nautilus_model/python/instruments/
crypto_option.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;
27
28use crate::{
29    enums::OptionKind,
30    identifiers::{InstrumentId, Symbol},
31    instruments::CryptoOption,
32    python::instruments::register_crypto_currencies_from_dict,
33    types::{Currency, Money, Price, Quantity},
34};
35
36#[pymethods]
37#[pyo3_stub_gen::derive::gen_stub_pymethods]
38impl CryptoOption {
39    /// Represents a generic option contract instrument.
40    #[expect(clippy::too_many_arguments)]
41    #[new]
42    #[pyo3(signature = (instrument_id, raw_symbol, underlying, quote_currency, settlement_currency, is_inverse, option_kind, strike_price, activation_ns, expiration_ns, price_precision, size_precision, price_increment, size_increment,ts_event, ts_init, multiplier=None, lot_size=None, max_quantity=None, min_quantity=None, max_notional=None, min_notional=None, max_price=None, min_price=None, margin_init=None, margin_maint=None, maker_fee=None, taker_fee=None, info=None))]
43    fn py_new(
44        instrument_id: InstrumentId,
45        raw_symbol: Symbol,
46        underlying: Currency,
47        quote_currency: Currency,
48        settlement_currency: Currency,
49        is_inverse: bool,
50        option_kind: OptionKind,
51        strike_price: Price,
52        activation_ns: u64,
53        expiration_ns: u64,
54        price_precision: u8,
55        size_precision: u8,
56        price_increment: Price,
57        size_increment: Quantity,
58        ts_event: u64,
59        ts_init: u64,
60        multiplier: Option<Quantity>,
61        lot_size: Option<Quantity>,
62        max_quantity: Option<Quantity>,
63        min_quantity: Option<Quantity>,
64        max_notional: Option<Money>,
65        min_notional: Option<Money>,
66        max_price: Option<Price>,
67        min_price: Option<Price>,
68        margin_init: Option<Decimal>,
69        margin_maint: Option<Decimal>,
70        maker_fee: Option<Decimal>,
71        taker_fee: Option<Decimal>,
72        info: Option<Py<PyDict>>,
73    ) -> PyResult<Self> {
74        // Convert Python dict to Params
75        let info_map = if let Some(info_dict) = info {
76            Python::attach(|py| from_pydict(py, info_dict))?
77        } else {
78            None
79        };
80
81        Self::new_checked(
82            instrument_id,
83            raw_symbol,
84            underlying,
85            quote_currency,
86            settlement_currency,
87            is_inverse,
88            option_kind,
89            strike_price,
90            activation_ns.into(),
91            expiration_ns.into(),
92            price_precision,
93            size_precision,
94            price_increment,
95            size_increment,
96            multiplier,
97            lot_size,
98            max_quantity,
99            min_quantity,
100            max_notional,
101            min_notional,
102            max_price,
103            min_price,
104            margin_init,
105            margin_maint,
106            maker_fee,
107            taker_fee,
108            info_map,
109            ts_event.into(),
110            ts_init.into(),
111        )
112        .map_err(to_pyvalue_err)
113    }
114
115    fn __hash__(&self) -> isize {
116        let mut hasher = DefaultHasher::new();
117        self.hash(&mut hasher);
118        hasher.finish() as isize
119    }
120
121    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
122        match op {
123            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
124            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
125            _ => py.NotImplemented(),
126        }
127    }
128
129    #[getter]
130    fn type_name(&self) -> &'static str {
131        stringify!(CryptoOption)
132    }
133
134    #[getter]
135    #[pyo3(name = "id")]
136    fn py_id(&self) -> InstrumentId {
137        self.id
138    }
139
140    #[getter]
141    #[pyo3(name = "raw_symbol")]
142    fn py_raw_symbol(&self) -> Symbol {
143        self.raw_symbol
144    }
145
146    #[getter]
147    #[pyo3(name = "underlying")]
148    fn py_underlying(&self) -> Currency {
149        self.underlying
150    }
151
152    #[getter]
153    #[pyo3(name = "quote_currency")]
154    fn py_quote_currency(&self) -> Currency {
155        self.quote_currency
156    }
157
158    #[getter]
159    #[pyo3(name = "settlement_currency")]
160    fn py_settlement_currency(&self) -> Currency {
161        self.settlement_currency
162    }
163
164    #[getter]
165    #[pyo3(name = "is_inverse")]
166    fn py_is_inverse(&self) -> bool {
167        self.is_inverse
168    }
169
170    #[getter]
171    #[pyo3(name = "option_kind")]
172    fn py_option_kind(&self) -> OptionKind {
173        self.option_kind
