nautilus_model/python/instruments/
futures_contract.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;
27use ustr::Ustr;
28
29use crate::{
30    enums::AssetClass,
31    identifiers::{InstrumentId, Symbol},
32    instruments::FuturesContract,
33    types::{Currency, Price, Quantity},
34};
35
36#[pymethods]
37#[pyo3_stub_gen::derive::gen_stub_pymethods]
38impl FuturesContract {
39    /// Represents a generic deliverable futures contract instrument.
40    #[expect(clippy::too_many_arguments)]
41    #[new]
42    #[pyo3(signature = (instrument_id, raw_symbol, asset_class, underlying, activation_ns, expiration_ns, currency, price_precision, price_increment, multiplier, lot_size, ts_event, ts_init, max_quantity=None, min_quantity=None, max_price=None, min_price=None, margin_init=None, margin_maint=None, maker_fee=None, taker_fee=None, exchange=None, tick_scheme=None, info=None))]
43    fn py_new(
44        instrument_id: InstrumentId,
45        raw_symbol: Symbol,
46        asset_class: AssetClass,
47        underlying: String,
48        activation_ns: u64,
49        expiration_ns: u64,
50        currency: Currency,
51        price_precision: u8,
52        price_increment: Price,
53        multiplier: Quantity,
54        lot_size: Quantity,
55        ts_event: u64,
56        ts_init: u64,
57        max_quantity: Option<Quantity>,
58        min_quantity: Option<Quantity>,
59        max_price: Option<Price>,
60        min_price: Option<Price>,
61        margin_init: Option<Decimal>,
62        margin_maint: Option<Decimal>,
63        maker_fee: Option<Decimal>,
64        taker_fee: Option<Decimal>,
65        exchange: Option<String>,
66        tick_scheme: Option<String>,
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            asset_class,
80            exchange.map(|x| Ustr::from(&x)),
81            underlying.into(),
82            activation_ns.into(),
83            expiration_ns.into(),
84            currency,
85            price_precision,
86            price_increment,
87            multiplier,
88            lot_size,
89            max_quantity,
90            min_quantity,
91            max_price,
92            min_price,
93            margin_init,
94            margin_maint,
95            maker_fee,
96            taker_fee,
97            tick_scheme.map(|name| ustr::Ustr::from(name.as_str())),
98            info_map,
99            ts_event.into(),
100            ts_init.into(),
101        )
102        .map_err(to_pyvalue_err)
103    }
104
105    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
106        match op {
107            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
108            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
109            _ => py.NotImplemented(),
110        }
111    }
112
113    fn __hash__(&self) -> isize {
114        let mut hasher = DefaultHasher::new();
115        self.hash(&mut hasher);
116        hasher.finish() as isize
117    }
118
119    #[getter]
120    fn type_name(&self) -> &'static str {
121        stringify!(FuturesContract)
122    }
123
124    #[getter]
125    #[pyo3(name = "id")]
126    fn py_id(&self) -> InstrumentId {
127        self.id
128    }
129
130    #[getter]
131    #[pyo3(name = "raw_symbol")]
132    fn py_raw_symbol(&self) -> Symbol {
133        self.raw_symbol
134    }
135
136    #[getter]
137    #[pyo3(name = "asset_class")]
138    fn py_asset_class(&self) -> AssetClass {
139        self.asset_class
140    }
141
142    #[getter]
143    #[pyo3(name = "exchange")]
144    fn py_exchange(&self) -> Option<String> {
145        self.exchange.map(|e| e.to_string())
146    }
147
148    #[getter]
149    #[pyo3(name = "underlying")]
150    fn py_underlying(&self) -> &str {
151        self.underlying.as_str()
152    }
153
154    #[getter]
155    #[pyo3(name = "activation_ns")]
156    fn py_activation_ns(&self) -> u64 {
157        self.activation_ns.as_u64()
158    }
159
160    #[getter]
161    #[pyo3(name = "expiration_ns")]
162    fn py_expiration_ns(&self) -> u64 {
163        self.expiration_ns.as_u64()
164    }
165
166    #[getter]
167    #[pyo3(name = "currency")]
168    fn py_currency(&self) -> Currency {
169        self.currency
170    }
171
172    #[getter]
173    #[pyo3(name = "price_precision")]
174    fn py_price_precision(&self) -> u8 {
175        self.price_precision
176    }
177
178    #[getter]
179    #[pyo3(name = "price_increment")]
180    fn py_price_increment(&self) -> Price {
181        self.price_increment
182    }
183
184    #[getter]
185    #[pyo3(name = "multiplier")]
186    fn py_multiplier(&self) -> Quantity {
187        self.multiplier
188    }
189
190    #[getter]
191    #[pyo3(name = "lot_size")]
192    fn py_lot_size(&self) -> Quantity {
193        self.lot_size
194    }
195
196    #[getter]
197    #[pyo3(name = "max_quantity")]
198    fn py_max_quantity(&self) -> Option<Quantity> {
199        self.max_quantity
200    }
201
202    #[getter]
203    #[pyo3(name = "min_quantity")]
204    fn py_min_quantity(&self) -> Option<Quantity> {
205        self.min_quantity
206    }
207
208    #[getter]
209    #[pyo3(name = "max_price")]
210    fn py_max_price(&self) -> Option<Price> {
211        self.max_price
212    }
213
214    #[getter]
215    #[pyo3(name = "min_price")]
216    fn py_min_price(&self) -> Option<Price> {
217        self.min_price
218    }
