nautilus_model/instruments/
crypto_option_spread.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::hash::{Hash, Hasher};
17
18use nautilus_core::{
19    Params, UnixNanos,
20    correctness::{CorrectnessResult, check_equal_u8, check_valid_string_ascii},
21};
22use rust_decimal::Decimal;
23use serde::{Deserialize, Serialize};
24use ustr::Ustr;
25
26use super::{Instrument, any::InstrumentAny, tick_scheme::check_tick_scheme};
27use crate::{
28    enums::{AssetClass, InstrumentClass, OptionKind},
29    identifiers::{InstrumentId, Symbol},
30    types::{
31        currency::Currency,
32        money::Money,
33        price::{Price, check_positive_price},
34        quantity::{Quantity, check_positive_quantity},
35    },
36};
37
38/// Represents a crypto option spread instrument, with crypto assets as underlying and for
39/// settlement.
40#[repr(C)]
41#[derive(Clone, Debug, Serialize, Deserialize)]
42#[cfg_attr(
43    feature = "python",
44    pyo3::pyclass(module = "nautilus_trader.model", from_py_object)
45)]
46#[cfg_attr(
47    feature = "python",
48    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
49)]
50pub struct CryptoOptionSpread {
51    /// The instrument ID.
52    pub id: InstrumentId,
53    /// The raw/local/native symbol for the instrument, assigned by the venue.
54    pub raw_symbol: Symbol,
55    /// The underlying asset.
56    pub underlying: Currency,
57    /// The contract quote currency.
58    pub quote_currency: Currency,
59    /// The settlement currency.
60    pub settlement_currency: Currency,
61    /// If the instrument costing is inverse (quantity expressed in quote currency units).
62    pub is_inverse: bool,
63    /// The strategy type for the spread.
64    pub strategy_type: Ustr,
65    /// UNIX timestamp (nanoseconds) for contract activation.
66    pub activation_ns: UnixNanos,
67    /// UNIX timestamp (nanoseconds) for contract expiration.
68    pub expiration_ns: UnixNanos,
69    /// The price decimal precision.
70    pub price_precision: u8,
71    /// The trading size decimal precision.
72    pub size_precision: u8,
73    /// The minimum price increment (tick size).
74    pub price_increment: Price,
75    /// The minimum size increment.
76    pub size_increment: Quantity,
77    /// The option multiplier.
78    pub multiplier: Quantity,
79    /// The rounded lot unit size (standard/board).
80    pub lot_size: Quantity,
81    /// The initial (order) margin requirement in percentage of order value.
82    pub margin_init: Decimal,
83    /// The maintenance (position) margin in percentage of position value.
84    pub margin_maint: Decimal,
85    /// The maximum allowable order quantity.
86    pub max_quantity: Option<Quantity>,
87    /// The minimum allowable order quantity.
88    pub min_quantity: Option<Quantity>,
89    /// The maximum allowable order notional value.
90    pub max_notional: Option<Money>,
91    /// The minimum allowable order notional value.
92    pub min_notional: Option<Money>,
93    /// The maximum allowable quoted price.
94    pub max_price: Option<Price>,
95    /// The minimum allowable quoted price.
96    pub min_price: Option<Price>,
97    /// The registered variable tick scheme name.
98    pub tick_scheme: Option<Ustr>,
99    /// Additional instrument metadata as a JSON-serializable dictionary.
100    pub info: Option<Params>,
101    /// UNIX timestamp (nanoseconds) when the data event occurred.
102    pub ts_event: UnixNanos,
103    /// UNIX timestamp (nanoseconds) when the data object was initialized.
