nautilus_backtest/python/
modules.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
16//! Python bindings for simulation module types.
17
18use pyo3::prelude::*;
19
20use crate::modules::fx_rollover::{FXRolloverInterestModule, InterestRateRecord};
21
22#[pyo3_stub_gen::derive::gen_stub_pymethods]
23#[pymethods]
24impl InterestRateRecord {
25    /// A single interest rate data entry.
26    #[new]
27    fn py_new(location: String, time: String, value: f64) -> Self {
28        Self {
29            location,
30            time,
31            value,
32        }
33    }
34
35    fn __repr__(&self) -> String {
36        format!("{self:?}")
37    }
38}
39
40#[pyo3_stub_gen::derive::gen_stub_pymethods]
41#[pymethods]
42impl FXRolloverInterestModule {
43    /// Simulates FX rollover (swap) interest applied at 5 PM US/Eastern daily.
44    ///
45    /// When holding FX positions overnight, the interest rate differential
46    /// between the two currencies is credited or debited. Wednesday and Friday
47    /// rollovers are tripled (Wednesday for T+2 settlement, Friday for the weekend).
48    #[new]
49    fn py_new(records: Vec<InterestRateRecord>) -> Self {
50        Self::new(records)
51    }
52
53    fn __repr__(&self) -> String {
54        format!("{self:?}")
55    }
56}
nautilus_backtest/python/modules.rs

nautilus_backtest/python/
modules.rs
