nautilus_common/messages/data/
subscribe.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::num::NonZeroUsize;
17
18use nautilus_core::{Params, UUID4, UnixNanos};
19use nautilus_model::{
20    data::{BarType, DataType, option_chain::StrikeRange},
21    enums::BookType,
22    identifiers::{ClientId, InstrumentId, OptionSeriesId, Venue},
23};
24
25use super::check_client_id_or_venue;
26
27#[derive(Clone, Debug)]
28pub struct SubscribeCustomData {
29    pub client_id: Option<ClientId>,
30    pub venue: Option<Venue>,
31    pub data_type: DataType,
32    pub command_id: UUID4,
33    pub ts_init: UnixNanos,
34    pub correlation_id: Option<UUID4>,
35    pub params: Option<Params>,
36}
37
38impl SubscribeCustomData {
39    /// Creates a new [`SubscribeCustomData`] instance.
40    pub fn new(
41        client_id: Option<ClientId>,
42        venue: Option<Venue>,
43        data_type: DataType,
44        command_id: UUID4,
45        ts_init: UnixNanos,
46        correlation_id: Option<UUID4>,
47        params: Option<Params>,
48    ) -> Self {
49        check_client_id_or_venue(&client_id, &venue);
50        Self {
51            client_id,
52            venue,
53            data_type,
54            command_id,
55            ts_init,
56            correlation_id,
57            params,
58        }
59    }
60}
61
62#[derive(Clone, Debug)]
63pub struct SubscribeInstrument {
64    pub instrument_id: InstrumentId,
65    pub client_id: Option<ClientId>,
66    pub venue: Option<Venue>,
67    pub command_id: UUID4,
68    pub ts_init: UnixNanos,
69    pub correlation_id: Option<UUID4>,
70    pub params: Option<Params>,
71}
72
73impl SubscribeInstrument {
74    /// Creates a new [`SubscribeInstrument`] instance.
75    pub fn new(
76        instrument_id: InstrumentId,
77        client_id: Option<ClientId>,
78        venue: Option<Venue>,
79        command_id: UUID4,
80        ts_init: UnixNanos,
81        correlation_id: Option<UUID4>,
82        params: Option<Params>,
83    ) -> Self {
84        check_client_id_or_venue(&client_id, &venue);
85        Self {
86            instrument_id,
87            client_id,
88            venue,
89            command_id,
90            ts_init,
91            correlation_id,
92            params,
93        }
94    }
95}
96
97#[derive(Clone, Debug)]
98pub struct SubscribeInstruments {
99    pub client_id: Option<ClientId>,
100    pub venue: Venue,
101    pub command_id: UUID4,
102    pub ts_init: UnixNanos,
103    pub correlation_id: Option<UUID4>,
104    pub params: Option<Params>,
105}
106
107impl SubscribeInstruments {
108    /// Creates a new [`SubscribeInstruments`] instance.
109    pub fn new(
110        client_id: Option<ClientId>,
111        venue: Venue,
112        command_id: UUID4,
113        ts_init: UnixNanos,
114        correlation_id: Option<UUID4>,
115        params: Option<Params>,
116    ) -> Self {
117        Self {
118            client_id,
119            venue,
120            command_id,
121            ts_init,
122            correlation_id,
123            params,
124        }
125    }
126}
127
128#[derive(Clone, Debug)]
129pub struct SubscribeBookDeltas {
130    pub instrument_id: InstrumentId,
131    pub book_type: BookType,
132    pub client_id: Option<ClientId>,
133    pub venue: Option<Venue>,
134    pub command_id: UUID4,
135    pub ts_init: UnixNanos,
136    pub depth: Option<NonZeroUsize>,
137    pub managed: bool,
138    pub correlation_id: Option<UUID4>,
139    pub params: Option<Params>,
140}
141
142impl SubscribeBookDeltas {
143    /// Creates a new [`SubscribeBookDeltas`] instance.
