nautilus_model/instruments/
option_contract.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::{
21        CorrectnessResult, check_equal_u8, check_valid_string_ascii,
22        check_valid_string_ascii_optional,
23    },
24};
25use rust_decimal::Decimal;
26use serde::{Deserialize, Serialize};
27use ustr::Ustr;
28
29use super::{Instrument, any::InstrumentAny, tick_scheme::check_tick_scheme};
30use crate::{
31    enums::{AssetClass, InstrumentClass, OptionKind},
32    identifiers::{InstrumentId, Symbol},
33    types::{
34        currency::Currency,
35        money::Money,
36        price::{Price, check_positive_price},
37        quantity::{Quantity, check_positive_quantity},
38    },
39};
40
41/// Represents a generic option contract instrument.
42#[repr(C)]
43#[derive(Clone, Debug, Serialize, Deserialize)]
44#[cfg_attr(
45    feature = "python",
46    pyo3::pyclass(module = "nautilus_trader.model", from_py_object)
47)]
48#[cfg_attr(
49    feature = "python",
50    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.model")
51)]
52pub struct OptionContract {
53    /// The instrument ID.
54    pub id: InstrumentId,
55    /// The raw/local/native symbol for the instrument, assigned by the venue.
56    pub raw_symbol: Symbol,
57    /// The option contract asset class.
58    pub asset_class: AssetClass,
59    /// The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
60    pub exchange: Option<Ustr>,
61    /// The underlying asset.
62    pub underlying: Ustr,
63    /// The kind of option (PUT | CALL).
64    pub option_kind: OptionKind,
65    /// The option strike price.
66    pub strike_price: Price,
67    /// UNIX timestamp (nanoseconds) for contract activation.
68    pub activation_ns: UnixNanos,
69    /// UNIX timestamp (nanoseconds) for contract expiration.
70    pub expiration_ns: UnixNanos,
71    /// The option contract currency.
72    pub currency: Currency,
73    /// The price decimal precision.
74    pub price_precision: u8,
75    /// The minimum price increment (tick size).
76    pub price_increment: Price,
77    /// The minimum size increment.
78    pub size_increment: Quantity,
79    /// The trading size decimal precision.
80    pub size_precision: u8,
81    /// The option multiplier.
82    pub multiplier: Quantity,
83    /// The rounded lot unit size (standard/board).
84    pub lot_size: Quantity,
85    /// The initial (order) margin requirement in percentage of order value.
86    pub margin_init: Decimal,
87    /// The maintenance (position) margin in percentage of position value.
88    pub margin_maint: Decimal,
89    /// The fee rate for liquidity makers as a percentage of order value.
90    pub maker_fee: Decimal,
91    /// The fee rate for liquidity takers as a percentage of order value.
92    pub taker_fee: Decimal,
93    /// The maximum allowable order quantity.
94    pub max_quantity: Option<Quantity>,
95    /// The minimum allowable order quantity.
96    pub min_quantity: Option<Quantity>,
97    /// The maximum allowable quoted price.
98    pub max_price: Option<Price>,
99    /// The minimum allowable quoted price.
100    pub min_price: Option<Price>,
101    /// The registered variable tick scheme name.
102    pub tick_scheme: Option<Ustr>,
103    /// Additional instrument metadata as a JSON-serializable dictionary.
104    pub info: Option<Params>,
105    /// UNIX timestamp (nanoseconds) when the data event occurred.
106    pub ts_event: UnixNanos,
107    /// UNIX timestamp (nanoseconds) when the data object was initialized.
