nautilus_model/python/instruments/

crypto_futures_spread.rs

// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

use std::{
    collections::hash_map::DefaultHasher,
    hash::{Hash, Hasher},
};

use nautilus_core::{
    from_pydict,
    python::{IntoPyObjectNautilusExt, to_pyvalue_err},
};
use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
use rust_decimal::Decimal;
use ustr::Ustr;

use crate::{
    identifiers::{InstrumentId, Symbol},
    instruments::CryptoFuturesSpread,
    python::instruments::register_crypto_currencies_from_dict,
    types::{Currency, Money, Price, Quantity},
};

#[pymethods]
#[pyo3_stub_gen::derive::gen_stub_pymethods]
impl CryptoFuturesSpread {
    /// Represents a crypto deliverable futures spread instrument, with crypto assets as underlying
    /// and for settlement.
    #[expect(clippy::too_many_arguments)]
    #[new]
    #[pyo3(signature = (instrument_id, raw_symbol, underlying, quote_currency, settlement_currency, is_inverse, strategy_type, 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, tick_scheme=None, info=None))]
    fn py_new(
        instrument_id: InstrumentId,
        raw_symbol: Symbol,
        underlying: Currency,
        quote_currency: Currency,
        settlement_currency: Currency,
        is_inverse: bool,
        strategy_type: &str,
        activation_ns: u64,
        expiration_ns: u64,
        price_precision: u8,
        size_precision: u8,
        price_increment: Price,
        size_increment: Quantity,
        ts_event: u64,
        ts_init: u64,
        multiplier: Option<Quantity>,
        lot_size: Option<Quantity>,
        max_quantity: Option<Quantity>,
        min_quantity: Option<Quantity>,
        max_notional: Option<Money>,
        min_notional: Option<Money>,
        max_price: Option<Price>,
        min_price: Option<Price>,
        margin_init: Option<Decimal>,
        margin_maint: Option<Decimal>,
        tick_scheme: Option<String>,
        info: Option<Py<PyDict>>,
    ) -> PyResult<Self> {
        let info_map = if let Some(info_dict) = info {
            Python::attach(|py| from_pydict(py, &info_dict))?
        } else {
            None
        };

        Self::builder()
            .instrument_id(instrument_id)
            .raw_symbol(raw_symbol)
            .underlying(underlying)
            .quote_currency(quote_currency)
            .settlement_currency(settlement_currency)
            .is_inverse(is_inverse)
            .strategy_type(Ustr::from(strategy_type))
            .activation_ns(activation_ns.into())
            .expiration_ns(expiration_ns.into())
            .price_precision(price_precision)
            .size_precision(size_precision)
            .price_increment(price_increment)
            .size_increment(size_increment)
            .maybe_multiplier(multiplier)
            .maybe_lot_size(lot_size)
            .maybe_max_quantity(max_quantity)
            .maybe_min_quantity(min_quantity)
            .maybe_max_notional(max_notional)
            .maybe_min_notional(min_notional)
            .maybe_max_price(max_price)
            .maybe_min_price(min_price)
            .maybe_margin_init(margin_init)
            .maybe_margin_maint(margin_maint)
            .maybe_tick_scheme(tick_scheme.map(|name| ustr::Ustr::from(name.as_str())))
            .maybe_info(info_map)
            .ts_event(ts_event.into())
            .ts_init(ts_init.into())
            .build()
            .map_err(to_pyvalue_err)
    }

    fn __hash__(&self) -> isize {
        let mut hasher = DefaultHasher::new();
        self.hash(&mut hasher);
        hasher.finish() as isize
    }

    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
        match op {
            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
            _ => py.NotImplemented(),
        }
    }

    #[getter]
    fn type_name(&self) -> &'static str {
        stringify!(CryptoFuturesSpread)
    }

    #[getter]
    #[pyo3(name = "id")]
    fn py_id(&self) -> InstrumentId {
        self.id
    }

    #[getter]
    #[pyo3(name = "raw_symbol")]
    fn py_raw_symbol(&self) -> Symbol {
        self.raw_symbol
    }

    #[getter]
    #[pyo3(name = "underlying")]
    fn py_underlying(&self) -> Currency {
        self.underlying
    }

    #[getter]
    #[pyo3(name = "quote_currency")]
    fn py_quote_currency(&self) -> Currency {
        self.quote_currency
    }

    #[getter]
    #[pyo3(name = "settlement_currency")]
    fn py_settlement_currency(&self) -> Currency {
        self.settlement_currency
    }

    #[getter]
    #[pyo3(name = "is_inverse")]
    fn py_is_inverse(&self) -> bool {
        self.is_inverse
    }

    #[getter]
    #[pyo3(name = "strategy_type")]
    fn py_strategy_type(&self) -> String {
        self.strategy_type.to_string()
    }

    #[getter]
    #[pyo3(name = "activation_ns")]
    fn py_activation_ns(&self) -> u64 {
        self.activation_ns.as_u64()
    }

    #[getter]
    #[pyo3(name = "expiration_ns")]
    fn py_expiration_ns(&self) -> u64 {
        self.expiration_ns.as_u64()
    }

    #[getter]
    #[pyo3(name = "price_precision")]
    fn py_price_precision(&self) -> u8 {
        self.price_precision
    }

    #[getter]
    #[pyo3(name = "size_precision")]
    fn py_size_precision(&self) -> u8 {
        self.size_precision
    }

    #[getter]
    #[pyo3(name = "price_increment")]
    fn py_price_increment(&self) -> Price {
        self.price_increment
    }

    #[getter]
    #[pyo3(name = "size_increment")]
    fn py_size_increment(&self) -> Quantity {
        self.size_increment
    }

