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

nautilus_model/python/instruments/
crypto_future.rs
