nautilus_model/python/data/
quote.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    str::FromStr,
20};
21
22use nautilus_core::{
23    UnixNanos,
24    python::{
25        IntoPyObjectNautilusExt,
26        serialization::{from_dict_pyo3, to_dict_pyo3},
27        to_pyvalue_err,
28    },
29    serialization::{
30        Serializable,
31        msgpack::{FromMsgPack, ToMsgPack},
32    },
33};
34use pyo3::{
35    IntoPyObjectExt,
36    prelude::*,
37    pyclass::CompareOp,
38    types::{PyDict, PyInt, PyString, PyTuple},
39};
40
41use super::data_to_pycapsule;
42use crate::{
43    data::{Data, QuoteTick},
44    enums::PriceType,
45    identifiers::InstrumentId,
46    python::common::PY_MODULE_MODEL,
47    types::{
48        price::{Price, PriceRaw},
49        quantity::{Quantity, QuantityRaw},
50    },
51};
52
53impl QuoteTick {
54    /// Creates a new [`QuoteTick`] from a Python object.
55    ///
56    /// # Errors
57    ///
58    /// Returns a `PyErr` if extracting any attribute or converting types fails.
59    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
60        let instrument_id_obj: Bound<'_, PyAny> = obj.getattr("instrument_id")?.extract()?;
61        let instrument_id_str: String = instrument_id_obj.getattr("value")?.extract()?;
62        let instrument_id =
63            InstrumentId::from_str(instrument_id_str.as_str()).map_err(to_pyvalue_err)?;
64
65        let bid_price_py: Bound<'_, PyAny> = obj.getattr("bid_price")?.extract()?;
66        let bid_price_raw: PriceRaw = bid_price_py.getattr("raw")?.extract()?;
67        let bid_price_prec: u8 = bid_price_py.getattr("precision")?.extract()?;
68        let bid_price = Price::from_raw(bid_price_raw, bid_price_prec);
69
70        let ask_price_py: Bound<'_, PyAny> = obj.getattr("ask_price")?.extract()?;
71        let ask_price_raw: PriceRaw = ask_price_py.getattr("raw")?.extract()?;
72        let ask_price_prec: u8 = ask_price_py.getattr("precision")?.extract()?;
73        let ask_price = Price::from_raw(ask_price_raw, ask_price_prec);
74
75        let bid_size_py: Bound<'_, PyAny> = obj.getattr("bid_size")?.extract()?;
76        let bid_size_raw: QuantityRaw = bid_size_py.getattr("raw")?.extract()?;
77        let bid_size_prec: u8 = bid_size_py.getattr("precision")?.extract()?;
78        let bid_size = Quantity::from_raw(bid_size_raw, bid_size_prec);
79
80        let ask_size_py: Bound<'_, PyAny> = obj.getattr("ask_size")?.extract()?;
81        let ask_size_raw: QuantityRaw = ask_size_py.getattr("raw")?.extract()?;
82        let ask_size_prec: u8 = ask_size_py.getattr("precision")?.extract()?;
83        let ask_size = Quantity::from_raw(ask_size_raw, ask_size_prec);
84
85        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
86        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
87
88        Self::new_checked(
89            instrument_id,
90            bid_price,
91            ask_price,
92            bid_size,
93            ask_size,
94            ts_event.into(),
95            ts_init.into(),
96        )
97        .map_err(to_pyvalue_err)
98    }
99}
100
101#[pymethods]
102#[pyo3_stub_gen::derive::gen_stub_pymethods]
103impl QuoteTick {
104    /// Represents a quote tick in a market.
