Struct InstrumentDefMsg

#[repr(C)]
pub struct InstrumentDefMsg {

    pub hd: RecordHeader,
    pub ts_recv: u64,
    pub min_price_increment: i64,
    pub display_factor: i64,
    pub expiration: u64,
    pub activation: u64,
    pub high_limit_price: i64,
    pub low_limit_price: i64,
    pub max_price_variation: i64,
    pub unit_of_measure_qty: i64,
    pub min_price_increment_amount: i64,
    pub price_ratio: i64,
    pub strike_price: i64,
    pub raw_instrument_id: u64,
    pub leg_price: i64,
    pub leg_delta: i64,
    pub inst_attrib_value: i32,
    pub underlying_id: u32,
    pub market_depth_implied: i32,
    pub market_depth: i32,
    pub market_segment_id: u32,
    pub max_trade_vol: u32,
    pub min_lot_size: i32,
    pub min_lot_size_block: i32,
    pub min_lot_size_round_lot: i32,
    pub min_trade_vol: u32,
    pub contract_multiplier: i32,
    pub decay_quantity: i32,
    pub original_contract_size: i32,
    pub leg_instrument_id: u32,
    pub leg_ratio_price_numerator: i32,
    pub leg_ratio_price_denominator: i32,
    pub leg_ratio_qty_numerator: i32,
    pub leg_ratio_qty_denominator: i32,
    pub leg_underlying_id: u32,
    pub appl_id: i16,
    pub maturity_year: u16,
    pub decay_start_date: u16,
    pub channel_id: u16,
    pub leg_count: u16,
    pub leg_index: u16,
    pub currency: [c_char; 4],
    pub settl_currency: [c_char; 4],
    pub secsubtype: [c_char; 6],
    pub raw_symbol: [c_char; 71],
    pub group: [c_char; 21],
    pub exchange: [c_char; 5],
    pub asset: [c_char; 11],
    pub cfi: [c_char; 7],
    pub security_type: [c_char; 7],
    pub unit_of_measure: [c_char; 31],
    pub underlying: [c_char; 21],
    pub strike_price_currency: [c_char; 4],
    pub leg_raw_symbol: [c_char; 71],
    pub instrument_class: c_char,
    pub match_algorithm: c_char,
    pub main_fraction: u8,
    pub price_display_format: u8,
    pub sub_fraction: u8,
    pub underlying_product: u8,
    pub security_update_action: c_char,
    pub maturity_month: u8,
    pub maturity_day: u8,
    pub maturity_week: u8,
    pub user_defined_instrument: c_char,
    pub contract_multiplier_unit: i8,
    pub flow_schedule_type: i8,
    pub tick_rule: u8,
    pub leg_instrument_class: c_char,
    pub leg_side: c_char,
    /* private fields */
}

Definition of an instrument. The record of the Definition schema.

Fields

hd: RecordHeader

The common header.

ts_recv: u64

The capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

See ts_recv.

min_price_increment: i64

The minimum constant tick for the instrument where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

See Prices.

display_factor: i64

The multiplier to convert the venue’s display price to the conventional price where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

expiration: u64

The last eligible trade time expressed as the number of nanoseconds since the UNIX epoch.

Will be crate::UNDEF_TIMESTAMP when null, such as for equities. Some publishers only provide date-level granularity.

activation: u64

The time of instrument activation expressed as the number of nanoseconds since the UNIX epoch.

Will be crate::UNDEF_TIMESTAMP when null, such as for equities. Some publishers only provide date-level granularity.

high_limit_price: i64

The allowable high limit price for the trading day where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

See Prices.

low_limit_price: i64

The allowable low limit price for the trading day where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

See Prices.

max_price_variation: i64

The differential value for price banding where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

See Prices.

unit_of_measure_qty: i64

The contract size for each instrument, in combination with unit_of_measure, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

min_price_increment_amount: i64

The value currently under development by the venue where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

See Prices.

price_ratio: i64

The value used for price calculation in spread and leg pricing where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

strike_price: i64

The strike price of the option where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

See Prices.

raw_instrument_id: u64

The instrument ID assigned by the publisher. May be the same as instrument_id.

See Instrument identifiers

leg_price: i64

The tied price (if any) of the leg.

leg_delta: i64

The associated delta (if any) of the leg.

inst_attrib_value: i32

A bitmap of instrument eligibility attributes.

underlying_id: u32

The instrument_id of the first underlying instrument.

