nautilus_model/python/instruments/
crypto_option.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    enums::OptionKind,
30    identifiers::{InstrumentId, Symbol},
31    instruments::CryptoOption,
32    python::instruments::register_crypto_currencies_from_dict,
33    types::{Currency, Money, Price, Quantity},
34};
35
36#[pymethods]
37#[pyo3_stub_gen::derive::gen_stub_pymethods]
38impl CryptoOption {
39    /// Represents a generic option contract instrument.
40    #[expect(clippy::too_many_arguments)]
41    #[new]
42    #[pyo3(signature = (instrument_id, raw_symbol, underlying, quote_currency, settlement_currency, is_inverse, option_kind, strike_price, 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))]
43    fn py_new(
44        instrument_id: InstrumentId,
45        raw_symbol: Symbol,
46        underlying: Currency,
47        quote_currency: Currency,
48        settlement_currency: Currency,
49        is_inverse: bool,
50        option_kind: OptionKind,
51        strike_price: Price,
52        activation_ns: u64,
53        expiration_ns: u64,
54        price_precision: u8,
55        size_precision: u8,
56        price_increment: Price,
57        size_increment: Quantity,
58        ts_event: u64,
59        ts_init: u64,
60        multiplier: Option<Quantity>,
61        lot_size: Option<Quantity>,
62        max_quantity: Option<Quantity>,
63        min_quantity: Option<Quantity>,
64        max_notional: Option<Money>,
65        min_notional: Option<Money>,
66        max_price: Option<Price>,
67        min_price: Option<Price>,
68        margin_init: Option<Decimal>,
69        margin_maint: Option<Decimal>,
70        maker_fee: Option<Decimal>,
71        taker_fee: Option<Decimal>,
72        tick_scheme: Option<String>,
73        info: Option<Py<PyDict>>,
74    ) -> PyResult<Self> {
75        // Convert Python dict to Params
76        let info_map = if let Some(info_dict) = info {
77            Python::attach(|py| from_pydict(py, &info_dict))?
78        } else {
79            None
80        };
81
82        Self::new_checked(
83            instrument_id,
84            raw_symbol,
85            underlying,
86            quote_currency,
87            settlement_currency,
88            is_inverse,
89            option_kind,
90            strike_price,
91            activation_ns.into(),
92            expiration_ns.into(),
93            price_precision,
94            size_precision,
95            price_increment,
96            size_increment,
97            multiplier,
98            lot_size,
99            max_quantity,
100            min_quantity,
101            max_notional,
102            min_notional,
103            max_price,
104            min_price,
105            margin_init,
106            margin_maint,
107            maker_fee,
108            taker_fee,
109            tick_scheme.map(|name| ustr::Ustr::from(name.as_str())),
110            info_map,
111            ts_event.into(),
112            ts_init.into(),
113        )
114        .map_err(to_pyvalue_err)
115    }
116
117    fn __hash__(&self) -> isize {
118        let mut hasher = DefaultHasher::new();
119        self.hash(&mut hasher);
120        hasher.finish() as isize
121    }
122
123    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
124        match op {
125            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
126            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
127            _ => py.NotImplemented(),
128        }
129    }
130
131    #[getter]
132    fn type_name(&self) -> &'static str {
133        stringify!(CryptoOption)
134    }
135
136    #[getter]
137    #[pyo3(name = "id")]
138    fn py_id(&self) -> InstrumentId {
139        self.id
140    }
141
142    #[getter]
143    #[pyo3(name = "raw_symbol")]
144    fn py_raw_symbol(&self) -> Symbol {
145        self.raw_symbol
146    }
147
148    #[getter]
149    #[pyo3(name = "underlying")]
150    fn py_underlying(&self) -> Currency {
151        self.underlying
152    }
153
154    #[getter]
155    #[pyo3(name = "quote_currency")]
156    fn py_quote_currency(&self) -> Currency {
157        self.quote_currency
158    }
159
160    #[getter]
161    #[pyo3(name = "settlement_currency")]
162    fn py_settlement_currency(&self) -> Currency {
163        self.settlement_currency
164    }
165
166    #[getter]
167    #[pyo3(name = "is_inverse")]
168    fn py_is_inverse(&self) -> bool {
169        self.is_inverse
170    }
171
172    #[getter]
173    #[pyo3(name = "option_kind")]
174    fn py_option_kind(&self) -> OptionKind {
175        self.option_kind
176    }
177
178    #[getter]
179    #[pyo3(name = "strike_price")]
180    fn py_strike_price(&self) -> Price {
181        self.strike_price
182    }
183
184    #[getter]
