nautilus_model/python/data/
prices.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
16use std::{
17    collections::{HashMap, hash_map::DefaultHasher},
18    hash::{Hash, Hasher},
19    str::FromStr,
20};
21
22use nautilus_core::{
23    UnixNanos,
24    python::{
25        IntoPyObjectNautilusExt,
26        serialization::{from_dict_pyo3, to_dict_pyo3},
27        to_pyvalue_err,
28    },
29    serialization::Serializable,
30};
31use pyo3::{
32    IntoPyObjectExt,
33    prelude::*,
34    pyclass::CompareOp,
35    types::{PyDict, PyInt, PyString, PyTuple},
36};
37
38use crate::{
39    data::{IndexPriceUpdate, MarkPriceUpdate},
40    identifiers::InstrumentId,
41    python::common::PY_MODULE_MODEL,
42    types::price::{Price, PriceRaw},
43};
44
45impl MarkPriceUpdate {
46    /// Create a new [`MarkPriceUpdate`] extracted from the given [`PyAny`].
47    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
48        let instrument_id_obj: Bound<'_, PyAny> = obj.getattr("instrument_id")?.extract()?;
49        let instrument_id_str: String = instrument_id_obj.getattr("value")?.extract()?;
50        let instrument_id =
51            InstrumentId::from_str(instrument_id_str.as_str()).map_err(to_pyvalue_err)?;
52
53        let value_py: Bound<'_, PyAny> = obj.getattr("value")?.extract()?;
54        let value_raw: PriceRaw = value_py.getattr("raw")?.extract()?;
55        let value_prec: u8 = value_py.getattr("precision")?.extract()?;
56        let value = Price::from_raw(value_raw, value_prec);
57
58        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
59        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
60
61        Ok(Self::new(
62            instrument_id,
63            value,
64            ts_event.into(),
65            ts_init.into(),
66        ))
67    }
68}
69
70#[pymethods]
71impl MarkPriceUpdate {
72    #[new]
73    fn py_new(
74        instrument_id: InstrumentId,
75        value: Price,
76        ts_event: u64,
77        ts_init: u64,
78    ) -> PyResult<Self> {
79        Ok(Self::new(
80            instrument_id,
81            value,
82            ts_event.into(),
83            ts_init.into(),
84        ))
85    }
86
87    fn __setstate__(&mut self, state: &Bound<'_, PyAny>) -> PyResult<()> {
88        let py_tuple: &Bound<'_, PyTuple> = state.downcast::<PyTuple>()?;
89        let binding = py_tuple.get_item(0)?;
90        let instrument_id_str = binding.downcast::<PyString>()?.extract::<&str>()?;
91        let value_raw = py_tuple
92            .get_item(1)?
93            .downcast::<PyInt>()?
94            .extract::<PriceRaw>()?;
95        let value_prec = py_tuple.get_item(2)?.downcast::<PyInt>()?.extract::<u8>()?;
96
97        let ts_event = py_tuple
98            .get_item(7)?
99            .downcast::<PyInt>()?
100            .extract::<u64>()?;
101        let ts_init = py_tuple
102            .get_item(8)?
103            .downcast::<PyInt>()?
104            .extract::<u64>()?;
105
106        self.instrument_id = InstrumentId::from_str(instrument_id_str).map_err(to_pyvalue_err)?;
107        self.value = Price::from_raw(value_raw, value_prec);
108        self.ts_event = ts_event.into();
109        self.ts_init = ts_init.into();
110
111        Ok(())
112    }
113
114    fn __getstate__(&self, py: Python) -> PyResult<PyObject> {
115        (
116            self.instrument_id.to_string(),
117            self.value.raw,
118            self.value.precision,
119            self.ts_event.as_u64(),
120            self.ts_init.as_u64(),
121        )
122            .into_py_any(py)
123    }
124
125    fn __reduce__(&self, py: Python) -> PyResult<PyObject> {
126        let safe_constructor = py.get_type::<Self>().getattr("_safe_constructor")?;
127        let state = self.__getstate__(py)?;
128        (safe_constructor, PyTuple::empty(py), state).into_py_any(py)
129    }
130
131    #[staticmethod]
132    fn _safe_constructor() -> Self {
133        Self::new(
134            InstrumentId::from("NULL.NULL"),
135            Price::zero(0),
136            UnixNanos::default(),
137            UnixNanos::default(),
138        )
139    }
140
141    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
142        match op {
143            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
144            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
145            _ => py.NotImplemented(),
146        }
147    }
148
149    fn __hash__(&self) -> isize {
150        let mut h = DefaultHasher::new();
151        self.hash(&mut h);
152        h.finish() as isize
153    }
154
155    fn __repr__(&self) -> String {
156        format!("{}({})", stringify!(MarkPriceUpdate), self)
157    }
158