105    #[new]
106    fn py_new(
107        instrument_id: InstrumentId,
108        bid_price: Price,
109        ask_price: Price,
110        bid_size: Quantity,
111        ask_size: Quantity,
112        ts_event: u64,
113        ts_init: u64,
114    ) -> PyResult<Self> {
115        Self::new_checked(
116            instrument_id,
117            bid_price,
118            ask_price,
119            bid_size,
120            ask_size,
121            ts_event.into(),
122            ts_init.into(),
123        )
124        .map_err(to_pyvalue_err)
125    }
126
127    fn __setstate__(&mut self, state: &Bound<'_, PyAny>) -> PyResult<()> {
128        let py_tuple: &Bound<'_, PyTuple> = state.cast::<PyTuple>()?;
129        let binding = py_tuple.get_item(0)?;
130        let instrument_id_str: &str = binding.cast::<PyString>()?.extract()?;
131        let bid_price_raw: PriceRaw = py_tuple.get_item(1)?.cast::<PyInt>()?.extract()?;
132        let ask_price_raw: PriceRaw = py_tuple.get_item(2)?.cast::<PyInt>()?.extract()?;
133        let bid_price_prec: u8 = py_tuple.get_item(3)?.cast::<PyInt>()?.extract()?;
134        let ask_price_prec: u8 = py_tuple.get_item(4)?.cast::<PyInt>()?.extract()?;
135
136        let bid_size_raw: QuantityRaw = py_tuple.get_item(5)?.cast::<PyInt>()?.extract()?;
137        let ask_size_raw: QuantityRaw = py_tuple.get_item(6)?.cast::<PyInt>()?.extract()?;
138        let bid_size_prec: u8 = py_tuple.get_item(7)?.cast::<PyInt>()?.extract()?;
139        let ask_size_prec: u8 = py_tuple.get_item(8)?.cast::<PyInt>()?.extract()?;
140        let ts_event: u64 = py_tuple.get_item(9)?.cast::<PyInt>()?.extract()?;
141        let ts_init: u64 = py_tuple.get_item(10)?.cast::<PyInt>()?.extract()?;
142
143        self.instrument_id = InstrumentId::from_str(instrument_id_str).map_err(to_pyvalue_err)?;
144        self.bid_price = Price::from_raw(bid_price_raw, bid_price_prec);
145        self.ask_price = Price::from_raw(ask_price_raw, ask_price_prec);
146        self.bid_size = Quantity::from_raw(bid_size_raw, bid_size_prec);
147        self.ask_size = Quantity::from_raw(ask_size_raw, ask_size_prec);
148        self.ts_event = ts_event.into();
149        self.ts_init = ts_init.into();
150
151        Ok(())
152    }
153
154    fn __getstate__(&self, py: Python) -> PyResult<Py<PyAny>> {
155        (
156            self.instrument_id.to_string(),
157            self.bid_price.raw,
158            self.ask_price.raw,
159            self.bid_price.precision,
160            self.ask_price.precision,
161            self.bid_size.raw,
162            self.ask_size.raw,
163            self.bid_size.precision,
164            self.ask_size.precision,
165            self.ts_event.as_u64(),
166            self.ts_init.as_u64(),
167        )
168            .into_py_any(py)
169    }
170
171    fn __reduce__(&self, py: Python) -> PyResult<Py<PyAny>> {
172        let safe_constructor = py.get_type::<Self>().getattr("_safe_constructor")?;
173        let state = self.__getstate__(py)?;
174        (safe_constructor, PyTuple::empty(py), state).into_py_any(py)
175    }
176
177    #[staticmethod]
178    fn _safe_constructor() -> PyResult<Self> {
179        Self::new_checked(
180            InstrumentId::from("NULL.NULL"),
181            Price::zero(0),
182            Price::zero(0),
183            Quantity::zero(0),
184            Quantity::zero(0),
185            UnixNanos::default(),
186            UnixNanos::default(),
187        )
188        .map_err(to_pyvalue_err)
189    }
190
191    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
192        match op {
193            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
194            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
195            _ => py.NotImplemented(),
196        }
197    }
198
199    fn __hash__(&self) -> isize {
200        let mut h = DefaultHasher::new();
201        self.hash(&mut h);
202        h.finish() as isize
203    }
204
205    fn __repr__(&self) -> String {
206        format!("{}({})", stringify!(QuoteTick), self)
207    }
208
209    fn __str__(&self) -> String {
210        self.to_string()
211    }
212
213    #[getter]
214    #[pyo3(name = "instrument_id")]
215    fn py_instrument_id(&self) -> InstrumentId {
216        self.instrument_id
217    }
218
219    #[getter]
220    #[pyo3(name = "bid_price")]
221    fn py_bid_price(&self) -> Price {
222        self.bid_price
223    }
224
225    #[getter]
226    #[pyo3(name = "ask_price")]
227    fn py_ask_price(&self) -> Price {
228        self.ask_price
229    }
230
231    #[getter]
232    #[pyo3(name = "bid_size")]
233    fn py_bid_size(&self) -> Quantity {
234        self.bid_size
235    }
236
237    #[getter]
238    #[pyo3(name = "ask_size")]
239    fn py_ask_size(&self) -> Quantity {
240        self.ask_size
241    }
242
243    #[getter]
244    #[pyo3(name = "ts_event")]
245    fn py_ts_event(&self) -> u64 {
246        self.ts_event.as_u64()
247    }
248
249    #[getter]
250    #[pyo3(name = "ts_init")]
251    fn py_ts_init(&self) -> u64 {
252        self.ts_init.as_u64()
253    }
254
255    #[staticmethod]
256    #[pyo3(name = "fully_qualified_name")]
257    fn py_fully_qualified_name() -> String {
258        format!("{}:{}", PY_MODULE_MODEL, stringify!(QuoteTick))
259    }
260
261    /// Returns the metadata for the type, for use with serialization formats.