104    pub ts_init: UnixNanos,
105}
106
107#[bon::bon]
108impl CryptoOptionSpread {
109    #[expect(clippy::too_many_arguments)]
110    fn new_checked(
111        instrument_id: InstrumentId,
112        raw_symbol: Symbol,
113        underlying: Currency,
114        quote_currency: Currency,
115        settlement_currency: Currency,
116        is_inverse: bool,
117        strategy_type: Ustr,
118        activation_ns: UnixNanos,
119        expiration_ns: UnixNanos,
120        price_precision: u8,
121        size_precision: u8,
122        price_increment: Price,
123        size_increment: Quantity,
124        multiplier: Option<Quantity>,
125        lot_size: Option<Quantity>,
126        max_quantity: Option<Quantity>,
127        min_quantity: Option<Quantity>,
128        max_notional: Option<Money>,
129        min_notional: Option<Money>,
130        max_price: Option<Price>,
131        min_price: Option<Price>,
132        margin_init: Option<Decimal>,
133        margin_maint: Option<Decimal>,
134        tick_scheme: Option<Ustr>,
135        info: Option<Params>,
136        ts_event: UnixNanos,
137        ts_init: UnixNanos,
138    ) -> CorrectnessResult<Self> {
139        check_valid_string_ascii(strategy_type, stringify!(strategy_type))?;
140        check_equal_u8(
141            price_precision,
142            price_increment.precision,
143            stringify!(price_precision),
144            stringify!(price_increment.precision),
145        )?;
146        check_equal_u8(
147            size_precision,
148            size_increment.precision,
149            stringify!(size_precision),
150            stringify!(size_increment.precision),
151        )?;
152        check_positive_price(price_increment, stringify!(price_increment))?;
153        check_positive_quantity(size_increment, stringify!(size_increment))?;
154        check_tick_scheme(tick_scheme)?;
155
156        if let Some(multiplier) = multiplier {
157            check_positive_quantity(multiplier, stringify!(multiplier))?;
158        }
159
160        if let Some(lot_size) = lot_size {
161            check_positive_quantity(lot_size, stringify!(lot_size))?;
162        }
163
164        Ok(Self {
165            id: instrument_id,
166            raw_symbol,
167            underlying,
168            quote_currency,
169            settlement_currency,
170            is_inverse,
171            strategy_type,
172            activation_ns,
173            expiration_ns,
174            price_precision,
175            size_precision,
176            price_increment,
177            size_increment,
178            multiplier: multiplier.unwrap_or(Quantity::from(1)),
179            lot_size: lot_size.unwrap_or(Quantity::from(1)),
180            margin_init: margin_init.unwrap_or_default(),
181            margin_maint: margin_maint.unwrap_or_default(),
182            max_notional,
183            min_notional,
184            max_quantity,
185            min_quantity,
186            max_price,
187            min_price,
188            tick_scheme,
189            info,
190            ts_event,
191            ts_init,
192        })
193    }
194
195    /// Returns a fluent builder for a [`CryptoOptionSpread`] instance.
196    ///
197    /// Required fields are enforced at compile time; optional fields can be omitted and use the
198    /// same defaults as checked construction. The same correctness checks run on `build`.
199    ///
200    /// # Errors
201    ///
202    /// Returns an error if any input validation fails.
