nautilus_model/python/data/
close.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::{
17    collections::{HashMap, hash_map::DefaultHasher},
18    hash::{Hash, Hasher},
19};
20
21use nautilus_core::{
22    python::{
23        IntoPyObjectNautilusExt,
24        serialization::{from_dict_pyo3, to_dict_pyo3},
25        to_pyvalue_err,
26    },
27    serialization::{
28        Serializable,
29        msgpack::{FromMsgPack, ToMsgPack},
30    },
31};
32use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
33
34use super::ERROR_MONOTONICITY;
35use crate::{
36    data::close::InstrumentClose, enums::InstrumentCloseType, identifiers::InstrumentId,
37    python::common::PY_MODULE_MODEL, types::Price,
38};
39
40////////////////////////////////////////
41// Type methods
42////////////////////////////////////////
43#[pymethods]
44#[pyo3_stub_gen::derive::gen_stub_pymethods]
45impl InstrumentClose {
46    /// Represents an instrument close at a venue.
47    #[new]
48    #[pyo3(signature = (instrument_id, close_price, close_type, ts_event, ts_init))]
49    fn py_new(
50        instrument_id: InstrumentId,
51        close_price: Price,
52        close_type: InstrumentCloseType,
53        ts_event: u64,
54        ts_init: u64,
55    ) -> Self {
56        Self {
57            instrument_id,
58            close_price,
59            close_type,
60            ts_event: ts_event.into(),
61            ts_init: ts_init.into(),
62        }
63    }
64
65    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
66        match op {
67            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
68            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
69            _ => py.NotImplemented(),
70        }
71    }
72
73    fn __hash__(&self) -> isize {
74        let mut h = DefaultHasher::new();
75        self.hash(&mut h);
76        h.finish() as isize
77    }
78
79    fn __repr__(&self) -> String {
80        format!("{}({})", stringify!(InstrumentStatus), self)
81    }
82
83    fn __str__(&self) -> String {
84        self.to_string()
85    }
86
87    #[getter]
88    #[pyo3(name = "instrument_id")]
89    fn py_instrument_id(&self) -> InstrumentId {
90        self.instrument_id
91    }
92
93    #[getter]
94    #[pyo3(name = "close_price")]
95    #[must_use]
96    pub fn py_close_price(&self) -> Price {
97        self.close_price
98    }
99
100    #[getter]
101    #[pyo3(name = "close_type")]
102    #[must_use]
103    pub fn py_close_type(&self) -> InstrumentCloseType {
104        self.close_type
105    }
106
107    #[getter]
108    #[pyo3(name = "ts_event")]
109    #[must_use]
110    pub fn py_ts_event(&self) -> u64 {
111        self.ts_event.as_u64()
112    }
113
114    #[getter]
115    #[pyo3(name = "ts_init")]
116    #[must_use]
117    pub fn py_ts_init(&self) -> u64 {
118        self.ts_init.as_u64()
119    }
120
121    #[staticmethod]
122    #[pyo3(name = "fully_qualified_name")]
123    fn py_fully_qualified_name() -> String {
124        format!("{}:{}", PY_MODULE_MODEL, stringify!(InstrumentClose))
125    }
126
127    /// Returns the metadata for the type, for use with serialization formats.
128    #[staticmethod]
129    #[pyo3(name = "get_metadata")]
130    fn py_get_metadata(
131        instrument_id: &InstrumentId,
132        price_precision: u8,
133    ) -> HashMap<String, String> {
134        Self::get_metadata(instrument_id, price_precision)
135    }
136
137    /// Returns the field map for the type, for use with Arrow schemas.
138    #[staticmethod]
139    #[pyo3(name = "get_fields")]
140    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
141        let py_dict = PyDict::new(py);
142        for (k, v) in Self::get_fields() {
143            py_dict.set_item(k, v)?;
144        }
145
146        Ok(py_dict)
147    }
148
149    /// Returns a new object from the given dictionary representation.
150    #[staticmethod]
151    #[pyo3(name = "from_dict")]
152    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
153        from_dict_pyo3(py, values)
154    }
155
156    /// Return a dictionary representation of the object.
157    #[pyo3(name = "to_dict")]
158    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
159        to_dict_pyo3(py, self)
160    }
161
162    /// Return JSON encoded bytes representation of the object.
163    #[pyo3(name = "to_json_bytes")]
164    fn py_to_json_bytes(&self, py: Python<'_>) -> Py<PyAny> {
165        self.to_json_bytes().unwrap().into_py_any_unwrap(py)
166    }
167
168    /// Return `MsgPack` encoded bytes representation of the object.
169    #[pyo3(name = "to_msgpack_bytes")]
170    fn py_to_msgpack_bytes(&self, py: Python<'_>) -> Py<PyAny> {
171        self.to_msgpack_bytes().unwrap().into_py_any_unwrap(py)
172    }
173}
174
175#[pymethods]
176impl InstrumentClose {
177    #[staticmethod]
178    #[pyo3(name = "from_json")]
179    fn py_from_json(data: &[u8]) -> PyResult<Self> {
180        Self::from_json_bytes(data).map_err(to_pyvalue_err)
181    }
182
183    #[staticmethod]
184    #[pyo3(name = "from_msgpack")]
185    fn py_from_msgpack(data: &[u8]) -> PyResult<Self> {
186        Self::from_msgpack_bytes(data).map_err(to_pyvalue_err)
187    }
188}
189
190impl InstrumentClose {
191    /// Creates a new [`InstrumentClose`] from a Python object reference.
192    ///
193    /// # Errors
194    ///
195    /// Returns a `PyErr` if retrieving any attribute or converting types fails.
196    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
197        let instrument_id = obj.getattr("instrument_id")?.extract::<InstrumentId>()?;
198        let close_price = obj.getattr("close_price")?.extract::<Price>()?;
199        let close_type = obj
200            .getattr("close_type")?
201            .extract::<InstrumentCloseType>()?;
202        let ts_event = obj.getattr("ts_event")?.extract::<u64>()?;
203        let ts_init = obj.getattr("ts_init")?.extract::<u64>()?;
204
205        Ok(Self {
206            instrument_id,
207            close_price,
208            close_type,
209            ts_event: ts_event.into(),
210            ts_init: ts_init.into(),
211        })
212    }
213}
214
215/// Transforms the given Python objects into a vector of [`InstrumentClose`] objects.
216///
217/// # Errors
218///
219/// Returns a `PyErr` if any element conversion fails or the data is not monotonically increasing.
220pub fn pyobjects_to_instrument_closes(
221    data: Vec<Bound<'_, PyAny>>,
222) -> PyResult<Vec<InstrumentClose>> {
223    let closes = data
224        .into_iter()
225        .map(|obj| InstrumentClose::from_pyobject(&obj))
226        .collect::<PyResult<Vec<InstrumentClose>>>()?;
227
228    // Validate monotonically increasing by timestamp initialization
229    if !crate::data::is_monotonically_increasing_by_init(&closes) {
230        return Err(to_pyvalue_err(ERROR_MONOTONICITY));
231    }
232
233    Ok(closes)
234}
nautilus_model/python/data/close.rs

nautilus_model/python/data/
close.rs