262    #[staticmethod]
263    #[pyo3(name = "get_metadata")]
264    fn py_get_metadata(
265        instrument_id: &InstrumentId,
266        price_precision: u8,
267        size_precision: u8,
268    ) -> HashMap<String, String> {
269        Self::get_metadata(instrument_id, price_precision, size_precision)
270    }
271
272    /// Returns the field map for the type, for use with Arrow schemas.
273    #[staticmethod]
274    #[pyo3(name = "get_fields")]
275    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
276        let py_dict = PyDict::new(py);
277        for (k, v) in Self::get_fields() {
278            py_dict.set_item(k, v)?;
279        }
280
281        Ok(py_dict)
282    }
283
284    #[staticmethod]
285    #[pyo3(name = "from_raw")]
286    #[expect(clippy::too_many_arguments)]
287    fn py_from_raw(
288        instrument_id: InstrumentId,
289        bid_price_raw: PriceRaw,
290        ask_price_raw: PriceRaw,
291        bid_price_prec: u8,
292        ask_price_prec: u8,
293        bid_size_raw: QuantityRaw,
294        ask_size_raw: QuantityRaw,
295        bid_size_prec: u8,
296        ask_size_prec: u8,
297        ts_event: u64,
298        ts_init: u64,
299    ) -> PyResult<Self> {
300        Self::new_checked(
301            instrument_id,
302            Price::from_raw(bid_price_raw, bid_price_prec),
303            Price::from_raw(ask_price_raw, ask_price_prec),
304            Quantity::from_raw(bid_size_raw, bid_size_prec),
305            Quantity::from_raw(ask_size_raw, ask_size_prec),
306            ts_event.into(),
307            ts_init.into(),
308        )
309        .map_err(to_pyvalue_err)
310    }
311
312    /// Returns a new object from the given dictionary representation.
313    #[staticmethod]
314    #[pyo3(name = "from_dict")]
315    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
316        from_dict_pyo3(py, values)
317    }
318
319    /// Returns the `Price` for this quote depending on the given `price_type`.
320    #[pyo3(name = "extract_price")]
321    fn py_extract_price(&self, price_type: PriceType) -> Price {
322        self.extract_price(price_type)
323    }
324
325    /// Returns the `Quantity` for this quote depending on the given `price_type`.
326    #[pyo3(name = "extract_size")]
327    fn py_extract_size(&self, price_type: PriceType) -> Quantity {
328        self.extract_size(price_type)
329    }
330
331    /// Creates a `PyCapsule` containing a raw pointer to a `Data::Quote` object.
332    ///
333    /// This function takes the current object (assumed to be of a type that can be represented as
334    /// `Data::Quote`), and encapsulates a raw pointer to it within a `PyCapsule`.
335    ///
336    /// # Safety
337    ///
338    /// This function is safe as long as the following conditions are met:
339    /// - The `Data::Quote` object pointed to by the capsule must remain valid for the lifetime of the capsule.
340    /// - The consumer of the capsule must ensure proper handling to avoid dereferencing a dangling pointer.
341    ///
342    /// # Panics
343    ///
344    /// The function will panic if the `PyCapsule` creation fails, which can occur if the
345    /// `Data::Quote` object cannot be converted into a raw pointer.
346    #[pyo3(name = "as_pycapsule")]
347    fn py_as_pycapsule(&self, py: Python<'_>) -> Py<PyAny> {
348        data_to_pycapsule(py, Data::Quote(*self))
349    }
350
351    /// Return a dictionary representation of the object.
352    #[pyo3(name = "to_dict")]
353    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
354        to_dict_pyo3(py, self)
355    }
356
357    /// Return JSON encoded bytes representation of the object.