203    #[builder(start_fn = builder, finish_fn = build)]
204    pub fn build_checked(
205        instrument_id: InstrumentId,
206        raw_symbol: Symbol,
207        underlying: Currency,
208        quote_currency: Currency,
209        settlement_currency: Currency,
210        is_inverse: bool,
211        strategy_type: Ustr,
212        activation_ns: UnixNanos,
213        expiration_ns: UnixNanos,
214        price_precision: u8,
215        size_precision: u8,
216        price_increment: Price,
217        size_increment: Quantity,
218        multiplier: Option<Quantity>,
219        lot_size: Option<Quantity>,
220        max_quantity: Option<Quantity>,
221        min_quantity: Option<Quantity>,
222        max_notional: Option<Money>,
223        min_notional: Option<Money>,
224        max_price: Option<Price>,
225        min_price: Option<Price>,
226        margin_init: Option<Decimal>,
227        margin_maint: Option<Decimal>,
228        tick_scheme: Option<Ustr>,
229        info: Option<Params>,
230        ts_event: UnixNanos,
231        ts_init: UnixNanos,
232    ) -> CorrectnessResult<Self> {
233        Self::new_checked(
234            instrument_id,
235            raw_symbol,
236            underlying,
237            quote_currency,
238            settlement_currency,
239            is_inverse,
240            strategy_type,
241            activation_ns,
242            expiration_ns,
243            price_precision,
244            size_precision,
245            price_increment,
246            size_increment,
247            multiplier,
248            lot_size,
249            max_quantity,
250            min_quantity,
251            max_notional,
252            min_notional,
253            max_price,
254            min_price,
255            margin_init,
256            margin_maint,
257            tick_scheme,
258            info,
259            ts_event,
260            ts_init,
261        )
262    }
263}
264
265impl PartialEq<Self> for CryptoOptionSpread {
266    fn eq(&self, other: &Self) -> bool {
267        self.id == other.id
268    }
269}
270
271impl Eq for CryptoOptionSpread {}
272
273impl Hash for CryptoOptionSpread {
274    fn hash<H: Hasher>(&self, state: &mut H) {
275        self.id.hash(state);
276    }
277}
278
279impl Instrument for CryptoOptionSpread {
280    fn into_any(self) -> InstrumentAny {
281        InstrumentAny::CryptoOptionSpread(self)
282    }
283
284    fn id(&self) -> InstrumentId {
285        self.id
286    }
287
288    fn raw_symbol(&self) -> Symbol {
289        self.raw_symbol
290    }
291
292    fn asset_class(&self) -> AssetClass {
293        AssetClass::Cryptocurrency
294    }
295
296    fn instrument_class(&self) -> InstrumentClass {
297        InstrumentClass::OptionSpread
298    }
299
300    fn underlying(&self) -> Option<Ustr> {
301        Some(self.underlying.code)
302    }
303
304    fn base_currency(&self) -> Option<Currency> {
305        Some(self.underlying)
306    }
307
308    fn quote_currency(&self) -> Currency {
309        self.quote_currency
310    }
311
312    fn settlement_currency(&self) -> Currency {
313        self.settlement_currency
314    }
315
316    fn is_inverse(&self) -> bool {
317        self.is_inverse
318    }
319
320    fn isin(&self) -> Option<Ustr> {
321        None
322    }
323
324    fn option_kind(&self) -> Option<OptionKind> {
325        None
326    }
327
328    fn strike_price(&self) -> Option<Price> {
329        None
330    }
331
332    fn strategy_type(&self) -> Option<Ustr> {
333        Some(self.strategy_type)
334    }
335
336    fn activation_ns(&self) -> Option<UnixNanos> {
337        Some(self.activation_ns)
338    }
339
340    fn expiration_ns(&self) -> Option<UnixNanos> {
341        Some(self.expiration_ns)
342    }
343
344    fn exchange(&self) -> Option<Ustr> {
345        None
346    }
347
348    fn price_precision(&self) -> u8 {
349        self.price_precision
350    }
351
352    fn size_precision(&self) -> u8 {
353        self.size_precision
354    }
355
356    fn price_increment(&self) -> Price {
357        self.price_increment
358    }
359
360    fn size_increment(&self) -> Quantity {
361        self.size_increment
362    }
363
364    fn multiplier(&self) -> Quantity {