108    pub ts_init: UnixNanos,
109}
110
111#[bon::bon]
112impl OptionContract {
113    #[expect(clippy::too_many_arguments)]
114    fn new_checked(
115        instrument_id: InstrumentId,
116        raw_symbol: Symbol,
117        asset_class: AssetClass,
118        exchange: Option<Ustr>,
119        underlying: Ustr,
120        option_kind: OptionKind,
121        strike_price: Price,
122        currency: Currency,
123        activation_ns: UnixNanos,
124        expiration_ns: UnixNanos,
125        price_precision: u8,
126        price_increment: Price,
127        multiplier: Quantity,
128        lot_size: Quantity,
129        max_quantity: Option<Quantity>,
130        min_quantity: Option<Quantity>,
131        max_price: Option<Price>,
132        min_price: Option<Price>,
133        margin_init: Option<Decimal>,
134        margin_maint: Option<Decimal>,
135        maker_fee: Option<Decimal>,
136        taker_fee: Option<Decimal>,
137        tick_scheme: Option<Ustr>,
138        info: Option<Params>,
139        ts_event: UnixNanos,
140        ts_init: UnixNanos,
141    ) -> CorrectnessResult<Self> {
142        check_valid_string_ascii_optional(exchange.map(|u| u.as_str()), stringify!(exchange))?;
143        check_valid_string_ascii(underlying.as_str(), stringify!(underlying))?;
144        check_equal_u8(
145            price_precision,
146            price_increment.precision,
147            stringify!(price_precision),
148            stringify!(price_increment.precision),
149        )?;
150        check_positive_price(price_increment, stringify!(price_increment))?;
151        check_positive_price(strike_price, stringify!(strike_price))?;
152        check_tick_scheme(tick_scheme)?;
153        check_positive_quantity(multiplier, stringify!(multiplier))?;
154        check_positive_quantity(lot_size, stringify!(lot_size))?;
155
156        Ok(Self {
157            id: instrument_id,
158            raw_symbol,
159            asset_class,
160            exchange,
161            underlying,
162            option_kind,
163            activation_ns,
164            expiration_ns,
165            strike_price,
166            currency,
167            price_precision,
168            price_increment,
169            size_precision: 0,
170            size_increment: Quantity::from(1),
171            multiplier,
172            lot_size,
173            margin_init: margin_init.unwrap_or_default(),
174            margin_maint: margin_maint.unwrap_or_default(),
175            maker_fee: maker_fee.unwrap_or_default(),
176            taker_fee: taker_fee.unwrap_or_default(),
177            tick_scheme,
178            info,
179            max_quantity,
180            min_quantity: Some(min_quantity.unwrap_or(1.into())),
181            max_price,
182            min_price,
183            ts_event,
184            ts_init,
185        })
186    }
187
188    /// Returns a fluent builder for a [`OptionContract`] instance.
189    ///
190    /// Required fields are enforced at compile time; optional fields can be omitted and use the
191    /// same defaults as checked construction. The same correctness checks run on `build`.
192    ///
193    /// # Errors
194    ///
195    /// Returns an error if any input validation fails.
