nautilus-common 0.58.0

Common functionality and machinery for the Nautilus trading engine
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65

// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

use ahash::{AHashMap, HashMap};
use nautilus_core::python::to_pyvalue_err;
use nautilus_model::enums::PriceType;
use pyo3::prelude::*;
use rust_decimal::{Decimal, prelude::FromPrimitive};
use ustr::Ustr;

use crate::xrate::get_exchange_rate;

/// Calculates the exchange rate between two currencies using provided bid and ask quotes.
///
/// This function builds a graph of direct conversion rates from the quotes and uses a DFS to
/// accumulate the conversion rate along a valid conversion path. While a full Floyd–Warshall
/// algorithm could compute all-pairs conversion rates, the DFS approach here provides a quick
/// solution for a single conversion query.
#[pyfunction]
#[pyo3_stub_gen::derive::gen_stub_pyfunction(module = "nautilus_trader.common")]
#[pyo3(name = "get_exchange_rate")]
#[pyo3(signature = (from_currency, to_currency, price_type, quotes_bid, quotes_ask))]
pub fn py_get_exchange_rate(
    from_currency: &str,
    to_currency: &str,
    price_type: PriceType,
    quotes_bid: HashMap<String, f64>,
    quotes_ask: HashMap<String, f64>,
) -> PyResult<Option<Decimal>> {
    let quotes_bid = f64_quotes_to_decimal(quotes_bid).map_err(to_pyvalue_err)?;
    let quotes_ask = f64_quotes_to_decimal(quotes_ask).map_err(to_pyvalue_err)?;

    get_exchange_rate(
        Ustr::from(from_currency),
        Ustr::from(to_currency),
        price_type,
        quotes_bid,
        quotes_ask,
    )
    .map_err(to_pyvalue_err)
}

fn f64_quotes_to_decimal(quotes: HashMap<String, f64>) -> anyhow::Result<AHashMap<Ustr, Decimal>> {
    quotes
        .into_iter()
        .map(|(pair, value)| {
            let rate = Decimal::from_f64(value).ok_or_else(|| {
                anyhow::anyhow!("Invalid quote rate for pair {pair}, was {value}")
            })?;
            Ok((Ustr::from(&pair), rate))
        })
        .collect()
}