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, 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        exchange: Option<String>,
64        tick_scheme: Option<String>,
65        info: Option<Py<PyDict>>,
66    ) -> PyResult<Self> {
67        // Convert Python dict to Params
68        let info_map = if let Some(info_dict) = info {
69            Python::attach(|py| from_pydict(py, &info_dict))?
70        } else {
71            None
72        };
73
74        Self::builder()
75            .instrument_id(instrument_id)
76            .raw_symbol(raw_symbol)
77            .asset_class(asset_class)
78            .maybe_exchange(exchange.map(|x| Ustr::from(&x)))
79            .underlying(underlying.into())
80            .activation_ns(activation_ns.into())
81            .expiration_ns(expiration_ns.into())
82            .currency(currency)
83            .price_precision(price_precision)
84            .price_increment(price_increment)
85            .multiplier(multiplier)
86            .lot_size(lot_size)
87            .maybe_max_quantity(max_quantity)
88            .maybe_min_quantity(min_quantity)
89            .maybe_max_price(max_price)
90            .maybe_min_price(min_price)
91            .maybe_margin_init(margin_init)
92            .maybe_margin_maint(margin_maint)
93            .maybe_tick_scheme(tick_scheme.map(|name| ustr::Ustr::from(name.as_str())))
94            .maybe_info(info_map)
95            .ts_event(ts_event.into())
96            .ts_init(ts_init.into())
97            .build()
98            .map_err(to_pyvalue_err)
99    }
100
101    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
102        match op {
103            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
104            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
105            _ => py.NotImplemented(),
106        }
107    }
108
109    fn __hash__(&self) -> isize {
110        let mut hasher = DefaultHasher::new();
111        self.hash(&mut hasher);
112        hasher.finish() as isize
113    }
114
115    #[getter]
116    fn type_name(&self) -> &'static str {
117        stringify!(FuturesContract)
118    }
119
120    #[getter]
121    #[pyo3(name = "id")]
122    fn py_id(&self) -> InstrumentId {
123        self.id
124    }
125
126    #[getter]
127    #[pyo3(name = "raw_symbol")]
128    fn py_raw_symbol(&self) -> Symbol {
129        self.raw_symbol
130    }
131
132    #[getter]
133    #[pyo3(name = "asset_class")]
134    fn py_asset_class(&self) -> AssetClass {
135        self.asset_class
136    }
137
138    #[getter]
139    #[pyo3(name = "exchange")]
140    fn py_exchange(&self) -> Option<String> {
141        self.exchange.map(|e| e.to_string())
142    }
143
144    #[getter]
145    #[pyo3(name = "underlying")]
146    fn py_underlying(&self) -> &str {
147        self.underlying.as_str()
148    }
149
150    #[getter]
151    #[pyo3(name = "activation_ns")]
152    fn py_activation_ns(&self) -> u64 {
153        self.activation_ns.as_u64()
154    }
155
156    #[getter]
157    #[pyo3(name = "expiration_ns")]
158    fn py_expiration_ns(&self) -> u64 {
159        self.expiration_ns.as_u64()
160    }
161
162    #[getter]
163    #[pyo3(name = "currency")]
164    fn py_currency(&self) -> Currency {
165        self.currency
166    }
167
168    #[getter]
169    #[pyo3(name = "price_precision")]
170    fn py_price_precision(&self) -> u8 {
171        self.price_precision
172    }
173
174    #[getter]
175    #[pyo3(name = "price_increment")]
176    fn py_price_increment(&self) -> Price {
177        self.price_increment
178    }
179
180    #[getter]
181    #[pyo3(name = "multiplier")]
182    fn py_multiplier(&self) -> Quantity {
183        self.multiplier
184    }
185
186    #[getter]
187    #[pyo3(name = "lot_size")]
188    fn py_lot_size(&self) -> Quantity {
189        self.lot_size
190    }
191
192    #[getter]
193    #[pyo3(name = "max_quantity")]
194    fn py_max_quantity(&self) -> Option<Quantity> {
195        self.max_quantity
196    }
197
198    #[getter]
199    #[pyo3(name = "min_quantity")]
200    fn py_min_quantity(&self) -> Option<Quantity> {
201        self.min_quantity
202    }
203
204    #[getter]
205    #[pyo3(name = "max_price")]
206    fn py_max_price(&self) -> Option<Price> {
207        self.max_price
208    }
209
210    #[getter]
211    #[pyo3(name = "min_price")]
212    fn py_min_price(&self) -> Option<Price> {
213        self.min_price
214    }
215
216    #[getter]
217    #[pyo3(name = "size_increment")]
218    fn py_size_increment(&self) -> Quantity {
219        self.size_increment
220    }
221
222    #[getter]
223    #[pyo3(name = "size_precision")]
224    fn py_size_precision(&self) -> u8 {
225        self.size_precision
226    }
227