159    fn __str__(&self) -> String {
160        self.to_string()
161    }
162
163    #[getter]
164    #[pyo3(name = "instrument_id")]
165    fn py_instrument_id(&self) -> InstrumentId {
166        self.instrument_id
167    }
168
169    #[getter]
170    #[pyo3(name = "value")]
171    fn py_value(&self) -> Price {
172        self.value
173    }
174
175    #[getter]
176    #[pyo3(name = "ts_event")]
177    fn py_ts_event(&self) -> u64 {
178        self.ts_event.as_u64()
179    }
180
181    #[getter]
182    #[pyo3(name = "ts_init")]
183    fn py_ts_init(&self) -> u64 {
184        self.ts_init.as_u64()
185    }
186
187    #[staticmethod]
188    #[pyo3(name = "fully_qualified_name")]
189    fn py_fully_qualified_name() -> String {
190        format!("{}:{}", PY_MODULE_MODEL, stringify!(MarkPriceUpdate))
191    }
192
193    #[staticmethod]
194    #[pyo3(name = "get_metadata")]
195    fn py_get_metadata(
196        instrument_id: &InstrumentId,
197        price_precision: u8,
198    ) -> PyResult<HashMap<String, String>> {
199        Ok(Self::get_metadata(instrument_id, price_precision))
200    }
201
202    #[staticmethod]
203    #[pyo3(name = "get_fields")]
204    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
205        let py_dict = PyDict::new(py);
206        for (k, v) in Self::get_fields() {
207            py_dict.set_item(k, v)?;
208        }
209
210        Ok(py_dict)
211    }
212
213    /// Returns a new object from the given dictionary representation.
214    #[staticmethod]
215    #[pyo3(name = "from_dict")]
216    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
217        from_dict_pyo3(py, values)
218    }
219
220    #[staticmethod]
221    #[pyo3(name = "from_json")]
222    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
223        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
224    }
225
226    #[staticmethod]
227    #[pyo3(name = "from_msgpack")]
228    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
229        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
230    }
231
232    /// Return a dictionary representation of the object.
233    #[pyo3(name = "as_dict")]
234    fn py_as_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
235        to_dict_pyo3(py, self)
236    }
237
238    /// Return JSON encoded bytes representation of the object.
239    #[pyo3(name = "as_json")]
240    fn py_as_json(&self, py: Python<'_>) -> Py<PyAny> {
241        // SAFETY: Unwrap safe when serializing a valid object
242        self.as_json_bytes().unwrap().into_py_any_unwrap(py)
243    }
244
245    /// Return MsgPack encoded bytes representation of the object.
246    #[pyo3(name = "as_msgpack")]
247    fn py_as_msgpack(&self, py: Python<'_>) -> Py<PyAny> {
248        // SAFETY: Unwrap safe when serializing a valid object
249        self.as_msgpack_bytes().unwrap().into_py_any_unwrap(py)
250    }
251}
252
253impl IndexPriceUpdate {
254    /// Create a new [`IndexPriceUpdate`] extracted from the given [`PyAny`].
255    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
256        let instrument_id_obj: Bound<'_, PyAny> = obj.getattr("instrument_id")?.extract()?;
257        let instrument_id_str: String = instrument_id_obj.getattr("value")?.extract()?;
258        let instrument_id =
259            InstrumentId::from_str(instrument_id_str.as_str()).map_err(to_pyvalue_err)?;
260
261        let value_py: Bound<'_, PyAny> = obj.getattr("value")?.extract()?;
262        let value_raw: PriceRaw = value_py.getattr("raw")?.extract()?;
263        let value_prec: u8 = value_py.getattr("precision")?.extract()?;
264        let value = Price::from_raw(value_raw, value_prec);
265
266        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
267        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
268
269        Ok(Self::new(
270            instrument_id,
271            value,
272            ts_event.into(),
273            ts_init.into(),
274        ))
275    }
276}
277
278#[pymethods]
279impl IndexPriceUpdate {
280    #[new]
281    fn py_new(
282        instrument_id: InstrumentId,
283        value: Price,
284        ts_event: u64,
285        ts_init: u64,
286    ) -> PyResult<Self> {
287        Ok(Self::new(
288            instrument_id,
289            value,
290            ts_event.into(),
291            ts_init.into(),
292        ))
293    }
294
295    fn __setstate__(&mut self, state: &Bound<'_, PyAny>) -> PyResult<()> {
296        let py_tuple: &Bound<'_, PyTuple> = state.downcast::<PyTuple>()?;
297        let binding = py_tuple.get_item(0)?;
298        let instrument_id_str = binding.downcast::<PyString>()?.extract::<&str>()?;
299        let value_raw = py_tuple
300            .get_item(1)?
