nautilus_model/python/instruments/
crypto_perpetual.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, serialization::from_dict_pyo3, to_pyvalue_err},
24};
25use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
26use rust_decimal::Decimal;
27
28use crate::{
29    identifiers::{InstrumentId, Symbol},
30    instruments::CryptoPerpetual,
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 CryptoPerpetual {
38    /// Represents a crypto perpetual futures contract instrument (a.k.a. perpetual swap).
39    #[expect(clippy::too_many_arguments)]
40    #[new]
41    #[pyo3(signature = (instrument_id, raw_symbol, base_currency, quote_currency, settlement_currency, is_inverse, 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, info=None))]
42    fn py_new(
43        instrument_id: InstrumentId,
44        raw_symbol: Symbol,
45        base_currency: Currency,
46        quote_currency: Currency,
47        settlement_currency: Currency,
48        is_inverse: bool,
49        price_precision: u8,
50        size_precision: u8,
51        price_increment: Price,
52        size_increment: Quantity,
53        ts_event: u64,
54        ts_init: u64,
55        multiplier: Option<Quantity>,
56        lot_size: Option<Quantity>,
57        max_quantity: Option<Quantity>,
58        min_quantity: Option<Quantity>,
59        max_notional: Option<Money>,
60        min_notional: Option<Money>,
61        max_price: Option<Price>,
62        min_price: Option<Price>,
63        margin_init: Option<Decimal>,
64        margin_maint: Option<Decimal>,
65        maker_fee: Option<Decimal>,
66        taker_fee: Option<Decimal>,
67        info: Option<Py<PyDict>>,
68    ) -> PyResult<Self> {
69        // Convert Python dict to Params
70        let info_map = if let Some(info_dict) = info {
71            Python::attach(|py| from_pydict(py, info_dict))?
72        } else {
73            None
74        };
75
76        Self::new_checked(
77            instrument_id,
78            raw_symbol,
79            base_currency,
80            quote_currency,
81            settlement_currency,
82            is_inverse,
83            price_precision,
84            size_precision,
85            price_increment,
86            size_increment,
87            multiplier,
88            lot_size,
89            max_quantity,
90            min_quantity,
91            max_notional,
92            min_notional,
93            max_price,
94            min_price,
95            margin_init,
96            margin_maint,
97            maker_fee,
98            taker_fee,
99            info_map,
100            ts_event.into(),
101            ts_init.into(),
102        )
103        .map_err(to_pyvalue_err)
104    }
105
106    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
107        match op {
108            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
109            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
110            _ => py.NotImplemented(),
111        }
112    }
113
114    fn __hash__(&self) -> isize {
115        let mut hasher = DefaultHasher::new();
116        self.hash(&mut hasher);
117        hasher.finish() as isize
118    }
119
120    #[getter]
121    fn type_name(&self) -> &'static str {
122        stringify!(CryptoPerpetual)
123    }
124
125    #[getter]
126    #[pyo3(name = "id")]
127    fn py_id(&self) -> InstrumentId {
128        self.id
129    }
130
131    #[getter]
132    #[pyo3(name = "raw_symbol")]
133    fn py_raw_symbol(&self) -> Symbol {
134        self.raw_symbol
135    }
136
137    #[getter]
138    #[pyo3(name = "base_currency")]
139    fn py_base_currency(&self) -> Currency {
140        self.base_currency
141    }
142
143    #[getter]
144    #[pyo3(name = "quote_currency")]
145    fn py_quote_currency(&self) -> Currency {
146        self.quote_currency
147    }
148
149    #[getter]
150    #[pyo3(name = "settlement_currency")]
151    fn py_settlement_currency(&self) -> Currency {
152        self.settlement_currency
153    }
154
155    #[getter]
156    #[pyo3(name = "is_inverse")]
157    fn py_is_inverse(&self) -> bool {
158        self.is_inverse
159    }
160
161    #[getter]
162    #[pyo3(name = "price_precision")]
163    fn py_price_precision(&self) -> u8 {
164        self.price_precision
165    }
166
167    #[getter]
168    #[pyo3(name = "size_precision")]
169    fn py_size_precision(&self) -> u8 {
170        self.size_precision
171    }
172
173    #[getter]
174    #[pyo3(name = "price_increment")]
175    fn py_price_increment(&self) -> Price {
176        self.price_increment
177    }
178
179    #[getter]
180    #[pyo3(name = "size_increment")]
181    fn py_size_increment(&self) -> Quantity {
182        self.size_increment
