nautilus_model/python/instruments/
option_spread.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
16use std::{
17    collections::hash_map::DefaultHasher,
18    hash::{Hash, Hasher},
19};
20
21use nautilus_core::{
22    from_pydict,
23    python::{IntoPyObjectNautilusExt, serialization::from_dict_pyo3, to_pyvalue_err},
24};
25use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
26use rust_decimal::Decimal;
27use ustr::Ustr;
28
29use crate::{
30    enums::AssetClass,
31    identifiers::{InstrumentId, Symbol},
32    instruments::OptionSpread,
33    types::{Currency, Price, Quantity},
34};
35
36#[pymethods]
37impl OptionSpread {
38    #[allow(clippy::too_many_arguments)]
39    #[new]
40    #[pyo3(signature = (instrument_id, raw_symbol, asset_class, underlying, strategy_type, activation_ns, expiration_ns, currency, price_precision, price_increment, multiplier, lot_size, ts_event, ts_init, max_quantity=None, min_quantity=None, max_price=None, min_price=None, margin_init=None, margin_maint=None, maker_fee=None, taker_fee=None, exchange=None, info=None))]
41    fn py_new(
42        instrument_id: InstrumentId,
43        raw_symbol: Symbol,
44        asset_class: AssetClass,
45        underlying: String,
46        strategy_type: String,
47        activation_ns: u64,
48        expiration_ns: u64,
49        currency: Currency,
50        price_precision: u8,
51        price_increment: Price,
52        multiplier: Quantity,
53        lot_size: Quantity,
54        ts_event: u64,
55        ts_init: u64,
56        max_quantity: Option<Quantity>,
57        min_quantity: Option<Quantity>,
58        max_price: Option<Price>,
59        min_price: Option<Price>,
60        margin_init: Option<Decimal>,
61        margin_maint: Option<Decimal>,
62        maker_fee: Option<Decimal>,
63        taker_fee: Option<Decimal>,
64        exchange: Option<String>,
65        info: Option<Py<PyDict>>,
66    ) -> PyResult<Self> {
67        // Convert Python dict to Params
68        let info_map = if let Some(info_dict) = info {
69            Python::attach(|py| from_pydict(py, info_dict))?
70        } else {
71            None
72        };
73
74        Self::new_checked(
75            instrument_id,
76            raw_symbol,
77            asset_class,
78            exchange.map(|x| Ustr::from(&x)),
79            underlying.into(),
80            strategy_type.into(),
81            activation_ns.into(),
82            expiration_ns.into(),
83            currency,
84            price_precision,
85            price_increment,
86            multiplier,
87            lot_size,
88            max_quantity,
89            min_quantity,
90            max_price,
91            min_price,
92            margin_init,
93            margin_maint,
94            maker_fee,
95            taker_fee,
96            info_map,
97            ts_event.into(),
98            ts_init.into(),
99        )
100        .map_err(to_pyvalue_err)
101    }
102
103    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
104        match op {
105            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
106            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
107            _ => py.NotImplemented(),
108        }
109    }
110
111    fn __hash__(&self) -> isize {
112        let mut hasher = DefaultHasher::new();
113        self.hash(&mut hasher);
114        hasher.finish() as isize
115    }
116
117    #[getter]
118    fn type_str(&self) -> &str {
119        stringify!(OptionSpread)
120    }
121
122    #[getter]
123    #[pyo3(name = "id")]
124    fn py_id(&self) -> InstrumentId {
125        self.id
126    }
127
128    #[getter]
129    #[pyo3(name = "raw_symbol")]
130    fn py_raw_symbol(&self) -> Symbol {
131        self.raw_symbol
132    }
133
134    #[getter]
135    #[pyo3(name = "asset_class")]
136    fn py_asset_class(&self) -> AssetClass {
137        self.asset_class
138    }
139
140    #[getter]
141    #[pyo3(name = "exchange")]
142    fn py_exchange(&self) -> Option<String> {
143        self.exchange.map(|e| e.to_string())
144    }
145
146    #[getter]
147    #[pyo3(name = "underlying")]
148    fn py_underlying(&self) -> &str {
149        self.underlying.as_str()
150    }
151
152    #[getter]
153    #[pyo3(name = "strategy_type")]
154    fn py_option_kind(&self) -> &str {
155        self.strategy_type.as_str()
156    }
157
158    #[getter]
159    #[pyo3(name = "activation_ns")]
160    fn py_activation_ns(&self) -> u64 {
161        self.activation_ns.as_u64()
162    }
163
164    #[getter]
165    #[pyo3(name = "expiration_ns")]
166    fn py_expiration_ns(&self) -> u64 {
167        self.expiration_ns.as_u64()
168    }
169
170    #[getter]
171    #[pyo3(name = "currency")]
172    fn py_currency(&self) -> Currency {
173        self.currency
174    }
175
176    #[getter]
177    #[pyo3(name = "price_precision")]
178    fn py_price_precision(&self) -> u8 {
179        self.price_precision
180    }
181
182    #[getter]
183    #[pyo3(name = "price_increment")]
184    fn py_price_increment(&self) -> Price {
185        self.price_increment
186    }
187
188    #[getter]
189    #[pyo3(name = "size_increment")]
190    fn py_size_increment(&self) -> Quantity {
191        self.size_increment
192    }
193
194    #[getter]
195    #[pyo3(name = "size_precision")]
196    fn py_size_precision(&self) -> u8 {
197        self.size_precision
198    }
199
200    #[getter]
201    #[pyo3(name = "multiplier")]
202    fn py_multiplier(&self) -> Quantity {
203        self.multiplier
204    }
205
206    #[getter]
207    #[pyo3(name = "lot_size")]
208    fn py_lot_size(&self) -> Quantity {
