nautilus_live/python/client/
requests.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 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//! Exposes historical data and instrument requests to Python adapters as owned PyO3 objects.
17//!
18//! Implements read-only access to request identifiers, routing metadata, and query parameters
19//! used by Python data clients. Time-bounded requests expose their start and end values as both
20//! Python datetimes and nanosecond timestamps.
21
22use std::num::NonZero;
23
24use nautilus_common::messages::data::{
25    RequestBars, RequestBookDeltas, RequestBookDepth, RequestBookSnapshot, RequestCustomData,
26    RequestFundingRates, RequestInstrument, RequestInstruments, RequestOptionChainReferencePrice,
27    RequestQuotes, RequestTrades,
28};
29use nautilus_core::{
30    UUID4,
31    python::{params::params_to_pydict, to_pyvalue_err},
32};
33use nautilus_model::{
34    data::{BarType, DataType},
35    identifiers::{ClientId, InstrumentId, OptionSeriesId, Venue},
36};
37use pyo3::{IntoPyObjectExt, prelude::*, types::PyDict};
38
39macro_rules! request {
40    ($wrapper:ident, $request:ident, $name:tt, $client_id:ty, {$($field:ident: $ty:ty = $convert:expr),* $(,)?}) => {
41        #[doc = concat!("An owned ", $name, " request.")]
42        #[pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.live")]
43        #[pyclass(name = $name, module = "nautilus_trader.live", frozen)]
44        #[derive(Debug)]
45        pub struct $wrapper {
46            pub(crate) request: $request,
47        }
48
49        #[pyo3_stub_gen::derive::gen_stub_pymethods]
50        #[pymethods]
51        impl $wrapper {
52            #[getter]
53            fn client_id(&self) -> $client_id { self.request.client_id }
54
55            #[getter]
56            fn request_id(&self) -> UUID4 { self.request.request_id }
57
58            #[getter]
59            fn ts_init(&self) -> u64 { self.request.ts_init.as_u64() }
60
61            #[getter]
62            fn params(&self, py: Python<'_>) -> PyResult<Option<Py<PyDict>>> {
63                self.request.params.as_ref().map(|params| params_to_pydict(py, params)).transpose()
64            }
65            $(
66                #[getter]
67                fn $field(&self) -> $ty { ($convert)(&self.request) }
68            )*
69        }
70    };
71}
72
73macro_rules! request_window {
74    ($wrapper:ident) => {
75        #[pyo3_stub_gen::derive::gen_stub_pymethods]
76        #[pymethods]
77        impl $wrapper {
78            #[getter]
79            #[gen_stub(override_return_type(type_repr = "datetime.datetime | None", imports = ("datetime",)))]
80            fn start(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
81                self.request.start.into_py_any(py)
82            }
83
84            #[getter]
85            #[gen_stub(override_return_type(type_repr = "datetime.datetime | None", imports = ("datetime",)))]
86            fn end(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
87                self.request.end.into_py_any(py)
88            }
89
90            #[getter]
91            fn start_ns(&self) -> Option<i128> {
92                self.request.start.map(|timestamp| timestamp.as_nanosecond())
93            }
94
95            #[getter]
96            fn end_ns(&self) -> Option<i128> {
97                self.request.end.map(|timestamp| timestamp.as_nanosecond())
98            }
99        }
100    };
101}
102
103request!(PyRequestCustomData, RequestCustomData, "RequestCustomData", ClientId, {
104    data_type: DataType = |request: &RequestCustomData| request.data_type.clone(),
105    limit: Option<usize> = |request: &RequestCustomData| request.limit.map(NonZero::get)
106});
107request_window!(PyRequestCustomData);
108
109request!(PyRequestInstruments, RequestInstruments, "RequestInstruments", Option<ClientId>, {
110    venue: Option<Venue> = |request: &RequestInstruments| request.venue
111});
112request_window!(PyRequestInstruments);
113
114request!(PyRequestInstrument, RequestInstrument, "RequestInstrument", Option<ClientId>, {
115    instrument_ids: Vec<InstrumentId> = |request: &RequestInstrument| request.instrument_ids.clone(),
116    instrument_id: PyResult<InstrumentId> = |request: &RequestInstrument| request.single_instrument_id().map_err(to_pyvalue_err)
117});
