nautilus-model 0.55.0

// -------------------------------------------------------------------------------------------------
//  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.
// -------------------------------------------------------------------------------------------------

//! Python bindings from [PyO3](https://pyo3.rs).

#![allow(
    clippy::missing_errors_doc,
    reason = "errors documented on underlying Rust methods"
)]

use pyo3::prelude::*;

pub mod account;
pub mod common;
pub mod data;
pub mod enums;
pub mod events;
pub mod identifiers;
pub mod instruments;
pub mod macros;
pub mod orderbook;
pub mod orders;
pub mod position;
pub mod reports;
pub mod types;

#[cfg(feature = "defi")]
pub mod defi;

/// Loaded as `nautilus_pyo3.model`.
///
/// # Errors
///
/// Returns a `PyErr` if registering any module components fails.
///
#[pymodule]
pub fn model(_: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
    // Types
    m.add("HIGH_PRECISION", crate::types::fixed::HIGH_PRECISION_MODE)?;
    m.add("FIXED_SCALAR", crate::types::fixed::FIXED_SCALAR)?;
    m.add("FIXED_PRECISION", crate::types::fixed::FIXED_PRECISION)?;
    m.add("PRECISION_BYTES", crate::types::fixed::PRECISION_BYTES)?;
    m.add_class::<crate::types::currency::Currency>()?;
    m.add_class::<crate::types::money::Money>()?;
    m.add_class::<crate::types::price::Price>()?;
    m.add_class::<crate::types::quantity::Quantity>()?;
    m.add_class::<crate::types::balance::AccountBalance>()?;
    m.add_class::<crate::types::balance::MarginBalance>()?;
    // Data
    m.add_function(wrap_pyfunction!(data::drop_cvec_pycapsule, m)?)?;
    m.add_class::<crate::data::DataType>()?;
    m.add_class::<crate::data::CustomData>()?;
    m.add_function(pyo3::wrap_pyfunction!(
        crate::python::data::deserialize_custom_from_json,
        m
    )?)?;
    m.add_function(pyo3::wrap_pyfunction!(
        crate::python::data::register_custom_data_class,
        m
    )?)?;
    m.add_function(pyo3::wrap_pyfunction!(
        crate::python::data::custom::custom_data_backend_kind,
        m
    )?)?;
    m.add_class::<crate::data::bar::BarSpecification>()?;
    m.add_class::<crate::data::bar::BarType>()?;
    m.add_class::<crate::data::bar::Bar>()?;
    m.add_class::<crate::data::bet::Bet>()?;
    m.add_class::<crate::data::bet::BetPosition>()?;
    m.add_class::<crate::data::order::BookOrder>()?;
    m.add_class::<crate::data::prices::MarkPriceUpdate>()?;
    m.add_class::<crate::data::prices::IndexPriceUpdate>()?;
    m.add_class::<crate::data::delta::OrderBookDelta>()?;
    m.add_class::<crate::data::deltas::OrderBookDeltas>()?;
    m.add_class::<crate::data::depth::OrderBookDepth10>()?;
    m.add_class::<crate::data::quote::QuoteTick>()?;
    m.add_class::<crate::data::status::InstrumentStatus>()?;
    m.add_class::<crate::data::trade::TradeTick>()?;
    m.add_class::<crate::data::close::InstrumentClose>()?;
    m.add_class::<crate::data::funding::FundingRateUpdate>()?;
    m.add_class::<crate::data::greeks::OptionGreekValues>()?;
    m.add_class::<crate::data::greeks::BlackScholesGreeksResult>()?;
    m.add_class::<crate::data::greeks::GreeksData>()?;
    m.add_class::<crate::data::greeks::PortfolioGreeks>()?;
    m.add_class::<crate::data::option_chain::OptionGreeks>()?;
    m.add_class::<crate::data::option_chain::OptionChainSlice>()?;
    m.add_class::<crate::data::option_chain::OptionStrikeData>()?;
    m.add_class::<crate::python::data::option_chain::PyStrikeRange>()?;
    m.add_class::<crate::data::forward::ForwardPrice>()?;
    m.add_function(wrap_pyfunction!(
        crate::python::data::greeks::py_black_scholes_greeks,
        m
    )?)?;
    m.add_function(wrap_pyfunction!(
        crate::python::data::greeks::py_imply_vol,
        m
    )?)?;
    m.add_function(wrap_pyfunction!(
        crate::python::data::greeks::py_imply_vol_and_greeks,
        m
    )?)?;
    m.add_function(wrap_pyfunction!(
        crate::python::data::greeks::py_refine_vol_and_greeks,