209        self.lot_size
210    }
211
212    #[getter]
213    #[pyo3(name = "max_quantity")]
214    fn py_max_quantity(&self) -> Option<Quantity> {
215        self.max_quantity
216    }
217
218    #[getter]
219    #[pyo3(name = "min_quantity")]
220    fn py_min_quantity(&self) -> Option<Quantity> {
221        self.min_quantity
222    }
223
224    #[getter]
225    #[pyo3(name = "max_price")]
226    fn py_max_price(&self) -> Option<Price> {
227        self.max_price
228    }
229
230    #[getter]
231    #[pyo3(name = "min_price")]
232    fn py_min_price(&self) -> Option<Price> {
233        self.min_price
234    }
235
236    #[getter]
237    #[pyo3(name = "margin_init")]
238    fn py_margin_init(&self) -> Decimal {
239        self.margin_init
240    }
241
242    #[getter]
243    #[pyo3(name = "margin_maint")]
244    fn py_margin_maint(&self) -> Decimal {
245        self.margin_maint
246    }
247
248    #[getter]
249    #[pyo3(name = "maker_fee")]
250    fn py_maker_fee(&self) -> Decimal {
251        self.maker_fee
252    }
253
254    #[getter]
255    #[pyo3(name = "taker_fee")]
256    fn py_taker_fee(&self) -> Decimal {
257        self.taker_fee
258    }
259
260    #[getter]
261    #[pyo3(name = "info")]
262    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
263        // Convert HashMap<String, serde_json::Value> back to Python dict
264        if let Some(ref info_map) = self.info {
265            let py_dict = PyDict::new(py);
266            for (key, value) in info_map {
267                // Convert serde_json::Value back to Python object via JSON
268                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
269                let py_value =
270                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
271                py_dict.set_item(key, py_value)?;
272            }
273            Ok(py_dict.unbind())
274        } else {
275            Ok(PyDict::new(py).unbind())
276        }
277    }
278
279    #[getter]
280    #[pyo3(name = "ts_event")]
281    fn py_ts_event(&self) -> u64 {
282        self.ts_event.as_u64()
283    }
284
285    #[getter]
286    #[pyo3(name = "ts_init")]
287    fn py_ts_init(&self) -> u64 {
288        self.ts_init.as_u64()
289    }
290
291    #[staticmethod]
292    #[pyo3(name = "from_dict")]
293    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
294        from_dict_pyo3(py, values)
295    }
296
297    #[pyo3(name = "to_dict")]
298    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
299        let dict = PyDict::new(py);
300        dict.set_item("type", stringify!(OptionSpread))?;
301        dict.set_item("id", self.id.to_string())?;
302        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
303        dict.set_item("asset_class", self.asset_class.to_string())?;
304        dict.set_item("underlying", self.underlying.to_string())?;
305        dict.set_item("strategy_type", self.strategy_type.to_string())?;
306        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
307        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
308        dict.set_item("currency", self.currency.code.to_string())?;
309        dict.set_item("price_precision", self.price_precision)?;
310        dict.set_item("price_increment", self.price_increment.to_string())?;
311        dict.set_item("size_increment", self.size_increment.to_string())?;
312        dict.set_item("size_precision", self.size_precision)?;
313        dict.set_item("multiplier", self.multiplier.to_string())?;
314        dict.set_item("lot_size", self.lot_size.to_string())?;
315        dict.set_item("margin_init", self.margin_init.to_string())?;
316        dict.set_item("margin_maint", self.margin_maint.to_string())?;
317        dict.set_item("maker_fee", self.maker_fee.to_string())?;
318        dict.set_item("taker_fee", self.taker_fee.to_string())?;
319        // Serialize info dict
320        if let Some(ref info_map) = self.info {
321            let info_dict = PyDict::new(py);
322            for (key, value) in info_map {
323                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
324                let py_value =
325                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
326                info_dict.set_item(key, py_value)?;
327            }
328            dict.set_item("info", info_dict)?;
329        } else {
330            dict.set_item("info", PyDict::new(py))?;
331        }
332        dict.set_item("ts_event", self.ts_event.as_u64())?;
333        dict.set_item("ts_init", self.ts_init.as_u64())?;
334        match self.max_quantity {
335            Some(value) => dict.set_item("max_quantity", value.to_string())?,
336            None => dict.set_item("max_quantity", py.None())?,
337        }
338        match self.min_quantity {
339            Some(value) => dict.set_item("min_quantity", value.to_string())?,
340            None => dict.set_item("min_quantity", py.None())?,
341        }
342        match self.max_price {
343            Some(value) => dict.set_item("max_price", value.to_string())?,
344            None => dict.set_item("max_price", py.None())?,
345        }
346        match self.min_price {
347            Some(value) => dict.set_item("min_price", value.to_string())?,
348            None => dict.set_item("min_price", py.None())?,
349        }
350        match self.exchange {
351            Some(value) => dict.set_item("exchange", value.to_string())?,
352            None => dict.set_item("exchange", py.None())?,
353        }
354        Ok(dict.into())
355    }
356}
nautilus_model/python/instruments/option_spread.rs

nautilus_model/python/instruments/
option_spread.rs
