nautilus_analysis/python/statistics/
long_ratio.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::collections::BTreeMap;
17
18#[allow(unused_imports)] // Used in template pattern for returns conversion
19use nautilus_core::UnixNanos;
20use nautilus_model::enums::OrderSide;
21use pyo3::prelude::*;
22
23use crate::{statistic::PortfolioStatistic, statistics::long_ratio::LongRatio};
24
25#[pymethods]
26#[pyo3_stub_gen::derive::gen_stub_pymethods]
27impl LongRatio {
28    #[new]
29    #[pyo3(signature = (precision=None))]
30    fn py_new(precision: Option<usize>) -> Self {
31        Self::new(precision)
32    }
33
34    fn __repr__(&self) -> String {
35        self.to_string()
36    }
37
38    #[getter]
39    #[pyo3(name = "name")]
40    fn py_name(&self) -> String {
41        self.name()
42    }
43
44    #[pyo3(name = "calculate_from_positions")]
45    #[expect(clippy::needless_pass_by_value)]
46    fn py_calculate_from_positions(
47        &mut self,
48        py: Python,
49        positions: Vec<Py<PyAny>>,
50    ) -> PyResult<Option<f64>> {
51        if positions.is_empty() {
52            return Ok(None);
53        }
54
55        // Extract entry side from each Cython Position object
56        // OrderSide.Buy has value 1 in both Cython and Rust
57        let mut longs = 0;
58
59        for position in &positions {
60            let entry = position.getattr(py, "entry")?;
61            let entry_value: u8 = entry.extract(py)?;
62            if entry_value == OrderSide::Buy as u8 {
63                longs += 1;
64            }
65        }
66
67        let value = f64::from(longs) / positions.len() as f64;
68        let scale = 10f64.powi(self.precision as i32);
69        Ok(Some((value * scale).round() / scale))
70    }
71
72    #[pyo3(name = "calculate_from_realized_pnls")]
73    fn py_calculate_from_realized_pnls(&mut self, _realized_pnls: Vec<f64>) -> Option<f64> {
74        None
75    }
76
77    #[pyo3(name = "calculate_from_returns")]
78    #[allow(unused_variables)] // Pattern preserved for consistency across statistics
79    fn py_calculate_from_returns(&mut self, _returns: BTreeMap<u64, f64>) -> Option<f64> {
80        None
81    }
82}
nautilus_analysis/python/statistics/long_ratio.rs

nautilus_analysis/python/statistics/
long_ratio.rs