358    #[pyo3(name = "to_json_bytes")]
359    fn py_to_json_bytes(&self, py: Python<'_>) -> Py<PyAny> {
360        self.to_json_bytes().unwrap().into_py_any_unwrap(py)
361    }
362
363    /// Return `MsgPack` encoded bytes representation of the object.
364    #[pyo3(name = "to_msgpack_bytes")]
365    fn py_to_msgpack_bytes(&self, py: Python<'_>) -> Py<PyAny> {
366        self.to_msgpack_bytes().unwrap().into_py_any_unwrap(py)
367    }
368}
369
370#[pymethods]
371impl QuoteTick {
372    #[staticmethod]
373    #[pyo3(name = "from_json")]
374    fn py_from_json(data: &[u8]) -> PyResult<Self> {
375        Self::from_json_bytes(data).map_err(to_pyvalue_err)
376    }
377
378    #[staticmethod]
379    #[pyo3(name = "from_msgpack")]
380    fn py_from_msgpack(data: &[u8]) -> PyResult<Self> {
381        Self::from_msgpack_bytes(data).map_err(to_pyvalue_err)
382    }
383}
384
385#[cfg(test)]
386mod tests {
387    use nautilus_core::python::IntoPyObjectNautilusExt;
388    use pyo3::Python;
389    use rstest::rstest;
390
391    use crate::{
392        data::{QuoteTick, stubs::quote_ethusdt_binance},
393        identifiers::InstrumentId,
394        types::{Price, Quantity},
395    };
396
397    #[rstest]
398    #[case(
399    Price::new(0.010_000, 6),
400    Price::new(0.010_001_0, 7), // Mismatched precision
401    Quantity::new(0.001_000, 6),
402    Quantity::new(0.001_000, 6),
403)]
404    #[case(
405    Price::new(0.010_000, 6),
406    Price::new(0.010_001, 6),
407    Quantity::new(0.001_000, 6),
408    Quantity::new(0.001_000_0, 7), // Mismatched precision
409)]
410    fn test_quote_tick_py_new_invalid_precisions(
411        #[case] bid_price: Price,
412        #[case] ask_price: Price,
413        #[case] bid_size: Quantity,
414        #[case] ask_size: Quantity,
415    ) {
416        let instrument_id = InstrumentId::from("ETH-USDT-SWAP.OKX");
417        let ts_event = 0;
418        let ts_init = 1;
419
420        let result = QuoteTick::py_new(
421            instrument_id,
422            bid_price,
423            ask_price,
424            bid_size,
425            ask_size,
426            ts_event,
427            ts_init,
428        );
429
430        assert!(result.is_err());
431    }
432
433    #[rstest]
434    fn test_to_dict(quote_ethusdt_binance: QuoteTick) {
435        let quote = quote_ethusdt_binance;
436
437        Python::initialize();
438        Python::attach(|py| {
439            let dict_string = quote.py_to_dict(py).unwrap().to_string();
440            let expected_string = "{'type': 'QuoteTick', 'instrument_id': 'ETHUSDT-PERP.BINANCE', 'bid_price': '10000.0000', 'ask_price': '10001.0000', 'bid_size': '1.00000000', 'ask_size': '1.00000000', 'ts_event': 0, 'ts_init': 1}";
441            assert_eq!(dict_string, expected_string);
442        });
443    }
444
445    #[rstest]
446    fn test_from_dict(quote_ethusdt_binance: QuoteTick) {
447        let quote = quote_ethusdt_binance;
448
449        Python::initialize();
450        Python::attach(|py| {
451            let dict = quote.py_to_dict(py).unwrap();
452            let parsed = QuoteTick::py_from_dict(py, dict).unwrap();
453            assert_eq!(parsed, quote);
454        });
455    }
456
457    #[rstest]
458    fn test_from_pyobject(quote_ethusdt_binance: QuoteTick) {
459        let quote = quote_ethusdt_binance;
460
461        Python::initialize();
462        Python::attach(|py| {
463            let tick_pyobject = quote.into_py_any_unwrap(py);
464            let parsed_tick = QuoteTick::from_pyobject(tick_pyobject.bind(py)).unwrap();
465            assert_eq!(parsed_tick, quote);
466        });
467    }
468}
nautilus_model/python/data/quote.rs

nautilus_model/python/data/
quote.rs
