nautilus_model/python/instruments/
futures_spread.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::FuturesSpread,
33    types::{Currency, Price, Quantity},
34};
35
36#[pymethods]
37#[pyo3_stub_gen::derive::gen_stub_pymethods]
38impl FuturesSpread {
39    /// Represents a generic deliverable futures spread instrument.
40    #[expect(clippy::too_many_arguments)]
41    #[new]
42    #[pyo3(signature = (instrument_id, raw_symbol, asset_class, underlying, strategy_type, 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        strategy_type: String,
49        activation_ns: u64,
50        expiration_ns: u64,
51        currency: Currency,
52        price_precision: u8,
53        price_increment: Price,
54        multiplier: Quantity,
55        lot_size: Quantity,
56        ts_event: u64,
57        ts_init: u64,
58        max_quantity: Option<Quantity>,
59        min_quantity: Option<Quantity>,
60        max_price: Option<Price>,
61        min_price: Option<Price>,
62        margin_init: Option<Decimal>,
63        margin_maint: Option<Decimal>,
64        maker_fee: Option<Decimal>,
65        taker_fee: Option<Decimal>,
66        exchange: Option<String>,
67        tick_scheme: Option<String>,
68        info: Option<Py<PyDict>>,
69    ) -> PyResult<Self> {
70        // Convert Python dict to Params
71        let info_map = if let Some(info_dict) = info {
72            Python::attach(|py| from_pydict(py, &info_dict))?
73        } else {
74            None
75        };
76
77        Self::new_checked(
78            instrument_id,
79            raw_symbol,
80            asset_class,
81            exchange.map(|x| Ustr::from(&x)),
82            underlying.into(),
83            strategy_type.into(),
84            activation_ns.into(),
85            expiration_ns.into(),
86            currency,
87            price_precision,
88            price_increment,
89            multiplier,
90            lot_size,
91            max_quantity,
92            min_quantity,
93            max_price,
94            min_price,
95            margin_init,
96            margin_maint,
97            maker_fee,
98            taker_fee,
99            tick_scheme.map(|name| ustr::Ustr::from(name.as_str())),
100            info_map,
101            ts_event.into(),
102            ts_init.into(),
103        )
104        .map_err(to_pyvalue_err)
105    }
106
107    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
108        match op {
109            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
110            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
111            _ => py.NotImplemented(),
112        }
113    }
114
115    fn __hash__(&self) -> isize {
116        let mut hasher = DefaultHasher::new();
117        self.hash(&mut hasher);
118        hasher.finish() as isize
119    }
120
121    #[getter]
122    fn type_name(&self) -> &'static str {
123        stringify!(FuturesSpread)
124    }
125
126    #[getter]
127    #[pyo3(name = "id")]
128    fn py_id(&self) -> InstrumentId {
129        self.id
130    }
131
132    #[getter]
133    #[pyo3(name = "raw_symbol")]
134    fn py_raw_symbol(&self) -> Symbol {
135        self.raw_symbol
136    }
137
138    #[getter]
139    #[pyo3(name = "asset_class")]
140    fn py_asset_class(&self) -> AssetClass {
141        self.asset_class
142    }
143
144    #[getter]
145    #[pyo3(name = "exchange")]
146    fn py_exchange(&self) -> Option<String> {
147        self.exchange.map(|e| e.to_string())
148    }
149
150    #[getter]
151    #[pyo3(name = "underlying")]
152    fn py_underlying(&self) -> &str {
153        self.underlying.as_str()
154    }
155
156    #[getter]
157    #[pyo3(name = "strategy_type")]
158    fn py_strategy_type(&self) -> &str {
159        self.strategy_type.as_str()
160    }
161
162    #[getter]
163    #[pyo3(name = "activation_ns")]
164    fn py_activation_ns(&self) -> u64 {
165        self.activation_ns.as_u64()
166    }
167
168    #[getter]
169    #[pyo3(name = "expiration_ns")]
170    fn py_expiration_ns(&self) -> u64 {
171        self.expiration_ns.as_u64()
172    }
173
174    #[getter]
175    #[pyo3(name = "currency")]
176    fn py_currency(&self) -> Currency {
177        self.currency