183    }
184
185    #[getter]
186    #[pyo3(name = "multiplier")]
187    fn py_multiplier(&self) -> Quantity {
188        self.multiplier
189    }
190
191    #[getter]
192    #[pyo3(name = "lot_size")]
193    fn py_lot_size(&self) -> Quantity {
194        self.lot_size
195    }
196
197    #[getter]
198    #[pyo3(name = "max_quantity")]
199    fn py_max_quantity(&self) -> Option<Quantity> {
200        self.max_quantity
201    }
202
203    #[getter]
204    #[pyo3(name = "min_quantity")]
205    fn py_min_quantity(&self) -> Option<Quantity> {
206        self.min_quantity
207    }
208
209    #[getter]
210    #[pyo3(name = "max_notional")]
211    fn py_max_notional(&self) -> Option<Money> {
212        self.max_notional
213    }
214
215    #[getter]
216    #[pyo3(name = "min_notional")]
217    fn py_min_notional(&self) -> Option<Money> {
218        self.min_notional
219    }
220
221    #[getter]
222    #[pyo3(name = "max_price")]
223    fn py_max_price(&self) -> Option<Price> {
224        self.max_price
225    }
226
227    #[getter]
228    #[pyo3(name = "min_price")]
229    fn py_min_price(&self) -> Option<Price> {
230        self.min_price
231    }
232
233    #[getter]
234    #[pyo3(name = "ts_event")]
235    fn py_ts_event(&self) -> u64 {
236        self.ts_event.as_u64()
237    }
238
239    #[getter]
240    #[pyo3(name = "ts_init")]
241    fn py_ts_init(&self) -> u64 {
242        self.ts_init.as_u64()
243    }
244
245    #[getter]
246    #[pyo3(name = "margin_init")]
247    fn py_margin_init(&self) -> Decimal {
248        self.margin_init
249    }
250
251    #[getter]
252    #[pyo3(name = "margin_maint")]
253    fn py_margin_maint(&self) -> Decimal {
254        self.margin_maint
255    }
256
257    #[getter]
258    #[pyo3(name = "maker_fee")]
259    fn py_maker_fee(&self) -> Decimal {
260        self.maker_fee
261    }
262
263    #[getter]
264    #[pyo3(name = "taker_fee")]
265    fn py_taker_fee(&self) -> Decimal {
266        self.taker_fee
267    }
268
269    #[getter]
270    #[pyo3(name = "info")]
271    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
272        // Convert HashMap<String, serde_json::Value> back to Python dict
273        if let Some(ref info_map) = self.info {
274            let py_dict = PyDict::new(py);
275
276            for (key, value) in info_map {
277                // Convert serde_json::Value back to Python object via JSON
278                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
279                let py_value =
280                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
281                py_dict.set_item(key, py_value)?;
282            }
283            Ok(py_dict.unbind())
284        } else {
285            Ok(PyDict::new(py).unbind())
286        }
287    }
288
289    #[staticmethod]
290    #[pyo3(name = "from_dict")]
291    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
292        register_crypto_currencies_from_dict(py, &values, &["base_currency"]);
293        from_dict_pyo3(py, values)
294    }
295
296    #[pyo3(name = "to_dict")]
297    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
298        let dict = PyDict::new(py);
299        dict.set_item("type", stringify!(CryptoPerpetual))?;
300        dict.set_item("id", self.id.to_string())?;
301        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
302        dict.set_item("base_currency", self.base_currency.code.to_string())?;
303        dict.set_item("quote_currency", self.quote_currency.code.to_string())?;
304        dict.set_item(
305            "settlement_currency",
306            self.settlement_currency.code.to_string(),
307        )?;
308        dict.set_item("is_inverse", self.is_inverse)?;
309        dict.set_item("price_precision", self.price_precision)?;
310        dict.set_item("size_precision", self.size_precision)?;
311        dict.set_item("price_increment", self.price_increment.to_string())?;
312        dict.set_item("size_increment", self.size_increment.to_string())?;
313        dict.set_item("maker_fee", self.maker_fee.to_string())?;
314        dict.set_item("taker_fee", self.taker_fee.to_string())?;
315        dict.set_item("margin_init", self.margin_init.to_string())?;
316        dict.set_item("margin_maint", self.margin_maint.to_string())?;
317        // Serialize info dict
318        if let Some(ref info_map) = self.info {
319            let info_dict = PyDict::new(py);
320
321            for (key, value) in info_map {
322                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
323                let py_value =
324                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
325                info_dict.set_item(key, py_value)?;
