    m.add_class::<crate::data::status::InstrumentStatus>()?;
67    m.add_class::<crate::data::trade::TradeTick>()?;
68    m.add_function(wrap_pyfunction!(
69        crate::python::data::greeks::py_black_scholes_greeks,
70        m
71    )?)?;
72    m.add_function(wrap_pyfunction!(
73        crate::python::data::greeks::py_imply_vol,
74        m
75    )?)?;
76    m.add_function(wrap_pyfunction!(
77        crate::python::data::greeks::py_imply_vol_and_greeks,
78        m
79    )?)?;
80    // Enums
81    m.add_class::<crate::enums::AccountType>()?;
82    m.add_class::<crate::enums::AggregationSource>()?;
83    m.add_class::<crate::enums::AggressorSide>()?;
84    m.add_class::<crate::enums::AssetClass>()?;
85    m.add_class::<crate::enums::InstrumentClass>()?;
86    m.add_class::<crate::enums::BarAggregation>()?;
87    m.add_class::<crate::enums::BetSide>()?;
88    m.add_class::<crate::enums::BookAction>()?;
89    m.add_class::<crate::enums::BookType>()?;
90    m.add_class::<crate::enums::ContingencyType>()?;
91    m.add_class::<crate::enums::CurrencyType>()?;
92    m.add_class::<crate::enums::InstrumentCloseType>()?;
93    m.add_class::<crate::enums::LiquiditySide>()?;
94    m.add_class::<crate::enums::MarketStatus>()?;
95    m.add_class::<crate::enums::MarketStatusAction>()?;
96    m.add_class::<crate::enums::OmsType>()?;
97    m.add_class::<crate::enums::OptionKind>()?;
98    m.add_class::<crate::enums::OrderSide>()?;
99    m.add_class::<crate::enums::OrderStatus>()?;
100    m.add_class::<crate::enums::OrderType>()?;
101    m.add_class::<crate::enums::PositionSide>()?;
102    m.add_class::<crate::enums::PriceType>()?;
103    m.add_class::<crate::enums::TimeInForce>()?;
104    m.add_class::<crate::enums::TradingState>()?;
105    m.add_class::<crate::enums::TrailingOffsetType>()?;
106    m.add_class::<crate::enums::TriggerType>()?;
107    // Identifiers
108    m.add_class::<crate::identifiers::AccountId>()?;
109    m.add_class::<crate::identifiers::ClientId>()?;
110    m.add_class::<crate::identifiers::ClientOrderId>()?;
111    m.add_class::<crate::identifiers::ComponentId>()?;
112    m.add_class::<crate::identifiers::ExecAlgorithmId>()?;
113    m.add_class::<crate::identifiers::InstrumentId>()?;
114    m.add_class::<crate::identifiers::OrderListId>()?;
115    m.add_class::<crate::identifiers::PositionId>()?;
116    m.add_class::<crate::identifiers::StrategyId>()?;
117    m.add_class::<crate::identifiers::Symbol>()?;
118    m.add_class::<crate::identifiers::TradeId>()?;
119    m.add_class::<crate::identifiers::TraderId>()?;
120    m.add_class::<crate::identifiers::Venue>()?;
121    m.add_class::<crate::identifiers::VenueOrderId>()?;
122    // Orders
123    m.add_class::<crate::orders::LimitOrder>()?;
124    m.add_class::<crate::orders::LimitIfTouchedOrder>()?;
125    m.add_class::<crate::orders::MarketOrder>()?;
126    m.add_class::<crate::orders::MarketToLimitOrder>()?;
127    m.add_class::<crate::orders::StopLimitOrder>()?;
128    m.add_class::<crate::orders::StopMarketOrder>()?;
129    m.add_class::<crate::orders::TrailingStopLimitOrder>()?;
130    m.add_class::<crate::orders::TrailingStopMarketOrder>()?;
131    // Position
132    m.add_class::<crate::position::Position>()?;
133    // Instruments
134    m.add_class::<crate::instruments::BettingInstrument>()?;
135    m.add_class::<crate::instruments::BinaryOption>()?;
136    m.add_class::<crate::instruments::CryptoFuture>()?;
137    m.add_class::<crate::instruments::CryptoPerpetual>()?;
138    m.add_class::<crate::instruments::CurrencyPair>()?;
139    m.add_class::<crate::instruments::Equity>()?;
140    m.add_class::<crate::instruments::FuturesContract>()?;
141    m.add_class::<crate::instruments::FuturesSpread>()?;
142    m.add_class::<crate::instruments::OptionContract>()?;
143    m.add_class::<crate::instruments::OptionSpread>()?;
144    m.add_class::<crate::instruments::SyntheticInstrument>()?;
145    // Order book
146    m.add_class::<crate::orderbook::book::OrderBook>()?;
147    m.add_class::<crate::orderbook::level::BookLevel>()?;
148    m.add_function(wrap_pyfunction!(
149        crate::python::orderbook::book::py_update_book_with_quote_tick,
150        m
151    )?)?;
152    m.add_function(wrap_pyfunction!(
153        crate::python::orderbook::book::py_update_book_with_trade_tick,
154        m
155    )?)?;
156    m.add_class::<crate::orderbook::own::OwnOrderBook>()?;
157    m.add_class::<crate::orderbook::own::OwnBookOrder>()?;
158    // Events
159    m.add_class::<crate::events::AccountState>()?;
160    m.add_class::<crate::events::OrderDenied>()?;
161    m.add_class::<crate::events::OrderFilled>()?;
162    m.add_class::<crate::events::OrderInitialized>()?;
163    m.add_class::<crate::events::OrderRejected>()?;
164    m.add_class::<crate::events::OrderTriggered>()?;
165    m.add_class::<crate::events::OrderSubmitted>()?;
166    m.add_class::<crate::events::OrderEmulated>()?;
167    m.add_class::<crate::events::OrderReleased>()?;
168    m.add_class::<crate::events::OrderUpdated>()?;
169    m.add_class::<crate::events::OrderPendingUpdate>()?;
170    m.add_class::<crate::events::OrderPendingCancel>()?;
171    m.add_class::<crate::events::OrderModifyRejected>()?;
172    m.add_class::<crate::events::OrderAccepted>()?;
173    m.add_class::<crate::events::OrderCancelRejected>()?;
174    m.add_class::<crate::events::OrderCanceled>()?;
175    m.add_class::<crate::events::OrderExpired>()?;
176    m.add_class::<crate::events::OrderSnapshot>()?;
177    m.add_class::<crate::events::PositionSnapshot>()?;
178    // Accounts
179    m.add_class::<crate::accounts::CashAccount>()?;
180    m.add_class::<crate::accounts::MarginAccount>()?;
181    m.add_function(wrap_pyfunction!(
182        crate::python::account::transformer::cash_account_from_account_events,
183        m
184    )?)?;
185    m.add_function(wrap_pyfunction!(
186        crate::python::account::transformer::margin_account_from_account_events,
187        m
188    )?)?;
189    m.add_function(wrap_pyfunction!(
190        crate::python::data::bet::py_calc_bets_pnl,
191        m
192    )?)?;
193    m.add_function(wrap_pyfunction!(
194        crate::python::data::bet::py_probability_to_bet,
195        m
196    )?)?;
197    m.add_function(wrap_pyfunction!(
198        crate::python::data::bet::py_inverse_probability_to_bet,
199        m
200    )?)?;
201    Ok(())
202}
nautilus_model/python/mod.rs

nautilus_model/python/
mod.rs