365        self.multiplier
366    }
367
368    fn lot_size(&self) -> Option<Quantity> {
369        Some(self.lot_size)
370    }
371
372    fn max_quantity(&self) -> Option<Quantity> {
373        self.max_quantity
374    }
375
376    fn min_quantity(&self) -> Option<Quantity> {
377        self.min_quantity
378    }
379
380    fn max_notional(&self) -> Option<Money> {
381        self.max_notional
382    }
383
384    fn min_notional(&self) -> Option<Money> {
385        self.min_notional
386    }
387
388    fn max_price(&self) -> Option<Price> {
389        self.max_price
390    }
391
392    fn min_price(&self) -> Option<Price> {
393        self.min_price
394    }
395
396    fn tick_scheme(&self) -> Option<Ustr> {
397        self.tick_scheme
398    }
399
400    fn info(&self) -> Option<&Params> {
401        self.info.as_ref()
402    }
403
404    fn ts_event(&self) -> UnixNanos {
405        self.ts_event
406    }
407
408    fn ts_init(&self) -> UnixNanos {
409        self.ts_init
410    }
411
412    fn margin_init(&self) -> Decimal {
413        self.margin_init
414    }
415
416    fn margin_maint(&self) -> Decimal {
417        self.margin_maint
418    }
419}
420
421#[cfg(test)]
422mod tests {
423    use nautilus_core::correctness::CorrectnessResult;
424    use rstest::rstest;
425    use rust_decimal_macros::dec;
426
427    use crate::{
428        enums::{AssetClass, InstrumentClass},
429        identifiers::{InstrumentId, Symbol},
430        instruments::{CryptoOptionSpread, Instrument, stubs::*},
431        types::{Currency, Money, Price, Quantity},
432    };
433
434    #[rstest]
435    fn test_trait_accessors(crypto_option_spread_btc_deribit: CryptoOptionSpread) {
436        assert_eq!(
437            crypto_option_spread_btc_deribit.id(),
438            InstrumentId::from("BTC-CS-19MAY26-70000_75000.DERIBIT")
439        );
440        assert_eq!(
441            crypto_option_spread_btc_deribit.asset_class(),
442            AssetClass::Cryptocurrency
443        );
444        assert_eq!(
445            crypto_option_spread_btc_deribit.instrument_class(),
446            InstrumentClass::OptionSpread
447        );
448        assert_eq!(
449            crypto_option_spread_btc_deribit.quote_currency(),
450            Currency::USD()
451        );
452        assert_eq!(
453            crypto_option_spread_btc_deribit.settlement_currency(),
454            Currency::BTC()
455        );
456        assert!(!crypto_option_spread_btc_deribit.is_inverse());
457        assert_eq!(crypto_option_spread_btc_deribit.price_precision(), 4);
458        assert_eq!(crypto_option_spread_btc_deribit.size_precision(), 1);
459        assert_eq!(
460            crypto_option_spread_btc_deribit.size_increment(),
461            Quantity::from("0.1")
462        );
463        assert!(crypto_option_spread_btc_deribit.activation_ns().is_some());
464        assert!(crypto_option_spread_btc_deribit.expiration_ns().is_some());
465    }
466
467    #[rstest]
468    fn test_new_checked_price_precision_mismatch() {
469        let result = CryptoOptionSpread::new_checked(
470            InstrumentId::from("BTC-CS-TEST.DERIBIT"),
471            Symbol::from("BTC-CS-TEST"),
472            Currency::BTC(),
473            Currency::USD(),
474            Currency::BTC(),
475            false,
476            ustr::Ustr::from("CS"),
477            0.into(),
478            0.into(),
479            4, // mismatch
480            1,
481            Price::from("0.001"),
482            Quantity::from("0.1"),
483            None,
484            None,
485            None,
486            None,
487            None,
488            None,
489            None,
490            None,
491            None,
492            None,
493            None,
494            None,
495            0.into(),
496            0.into(),
497        );
498        assert!(result.is_err());
499    }
500
501    #[rstest]
502    #[case::zero_multiplier(Some(Quantity::from("0")), None)]
503    #[case::zero_lot_size(None, Some(Quantity::from("0")))]
504    fn test_new_checked_rejects_non_positive_sizing(
505        #[case] multiplier: Option<Quantity>,
506        #[case] lot_size: Option<Quantity>,
507    ) {