        m
    )?)?;
    // Enums
    m.add_class::<crate::enums::AccountType>()?;
    m.add_class::<crate::enums::AggregationSource>()?;
    m.add_class::<crate::enums::AggressorSide>()?;
    m.add_class::<crate::enums::AssetClass>()?;
    m.add_class::<crate::enums::BarAggregation>()?;
    m.add_class::<crate::enums::BetSide>()?;
    m.add_class::<crate::enums::BookAction>()?;
    m.add_class::<crate::enums::BookType>()?;
    m.add_class::<crate::enums::ContingencyType>()?;
    m.add_class::<crate::enums::CurrencyType>()?;
    m.add_class::<crate::enums::InstrumentClass>()?;
    m.add_class::<crate::enums::InstrumentCloseType>()?;
    m.add_class::<crate::enums::LiquiditySide>()?;
    m.add_class::<crate::enums::MarketStatus>()?;
    m.add_class::<crate::enums::MarketStatusAction>()?;
    m.add_class::<crate::enums::OmsType>()?;
    m.add_class::<crate::enums::OptionKind>()?;
    m.add_class::<crate::enums::OtoTriggerMode>()?;
    m.add_class::<crate::enums::OrderSide>()?;
    m.add_class::<crate::enums::OrderStatus>()?;
    m.add_class::<crate::enums::OrderType>()?;
    m.add_class::<crate::enums::PositionAdjustmentType>()?;
    m.add_class::<crate::enums::PositionSide>()?;
    m.add_class::<crate::enums::PriceType>()?;
    m.add_class::<crate::enums::TimeInForce>()?;
    m.add_class::<crate::enums::TradingState>()?;
    m.add_class::<crate::enums::TrailingOffsetType>()?;
    m.add_class::<crate::enums::TriggerType>()?;
    // Identifiers
    m.add_class::<crate::identifiers::AccountId>()?;
    m.add_class::<crate::identifiers::ActorId>()?;
    m.add_class::<crate::identifiers::ClientId>()?;
    m.add_class::<crate::identifiers::ClientOrderId>()?;
    m.add_class::<crate::identifiers::ComponentId>()?;
    m.add_class::<crate::identifiers::ExecAlgorithmId>()?;
    m.add_class::<crate::identifiers::InstrumentId>()?;
    m.add_class::<crate::identifiers::OrderListId>()?;
    m.add_class::<crate::identifiers::PositionId>()?;
    m.add_class::<crate::identifiers::StrategyId>()?;
    m.add_class::<crate::identifiers::Symbol>()?;
    m.add_class::<crate::identifiers::TradeId>()?;
    m.add_class::<crate::identifiers::TraderId>()?;
    m.add_class::<crate::identifiers::Venue>()?;
    m.add_class::<crate::identifiers::VenueOrderId>()?;
    m.add_class::<crate::identifiers::OptionSeriesId>()?;
    // Orders
    m.add_class::<crate::orders::LimitOrder>()?;
    m.add_class::<crate::orders::LimitIfTouchedOrder>()?;
    m.add_class::<crate::orders::MarketIfTouchedOrder>()?;
    m.add_class::<crate::orders::MarketOrder>()?;
    m.add_class::<crate::orders::MarketToLimitOrder>()?;
    m.add_class::<crate::orders::StopLimitOrder>()?;
    m.add_class::<crate::orders::StopMarketOrder>()?;
    m.add_class::<crate::orders::TrailingStopLimitOrder>()?;
    m.add_class::<crate::orders::TrailingStopMarketOrder>()?;
    // Reports
    m.add_class::<crate::reports::fill::FillReport>()?;
    m.add_class::<crate::reports::order::OrderStatusReport>()?;
    m.add_class::<crate::reports::position::PositionStatusReport>()?;
    m.add_class::<crate::reports::mass_status::ExecutionMassStatus>()?;
    // Position
    m.add_class::<crate::position::Position>()?;
    // Instruments
    m.add_class::<crate::instruments::BettingInstrument>()?;
    m.add_class::<crate::instruments::BinaryOption>()?;
    m.add_class::<crate::instruments::Cfd>()?;
    m.add_class::<crate::instruments::Commodity>()?;
    m.add_class::<crate::instruments::CryptoFuture>()?;
    m.add_class::<crate::instruments::CryptoOption>()?;
    m.add_class::<crate::instruments::CryptoPerpetual>()?;
    m.add_class::<crate::instruments::CurrencyPair>()?;
    m.add_class::<crate::instruments::Equity>()?;
    m.add_class::<crate::instruments::FuturesContract>()?;
    m.add_class::<crate::instruments::FuturesSpread>()?;
    m.add_class::<crate::instruments::IndexInstrument>()?;
    m.add_class::<crate::instruments::OptionContract>()?;