301            .downcast::<PyInt>()?
302            .extract::<PriceRaw>()?;
303        let value_prec = py_tuple.get_item(2)?.downcast::<PyInt>()?.extract::<u8>()?;
304
305        let ts_event = py_tuple
306            .get_item(7)?
307            .downcast::<PyInt>()?
308            .extract::<u64>()?;
309        let ts_init = py_tuple
310            .get_item(8)?
311            .downcast::<PyInt>()?
312            .extract::<u64>()?;
313
314        self.instrument_id = InstrumentId::from_str(instrument_id_str).map_err(to_pyvalue_err)?;
315        self.value = Price::from_raw(value_raw, value_prec);
316        self.ts_event = ts_event.into();
317        self.ts_init = ts_init.into();
318
319        Ok(())
320    }
321
322    fn __getstate__(&self, py: Python) -> PyResult<PyObject> {
323        (
324            self.instrument_id.to_string(),
325            self.value.raw,
326            self.value.precision,
327            self.ts_event.as_u64(),
328            self.ts_init.as_u64(),
329        )
330            .into_py_any(py)
331    }
332
333    fn __reduce__(&self, py: Python) -> PyResult<PyObject> {
334        let safe_constructor = py.get_type::<Self>().getattr("_safe_constructor")?;
335        let state = self.__getstate__(py)?;
336        (safe_constructor, PyTuple::empty(py), state).into_py_any(py)
337    }
338
339    #[staticmethod]
340    fn _safe_constructor() -> Self {
341        Self::new(
342            InstrumentId::from("NULL.NULL"),
343            Price::zero(0),
344            UnixNanos::default(),
345            UnixNanos::default(),
346        )
347    }
348
349    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
350        match op {
351            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
352            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
353            _ => py.NotImplemented(),
354        }
355    }
356
357    fn __hash__(&self) -> isize {
358        let mut h = DefaultHasher::new();
359        self.hash(&mut h);
360        h.finish() as isize
361    }
362
363    fn __repr__(&self) -> String {
364        format!("{}({})", stringify!(IndexPriceUpdate), self)
365    }
366
367    fn __str__(&self) -> String {
368        self.to_string()
369    }
370
371    #[getter]
372    #[pyo3(name = "instrument_id")]
373    fn py_instrument_id(&self) -> InstrumentId {
374        self.instrument_id
375    }
376
377    #[getter]
378    #[pyo3(name = "value")]
379    fn py_value(&self) -> Price {
380        self.value
381    }
382
383    #[getter]
384    #[pyo3(name = "ts_event")]
385    fn py_ts_event(&self) -> u64 {
386        self.ts_event.as_u64()
387    }
388
389    #[getter]
390    #[pyo3(name = "ts_init")]
391    fn py_ts_init(&self) -> u64 {
392        self.ts_init.as_u64()
393    }
394
395    #[staticmethod]
396    #[pyo3(name = "fully_qualified_name")]
397    fn py_fully_qualified_name() -> String {
398        format!("{}:{}", PY_MODULE_MODEL, stringify!(IndexPriceUpdate))
399    }
400
401    #[staticmethod]
402    #[pyo3(name = "get_metadata")]
403    fn py_get_metadata(
404        instrument_id: &InstrumentId,
405        price_precision: u8,
406    ) -> PyResult<HashMap<String, String>> {
407        Ok(Self::get_metadata(instrument_id, price_precision))
408    }
409
410    #[staticmethod]
411    #[pyo3(name = "get_fields")]
412    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
413        let py_dict = PyDict::new(py);
414        for (k, v) in Self::get_fields() {
415            py_dict.set_item(k, v)?;
416        }
417
418        Ok(py_dict)
419    }
420
421    /// Returns a new object from the given dictionary representation.
422    #[staticmethod]
423    #[pyo3(name = "from_dict")]
424    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
425        from_dict_pyo3(py, values)
426    }
427
428    #[staticmethod]
429    #[pyo3(name = "from_json")]
430    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
431        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
432    }
433
434    #[staticmethod]
435    #[pyo3(name = "from_msgpack")]
436    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
437        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
438    }
439
440    /// Return a dictionary representation of the object.
441    #[pyo3(name = "as_dict")]
442    fn py_as_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
443        to_dict_pyo3(py, self)
444    }
445
446    /// Return JSON encoded bytes representation of the object.