144    #[expect(clippy::too_many_arguments)]
145    pub fn new(
146        instrument_id: InstrumentId,
147        book_type: BookType,
148        client_id: Option<ClientId>,
149        venue: Option<Venue>,
150        command_id: UUID4,
151        ts_init: UnixNanos,
152        depth: Option<NonZeroUsize>,
153        managed: bool,
154        correlation_id: Option<UUID4>,
155        params: Option<Params>,
156    ) -> Self {
157        check_client_id_or_venue(&client_id, &venue);
158        Self {
159            instrument_id,
160            book_type,
161            client_id,
162            venue,
163            command_id,
164            ts_init,
165            depth,
166            managed,
167            correlation_id,
168            params,
169        }
170    }
171}
172
173#[derive(Clone, Debug)]
174pub struct SubscribeBookDepth10 {
175    pub instrument_id: InstrumentId,
176    pub book_type: BookType,
177    pub client_id: Option<ClientId>,
178    pub venue: Option<Venue>,
179    pub command_id: UUID4,
180    pub ts_init: UnixNanos,
181    pub depth: Option<NonZeroUsize>,
182    pub managed: bool,
183    pub correlation_id: Option<UUID4>,
184    pub params: Option<Params>,
185}
186
187impl SubscribeBookDepth10 {
188    /// Creates a new [`SubscribeBookDepth10`] instance.
189    #[expect(clippy::too_many_arguments)]
190    pub fn new(
191        instrument_id: InstrumentId,
192        book_type: BookType,
193        client_id: Option<ClientId>,
194        venue: Option<Venue>,
195        command_id: UUID4,
196        ts_init: UnixNanos,
197        depth: Option<NonZeroUsize>,
198        managed: bool,
199        correlation_id: Option<UUID4>,
200        params: Option<Params>,
201    ) -> Self {
202        check_client_id_or_venue(&client_id, &venue);
203        Self {
204            instrument_id,
205            book_type,
206            client_id,
207            venue,
208            command_id,
209            ts_init,
210            depth,
211            managed,
212            correlation_id,
213            params,
214        }
215    }
216}
217
218#[derive(Clone, Debug)]
219pub struct SubscribeBookSnapshots {
220    pub instrument_id: InstrumentId,
221    pub book_type: BookType,
222    pub client_id: Option<ClientId>,
223    pub venue: Option<Venue>,
224    pub command_id: UUID4,
225    pub ts_init: UnixNanos,
226    pub depth: Option<NonZeroUsize>,
227    pub interval_ms: NonZeroUsize,
228    pub correlation_id: Option<UUID4>,
229    pub params: Option<Params>,
230}
231
232impl SubscribeBookSnapshots {
233    /// Creates a new [`SubscribeBookSnapshots`] instance.
234    #[expect(clippy::too_many_arguments)]
235    pub fn new(
236        instrument_id: InstrumentId,
237        book_type: BookType,
238        client_id: Option<ClientId>,
239        venue: Option<Venue>,
240        command_id: UUID4,
241        ts_init: UnixNanos,
242        depth: Option<NonZeroUsize>,
243        interval_ms: NonZeroUsize,
244        correlation_id: Option<UUID4>,
245        params: Option<Params>,
246    ) -> Self {
247        check_client_id_or_venue(&client_id, &venue);
248        Self {
249            instrument_id,
250            book_type,
251            client_id,
252            venue,
253            command_id,
254            ts_init,
255            depth,
256            interval_ms,
257            correlation_id,
258            params,
259        }
260    }
261}
262
263#[derive(Clone, Debug)]
264pub struct SubscribeQuotes {
265    pub instrument_id: InstrumentId,
266    pub client_id: Option<ClientId>,
267    pub venue: Option<Venue>,
268    pub command_id: UUID4,
269    pub ts_init: UnixNanos,
270    pub correlation_id: Option<UUID4>,
271    pub params: Option<Params>,
272}
273
274impl SubscribeQuotes {
275    /// Creates a new [`SubscribeQuotes`] instance.
276    pub fn new(
277        instrument_id: InstrumentId,
278        client_id: Option<ClientId>,
279        venue: Option<Venue>,
280        command_id: UUID4,
281        ts_init: UnixNanos,
282        correlation_id: Option<UUID4>,
283        params: Option<Params>,
284    ) -> Self {
285        check_client_id_or_venue(&client_id, &venue);
286        Self {
287            instrument_id,
288            client_id,
289            venue,
290            command_id,
291            ts_init,
292            correlation_id,
293            params,
294        }
295    }
296}
297
298#[derive(Clone, Debug)]
299pub struct SubscribeTrades {
300    pub instrument_id: InstrumentId,
301    pub client_id: Option<ClientId>,
302    pub venue: Option<Venue>,
303    pub command_id: UUID4,
304    pub ts_init: UnixNanos,
305    pub correlation_id: Option<UUID4>,
306    pub params: Option<Params>,
307}
308
309impl SubscribeTrades {
310    /// Creates a new [`SubscribeTrades`] instance.
