nautilus_model/python/instruments/
crypto_future.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::hash_map::DefaultHasher,
18    hash::{Hash, Hasher},
19};
20
21use nautilus_core::{
22    from_pydict,
23    python::{IntoPyObjectNautilusExt, to_pyvalue_err},
24};
25use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
26use rust_decimal::Decimal;
27
28use crate::{
29    identifiers::{InstrumentId, Symbol},
30    instruments::CryptoFuture,
31    python::instruments::register_crypto_currencies_from_dict,
32    types::{Currency, Money, Price, Quantity},
33};
34
35#[pymethods]
36#[pyo3_stub_gen::derive::gen_stub_pymethods]
37impl CryptoFuture {
38    /// Represents a deliverable futures contract instrument, with crypto assets as underlying and for settlement.
39    #[expect(clippy::too_many_arguments)]
40    #[new]
41    #[pyo3(signature = (instrument_id, raw_symbol, underlying, quote_currency, settlement_currency, is_inverse, activation_ns, expiration_ns, price_precision, size_precision, price_increment, size_increment,ts_event, ts_init, multiplier=None, lot_size=None, max_quantity=None, min_quantity=None, max_notional=None, min_notional=None, max_price=None, min_price=None, margin_init=None, margin_maint=None, maker_fee=None, taker_fee=None, tick_scheme=None, info=None))]
42    fn py_new(
43        instrument_id: InstrumentId,
44        raw_symbol: Symbol,
45        underlying: Currency,
46        quote_currency: Currency,
47        settlement_currency: Currency,
48        is_inverse: bool,
49        activation_ns: u64,
50        expiration_ns: u64,
51        price_precision: u8,
52        size_precision: u8,
53        price_increment: Price,
54        size_increment: Quantity,
55        ts_event: u64,
56        ts_init: u64,
57        multiplier: Option<Quantity>,
58        lot_size: Option<Quantity>,
59        max_quantity: Option<Quantity>,
60        min_quantity: Option<Quantity>,
61        max_notional: Option<Money>,
62        min_notional: Option<Money>,
63        max_price: Option<Price>,
64        min_price: Option<Price>,
65        margin_init: Option<Decimal>,
66        margin_maint: Option<Decimal>,
67        maker_fee: Option<Decimal>,
68        taker_fee: Option<Decimal>,
69        tick_scheme: Option<String>,
70        info: Option<Py<PyDict>>,
71    ) -> PyResult<Self> {
72        // Convert Python dict to Params
73        let info_map = if let Some(info_dict) = info {
74            Python::attach(|py| from_pydict(py, &info_dict))?
75        } else {
76            None
77        };
78
79        Self::new_checked(
80            instrument_id,
81            raw_symbol,
82            underlying,
83            quote_currency,
84            settlement_currency,
85            is_inverse,
86            activation_ns.into(),
87            expiration_ns.into(),
88            price_precision,
89            size_precision,
90            price_increment,
91            size_increment,
92            multiplier,
93            lot_size,
94            max_quantity,
95            min_quantity,
96            max_notional,
97            min_notional,
98            max_price,
99            min_price,
100            margin_init,
101            margin_maint,
102            maker_fee,
103            taker_fee,
104            tick_scheme.map(|name| ustr::Ustr::from(name.as_str())),
105            info_map,
106            ts_event.into(),
107            ts_init.into(),
108        )
109        .map_err(to_pyvalue_err)
110    }
111
112    fn __hash__(&self) -> isize {
113        let mut hasher = DefaultHasher::new();
114        self.hash(&mut hasher);
115        hasher.finish() as isize
116    }
117
118    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
119        match op {
120            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
121            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
122            _ => py.NotImplemented(),
123        }
124    }
125
126    #[getter]
127    fn type_name(&self) -> &'static str {
128        stringify!(CryptoFuture)
129    }
130
131    #[getter]
132    #[pyo3(name = "id")]
133    fn py_id(&self) -> InstrumentId {
134        self.id
135    }
136
137    #[getter]
138    #[pyo3(name = "raw_symbol")]
139    fn py_raw_symbol(&self) -> Symbol {
140        self.raw_symbol
141    }
142
143    #[getter]
144    #[pyo3(name = "underlying")]
145    fn py_underlying(&self) -> Currency {
146        self.underlying
147    }
148
149    #[getter]
150    #[pyo3(name = "quote_currency")]
151    fn py_quote_currency(&self) -> Currency {
152        self.quote_currency
153    }
154
155    #[getter]
156    #[pyo3(name = "settlement_currency")]
157    fn py_settlement_currency(&self) -> Currency {
158        self.settlement_currency