196    #[builder(start_fn = builder, finish_fn = build)]
197    pub fn build_checked(
198        instrument_id: InstrumentId,
199        raw_symbol: Symbol,
200        asset_class: AssetClass,
201        exchange: Option<Ustr>,
202        underlying: Ustr,
203        option_kind: OptionKind,
204        strike_price: Price,
205        currency: Currency,
206        activation_ns: UnixNanos,
207        expiration_ns: UnixNanos,
208        price_precision: u8,
209        price_increment: Price,
210        multiplier: Quantity,
211        lot_size: Quantity,
212        max_quantity: Option<Quantity>,
213        min_quantity: Option<Quantity>,
214        max_price: Option<Price>,
215        min_price: Option<Price>,
216        margin_init: Option<Decimal>,
217        margin_maint: Option<Decimal>,
218        maker_fee: Option<Decimal>,
219        taker_fee: Option<Decimal>,
220        tick_scheme: Option<Ustr>,
221        info: Option<Params>,
222        ts_event: UnixNanos,
223        ts_init: UnixNanos,
224    ) -> CorrectnessResult<Self> {
225        Self::new_checked(
226            instrument_id,
227            raw_symbol,
228            asset_class,
229            exchange,
230            underlying,
231            option_kind,
232            strike_price,
233            currency,
234            activation_ns,
235            expiration_ns,
236            price_precision,
237            price_increment,
238            multiplier,
239            lot_size,
240            max_quantity,
241            min_quantity,
242            max_price,
243            min_price,
244            margin_init,
245            margin_maint,
246            maker_fee,
247            taker_fee,
248            tick_scheme,
249            info,
250            ts_event,
251            ts_init,
252        )
253    }
254}
255
256impl PartialEq<Self> for OptionContract {
257    fn eq(&self, other: &Self) -> bool {
258        self.id == other.id
259    }
260}
261
262impl Eq for OptionContract {}
263
264impl Hash for OptionContract {
265    fn hash<H: Hasher>(&self, state: &mut H) {
266        self.id.hash(state);
267    }
268}
269
270impl Instrument for OptionContract {
271    fn tick_scheme(&self) -> Option<Ustr> {
272        self.tick_scheme
273    }
274    fn into_any(self) -> InstrumentAny {
275        InstrumentAny::OptionContract(self)
276    }
277
278    fn id(&self) -> InstrumentId {
279        self.id
280    }
281
282    fn raw_symbol(&self) -> Symbol {
283        self.raw_symbol
284    }
285
286    fn asset_class(&self) -> AssetClass {
287        self.asset_class
288    }
289
290    fn instrument_class(&self) -> InstrumentClass {
291        InstrumentClass::Option
292    }
293    fn underlying(&self) -> Option<Ustr> {
294        Some(self.underlying)
295    }
296
297    fn base_currency(&self) -> Option<Currency> {
298        None
299    }
300
301    fn quote_currency(&self) -> Currency {
302        self.currency
303    }
304
305    fn settlement_currency(&self) -> Currency {
306        self.currency
307    }
308
309    fn isin(&self) -> Option<Ustr> {
310        None
311    }
312
313    fn option_kind(&self) -> Option<OptionKind> {
314        Some(self.option_kind)
315    }
316
317    fn exchange(&self) -> Option<Ustr> {
318        self.exchange
319    }
320
321    fn strike_price(&self) -> Option<Price> {
322        Some(self.strike_price)
323    }
324
325    fn activation_ns(&self) -> Option<UnixNanos> {
326        Some(self.activation_ns)
327    }
328
329    fn expiration_ns(&self) -> Option<UnixNanos> {
330        Some(self.expiration_ns)
331    }
332
333    fn is_inverse(&self) -> bool {
334        false
335    }
336
337    fn price_precision(&self) -> u8 {
338        self.price_precision
339    }
340
341    fn size_precision(&self) -> u8 {
342        0
343    }
344
345    fn price_increment(&self) -> Price {
346        self.price_increment
347    }
348
349    fn size_increment(&self) -> Quantity {
350        Quantity::from(1)
351    }
352
353    fn multiplier(&self) -> Quantity {
354        self.multiplier
355    }
356
357    fn lot_size(&self) -> Option<Quantity> {
358        Some(self.lot_size)
359    }
360
361    fn max_quantity(&self) -> Option<Quantity> {
362        self.max_quantity
363    }
364
365    fn min_quantity(&self) -> Option<Quantity> {
366        self.min_quantity
367    }
368
369    fn max_notional(&self) -> Option<Money> {
370        None
371    }
372
373    fn min_notional(&self) -> Option<Money> {
374        None
375    }
376
377    fn max_price(&self) -> Option<Price> {
378        self.max_price
379    }
380
381    fn min_price(&self) -> Option<Price> {
382        self.min_price
383    }
384
385    fn ts_event(&self) -> UnixNanos {
386        self.ts_event
387    }
388
389    fn ts_init(&self) -> UnixNanos {
390        self.ts_init
391    }
392
393    fn margin_init(&self) -> Decimal {
394        self.margin_init
395    }
396
397    fn margin_maint(&self) -> Decimal {