See Instrument identifiers

market_depth_implied: i32

The implied book depth on the price level data feed.

market_depth: i32

The (outright) book depth on the price level data feed.

market_segment_id: u32

The market segment of the instrument.

max_trade_vol: u32

The maximum trading volume for the instrument.

min_lot_size: i32

The minimum order entry quantity for the instrument.

min_lot_size_block: i32

The minimum quantity required for a block trade of the instrument.

min_lot_size_round_lot: i32

The minimum quantity required for a round lot of the instrument. Multiples of this quantity are also round lots.

min_trade_vol: u32

The minimum trading volume for the instrument.

contract_multiplier: i32

The number of deliverables per instrument, i.e. peak days.

decay_quantity: i32

The quantity that a contract will decay daily, after decay_start_date has been reached.

original_contract_size: i32

The fixed contract value assigned to each instrument.

leg_instrument_id: u32

The numeric ID assigned to the leg instrument.

See Instrument identifiers

leg_ratio_price_numerator: i32

The numerator of the price ratio of the leg within the spread.

leg_ratio_price_denominator: i32

The denominator of the price ratio of the leg within the spread.

leg_ratio_qty_numerator: i32

The numerator of the quantity ratio of the leg within the spread.

leg_ratio_qty_denominator: i32

The denominator of the quantity ratio of the leg within the spread.

leg_underlying_id: u32

The numeric ID of the leg instrument’s underlying instrument.

See Instrument identifiers

appl_id: i16

The channel ID assigned at the venue.

maturity_year: u16

The calendar year reflected in the instrument symbol.

decay_start_date: u16

The date at which a contract will begin to decay.

channel_id: u16

The channel ID assigned by Databento as an incrementing integer starting at zero.

leg_count: u16

The number of legs in the strategy or spread. Will be 0 for outrights.

leg_index: u16

The 0-based index of the leg.

currency: [c_char; 4]

The currency used for price fields.

settl_currency: [c_char; 4]

The currency used for settlement, if different from currency.

secsubtype: [c_char; 6]

The strategy type of the spread.

raw_symbol: [c_char; 71]

The instrument raw symbol assigned by the publisher.

group: [c_char; 21]

The security group code of the instrument.

exchange: [c_char; 5]

The exchange used to identify the instrument.

asset: [c_char; 11]

The underlying asset code (product code) of the instrument.

cfi: [c_char; 7]

The ISO standard instrument categorization code.

security_type: [c_char; 7]

The security type of the instrument, e.g. FUT for future or future spread.

See Security type.

unit_of_measure: [c_char; 31]

The unit of measure for the instrument’s original contract size, e.g. USD or LBS.

underlying: [c_char; 21]

The symbol of the first underlying instrument.

strike_price_currency: [c_char; 4]

The currency of strike_price.

leg_raw_symbol: [c_char; 71]

The leg instrument’s raw symbol assigned by the publisher.

instrument_class: c_char

The classification of the instrument.

See Instrument class.

match_algorithm: c_char

The matching algorithm used for the instrument, typically FIFO.

See Matching algorithm.

main_fraction: u8

The price denominator of the main fraction.

price_display_format: u8

The number of digits to the right of the tick mark, to display fractional prices.

sub_fraction: u8

The price denominator of the sub fraction.

underlying_product: u8

The product complex of the instrument.

security_update_action: c_char

Indicates if the instrument definition has been added, modified, or deleted.

maturity_month: u8

The calendar month reflected in the instrument symbol.

maturity_day: u8

The calendar day reflected in the instrument symbol, or 0.

maturity_week: u8

The calendar week reflected in the instrument symbol, or 0.

user_defined_instrument: c_char

Indicates if the instrument is user defined: Yes or No.

contract_multiplier_unit: i8

The type of contract_multiplier. Either 1 for hours, or 2 for days.

flow_schedule_type: i8

The schedule for delivering electricity.

tick_rule: u8

The tick rule of the spread.

leg_instrument_class: c_char

The classification of the leg instrument.

leg_side: c_char

The side taken for the leg when purchasing the spread.

Implementations

impl InstrumentDefMsg

pub fn ts_recv(&self) -> Option<OffsetDateTime>

Parses the raw capture-server-received timestamp into a datetime. Returns None if ts_recv contains the sentinel for a null timestamp.

pub fn unit_of_measure_qty_f64(&self) -> f64

Returns the unit of measure quantity as a floating point.

UNDEF_PRICE will be converted to NaN.

pub fn strike_price_f64(&self) -> f64

Returns the strike price as a floating point.

UNDEF_PRICE will be converted to NaN.

pub fn expiration(&self) -> Option<OffsetDateTime>

Parses the raw last eligible trade time into a datetime. Returns None if expiration contains the sentinel for a null timestamp.

pub fn activation(&self) -> Option<OffsetDateTime>

Parses the raw time of instrument action into a datetime. Returns None if activation contains the sentinel for a null timestamp.

pub fn currency(&self) -> Result<&str>

Returns currency used for price fields as a &str.