311    pub fn new(
312        instrument_id: InstrumentId,
313        client_id: Option<ClientId>,
314        venue: Option<Venue>,
315        command_id: UUID4,
316        ts_init: UnixNanos,
317        correlation_id: Option<UUID4>,
318        params: Option<Params>,
319    ) -> Self {
320        check_client_id_or_venue(&client_id, &venue);
321        Self {
322            instrument_id,
323            client_id,
324            venue,
325            command_id,
326            ts_init,
327            correlation_id,
328            params,
329        }
330    }
331}
332
333#[derive(Clone, Debug)]
334pub struct SubscribeBars {
335    pub bar_type: BarType,
336    pub client_id: Option<ClientId>,
337    pub venue: Option<Venue>,
338    pub command_id: UUID4,
339    pub ts_init: UnixNanos,
340    pub correlation_id: Option<UUID4>,
341    pub params: Option<Params>,
342}
343
344impl SubscribeBars {
345    /// Creates a new [`SubscribeBars`] instance.
346    pub fn new(
347        bar_type: BarType,
348        client_id: Option<ClientId>,
349        venue: Option<Venue>,
350        command_id: UUID4,
351        ts_init: UnixNanos,
352        correlation_id: Option<UUID4>,
353        params: Option<Params>,
354    ) -> Self {
355        check_client_id_or_venue(&client_id, &venue);
356        Self {
357            bar_type,
358            client_id,
359            venue,
360            command_id,
361            ts_init,
362            correlation_id,
363            params,
364        }
365    }
366}
367
368#[derive(Clone, Debug)]
369pub struct SubscribeMarkPrices {
370    pub instrument_id: InstrumentId,
371    pub client_id: Option<ClientId>,
372    pub venue: Option<Venue>,
373    pub command_id: UUID4,
374    pub ts_init: UnixNanos,
375    pub correlation_id: Option<UUID4>,
376    pub params: Option<Params>,
377}
378
379impl SubscribeMarkPrices {
380    /// Creates a new [`SubscribeMarkPrices`] instance.
381    pub fn new(
382        instrument_id: InstrumentId,
383        client_id: Option<ClientId>,
384        venue: Option<Venue>,
385        command_id: UUID4,
386        ts_init: UnixNanos,
387        correlation_id: Option<UUID4>,
388        params: Option<Params>,
389    ) -> Self {
390        check_client_id_or_venue(&client_id, &venue);
391        Self {
392            instrument_id,
393            client_id,
394            venue,
395            command_id,
396            ts_init,
397            correlation_id,
398            params,
399        }
400    }
401}
402
403#[derive(Clone, Debug)]
404pub struct SubscribeIndexPrices {
405    pub instrument_id: InstrumentId,
406    pub client_id: Option<ClientId>,
407    pub venue: Option<Venue>,
408    pub command_id: UUID4,
409    pub ts_init: UnixNanos,
410    pub correlation_id: Option<UUID4>,
411    pub params: Option<Params>,
412}
413
414impl SubscribeIndexPrices {
415    /// Creates a new [`SubscribeIndexPrices`] instance.
416    pub fn new(
417        instrument_id: InstrumentId,
418        client_id: Option<ClientId>,
419        venue: Option<Venue>,
420        command_id: UUID4,
421        ts_init: UnixNanos,
422        correlation_id: Option<UUID4>,
423        params: Option<Params>,
424    ) -> Self {
425        check_client_id_or_venue(&client_id, &venue);
426        Self {
427            instrument_id,
428            client_id,
429            venue,
430            command_id,
431            ts_init,
432            correlation_id,
433            params,
434        }
435    }
436}
437
438#[derive(Clone, Debug)]
439pub struct SubscribeFundingRates {
440    pub instrument_id: InstrumentId,
441    pub client_id: Option<ClientId>,
442    pub venue: Option<Venue>,
443    pub command_id: UUID4,
444    pub ts_init: UnixNanos,
445    pub correlation_id: Option<UUID4>,
446    pub params: Option<Params>,
447}
448
449impl SubscribeFundingRates {
450    /// Creates a new [`SubscribeFundingRates`] instance.