185    #[pyo3(name = "activation_ns")]
186    fn py_activation_ns(&self) -> u64 {
187        self.activation_ns.as_u64()
188    }
189
190    #[getter]
191    #[pyo3(name = "expiration_ns")]
192    fn py_expiration_ns(&self) -> u64 {
193        self.expiration_ns.as_u64()
194    }
195
196    #[getter]
197    #[pyo3(name = "price_precision")]
198    fn py_price_precision(&self) -> u8 {
199        self.price_precision
200    }
201
202    #[getter]
203    #[pyo3(name = "size_precision")]
204    fn py_size_precision(&self) -> u8 {
205        self.size_precision
206    }
207
208    #[getter]
209    #[pyo3(name = "price_increment")]
210    fn py_price_increment(&self) -> Price {
211        self.price_increment
212    }
213
214    #[getter]
215    #[pyo3(name = "size_increment")]
216    fn py_size_increment(&self) -> Quantity {
217        self.size_increment
218    }
219
220    #[getter]
221    #[pyo3(name = "multiplier")]
222    fn py_multiplier(&self) -> Quantity {
223        self.multiplier
224    }
225
226    #[getter]
227    #[pyo3(name = "lot_size")]
228    fn py_lot_size(&self) -> Quantity {
229        self.lot_size
230    }
231
232    #[getter]
233    #[pyo3(name = "max_quantity")]
234    fn py_max_quantity(&self) -> Option<Quantity> {
235        self.max_quantity
236    }
237
238    #[getter]
239    #[pyo3(name = "min_quantity")]
240    fn py_min_quantity(&self) -> Option<Quantity> {
241        self.min_quantity
242    }
243
244    #[getter]
245    #[pyo3(name = "max_notional")]
246    fn py_max_notional(&self) -> Option<Money> {
247        self.max_notional
248    }
249
250    #[getter]
251    #[pyo3(name = "min_notional")]
252    fn py_min_notional(&self) -> Option<Money> {
253        self.min_notional
254    }
255
256    #[getter]
257    #[pyo3(name = "max_price")]
258    fn py_max_price(&self) -> Option<Price> {
259        self.max_price
260    }
261
262    #[getter]
263    #[pyo3(name = "min_price")]
264    fn py_min_price(&self) -> Option<Price> {
265        self.min_price
266    }
267
268    #[getter]
269    #[pyo3(name = "margin_init")]
270    fn py_margin_init(&self) -> Decimal {
271        self.margin_init
272    }
273
274    #[getter]
275    #[pyo3(name = "margin_maint")]
276    fn py_margin_maint(&self) -> Decimal {
277        self.margin_maint
278    }
279
280    #[getter]
281    #[pyo3(name = "maker_fee")]
282    fn py_maker_fee(&self) -> Decimal {
283        self.maker_fee
284    }
285
286    #[getter]
287    #[pyo3(name = "taker_fee")]
288    fn py_taker_fee(&self) -> Decimal {
289        self.taker_fee
290    }
291
292    #[getter]
293    #[pyo3(name = "info")]
294    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
295        // Convert HashMap<String, serde_json::Value> back to Python dict
296        if let Some(ref info_map) = self.info {
297            let py_dict = PyDict::new(py);
298
299            for (key, value) in info_map {
300                // Convert serde_json::Value back to Python object via JSON
301                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
302                let py_value =
303                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
304                py_dict.set_item(key, py_value)?;
305            }
306            Ok(py_dict.unbind())
307        } else {
308            Ok(PyDict::new(py).unbind())
309        }
310    }
311
312    #[getter]
313    #[pyo3(name = "ts_event")]
314    fn py_ts_event(&self) -> u64 {
315        self.ts_event.as_u64()
316    }
317
318    #[getter]
319    #[pyo3(name = "ts_init")]
320    fn py_ts_init(&self) -> u64 {
321        self.ts_init.as_u64()
322    }
323
324    #[staticmethod]
325    #[pyo3(name = "from_dict")]
326    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
327        register_crypto_currencies_from_dict(py, &values, &["underlying"]);
328        crate::python::instruments::from_dict_instrument_pyo3(py, values)
329    }
330
331    #[pyo3(name = "to_dict")]
332    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
333        let dict = PyDict::new(py);
334        dict.set_item("type", stringify!(CryptoOption))?;
335        dict.set_item("id", self.id.to_string())?;
336        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
337        dict.set_item("underlying", self.underlying.code.to_string())?;
338        dict.set_item("quote_currency", self.quote_currency.code.to_string())?;
339        dict.set_item(
340            "settlement_currency",
341            self.settlement_currency.code.to_string(),
342        )?;
343        dict.set_item("is_inverse", self.is_inverse)?;
344        dict.set_item("option_kind", self.option_kind.to_string())?;
345        dict.set_item("strike_price", self.strike_price.to_string())?;
346        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
