nautilus_deribit/common/
models.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//! Models shared between Deribit HTTP and WebSocket layers.
17
18use nautilus_core::serialization::{deserialize_decimal, deserialize_optional_decimal};
19use rust_decimal::Decimal;
20use serde::{Deserialize, Serialize};
21
22/// A single leg entry of a Deribit combo trade.
23///
24/// Appears in the `legs` array of a combo's public trade message
25/// (`/public/get_last_trades_by_currency` with `kind=option_combo|future_combo`,
26/// and the `trades.{combo}.{interval}` subscription channel). Each leg is also
27/// published independently on the leg instrument's own `trades.{instrument}.*`
28/// stream, carrying `combo_id` and `combo_trade_id` to link back to the parent.
29#[derive(Clone, Debug, Serialize, Deserialize)]
30pub struct DeribitTradeLeg {
31    /// Trade timestamp in milliseconds.
32    pub timestamp: i64,
33    /// Trade price.
34    #[serde(deserialize_with = "deserialize_decimal")]
35    pub price: Decimal,
36    /// Trade amount.
37    #[serde(deserialize_with = "deserialize_decimal")]
38    pub amount: Decimal,
39    /// Trade direction: `buy` or `sell`.
40    pub direction: String,
41    /// Underlying index price at trade time (may be empty on older historical trades,
42    /// matching the optionality on the parent [`crate::http::models::DeribitPublicTrade`]).
43    #[serde(default, deserialize_with = "deserialize_optional_decimal")]
44    pub index_price: Option<Decimal>,
45    /// Leg instrument name (e.g., `BTC-PERPETUAL`).
46    pub instrument_name: String,
47    /// Per-instrument trade sequence number.
48    pub trade_seq: i64,
49    /// Mark price at trade time (may be empty on older historical trades,
50    /// matching the optionality on the parent [`crate::http::models::DeribitPublicTrade`]).
51    #[serde(default, deserialize_with = "deserialize_optional_decimal")]
52    pub mark_price: Option<Decimal>,
53    /// Tick direction: 0 = Plus, 1 = Zero-Plus, 2 = Minus, 3 = Zero-Minus.
54    pub tick_direction: i32,
55    /// The combo instrument that produced this leg.
56    pub combo_id: String,
57    /// Trade size in contract units (may be absent on historical combo trades,
58    /// matching the optionality on the parent [`crate::http::models::DeribitPublicTrade`]).
59    #[serde(default, deserialize_with = "deserialize_optional_decimal")]
60    pub contracts: Option<Decimal>,
61    /// Unique (per currency) trade identifier for the leg.
62    pub trade_id: String,
63    /// Trade identifier of the parent combo trade.
64    pub combo_trade_id: String,
65    /// Implied volatility (option legs only).
66    #[serde(default, deserialize_with = "deserialize_optional_decimal")]
67    pub iv: Option<Decimal>,
68}
nautilus_deribit/common/models.rs

nautilus_deribit/common/
models.rs