219
220    #[getter]
221    #[pyo3(name = "size_increment")]
222    fn py_size_increment(&self) -> Quantity {
223        self.size_increment
224    }
225
226    #[getter]
227    #[pyo3(name = "size_precision")]
228    fn py_size_precision(&self) -> u8 {
229        self.size_precision
230    }
231
232    #[getter]
233    #[pyo3(name = "ts_event")]
234    fn py_ts_event(&self) -> u64 {
235        self.ts_event.as_u64()
236    }
237
238    #[getter]
239    #[pyo3(name = "ts_init")]
240    fn py_ts_init(&self) -> u64 {
241        self.ts_init.as_u64()
242    }
243
244    #[getter]
245    #[pyo3(name = "margin_init")]
246    fn py_margin_init(&self) -> Decimal {
247        self.margin_init
248    }
249
250    #[getter]
251    #[pyo3(name = "margin_maint")]
252    fn py_margin_maint(&self) -> Decimal {
253        self.margin_maint
254    }
255
256    #[getter]
257    #[pyo3(name = "maker_fee")]
258    fn py_maker_fee(&self) -> Decimal {
259        self.maker_fee
260    }
261
262    #[getter]
263    #[pyo3(name = "taker_fee")]
264    fn py_taker_fee(&self) -> Decimal {
265        self.taker_fee
266    }
267
268    #[getter]
269    #[pyo3(name = "info")]
270    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
271        // Convert HashMap<String, serde_json::Value> back to Python dict
272        if let Some(ref info_map) = self.info {
273            let py_dict = PyDict::new(py);
274
275            for (key, value) in info_map {
276                // Convert serde_json::Value back to Python object via JSON
277                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
278                let py_value =
279                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
280                py_dict.set_item(key, py_value)?;
281            }
282            Ok(py_dict.unbind())
283        } else {
284            Ok(PyDict::new(py).unbind())
285        }
286    }
287
288    #[staticmethod]
289    #[pyo3(name = "from_dict")]
290    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
291        crate::python::instruments::from_dict_instrument_pyo3(py, values)
292    }
293
294    #[pyo3(name = "to_dict")]
295    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
296        let dict = PyDict::new(py);
297        dict.set_item("type", stringify!(FuturesContract))?;
298        dict.set_item("id", self.id.to_string())?;
299        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
300        dict.set_item("asset_class", self.asset_class.to_string())?;
301        dict.set_item("underlying", self.underlying.to_string())?;
302        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
303        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
304        dict.set_item("currency", self.currency.code.to_string())?;
305        dict.set_item("price_precision", self.price_precision)?;
306        dict.set_item("price_increment", self.price_increment.to_string())?;
307        dict.set_item("size_increment", self.size_increment.to_string())?;
308        dict.set_item("size_precision", self.size_precision)?;
309        dict.set_item("multiplier", self.multiplier.to_string())?;
310        dict.set_item("lot_size", self.lot_size.to_string())?;
311        dict.set_item("margin_init", self.margin_init.to_string())?;
312        dict.set_item("margin_maint", self.margin_maint.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        // Serialize info dict
316        if let Some(ref info_map) = self.info {
317            let info_dict = PyDict::new(py);
318
319            for (key, value) in info_map {
320                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
321                let py_value =
322                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
323                info_dict.set_item(key, py_value)?;
324            }
325            dict.set_item("info", info_dict)?;
326        } else {
327            dict.set_item("info", PyDict::new(py))?;
328        }
329        dict.set_item("ts_event", self.ts_event.as_u64())?;
330        dict.set_item("ts_init", self.ts_init.as_u64())?;
331        match self.max_quantity {
332            Some(value) => dict.set_item("max_quantity", value.to_string())?,
333            None => dict.set_item("max_quantity", py.None())?,
334        }
335
336        match self.min_quantity {
337            Some(value) => dict.set_item("min_quantity", value.to_string())?,
338            None => dict.set_item("min_quantity", py.None())?,
339        }
340
341        match self.max_price {
342            Some(value) => dict.set_item("max_price", value.to_string())?,
343            None => dict.set_item("max_price", py.None())?,
344        }
345
346        match self.min_price {
347            Some(value) => dict.set_item("min_price", value.to_string())?,
348            None => dict.set_item("min_price", py.None())?,
349        }
350
351        match self.exchange {
352            Some(value) => dict.set_item("exchange", value.to_string())?,
353            None => dict.set_item("exchange", py.None())?,
354        }
355        dict.set_item(
356            "tick_scheme",
357            crate::python::instruments::tick_scheme_to_py(self),
358        )?;
359        Ok(dict.into())
360    }
361}
nautilus_model/python/instruments/futures_contract.rs

nautilus_model/python/instruments/
futures_contract.rs