159    }
160
161    #[getter]
162    #[pyo3(name = "is_inverse")]
163    fn py_is_inverse(&self) -> bool {
164        self.is_inverse
165    }
166
167    #[getter]
168    #[pyo3(name = "activation_ns")]
169    fn py_activation_ns(&self) -> u64 {
170        self.activation_ns.as_u64()
171    }
172
173    #[getter]
174    #[pyo3(name = "expiration_ns")]
175    fn py_expiration_ns(&self) -> u64 {
176        self.expiration_ns.as_u64()
177    }
178
179    #[getter]
180    #[pyo3(name = "price_precision")]
181    fn py_price_precision(&self) -> u8 {
182        self.price_precision
183    }
184
185    #[getter]
186    #[pyo3(name = "size_precision")]
187    fn py_size_precision(&self) -> u8 {
188        self.size_precision
189    }
190
191    #[getter]
192    #[pyo3(name = "price_increment")]
193    fn py_price_increment(&self) -> Price {
194        self.price_increment
195    }
196
197    #[getter]
198    #[pyo3(name = "size_increment")]
199    fn py_size_increment(&self) -> Quantity {
200        self.size_increment
201    }
202
203    #[getter]
204    #[pyo3(name = "multiplier")]
205    fn py_multiplier(&self) -> Quantity {
206        self.multiplier
207    }
208
209    #[getter]
210    #[pyo3(name = "lot_size")]
211    fn py_lot_size(&self) -> Quantity {
212        self.lot_size
213    }
214
215    #[getter]
216    #[pyo3(name = "max_quantity")]
217    fn py_max_quantity(&self) -> Option<Quantity> {
218        self.max_quantity
219    }
220
221    #[getter]
222    #[pyo3(name = "min_quantity")]
223    fn py_min_quantity(&self) -> Option<Quantity> {
224        self.min_quantity
225    }
226
227    #[getter]
228    #[pyo3(name = "max_notional")]
229    fn py_max_notional(&self) -> Option<Money> {
230        self.max_notional
231    }
232
233    #[getter]
234    #[pyo3(name = "min_notional")]
235    fn py_min_notional(&self) -> Option<Money> {
236        self.min_notional
237    }
238
239    #[getter]
240    #[pyo3(name = "max_price")]
241    fn py_max_price(&self) -> Option<Price> {
242        self.max_price
243    }
244
245    #[getter]
246    #[pyo3(name = "min_price")]
247    fn py_min_price(&self) -> Option<Price> {
248        self.min_price
249    }
250
251    #[getter]
252    #[pyo3(name = "margin_init")]
253    fn py_margin_init(&self) -> Decimal {
254        self.margin_init
255    }
256
257    #[getter]
258    #[pyo3(name = "margin_maint")]
259    fn py_margin_maint(&self) -> Decimal {
260        self.margin_maint
261    }
262
263    #[getter]
264    #[pyo3(name = "maker_fee")]
265    fn py_maker_fee(&self) -> Decimal {
266        self.maker_fee
267    }
268
269    #[getter]
270    #[pyo3(name = "taker_fee")]
271    fn py_taker_fee(&self) -> Decimal {
272        self.taker_fee
273    }
274
275    #[getter]
276    #[pyo3(name = "info")]
277    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
278        // Convert HashMap<String, serde_json::Value> back to Python dict
279        if let Some(ref info_map) = self.info {
280            let py_dict = PyDict::new(py);
281
282            for (key, value) in info_map {
283                // Convert serde_json::Value back to Python object via JSON
284                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
285                let py_value =
286                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
287                py_dict.set_item(key, py_value)?;
288            }
289            Ok(py_dict.unbind())
290        } else {
291            Ok(PyDict::new(py).unbind())
292        }
293    }
294
295    #[getter]
296    #[pyo3(name = "ts_event")]
297    fn py_ts_event(&self) -> u64 {
298        self.ts_event.as_u64()
299    }
300
301    #[getter]
302    #[pyo3(name = "ts_init")]
303    fn py_ts_init(&self) -> u64 {
304        self.ts_init.as_u64()
305    }
306
307    #[staticmethod]
308    #[pyo3(name = "from_dict")]
309    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
310        register_crypto_currencies_from_dict(py, &values, &["underlying"]);
311        crate::python::instruments::from_dict_instrument_pyo3(py, values)
312    }
313
314    #[pyo3(name = "to_dict")]
315    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
316        let dict = PyDict::new(py);
317        dict.set_item("type", stringify!(CryptoFuture))?;
318        dict.set_item("id", self.id.to_string())?;
319        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
320        dict.set_item("underlying", self.underlying.code.to_string())?;
321        dict.set_item("quote_currency", self.quote_currency.code.to_string())?;
322        dict.set_item(
323            "settlement_currency",
324            self.settlement_currency.code.to_string(),
325        )?;
326        dict.set_item("is_inverse", self.is_inverse)?;