451    pub fn new(
452        instrument_id: InstrumentId,
453        client_id: Option<ClientId>,
454        venue: Option<Venue>,
455        command_id: UUID4,
456        ts_init: UnixNanos,
457        correlation_id: Option<UUID4>,
458        params: Option<Params>,
459    ) -> Self {
460        check_client_id_or_venue(&client_id, &venue);
461        Self {
462            instrument_id,
463            client_id,
464            venue,
465            command_id,
466            ts_init,
467            correlation_id,
468            params,
469        }
470    }
471}
472
473#[derive(Clone, Debug)]
474pub struct SubscribeInstrumentStatus {
475    pub instrument_id: InstrumentId,
476    pub client_id: Option<ClientId>,
477    pub venue: Option<Venue>,
478    pub command_id: UUID4,
479    pub ts_init: UnixNanos,
480    pub correlation_id: Option<UUID4>,
481    pub params: Option<Params>,
482}
483
484impl SubscribeInstrumentStatus {
485    /// Creates a new [`SubscribeInstrumentStatus`] instance.
486    pub fn new(
487        instrument_id: InstrumentId,
488        client_id: Option<ClientId>,
489        venue: Option<Venue>,
490        command_id: UUID4,
491        ts_init: UnixNanos,
492        correlation_id: Option<UUID4>,
493        params: Option<Params>,
494    ) -> Self {
495        check_client_id_or_venue(&client_id, &venue);
496        Self {
497            instrument_id,
498            client_id,
499            venue,
500            command_id,
501            ts_init,
502            correlation_id,
503            params,
504        }
505    }
506}
507
508#[derive(Clone, Debug)]
509pub struct SubscribeOptionGreeks {
510    pub instrument_id: InstrumentId,
511    pub client_id: Option<ClientId>,
512    pub venue: Option<Venue>,
513    pub command_id: UUID4,
514    pub ts_init: UnixNanos,
515    pub correlation_id: Option<UUID4>,
516    pub params: Option<Params>,
517}
518
519impl SubscribeOptionGreeks {
520    /// Creates a new [`SubscribeOptionGreeks`] instance.
521    pub fn new(
522        instrument_id: InstrumentId,
523        client_id: Option<ClientId>,
524        venue: Option<Venue>,
525        command_id: UUID4,
526        ts_init: UnixNanos,
527        correlation_id: Option<UUID4>,
528        params: Option<Params>,
529    ) -> Self {
530        check_client_id_or_venue(&client_id, &venue);
531        Self {
532            instrument_id,
533            client_id,
534            venue,
535            command_id,
536            ts_init,
537            correlation_id,
538            params,
539        }
540    }
541}
542
543#[derive(Clone, Debug)]
544pub struct SubscribeInstrumentClose {
545    pub instrument_id: InstrumentId,
546    pub client_id: Option<ClientId>,
547    pub venue: Option<Venue>,
548    pub command_id: UUID4,
549    pub ts_init: UnixNanos,
550    pub correlation_id: Option<UUID4>,
551    pub params: Option<Params>,
552}
553
554impl SubscribeInstrumentClose {
555    /// Creates a new [`SubscribeInstrumentClose`] instance.
556    pub fn new(
557        instrument_id: InstrumentId,
558        client_id: Option<ClientId>,
559        venue: Option<Venue>,
560        command_id: UUID4,
561        ts_init: UnixNanos,
562        correlation_id: Option<UUID4>,
563        params: Option<Params>,
564    ) -> Self {
565        check_client_id_or_venue(&client_id, &venue);
566        Self {
567            instrument_id,
568            client_id,
569            venue,
570            command_id,
571            ts_init,
572            correlation_id,
573            params,
574        }
575    }
576}
577
578#[derive(Clone, Debug)]
579pub struct SubscribeOptionChain {
580    pub series_id: OptionSeriesId,
581    pub strike_range: StrikeRange,
582    pub snapshot_interval_ms: Option<u64>,
583    pub command_id: UUID4,
584    pub ts_init: UnixNanos,
585    pub client_id: Option<ClientId>,
586    pub venue: Option<Venue>,
587    pub params: Option<Params>,
588}
589
590impl SubscribeOptionChain {
591    /// Creates a new [`SubscribeOptionChain`] instance.
592    #[allow(clippy::too_many_arguments)]
593    pub fn new(
594        series_id: OptionSeriesId,
595        strike_range: StrikeRange,
596        snapshot_interval_ms: Option<u64>,
597        command_id: UUID4,
598        ts_init: UnixNanos,
599        client_id: Option<ClientId>,
600        venue: Option<Venue>,
601        params: Option<Params>,
602    ) -> Self {
603        check_client_id_or_venue(&client_id, &venue);
604        Self {
605            series_id,
606            strike_range,
607            snapshot_interval_ms,
608            command_id,
609            ts_init,
610            client_id,
611            venue,
612            params,
613        }
614    }
615}
nautilus_common/messages/data/subscribe.rs

nautilus_common/messages/data/
subscribe.rs