347        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
348        dict.set_item("price_precision", self.price_precision)?;
349        dict.set_item("size_precision", self.size_precision)?;
350        dict.set_item("price_increment", self.price_increment.to_string())?;
351        dict.set_item("size_increment", self.size_increment.to_string())?;
352        dict.set_item("multiplier", self.multiplier.to_string())?;
353        dict.set_item("lot_size", self.lot_size.to_string())?;
354        dict.set_item("margin_init", self.margin_init.to_string())?;
355        dict.set_item("margin_maint", self.margin_maint.to_string())?;
356        dict.set_item("maker_fee", self.maker_fee.to_string())?;
357        dict.set_item("taker_fee", self.taker_fee.to_string())?;
358        dict.set_item("ts_event", self.ts_event.as_u64())?;
359        dict.set_item("ts_init", self.ts_init.as_u64())?;
360        // Serialize info dict
361        if let Some(ref info_map) = self.info {
362            let info_dict = PyDict::new(py);
363
364            for (key, value) in info_map {
365                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
366                let py_value =
367                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
368                info_dict.set_item(key, py_value)?;
369            }
370            dict.set_item("info", info_dict)?;
371        } else {
372            dict.set_item("info", PyDict::new(py))?;
373        }
374
375        match self.max_quantity {
376            Some(value) => dict.set_item("max_quantity", value.to_string())?,
377            None => dict.set_item("max_quantity", py.None())?,
378        }
379
380        match self.min_quantity {
381            Some(value) => dict.set_item("min_quantity", value.to_string())?,
382            None => dict.set_item("min_quantity", py.None())?,
383        }
384
385        match self.max_notional {
386            Some(value) => dict.set_item("max_notional", value.to_string())?,
387            None => dict.set_item("max_notional", py.None())?,
388        }
389
390        match self.min_notional {
391            Some(value) => dict.set_item("min_notional", value.to_string())?,
392            None => dict.set_item("min_notional", py.None())?,
393        }
394
395        match self.max_price {
396            Some(value) => dict.set_item("max_price", value.to_string())?,
397            None => dict.set_item("max_price", py.None())?,
398        }
399
400        match self.min_price {
401            Some(value) => dict.set_item("min_price", value.to_string())?,
402            None => dict.set_item("min_price", py.None())?,
403        }
404        dict.set_item(
405            "tick_scheme",
406            crate::python::instruments::tick_scheme_to_py(self),
407        )?;
408        Ok(dict.into())
409    }
410}
411
412#[cfg(test)]
413mod tests {
414    use pyo3::{prelude::*, types::PyDict};
415    use rstest::rstest;
416
417    use crate::{
418        enums::CurrencyType,
419        instruments::{CryptoOption, stubs::*},
420        types::Currency,
421    };
422
423    #[rstest]
424    fn test_dict_round_trip(crypto_option_btc_deribit: CryptoOption) {
425        Python::initialize();
426        Python::attach(|py| {
427            let crypto_option = crypto_option_btc_deribit;
428            let values = crypto_option.py_to_dict(py).unwrap();
429            let values: Py<PyDict> = values.extract(py).unwrap();
430            let new_crypto_future = CryptoOption::py_from_dict(py, values).unwrap();
431            assert_eq!(crypto_option, new_crypto_future);
432        });
433    }
434
435    #[rstest]
436    fn test_from_dict_unknown_underlying_registers_as_crypto(
437        crypto_option_btc_deribit: CryptoOption,
438    ) {
439        // Regression: newly listed underlyings must round-trip through `from_dict`
440        // without requiring prior registration of the currency in the Rust map.
441        Python::initialize();
442        Python::attach(|py| {
443            let values = crypto_option_btc_deribit.py_to_dict(py).unwrap();
444            let values: Py<PyDict> = values.extract(py).unwrap();
445            values.bind(py).set_item("underlying", "NEWOPT").unwrap();
446
447            let new_option = CryptoOption::py_from_dict(py, values).unwrap();
448            assert_eq!(new_option.underlying.code.as_str(), "NEWOPT");
449            assert_eq!(new_option.underlying.precision, 8);
450            assert_eq!(new_option.underlying.currency_type, CurrencyType::Crypto);
451            assert!(Currency::try_from_str("NEWOPT").is_some());
452        });
453    }
454}
nautilus_model/python/instruments/crypto_option.rs

nautilus_model/python/instruments/
crypto_option.rs