174    }
175
176    #[getter]
177    #[pyo3(name = "strike_price")]
178    fn py_strike_price(&self) -> Price {
179        self.strike_price
180    }
181
182    #[getter]
183    #[pyo3(name = "activation_ns")]
184    fn py_activation_ns(&self) -> u64 {
185        self.activation_ns.as_u64()
186    }
187
188    #[getter]
189    #[pyo3(name = "expiration_ns")]
190    fn py_expiration_ns(&self) -> u64 {
191        self.expiration_ns.as_u64()
192    }
193
194    #[getter]
195    #[pyo3(name = "price_precision")]
196    fn py_price_precision(&self) -> u8 {
197        self.price_precision
198    }
199
200    #[getter]
201    #[pyo3(name = "size_precision")]
202    fn py_size_precision(&self) -> u8 {
203        self.size_precision
204    }
205
206    #[getter]
207    #[pyo3(name = "price_increment")]
208    fn py_price_increment(&self) -> Price {
209        self.price_increment
210    }
211
212    #[getter]
213    #[pyo3(name = "size_increment")]
214    fn py_size_increment(&self) -> Quantity {
215        self.size_increment
216    }
217
218    #[getter]
219    #[pyo3(name = "multiplier")]
220    fn py_multiplier(&self) -> Quantity {
221        self.multiplier
222    }
223
224    #[getter]
225    #[pyo3(name = "lot_size")]
226    fn py_lot_size(&self) -> Quantity {
227        self.lot_size
228    }
229
230    #[getter]
231    #[pyo3(name = "max_quantity")]
232    fn py_max_quantity(&self) -> Option<Quantity> {
233        self.max_quantity
234    }
235
236    #[getter]
237    #[pyo3(name = "min_quantity")]
238    fn py_min_quantity(&self) -> Option<Quantity> {
239        self.min_quantity
240    }
241
242    #[getter]
243    #[pyo3(name = "max_notional")]
244    fn py_max_notional(&self) -> Option<Money> {
245        self.max_notional
246    }
247
248    #[getter]
249    #[pyo3(name = "min_notional")]
250    fn py_min_notional(&self) -> Option<Money> {
251        self.min_notional
252    }
253
254    #[getter]
255    #[pyo3(name = "max_price")]
256    fn py_max_price(&self) -> Option<Price> {
257        self.max_price
258    }
259
260    #[getter]
261    #[pyo3(name = "min_price")]
262    fn py_min_price(&self) -> Option<Price> {
263        self.min_price
264    }
265
266    #[getter]
267    #[pyo3(name = "margin_init")]
268    fn py_margin_init(&self) -> Decimal {
269        self.margin_init
270    }
271
272    #[getter]
273    #[pyo3(name = "margin_maint")]
274    fn py_margin_maint(&self) -> Decimal {
275        self.margin_maint
276    }
277
278    #[getter]
279    #[pyo3(name = "maker_fee")]
280    fn py_maker_fee(&self) -> Decimal {
281        self.maker_fee
282    }
283
284    #[getter]
285    #[pyo3(name = "taker_fee")]
286    fn py_taker_fee(&self) -> Decimal {
287        self.taker_fee
288    }
289
290    #[getter]
291    #[pyo3(name = "info")]
292    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
293        // Convert HashMap<String, serde_json::Value> back to Python dict
294        if let Some(ref info_map) = self.info {
295            let py_dict = PyDict::new(py);
296
297            for (key, value) in info_map {
298                // Convert serde_json::Value back to Python object via JSON
299                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
300                let py_value =
301                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
302                py_dict.set_item(key, py_value)?;
303            }
304            Ok(py_dict.unbind())
305        } else {
306            Ok(PyDict::new(py).unbind())
307        }
308    }
309
310    #[getter]
311    #[pyo3(name = "ts_event")]
312    fn py_ts_event(&self) -> u64 {
313        self.ts_event.as_u64()
314    }
315
316    #[getter]
317    #[pyo3(name = "ts_init")]
318    fn py_ts_init(&self) -> u64 {
319        self.ts_init.as_u64()
320    }
321
322    #[staticmethod]
323    #[pyo3(name = "from_dict")]
324    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
325        register_crypto_currencies_from_dict(py, &values, &["underlying"]);
326        from_dict_pyo3(py, values)
327    }
328
329    #[pyo3(name = "to_dict")]
330    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
331        let dict = PyDict::new(py);
332        dict.set_item("type", stringify!(CryptoOption))?;
333        dict.set_item("id", self.id.to_string())?;
334        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
335        dict.set_item("underlying", self.underlying.code.to_string())?;
336        dict.set_item("quote_currency", self.quote_currency.code.to_string())?;
337        dict.set_item(
338            "settlement_currency",
339            self.settlement_currency.code.to_string(),
340        )?;
341        dict.set_item("is_inverse", self.is_inverse)?;
342        dict.set_item("option_kind", self.option_kind.to_string())?;