398        self.margin_maint
399    }
400
401    fn maker_fee(&self) -> Decimal {
402        self.maker_fee
403    }
404
405    fn taker_fee(&self) -> Decimal {
406        self.taker_fee
407    }
408}
409
410#[cfg(test)]
411mod tests {
412    use rstest::rstest;
413    use rust_decimal_macros::dec;
414    use ustr::Ustr;
415
416    use crate::{
417        enums::{AssetClass, InstrumentClass, OptionKind},
418        identifiers::{InstrumentId, Symbol},
419        instruments::{Instrument, OptionContract, stubs::*},
420        types::{Currency, Price, Quantity},
421    };
422
423    #[rstest]
424    fn test_trait_accessors(option_contract_appl: OptionContract) {
425        assert_eq!(
426            option_contract_appl.id(),
427            InstrumentId::from("AAPL211217C00150000.OPRA"),
428        );
429        assert_eq!(option_contract_appl.asset_class(), AssetClass::Equity);
430        assert_eq!(
431            option_contract_appl.instrument_class(),
432            InstrumentClass::Option
433        );
434        assert_eq!(option_contract_appl.quote_currency(), Currency::USD());
435        assert!(!option_contract_appl.is_inverse());
436        assert_eq!(option_contract_appl.option_kind(), Some(OptionKind::Call));
437        assert_eq!(
438            option_contract_appl.strike_price(),
439            Some(Price::from("149.0"))
440        );
441        assert_eq!(option_contract_appl.underlying(), Some(Ustr::from("AAPL")));
442        assert_eq!(option_contract_appl.exchange(), Some(Ustr::from("GMNI")));
443        assert!(option_contract_appl.activation_ns().is_some());
444        assert!(option_contract_appl.expiration_ns().is_some());
445        assert_eq!(option_contract_appl.size_precision(), 0);
446        assert_eq!(option_contract_appl.size_increment(), Quantity::from("1"));
447        assert_eq!(
448            option_contract_appl.min_quantity(),
449            Some(Quantity::from("1"))
450        );
451    }
452
453    #[rstest]
454    fn test_new_checked_price_precision_mismatch() {
455        let result = OptionContract::new_checked(
456            InstrumentId::from("TEST.OPRA"),
457            Symbol::from("TEST"),
458            AssetClass::Equity,
459            Some(Ustr::from("GMNI")),
460            Ustr::from("AAPL"),
461            OptionKind::Call,
462            Price::from("150.0"),
463            Currency::USD(),
464            0.into(),
465            0.into(),
466            4, // mismatch
467            Price::from("0.01"),
468            Quantity::from(1),
469            Quantity::from(1),
470            None,
471            None,
472            None,
473            None,
474            None,
475            None,
476            None,
477            None,
478            None,
479            None,
480            0.into(),
481            0.into(),
482        );
483        assert!(result.is_err());
484    }
485
486    #[rstest]
487    fn test_new_checked_zero_multiplier() {
488        let result = OptionContract::new_checked(
489            InstrumentId::from("TEST.OPRA"),
490            Symbol::from("TEST"),
491            AssetClass::Equity,
492            Some(Ustr::from("GMNI")),
493            Ustr::from("AAPL"),
494            OptionKind::Call,
495            Price::from("150.0"),
496            Currency::USD(),
497            0.into(),
498            0.into(),
499            2,
500            Price::from("0.01"),
501            Quantity::from("0"), // zero multiplier
502            Quantity::from(1),
503            None,
504            None,
505            None,
506            None,
507            None,
508            None,
509            None,
510            None,
511            None,
512            None,
513            0.into(),
514            0.into(),
515        );
516        assert!(result.is_err());
517    }
518
519    #[rstest]
520    #[case(Price::from("0"))]
521    #[case(Price::from("-1"))]
522    fn test_new_checked_rejects_non_positive_strike_price(#[case] strike_price: Price) {
523        let result = OptionContract::new_checked(
524            InstrumentId::from("TEST.OPRA"),
525            Symbol::from("TEST"),
526            AssetClass::Equity,
527            Some(Ustr::from("GMNI")),
528            Ustr::from("AAPL"),
529            OptionKind::Call,
530            strike_price,
531            Currency::USD(),
532            0.into(),
533            0.into(),
534            2,
535            Price::from("0.01"),
536            Quantity::from(1),
537            Quantity::from(1),
538            None,
539            None,
540            None,
541            None,
542            None,
543            None,
544            None,
545            None,
546            None,
547            None,
548            0.into(),
549            0.into(),
550        );
551
552        // Assert on the parameter name, not merely `is_err`: this constructor validates a
553        // dozen other fields, and a bare error check would pass if an unrelated one fired.