327        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
328        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
329        dict.set_item("price_precision", self.price_precision)?;
330        dict.set_item("size_precision", self.size_precision)?;
331        dict.set_item("price_increment", self.price_increment.to_string())?;
332        dict.set_item("size_increment", self.size_increment.to_string())?;
333        dict.set_item("margin_init", self.margin_init.to_string())?;
334        dict.set_item("margin_maint", self.margin_maint.to_string())?;
335        dict.set_item("multiplier", self.multiplier.to_string())?;
336        dict.set_item("lot_size", self.lot_size.to_string())?;
337        // Serialize info dict
338        if let Some(ref info_map) = self.info {
339            let info_dict = PyDict::new(py);
340
341            for (key, value) in info_map {
342                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
343                let py_value =
344                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
345                info_dict.set_item(key, py_value)?;
346            }
347            dict.set_item("info", info_dict)?;
348        } else {
349            dict.set_item("info", PyDict::new(py))?;
350        }
351        dict.set_item("maker_fee", self.maker_fee.to_string())?;
352        dict.set_item("taker_fee", self.taker_fee.to_string())?;
353        dict.set_item("ts_event", self.ts_event.as_u64())?;
354        dict.set_item("ts_init", self.ts_init.as_u64())?;
355        match self.max_quantity {
356            Some(value) => dict.set_item("max_quantity", value.to_string())?,
357            None => dict.set_item("max_quantity", py.None())?,
358        }
359
360        match self.min_quantity {
361            Some(value) => dict.set_item("min_quantity", value.to_string())?,
362            None => dict.set_item("min_quantity", py.None())?,
363        }
364
365        match self.max_notional {
366            Some(value) => dict.set_item("max_notional", value.to_string())?,
367            None => dict.set_item("max_notional", py.None())?,
368        }
369
370        match self.min_notional {
371            Some(value) => dict.set_item("min_notional", value.to_string())?,
372            None => dict.set_item("min_notional", py.None())?,
373        }
374
375        match self.max_price {
376            Some(value) => dict.set_item("max_price", value.to_string())?,
377            None => dict.set_item("max_price", py.None())?,
378        }
379
380        match self.min_price {
381            Some(value) => dict.set_item("min_price", value.to_string())?,
382            None => dict.set_item("min_price", py.None())?,
383        }
384        dict.set_item(
385            "tick_scheme",
386            crate::python::instruments::tick_scheme_to_py(self),
387        )?;
388        Ok(dict.into())
389    }
390}
391
392#[cfg(test)]
393mod tests {
394    use pyo3::{prelude::*, types::PyDict};
395    use rstest::rstest;
396
397    use crate::{
398        enums::CurrencyType,
399        instruments::{CryptoFuture, stubs::*},
400        types::Currency,
401    };
402
403    #[rstest]
404    fn test_dict_round_trip(crypto_future_btcusdt: CryptoFuture) {
405        Python::initialize();
406        Python::attach(|py| {
407            let crypto_future = crypto_future_btcusdt;
408            let values = crypto_future.py_to_dict(py).unwrap();
409            let values: Py<PyDict> = values.extract(py).unwrap();
410            let new_crypto_future = CryptoFuture::py_from_dict(py, values).unwrap();
411            assert_eq!(crypto_future, new_crypto_future);
412        });
413    }
414
415    #[rstest]
416    fn test_from_dict_unknown_underlying_registers_as_crypto(crypto_future_btcusdt: CryptoFuture) {
417        // Regression: newly listed underlyings must round-trip through `from_dict`
418        // without requiring prior registration of the currency in the Rust map.
419        Python::initialize();
420        Python::attach(|py| {
421            let values = crypto_future_btcusdt.py_to_dict(py).unwrap();
422            let values: Py<PyDict> = values.extract(py).unwrap();
423            values.bind(py).set_item("underlying", "NEWFUT").unwrap();
424
425            let new_future = CryptoFuture::py_from_dict(py, values).unwrap();
426            assert_eq!(new_future.underlying.code.as_str(), "NEWFUT");
427            assert_eq!(new_future.underlying.precision, 8);
428            assert_eq!(new_future.underlying.currency_type, CurrencyType::Crypto);
429            assert!(Currency::try_from_str("NEWFUT").is_some());
430        });
431    }
432}
nautilus_model/python/instruments/crypto_future.rs

nautilus_model/python/instruments/
crypto_future.rs