Errors

This function returns an error if currency contains invalid UTF-8.

pub fn settl_currency(&self) -> Result<&str>

Returns currency used for settlement as a &str.

Errors

This function returns an error if settl_currency contains invalid UTF-8.

pub fn secsubtype(&self) -> Result<&str>

Returns the strategy type of the spread as a &str.

Errors

This function returns an error if secsubtype contains invalid UTF-8.

pub fn raw_symbol(&self) -> Result<&str>

Returns the instrument raw symbol assigned by the publisher as a &str.

Errors

This function returns an error if raw_symbol contains invalid UTF-8.

pub fn exchange(&self) -> Result<&str>

Returns exchange used to identify the instrument as a &str.

Errors

This function returns an error if exchange contains invalid UTF-8.

pub fn asset(&self) -> Result<&str>

Returns the underlying asset code (product code) of the instrument as a &str.

Errors

This function returns an error if asset contains invalid UTF-8.

pub fn cfi(&self) -> Result<&str>

Returns the ISO standard instrument categorization code as a &str.

Errors

This function returns an error if cfi contains invalid UTF-8.

pub fn security_type(&self) -> Result<&str>

Returns the Security type of the instrument, e.g. FUT for future or future spread as a &str.

Errors

This function returns an error if security_type contains invalid UTF-8.

pub fn unit_of_measure(&self) -> Result<&str>

Returns the unit of measure for the instrument’s original contract size, e.g. USD or LBS, as a &str.

Errors

This function returns an error if unit_of_measure contains invalid UTF-8.

pub fn underlying(&self) -> Result<&str>

Returns the symbol of the first underlying instrument as a &str.

Errors

This function returns an error if underlying contains invalid UTF-8.

pub fn strike_price_currency(&self) -> Result<&str>

Returns the currency of strike_price as a &str.

Errors

This function returns an error if strike_price_currency contains invalid UTF-8.

pub fn group(&self) -> Result<&str>

Returns the security group code of the instrumnet as a &str.

Errors

This function returns an error if group contains invalid UTF-8.

pub fn instrument_class(&self) -> Result<InstrumentClass>

Tries to convert the raw classification of the instrument to an enum.

Errors

This function returns an error if the instrument_class field does not contain a valid InstrumentClass.

pub fn match_algorithm(&self) -> Result<MatchAlgorithm>

Tries to convert the raw matching algorithm used for the instrument to an enum.

Errors

This function returns an error if the match_algorithm field does not contain a valid MatchAlgorithm.

pub fn security_update_action(&self) -> Result<SecurityUpdateAction>

Returns the action indicating whether the instrument definition has been added, modified, or deleted.

Errors

This function returns an error if the security_update_action field does not contain a valid SecurityUpdateAction.

pub fn user_defined_instrument(&self) -> Result<UserDefinedInstrument>

Returns the enum whether the instrument definition is user-defined or not.

Errors

This function returns an error if the security_update_action field does not contain a valid UserDefinedInstrument.

pub fn leg_raw_symbol(&self) -> Result<&str>

Returns the leg’s raw symbol assigned by the publisher as a &str.

Errors

This function returns an error if raw_symbol contains invalid UTF-8.

pub fn leg_instrument_class(&self) -> Result<InstrumentClass>

Tries to convert the raw classification of the leg instrument to an enum.

Errors

This function returns an error if the instrument_class field does not contain a valid InstrumentClass.

pub fn leg_price_f64(&self) -> f64

Returns the leg price as a floating point.

UNDEF_PRICE will be converted to NaN.

pub fn leg_delta_f64(&self) -> f64

Returns the leg delta as a floating point.

UNDEF_PRICE will be converted to NaN.

Trait Implementations

impl AsRef<[u8]> for InstrumentDefMsg

fn as_ref(&self) -> &[u8]

Converts this type into a shared reference of the (usually inferred) input type.

impl Clone for InstrumentDefMsg

fn clone(&self) -> InstrumentDefMsg

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for InstrumentDefMsg

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for InstrumentDefMsg

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for InstrumentDefMsg

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl<'a> From<&'a InstrumentDefMsg> for RecordRefEnum<'a>

fn from(rec: &'a InstrumentDefMsg) -> Self

Converts to this type from the input type.

impl From<&InstrumentDefMsgV1> for InstrumentDefMsg

fn from(old: &InstrumentDefMsg) -> Self

Converts to this type from the input type.