343        dict.set_item("strike_price", self.strike_price.to_string())?;
344        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
345        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
346        dict.set_item("price_precision", self.price_precision)?;
347        dict.set_item("size_precision", self.size_precision)?;
348        dict.set_item("price_increment", self.price_increment.to_string())?;
349        dict.set_item("size_increment", self.size_increment.to_string())?;
350        dict.set_item("multiplier", self.multiplier.to_string())?;
351        dict.set_item("lot_size", self.lot_size.to_string())?;
352        dict.set_item("margin_init", self.margin_init.to_string())?;
353        dict.set_item("margin_maint", self.margin_maint.to_string())?;
354        dict.set_item("maker_fee", self.maker_fee.to_string())?;
355        dict.set_item("taker_fee", self.taker_fee.to_string())?;
356        dict.set_item("ts_event", self.ts_event.as_u64())?;
357        dict.set_item("ts_init", self.ts_init.as_u64())?;
358        // Serialize info dict
359        if let Some(ref info_map) = self.info {
360            let info_dict = PyDict::new(py);
361
362            for (key, value) in info_map {
363                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
364                let py_value =
365                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
366                info_dict.set_item(key, py_value)?;
367            }
368            dict.set_item("info", info_dict)?;
369        } else {
370            dict.set_item("info", PyDict::new(py))?;
371        }
372
373        match self.max_quantity {
374            Some(value) => dict.set_item("max_quantity", value.to_string())?,
375            None => dict.set_item("max_quantity", py.None())?,
376        }
377
378        match self.min_quantity {
379            Some(value) => dict.set_item("min_quantity", value.to_string())?,
380            None => dict.set_item("min_quantity", py.None())?,
381        }
382
383        match self.max_notional {
384            Some(value) => dict.set_item("max_notional", value.to_string())?,
385            None => dict.set_item("max_notional", py.None())?,
386        }
387
388        match self.min_notional {
389            Some(value) => dict.set_item("min_notional", value.to_string())?,
390            None => dict.set_item("min_notional", py.None())?,
391        }
392
393        match self.max_price {
394            Some(value) => dict.set_item("max_price", value.to_string())?,
395            None => dict.set_item("max_price", py.None())?,
396        }
397
398        match self.min_price {
399            Some(value) => dict.set_item("min_price", value.to_string())?,
400            None => dict.set_item("min_price", py.None())?,
401        }
402        Ok(dict.into())
403    }
404}
405
406#[cfg(test)]
407mod tests {
408    use pyo3::{prelude::*, types::PyDict};
409    use rstest::rstest;
410
411    use crate::{
412        enums::CurrencyType,
413        instruments::{CryptoOption, stubs::*},
414        types::Currency,
415    };
416
417    #[rstest]
418    fn test_dict_round_trip(crypto_option_btc_deribit: CryptoOption) {
419        Python::initialize();
420        Python::attach(|py| {
421            let crypto_option = crypto_option_btc_deribit;
422            let values = crypto_option.py_to_dict(py).unwrap();
423            let values: Py<PyDict> = values.extract(py).unwrap();
424            let new_crypto_future = CryptoOption::py_from_dict(py, values).unwrap();
425            assert_eq!(crypto_option, new_crypto_future);
426        });
427    }
428
429    #[rstest]
430    fn test_from_dict_unknown_underlying_registers_as_crypto(
431        crypto_option_btc_deribit: CryptoOption,
432    ) {
433        // Regression: newly listed underlyings must round-trip through `from_dict`
434        // without requiring prior registration of the currency in the Rust map.
435        Python::initialize();
436        Python::attach(|py| {
437            let values = crypto_option_btc_deribit.py_to_dict(py).unwrap();
438            let values: Py<PyDict> = values.extract(py).unwrap();
439            values.bind(py).set_item("underlying", "NEWOPT").unwrap();
440
441            let new_option = CryptoOption::py_from_dict(py, values).unwrap();
442            assert_eq!(new_option.underlying.code.as_str(), "NEWOPT");
443            assert_eq!(new_option.underlying.precision, 8);
444            assert_eq!(new_option.underlying.currency_type, CurrencyType::Crypto);
445            assert!(Currency::try_from_str("NEWOPT").is_some());
446        });
447    }
448}
nautilus_model/python/instruments/crypto_option.rs

nautilus_model/python/instruments/
crypto_option.rs