326            }
327            dict.set_item("info", info_dict)?;
328        } else {
329            dict.set_item("info", PyDict::new(py))?;
330        }
331        dict.set_item("ts_event", self.ts_event.as_u64())?;
332        dict.set_item("ts_init", self.ts_init.as_u64())?;
333        dict.set_item("multiplier", self.multiplier.to_string())?;
334        dict.set_item("lot_size", self.lot_size.to_string())?;
335        match self.max_quantity {
336            Some(value) => dict.set_item("max_quantity", value.to_string())?,
337            None => dict.set_item("max_quantity", py.None())?,
338        }
339
340        match self.min_quantity {
341            Some(value) => dict.set_item("min_quantity", value.to_string())?,
342            None => dict.set_item("min_quantity", py.None())?,
343        }
344
345        match self.max_notional {
346            Some(value) => dict.set_item("max_notional", value.to_string())?,
347            None => dict.set_item("max_notional", py.None())?,
348        }
349
350        match self.min_notional {
351            Some(value) => dict.set_item("min_notional", value.to_string())?,
352            None => dict.set_item("min_notional", py.None())?,
353        }
354
355        match self.max_price {
356            Some(value) => dict.set_item("max_price", value.to_string())?,
357            None => dict.set_item("max_price", py.None())?,
358        }
359
360        match self.min_price {
361            Some(value) => dict.set_item("min_price", value.to_string())?,
362            None => dict.set_item("min_price", py.None())?,
363        }
364        Ok(dict.into())
365    }
366}
367
368#[cfg(test)]
369mod tests {
370    use pyo3::{prelude::*, types::PyDict};
371    use rstest::rstest;
372
373    use crate::{enums::CurrencyType, instruments::CryptoPerpetual, types::Currency};
374
375    #[rstest]
376    fn test_from_dict_unknown_base_currency_registers_as_crypto() {
377        // Regression: newly listed base assets (e.g. Binance `0GUSDT-PERP`) must not
378        // fail `from_dict` just because the code is absent from the built-in map.
379        Python::initialize();
380        Python::attach(|py| {
381            let dict = PyDict::new(py);
382            dict.set_item("type", "CryptoPerpetual").unwrap();
383            dict.set_item("id", "0GUSDT-PERP.BINANCE").unwrap();
384            dict.set_item("raw_symbol", "0GUSDT").unwrap();
385            dict.set_item("base_currency", "0G").unwrap();
386            dict.set_item("quote_currency", "USDT").unwrap();
387            dict.set_item("settlement_currency", "USDT").unwrap();
388            dict.set_item("is_inverse", false).unwrap();
389            dict.set_item("price_precision", 4).unwrap();
390            dict.set_item("size_precision", 0).unwrap();
391            dict.set_item("price_increment", "0.0001").unwrap();
392            dict.set_item("size_increment", "1").unwrap();
393            dict.set_item("multiplier", "1").unwrap();
394            dict.set_item("lot_size", "1").unwrap();
395            dict.set_item("max_quantity", py.None()).unwrap();
396            dict.set_item("min_quantity", "1").unwrap();
397            dict.set_item("max_notional", py.None()).unwrap();
398            dict.set_item("min_notional", py.None()).unwrap();
399            dict.set_item("max_price", py.None()).unwrap();
400            dict.set_item("min_price", py.None()).unwrap();
401            dict.set_item("margin_init", "0").unwrap();
402            dict.set_item("margin_maint", "0").unwrap();
403            dict.set_item("maker_fee", "0.0002").unwrap();
404            dict.set_item("taker_fee", "0.0004").unwrap();
405            dict.set_item("ts_event", 1_758_067_200_000_000_000u64)
406                .unwrap();
407            dict.set_item("ts_init", 1_758_067_200_000_000_000u64)
408                .unwrap();
409
410            let values: Py<PyDict> = dict.unbind();
411            let perp = CryptoPerpetual::py_from_dict(py, values).unwrap();
412
413            assert_eq!(perp.base_currency.code.as_str(), "0G");
414            assert_eq!(perp.base_currency.precision, 8);
415            assert_eq!(perp.base_currency.currency_type, CurrencyType::Crypto);
416            assert_eq!(perp.quote_currency.code.as_str(), "USDT");
417            assert_eq!(perp.settlement_currency.code.as_str(), "USDT");
418
419            // Side effect: the unknown code is now in the registry for subsequent strict lookups
420            assert!(Currency::try_from_str("0G").is_some());
421        });
422    }
423}
nautilus_model/python/instruments/crypto_perpetual.rs

nautilus_model/python/instruments/
crypto_perpetual.rs