    m.add_class::<crate::instruments::OptionSpread>()?;
    m.add_class::<crate::instruments::PerpetualContract>()?;
    m.add_class::<crate::instruments::SyntheticInstrument>()?;
    m.add_class::<crate::instruments::TokenizedAsset>()?;
    // Order book
    m.add_class::<crate::orderbook::book::OrderBook>()?;
    m.add_class::<crate::orderbook::level::BookLevel>()?;
    m.add_function(wrap_pyfunction!(
        crate::python::orderbook::book::py_update_book_with_quote_tick,
        m
    )?)?;
    m.add_function(wrap_pyfunction!(
        crate::python::orderbook::book::py_update_book_with_trade_tick,
        m
    )?)?;
    m.add_class::<crate::orderbook::own::OwnOrderBook>()?;
    m.add_class::<crate::orderbook::own::OwnBookOrder>()?;
    // Events
    m.add_class::<crate::events::AccountState>()?;
    m.add_class::<crate::events::OrderDenied>()?;
    m.add_class::<crate::events::OrderFilled>()?;
    m.add_class::<crate::events::OrderInitialized>()?;
    m.add_class::<crate::events::OrderRejected>()?;
    m.add_class::<crate::events::OrderTriggered>()?;
    m.add_class::<crate::events::OrderSubmitted>()?;
    m.add_class::<crate::events::OrderEmulated>()?;
    m.add_class::<crate::events::OrderReleased>()?;
    m.add_class::<crate::events::OrderUpdated>()?;
    m.add_class::<crate::events::OrderPendingUpdate>()?;
    m.add_class::<crate::events::OrderPendingCancel>()?;
    m.add_class::<crate::events::OrderModifyRejected>()?;
    m.add_class::<crate::events::OrderAccepted>()?;
    m.add_class::<crate::events::OrderCancelRejected>()?;
    m.add_class::<crate::events::OrderCanceled>()?;
    m.add_class::<crate::events::OrderExpired>()?;
    m.add_class::<crate::events::OrderSnapshot>()?;
    m.add_class::<crate::events::PositionOpened>()?;
    m.add_class::<crate::events::PositionChanged>()?;
    m.add_class::<crate::events::PositionClosed>()?;
    m.add_class::<crate::events::PositionAdjusted>()?;
    m.add_class::<crate::events::PositionSnapshot>()?;
    // Accounts
    m.add_class::<crate::accounts::BettingAccount>()?;
    m.add_class::<crate::accounts::CashAccount>()?;
    m.add_class::<crate::accounts::MarginAccount>()?;
    m.add_class::<crate::accounts::margin_model::StandardMarginModel>()?;
    m.add_class::<crate::accounts::margin_model::LeveragedMarginModel>()?;
    m.add_function(wrap_pyfunction!(
        crate::python::account::transformer::betting_account_from_account_events,
        m
    )?)?;
    m.add_function(wrap_pyfunction!(
        crate::python::account::transformer::cash_account_from_account_events,
        m
    )?)?;
    m.add_function(wrap_pyfunction!(
        crate::python::account::transformer::margin_account_from_account_events,
        m
    )?)?;
    m.add_function(wrap_pyfunction!(
        crate::python::data::bet::py_calc_bets_pnl,
        m
    )?)?;
    m.add_function(wrap_pyfunction!(
        crate::python::data::bet::py_probability_to_bet,
        m
    )?)?;
    m.add_function(wrap_pyfunction!(
        crate::python::data::bet::py_inverse_probability_to_bet,
        m
    )?)?;
    // DeFi
    #[cfg(feature = "defi")]
    {
        m.add_class::<crate::defi::chain::Blockchain>()?;
        m.add_class::<crate::defi::chain::Chain>()?;
        m.add_class::<crate::defi::token::Token>()?;
        m.add_class::<crate::defi::dex::AmmType>()?;
        m.add_class::<crate::defi::dex::Dex>()?;
        m.add_class::<crate::defi::amm::Pool>()?;
        m.add_class::<crate::defi::data::PoolSwap>()?;
        m.add_class::<crate::defi::data::PoolLiquidityUpdateType>()?;
        m.add_class::<crate::defi::data::PoolLiquidityUpdate>()?;
        m.add_class::<crate::defi::data::PoolFeeCollect>()?;
        m.add_class::<crate::defi::data::PoolFlash>()?;
        m.add_class::<crate::defi::data::Transaction>()?;
        m.add_class::<crate::defi::data::Block>()?;
        m.add_class::<crate::defi::dex::DexType>()?;
        m.add_class::<crate::defi::pool_analysis::PoolProfiler>()?;
    }
    Ok(())
}