impl From<&InstrumentDefMsgV2> for InstrumentDefMsg

fn from(old: &InstrumentDefMsg) -> Self

Converts to this type from the input type.

impl From<InstrumentDefMsg> for RecordEnum

fn from(rec: InstrumentDefMsg) -> Self

Converts to this type from the input type.

impl HasRType for InstrumentDefMsg

fn has_rtype(rtype: u8) -> bool

Returns true if rtype matches the value associated with the implementing type.

impl Hash for InstrumentDefMsg

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl InstrumentDefRec for InstrumentDefMsg

fn raw_symbol(&self) -> Result<&str>

Returns the instrument raw symbol assigned by the publisher as a &str.

fn asset(&self) -> Result<&str>

Returns the underlying asset code (product code) of the instrument as a &str.

fn security_type(&self) -> Result<&str>

Returns the Security type of the instrument, e.g. FUT for future or future spread as a &str.

fn security_update_action(&self) -> Result<SecurityUpdateAction>

Returns the action indicating whether the instrument definition has been added, modified, or deleted.

fn channel_id(&self) -> u16

The channel ID assigned by Databento as an incrementing integer starting at zero.

impl<'py> IntoPyObject<'py> for InstrumentDefMsg

type Target = InstrumentDefMsg

The Python output type

type Output = Bound<'py, <InstrumentDefMsg as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PartialEq for InstrumentDefMsg

fn eq(&self, other: &InstrumentDefMsg) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl PartialOrd for InstrumentDefMsg

fn partial_cmp(&self, other: &Self) -> Option<Ordering>

This method returns an ordering between self and other values if one exists.

fn lt(&self, other: &Rhs) -> bool

Tests less than (for self and other) and is used by the < operator.

fn le(&self, other: &Rhs) -> bool

Tests less than or equal to (for self and other) and is used by the <= operator.

fn gt(&self, other: &Rhs) -> bool

Tests greater than (for self and other) and is used by the > operator.

fn ge(&self, other: &Rhs) -> bool

Tests greater than or equal to (for self and other) and is used by the >= operator.

impl PyClass for InstrumentDefMsg

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for InstrumentDefMsg

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

type BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<InstrumentDefMsg>

This handles following two situations:

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDictSlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn doc(py: Python<'_>) -> PyResult<&'static CStr>

Rendered class doc

fn dict_offset() -> Option<Py_ssize_t>

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn weaklist_offset() -> Option<isize>

impl PyClassNewTextSignature<InstrumentDefMsg> for PyClassImplCollector<InstrumentDefMsg>

Available on crate feature python only.

fn new_text_signature(self) -> Option<&'static str>

impl<'a, 'py> PyFunctionArgument<'a, 'py, false> for &'a InstrumentDefMsg

type Holder = Option<PyRef<'py, InstrumentDefMsg>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl<'a, 'py> PyFunctionArgument<'a, 'py, false> for &'a mut InstrumentDefMsg

type Holder = Option<PyRefMut<'py, InstrumentDefMsg>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl PyMethods<InstrumentDefMsg> for PyClassImplCollector<InstrumentDefMsg>

Available on crate feature python only.

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for InstrumentDefMsg

const NAME: &'static str = "InstrumentDefMsg"

Class name.

const MODULE: Option<&'static str>

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.

impl Record for InstrumentDefMsg

fn header(&self) -> &RecordHeader

Returns a reference to the RecordHeader that comes at the beginning of all record types.

fn raw_index_ts(&self) -> u64

Returns the raw primary timestamp for the record.

fn record_size(&self) -> usize

Returns the size of the record in bytes.

fn rtype(&self) -> Result<RType>

Tries to convert the raw record type into an enum which is useful for exhaustive pattern matching.

fn publisher(&self) -> Result<Publisher>

Tries to convert the raw publisher_id into an enum which is useful for exhaustive pattern matching.

fn index_ts(&self) -> Option<OffsetDateTime>

Returns the primary timestamp for the record. Returns None if the primary timestamp contains the sentinel value for a null timestamp.

fn index_date(&self) -> Option<Date>

Returns the primary date for the record; the date component of the primary timestamp (index_ts()). Returns None if the primary timestamp contains the sentinel value for a null timestamp.

impl RecordMut for InstrumentDefMsg

fn header_mut(&mut self) -> &mut RecordHeader

Returns a mutable reference to the RecordHeader that comes at the beginning of all record types.

impl Serialize for InstrumentDefMsg

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl Copy for InstrumentDefMsg

impl DerefToPyAny for InstrumentDefMsg

impl Eq for InstrumentDefMsg

impl StructuralPartialEq for InstrumentDefMsg