nautilus_common/python/
xrate.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 ahash::{AHashMap, HashMap};
17use nautilus_core::python::to_pyvalue_err;
18use nautilus_model::enums::PriceType;
19use pyo3::prelude::*;
20use rust_decimal::{Decimal, prelude::FromPrimitive};
21use ustr::Ustr;
22
23use crate::xrate::get_exchange_rate;
24
25/// Calculates the exchange rate between two currencies using provided bid and ask quotes.
26///
27/// This function builds a graph of direct conversion rates from the quotes and uses a DFS to
28/// accumulate the conversion rate along a valid conversion path. While a full Floyd-Warshall
29/// algorithm could compute all-pairs conversion rates, the DFS approach here provides a quick
30/// solution for a single conversion query.
31///
32/// # Errors
33///
34/// Returns an error if:
35/// - `quotes_bid` or `quotes_ask` is empty.
36/// - `quotes_bid` and `quotes_ask` lengths are not equal.
37/// - `price_type` is equal to `Last` or `Mark` (cannot calculate from quotes).
38/// - The bid or ask side of a pair is missing.
39///
40/// These conditions apply only to conversions between distinct currencies. Identical
41/// `from_currency` and `to_currency` return a rate of one without inspecting the quotes.
42#[pyfunction]
43#[pyo3_stub_gen::derive::gen_stub_pyfunction(module = "nautilus_trader.common")]
44#[pyo3(name = "get_exchange_rate")]
45#[pyo3(signature = (from_currency, to_currency, price_type, quotes_bid, quotes_ask))]
46pub fn py_get_exchange_rate(
47    from_currency: &str,
48    to_currency: &str,
49    price_type: PriceType,
50    quotes_bid: HashMap<String, f64>,
51    quotes_ask: HashMap<String, f64>,
52) -> PyResult<Option<Decimal>> {
53    let quotes_bid = f64_quotes_to_decimal(quotes_bid).map_err(to_pyvalue_err)?;
54    let quotes_ask = f64_quotes_to_decimal(quotes_ask).map_err(to_pyvalue_err)?;
55
56    get_exchange_rate(
57        Ustr::from(from_currency),
58        Ustr::from(to_currency),
59        price_type,
60        quotes_bid,
61        quotes_ask,
62    )
63    .map_err(to_pyvalue_err)
64}
65
66fn f64_quotes_to_decimal(quotes: HashMap<String, f64>) -> anyhow::Result<AHashMap<Ustr, Decimal>> {
67    quotes
68        .into_iter()
69        .map(|(pair, value)| {
70            let rate = Decimal::from_f64(value).ok_or_else(|| {
71                anyhow::anyhow!("Invalid quote rate for pair {pair}, was {value}")
72            })?;
73            Ok((Ustr::from(&pair), rate))
74        })
75        .collect()
76}
nautilus_common/python/xrate.rs

nautilus_common/python/
xrate.rs