118request_window!(PyRequestInstrument);
119
120request!(PyRequestBookSnapshot, RequestBookSnapshot, "RequestBookSnapshot", Option<ClientId>, {
121    instrument_ids: Vec<InstrumentId> = |request: &RequestBookSnapshot| request.instrument_ids.clone(),
122    instrument_id: PyResult<InstrumentId> = |request: &RequestBookSnapshot| request.single_instrument_id().map_err(to_pyvalue_err),
123    depth: Option<usize> = |request: &RequestBookSnapshot| request.depth.map(NonZero::get)
124});
125
126request!(PyRequestQuotes, RequestQuotes, "RequestQuotes", Option<ClientId>, {
127    instrument_ids: Vec<InstrumentId> = |request: &RequestQuotes| request.instrument_ids.clone(),
128    instrument_id: PyResult<InstrumentId> = |request: &RequestQuotes| request.single_instrument_id().map_err(to_pyvalue_err),
129    limit: Option<usize> = |request: &RequestQuotes| request.limit.map(NonZero::get)
130});
131request_window!(PyRequestQuotes);
132
133request!(PyRequestTrades, RequestTrades, "RequestTrades", Option<ClientId>, {
134    instrument_ids: Vec<InstrumentId> = |request: &RequestTrades| request.instrument_ids.clone(),
135    instrument_id: PyResult<InstrumentId> = |request: &RequestTrades| request.single_instrument_id().map_err(to_pyvalue_err),
136    limit: Option<usize> = |request: &RequestTrades| request.limit.map(NonZero::get)
137});
138request_window!(PyRequestTrades);
139
140request!(PyRequestFundingRates, RequestFundingRates, "RequestFundingRates", Option<ClientId>, {
141    instrument_ids: Vec<InstrumentId> = |request: &RequestFundingRates| request.instrument_ids.clone(),
142    instrument_id: PyResult<InstrumentId> = |request: &RequestFundingRates| request.single_instrument_id().map_err(to_pyvalue_err),
143    limit: Option<usize> = |request: &RequestFundingRates| request.limit.map(NonZero::get)
144});
145request_window!(PyRequestFundingRates);
146
147request!(PyRequestOptionChainReferencePrice, RequestOptionChainReferencePrice, "RequestOptionChainReferencePrice", Option<ClientId>, {
148    instrument_id: InstrumentId = |request: &RequestOptionChainReferencePrice| request.instrument_id,
149    series_id: OptionSeriesId = |request: &RequestOptionChainReferencePrice| request.series_id
150});
151
152request!(PyRequestBars, RequestBars, "RequestBars", Option<ClientId>, {
153    bar_types: Vec<BarType> = |request: &RequestBars| request.bar_types.clone(),
154    bar_type: PyResult<BarType> = |request: &RequestBars| request.single_bar_type().map_err(to_pyvalue_err),
155    limit: Option<usize> = |request: &RequestBars| request.limit.map(NonZero::get)
156});
157request_window!(PyRequestBars);
158
159request!(PyRequestBookDepth, RequestBookDepth, "RequestBookDepth", Option<ClientId>, {
160    instrument_ids: Vec<InstrumentId> = |request: &RequestBookDepth| request.instrument_ids.clone(),
161    instrument_id: PyResult<InstrumentId> = |request: &RequestBookDepth| request.single_instrument_id().map_err(to_pyvalue_err),
162    limit: Option<usize> = |request: &RequestBookDepth| request.limit.map(NonZero::get),
163    depth: Option<usize> = |request: &RequestBookDepth| request.depth.map(NonZero::get)
164});
165request_window!(PyRequestBookDepth);
166
167request!(PyRequestBookDeltas, RequestBookDeltas, "RequestBookDeltas", Option<ClientId>, {
168    instrument_ids: Vec<InstrumentId> = |request: &RequestBookDeltas| request.instrument_ids.clone(),
169    instrument_id: PyResult<InstrumentId> = |request: &RequestBookDeltas| request.single_instrument_id().map_err(to_pyvalue_err),
170    limit: Option<usize> = |request: &RequestBookDeltas| request.limit.map(NonZero::get)
171});
172request_window!(PyRequestBookDeltas);
173
174pub(crate) fn register(m: &Bound<'_, PyModule>) -> PyResult<()> {
175    m.add_class::<PyRequestCustomData>()?;
176    m.add_class::<PyRequestInstruments>()?;
177    m.add_class::<PyRequestInstrument>()?;
178    m.add_class::<PyRequestBookSnapshot>()?;
179    m.add_class::<PyRequestQuotes>()?;
180    m.add_class::<PyRequestTrades>()?;
181    m.add_class::<PyRequestFundingRates>()?;
182    m.add_class::<PyRequestOptionChainReferencePrice>()?;
183    m.add_class::<PyRequestBars>()?;
184    m.add_class::<PyRequestBookDepth>()?;
185    m.add_class::<PyRequestBookDeltas>()?;
186    Ok(())
187}
nautilus_live/python/client/requests.rs

nautilus_live/python/client/
requests.rs