554        assert!(
555            result
556                .unwrap_err()
557                .to_string()
558                .contains("'strike_price' not positive")
559        );
560    }
561
562    #[rstest]
563    fn test_serialization_roundtrip(option_contract_appl: OptionContract) {
564        let json = serde_json::to_string(&option_contract_appl).unwrap();
565        let deserialized: OptionContract = serde_json::from_str(&json).unwrap();
566        assert_eq!(json, serde_json::to_string(&deserialized).unwrap());
567    }
568
569    #[rstest]
570    fn test_builder_matches_new_checked() {
571        let positional = OptionContract::new_checked(
572            InstrumentId::from("AAPL211217C00150000.OPRA"),
573            Symbol::from("AAPL211217C00150000"),
574            AssetClass::Equity,
575            Some(Ustr::from("GMNI")),
576            Ustr::from("AAPL"),
577            OptionKind::Call,
578            Price::from("149.0"),
579            Currency::USD(),
580            1.into(),
581            2.into(),
582            2,
583            Price::from("0.01"),
584            Quantity::from(10),
585            Quantity::from(5),
586            Some(Quantity::from("100")),
587            Some(Quantity::from("1")),
588            Some(Price::from("999.0")),
589            Some(Price::from("1.0")),
590            Some(dec!(0.01)),
591            Some(dec!(0.02)),
592            Some(dec!(0.0002)),
593            Some(dec!(0.0004)),
594            None,
595            None,
596            3.into(),
597            4.into(),
598        )
599        .unwrap();
600
601        let built = OptionContract::builder()
602            .instrument_id(InstrumentId::from("AAPL211217C00150000.OPRA"))
603            .raw_symbol(Symbol::from("AAPL211217C00150000"))
604            .asset_class(AssetClass::Equity)
605            .exchange(Ustr::from("GMNI"))
606            .underlying(Ustr::from("AAPL"))
607            .option_kind(OptionKind::Call)
608            .strike_price(Price::from("149.0"))
609            .currency(Currency::USD())
610            .activation_ns(1.into())
611            .expiration_ns(2.into())
612            .price_precision(2)
613            .price_increment(Price::from("0.01"))
614            .multiplier(Quantity::from(10))
615            .lot_size(Quantity::from(5))
616            .max_quantity(Quantity::from("100"))
617            .min_quantity(Quantity::from("1"))
618            .max_price(Price::from("999.0"))
619            .min_price(Price::from("1.0"))
620            .margin_init(dec!(0.01))
621            .margin_maint(dec!(0.02))
622            .maker_fee(dec!(0.0002))
623            .taker_fee(dec!(0.0004))
624            .ts_event(3.into())
625            .ts_init(4.into())
626            .build()
627            .unwrap();
628
629        assert_eq!(
630            serde_json::to_value(&positional).unwrap(),
631            serde_json::to_value(&built).unwrap(),
632        );
633    }
634}
nautilus_model/instruments/option_contract.rs

nautilus_model/instruments/
option_contract.rs