    #[getter]
    #[pyo3(name = "multiplier")]
    fn py_multiplier(&self) -> Quantity {
        self.multiplier
    }

    #[getter]
    #[pyo3(name = "lot_size")]
    fn py_lot_size(&self) -> Quantity {
        self.lot_size
    }

    #[getter]
    #[pyo3(name = "max_quantity")]
    fn py_max_quantity(&self) -> Option<Quantity> {
        self.max_quantity
    }

    #[getter]
    #[pyo3(name = "min_quantity")]
    fn py_min_quantity(&self) -> Option<Quantity> {
        self.min_quantity
    }

    #[getter]
    #[pyo3(name = "max_notional")]
    fn py_max_notional(&self) -> Option<Money> {
        self.max_notional
    }

    #[getter]
    #[pyo3(name = "min_notional")]
    fn py_min_notional(&self) -> Option<Money> {
        self.min_notional
    }

    #[getter]
    #[pyo3(name = "max_price")]
    fn py_max_price(&self) -> Option<Price> {
        self.max_price
    }

    #[getter]
    #[pyo3(name = "min_price")]
    fn py_min_price(&self) -> Option<Price> {
        self.min_price
    }

    #[getter]
    #[pyo3(name = "margin_init")]
    fn py_margin_init(&self) -> Decimal {
        self.margin_init
    }

    #[getter]
    #[pyo3(name = "margin_maint")]
    fn py_margin_maint(&self) -> Decimal {
        self.margin_maint
    }

    #[getter]
    #[pyo3(name = "info")]
    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
        if let Some(ref info_map) = self.info {
            let py_dict = PyDict::new(py);

            for (key, value) in info_map {
                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
                let py_value =
                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
                py_dict.set_item(key, py_value)?;
            }
            Ok(py_dict.unbind())
        } else {
            Ok(PyDict::new(py).unbind())
        }
    }

    #[getter]
    #[pyo3(name = "ts_event")]
    fn py_ts_event(&self) -> u64 {
        self.ts_event.as_u64()
    }

    #[getter]
    #[pyo3(name = "ts_init")]
    fn py_ts_init(&self) -> u64 {
        self.ts_init.as_u64()
    }

    #[staticmethod]
    #[pyo3(name = "from_dict")]
    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
        register_crypto_currencies_from_dict(py, &values, &["underlying"]);
        crate::python::instruments::from_dict_instrument_pyo3(py, values)
    }

    #[pyo3(name = "to_dict")]
    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
        let dict = PyDict::new(py);
        dict.set_item("type", stringify!(CryptoFuturesSpread))?;
        dict.set_item("id", self.id.to_string())?;
        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
        dict.set_item("underlying", self.underlying.code.to_string())?;
        dict.set_item("quote_currency", self.quote_currency.code.to_string())?;
        dict.set_item(
            "settlement_currency",
            self.settlement_currency.code.to_string(),
        )?;
        dict.set_item("is_inverse", self.is_inverse)?;
        dict.set_item("strategy_type", self.strategy_type.to_string())?;
        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
        dict.set_item("price_precision", self.price_precision)?;
        dict.set_item("size_precision", self.size_precision)?;
        dict.set_item("price_increment", self.price_increment.to_string())?;
        dict.set_item("size_increment", self.size_increment.to_string())?;
        dict.set_item("margin_init", self.margin_init.to_string())?;
        dict.set_item("margin_maint", self.margin_maint.to_string())?;
        dict.set_item("multiplier", self.multiplier.to_string())?;
        dict.set_item("lot_size", self.lot_size.to_string())?;

        if let Some(ref info_map) = self.info {
            let info_dict = PyDict::new(py);

            for (key, value) in info_map {
                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
                let py_value =
                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
                info_dict.set_item(key, py_value)?;
            }
            dict.set_item("info", info_dict)?;
        } else {
            dict.set_item("info", PyDict::new(py))?;
        }
        dict.set_item("ts_event", self.ts_event.as_u64())?;
        dict.set_item("ts_init", self.ts_init.as_u64())?;

        match self.max_quantity {
            Some(value) => dict.set_item("max_quantity", value.to_string())?,
            None => dict.set_item("max_quantity", py.None())?,
        }

        match self.min_quantity {
            Some(value) => dict.set_item("min_quantity", value.to_string())?,
            None => dict.set_item("min_quantity", py.None())?,
        }

        match self.max_notional {
            Some(value) => dict.set_item("max_notional", value.to_string())?,
            None => dict.set_item("max_notional", py.None())?,
        }

        match self.min_notional {
            Some(value) => dict.set_item("min_notional", value.to_string())?,
            None => dict.set_item("min_notional", py.None())?,
        }

        match self.max_price {
            Some(value) => dict.set_item("max_price", value.to_string())?,
            None => dict.set_item("max_price", py.None())?,
        }

        match self.min_price {
            Some(value) => dict.set_item("min_price", value.to_string())?,
            None => dict.set_item("min_price", py.None())?,
        }
        dict.set_item(
            "tick_scheme",
            crate::python::instruments::tick_scheme_to_py(self),
        )?;
        Ok(dict.into())
    }
}

#[cfg(test)]
mod tests {
    use pyo3::{prelude::*, types::PyDict};
    use rstest::rstest;

    use crate::instruments::{CryptoFuturesSpread, stubs::*};

    #[rstest]
    fn test_dict_round_trip(crypto_futures_spread_btc_deribit: CryptoFuturesSpread) {
        Python::initialize();
        Python::attach(|py| {
            let original = crypto_futures_spread_btc_deribit;
            let values = original.py_to_dict(py).unwrap();
            let values: Py<PyDict> = values.extract(py).unwrap();
            let restored = CryptoFuturesSpread::py_from_dict(py, values).unwrap();
            assert_eq!(original, restored);
        });
    }
}