508        let result = crypto_option_spread_result(multiplier, lot_size);
509        assert!(result.is_err());
510    }
511
512    #[rstest]
513    fn test_serialization_roundtrip(crypto_option_spread_btc_deribit: CryptoOptionSpread) {
514        let json = serde_json::to_string(&crypto_option_spread_btc_deribit).unwrap();
515        let deserialized: CryptoOptionSpread = serde_json::from_str(&json).unwrap();
516        assert_eq!(json, serde_json::to_string(&deserialized).unwrap());
517    }
518
519    #[rstest]
520    fn test_builder_matches_new_checked() {
521        let positional = CryptoOptionSpread::new_checked(
522            InstrumentId::from("BTC-CS-19MAY26-70000_75000.DERIBIT"),
523            Symbol::from("BTC-CS-19MAY26-70000_75000"),
524            Currency::BTC(),
525            Currency::USDC(),
526            Currency::USDT(),
527            false,
528            ustr::Ustr::from("CS"),
529            1.into(),
530            2.into(),
531            4,
532            1,
533            Price::from("0.0001"),
534            Quantity::from("0.1"),
535            Some(Quantity::from("10")),
536            Some(Quantity::from("5")),
537            Some(Quantity::from("1000.0")),
538            Some(Quantity::from("0.1")),
539            Some(Money::new(1_000_000.0, Currency::USDC())),
540            Some(Money::new(10.0, Currency::USDC())),
541            Some(Price::from("9.9999")),
542            Some(Price::from("0.0001")),
543            Some(dec!(0.01)),
544            Some(dec!(0.02)),
545            None,
546            None,
547            1.into(),
548            2.into(),
549        )
550        .unwrap();
551
552        let built = CryptoOptionSpread::builder()
553            .instrument_id(InstrumentId::from("BTC-CS-19MAY26-70000_75000.DERIBIT"))
554            .raw_symbol(Symbol::from("BTC-CS-19MAY26-70000_75000"))
555            .underlying(Currency::BTC())
556            .quote_currency(Currency::USDC())
557            .settlement_currency(Currency::USDT())
558            .is_inverse(false)
559            .strategy_type(ustr::Ustr::from("CS"))
560            .activation_ns(1.into())
561            .expiration_ns(2.into())
562            .price_precision(4)
563            .size_precision(1)
564            .price_increment(Price::from("0.0001"))
565            .size_increment(Quantity::from("0.1"))
566            .multiplier(Quantity::from("10"))
567            .lot_size(Quantity::from("5"))
568            .max_quantity(Quantity::from("1000.0"))
569            .min_quantity(Quantity::from("0.1"))
570            .max_notional(Money::new(1_000_000.0, Currency::USDC()))
571            .min_notional(Money::new(10.0, Currency::USDC()))
572            .max_price(Price::from("9.9999"))
573            .min_price(Price::from("0.0001"))
574            .margin_init(dec!(0.01))
575            .margin_maint(dec!(0.02))
576            .ts_event(1.into())
577            .ts_init(2.into())
578            .build()
579            .unwrap();
580
581        assert_eq!(
582            serde_json::to_value(&positional).unwrap(),
583            serde_json::to_value(&built).unwrap(),
584        );
585    }
586
587    fn crypto_option_spread_result(
588        multiplier: Option<Quantity>,
589        lot_size: Option<Quantity>,
590    ) -> CorrectnessResult<CryptoOptionSpread> {
591        CryptoOptionSpread::new_checked(
592            InstrumentId::from("BTC-CS-TEST.DERIBIT"),
593            Symbol::from("BTC-CS-TEST"),
594            Currency::BTC(),
595            Currency::USD(),
596            Currency::BTC(),
597            false,
598            ustr::Ustr::from("CS"),
599            0.into(),
600            0.into(),
601            4,
602            1,
603            Price::from("0.0001"),
604            Quantity::from("0.1"),
605            multiplier,
606            lot_size,
607            None,
608            None,
609            None,
610            None,
611            None,
612            None,
613            None,
614            None,
615            None,
616            None,
617            0.into(),
618            0.into(),
619        )
620    }
621}
nautilus_model/instruments/crypto_option_spread.rs

nautilus_model/instruments/
crypto_option_spread.rs