447    #[pyo3(name = "as_json")]
448    fn py_as_json(&self, py: Python<'_>) -> Py<PyAny> {
449        // SAFETY: Unwrap safe when serializing a valid object
450        self.as_json_bytes().unwrap().into_py_any_unwrap(py)
451    }
452
453    /// Return MsgPack encoded bytes representation of the object.
454    #[pyo3(name = "as_msgpack")]
455    fn py_as_msgpack(&self, py: Python<'_>) -> Py<PyAny> {
456        // SAFETY: Unwrap safe when serializing a valid object
457        self.as_msgpack_bytes().unwrap().into_py_any_unwrap(py)
458    }
459}
460
461////////////////////////////////////////////////////////////////////////////////
462// Tests
463////////////////////////////////////////////////////////////////////////////////
464#[cfg(test)]
465mod tests {
466    use nautilus_core::python::IntoPyObjectNautilusExt;
467    use pyo3::Python;
468    use rstest::{fixture, rstest};
469
470    use super::*;
471    use crate::{identifiers::InstrumentId, types::Price};
472
473    #[fixture]
474    fn mark_price() -> MarkPriceUpdate {
475        MarkPriceUpdate::new(
476            InstrumentId::from("BTC-USDT.OKX"),
477            Price::from("100_000.00"),
478            UnixNanos::from(1),
479            UnixNanos::from(2),
480        )
481    }
482
483    #[fixture]
484    fn index_price() -> IndexPriceUpdate {
485        IndexPriceUpdate::new(
486            InstrumentId::from("BTC-USDT.OKX"),
487            Price::from("100_000.00"),
488            UnixNanos::from(1),
489            UnixNanos::from(2),
490        )
491    }
492
493    #[rstest]
494    fn test_mark_price_as_dict(mark_price: MarkPriceUpdate) {
495        pyo3::prepare_freethreaded_python();
496
497        Python::with_gil(|py| {
498            let dict_string = mark_price.py_as_dict(py).unwrap().to_string();
499            let expected_string = r"{'type': 'MarkPriceUpdate', 'instrument_id': 'BTC-USDT.OKX', 'value': '100000.00', 'ts_event': 1, 'ts_init': 2}";
500            assert_eq!(dict_string, expected_string);
501        });
502    }
503
504    #[rstest]
505    fn test_mark_price_from_dict(mark_price: MarkPriceUpdate) {
506        pyo3::prepare_freethreaded_python();
507
508        Python::with_gil(|py| {
509            let dict = mark_price.py_as_dict(py).unwrap();
510            let parsed = MarkPriceUpdate::py_from_dict(py, dict).unwrap();
511            assert_eq!(parsed, mark_price);
512        });
513    }
514
515    #[rstest]
516    fn test_mark_price_from_pyobject(mark_price: MarkPriceUpdate) {
517        pyo3::prepare_freethreaded_python();
518
519        Python::with_gil(|py| {
520            let tick_pyobject = mark_price.into_py_any_unwrap(py);
521            let parsed_tick = MarkPriceUpdate::from_pyobject(tick_pyobject.bind(py)).unwrap();
522            assert_eq!(parsed_tick, mark_price);
523        });
524    }
525
526    #[rstest]
527    fn test_index_price_as_dict(index_price: IndexPriceUpdate) {
528        pyo3::prepare_freethreaded_python();
529
530        Python::with_gil(|py| {
531            let dict_string = index_price.py_as_dict(py).unwrap().to_string();
532            let expected_string = r"{'type': 'IndexPriceUpdate', 'instrument_id': 'BTC-USDT.OKX', 'value': '100000.00', 'ts_event': 1, 'ts_init': 2}";
533            assert_eq!(dict_string, expected_string);
534        });
535    }
536
537    #[rstest]
538    fn test_index_price_from_dict(index_price: IndexPriceUpdate) {
539        pyo3::prepare_freethreaded_python();
540
541        Python::with_gil(|py| {
542            let dict = index_price.py_as_dict(py).unwrap();
543            let parsed = IndexPriceUpdate::py_from_dict(py, dict).unwrap();
544            assert_eq!(parsed, index_price);
545        });
546    }
547
548    #[rstest]
549    fn test_index_price_from_pyobject(index_price: IndexPriceUpdate) {
550        pyo3::prepare_freethreaded_python();
551
552        Python::with_gil(|py| {
553            let tick_pyobject = index_price.into_py_any_unwrap(py);
554            let parsed_tick = IndexPriceUpdate::from_pyobject(tick_pyobject.bind(py)).unwrap();
555            assert_eq!(parsed_tick, index_price);
556        });
557    }
558}
nautilus_model/python/data/prices.rs

nautilus_model/python/data/
prices.rs