228    #[getter]
229    #[pyo3(name = "ts_event")]
230    fn py_ts_event(&self) -> u64 {
231        self.ts_event.as_u64()
232    }
233
234    #[getter]
235    #[pyo3(name = "ts_init")]
236    fn py_ts_init(&self) -> u64 {
237        self.ts_init.as_u64()
238    }
239
240    #[getter]
241    #[pyo3(name = "margin_init")]
242    fn py_margin_init(&self) -> Decimal {
243        self.margin_init
244    }
245
246    #[getter]
247    #[pyo3(name = "margin_maint")]
248    fn py_margin_maint(&self) -> Decimal {
249        self.margin_maint
250    }
251
252    #[getter]
253    #[pyo3(name = "info")]
254    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
255        // Convert HashMap<String, serde_json::Value> back to Python dict
256        if let Some(ref info_map) = self.info {
257            let py_dict = PyDict::new(py);
258
259            for (key, value) in info_map {
260                // Convert serde_json::Value back to Python object via JSON
261                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
262                let py_value =
263                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
264                py_dict.set_item(key, py_value)?;
265            }
266            Ok(py_dict.unbind())
267        } else {
268            Ok(PyDict::new(py).unbind())
269        }
270    }
271
272    #[staticmethod]
273    #[pyo3(name = "from_dict")]
274    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
275        crate::python::instruments::from_dict_instrument_pyo3(py, values)
276    }
277
278    #[pyo3(name = "to_dict")]
279    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
280        let dict = PyDict::new(py);
281        dict.set_item("type", stringify!(FuturesContract))?;
282        dict.set_item("id", self.id.to_string())?;
283        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
284        dict.set_item("asset_class", self.asset_class.to_string())?;
285        dict.set_item("underlying", self.underlying.to_string())?;
286        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
287        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
288        dict.set_item("currency", self.currency.code.to_string())?;
289        dict.set_item("price_precision", self.price_precision)?;
290        dict.set_item("price_increment", self.price_increment.to_string())?;
291        dict.set_item("size_increment", self.size_increment.to_string())?;
292        dict.set_item("size_precision", self.size_precision)?;
293        dict.set_item("multiplier", self.multiplier.to_string())?;
294        dict.set_item("lot_size", self.lot_size.to_string())?;
295        dict.set_item("margin_init", self.margin_init.to_string())?;
296        dict.set_item("margin_maint", self.margin_maint.to_string())?;
297        // Serialize info dict
298        if let Some(ref info_map) = self.info {
299            let info_dict = PyDict::new(py);
300
301            for (key, value) in info_map {
302                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
303                let py_value =
304                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
305                info_dict.set_item(key, py_value)?;
306            }
307            dict.set_item("info", info_dict)?;
308        } else {
309            dict.set_item("info", PyDict::new(py))?;
310        }
311        dict.set_item("ts_event", self.ts_event.as_u64())?;
312        dict.set_item("ts_init", self.ts_init.as_u64())?;
313        match self.max_quantity {
314            Some(value) => dict.set_item("max_quantity", value.to_string())?,
315            None => dict.set_item("max_quantity", py.None())?,
316        }
317
318        match self.min_quantity {
319            Some(value) => dict.set_item("min_quantity", value.to_string())?,
320            None => dict.set_item("min_quantity", py.None())?,
321        }
322
323        match self.max_price {
324            Some(value) => dict.set_item("max_price", value.to_string())?,
325            None => dict.set_item("max_price", py.None())?,
326        }
327
328        match self.min_price {
329            Some(value) => dict.set_item("min_price", value.to_string())?,
330            None => dict.set_item("min_price", py.None())?,
331        }
332
333        match self.exchange {
334            Some(value) => dict.set_item("exchange", value.to_string())?,
335            None => dict.set_item("exchange", py.None())?,
336        }
337        dict.set_item(
338            "tick_scheme",
339            crate::python::instruments::tick_scheme_to_py(self),
340        )?;
341        Ok(dict.into())
342    }
343}
nautilus_model/python/instruments/futures_contract.rs

nautilus_model/python/instruments/
futures_contract.rs