178    }
179
180    #[getter]
181    #[pyo3(name = "price_precision")]
182    fn py_price_precision(&self) -> u8 {
183        self.price_precision
184    }
185
186    #[getter]
187    #[pyo3(name = "price_increment")]
188    fn py_price_increment(&self) -> Price {
189        self.price_increment
190    }
191
192    #[getter]
193    #[pyo3(name = "size_increment")]
194    fn py_size_increment(&self) -> Quantity {
195        self.size_increment
196    }
197
198    #[getter]
199    #[pyo3(name = "size_precision")]
200    fn py_size_precision(&self) -> u8 {
201        self.size_precision
202    }
203
204    #[getter]
205    #[pyo3(name = "multiplier")]
206    fn py_multiplier(&self) -> Quantity {
207        self.multiplier
208    }
209
210    #[getter]
211    #[pyo3(name = "lot_size")]
212    fn py_lot_size(&self) -> Quantity {
213        self.lot_size
214    }
215
216    #[getter]
217    #[pyo3(name = "max_quantity")]
218    fn py_max_quantity(&self) -> Option<Quantity> {
219        self.max_quantity
220    }
221
222    #[getter]
223    #[pyo3(name = "min_quantity")]
224    fn py_min_quantity(&self) -> Option<Quantity> {
225        self.min_quantity
226    }
227
228    #[getter]
229    #[pyo3(name = "max_price")]
230    fn py_max_price(&self) -> Option<Price> {
231        self.max_price
232    }
233
234    #[getter]
235    #[pyo3(name = "min_price")]
236    fn py_min_price(&self) -> Option<Price> {
237        self.min_price
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 = "maker_fee")]
254    fn py_maker_fee(&self) -> Decimal {
255        self.maker_fee
256    }
257
258    #[getter]
259    #[pyo3(name = "taker_fee")]
260    fn py_taker_fee(&self) -> Decimal {
261        self.taker_fee
262    }
263
264    #[getter]
265    #[pyo3(name = "info")]
266    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
267        // Convert HashMap<String, serde_json::Value> back to Python dict
268        if let Some(ref info_map) = self.info {
269            let py_dict = PyDict::new(py);
270
271            for (key, value) in info_map {
272                // Convert serde_json::Value back to Python object via JSON
273                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
274                let py_value =
275                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
276                py_dict.set_item(key, py_value)?;
277            }
278            Ok(py_dict.unbind())
279        } else {
280            Ok(PyDict::new(py).unbind())
281        }
282    }
283
284    #[getter]
285    #[pyo3(name = "ts_event")]
286    fn py_ts_event(&self) -> u64 {
287        self.ts_event.as_u64()
288    }
289
290    #[getter]
291    #[pyo3(name = "ts_init")]
292    fn py_ts_init(&self) -> u64 {
293        self.ts_init.as_u64()
294    }
295
296    #[staticmethod]
297    #[pyo3(name = "from_dict")]
298    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
299        crate::python::instruments::from_dict_instrument_pyo3(py, values)
300    }
301
302    #[pyo3(name = "to_dict")]
303    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
304        let dict = PyDict::new(py);
305        dict.set_item("type", stringify!(FuturesSpread))?;
306        dict.set_item("id", self.id.to_string())?;
307        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
308        dict.set_item("asset_class", self.asset_class.to_string())?;
309        dict.set_item("underlying", self.underlying.to_string())?;
310        dict.set_item("strategy_type", self.strategy_type.to_string())?;
311        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
312        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
313        dict.set_item("currency", self.currency.code.to_string())?;
314        dict.set_item("price_precision", self.price_precision)?;
315        dict.set_item("price_increment", self.price_increment.to_string())?;
316        dict.set_item("size_increment", self.size_increment.to_string())?;
317        dict.set_item("size_precision", self.size_precision)?;
318        dict.set_item("multiplier", self.multiplier.to_string())?;
319        dict.set_item("lot_size", self.lot_size.to_string())?;
320        dict.set_item("margin_init", self.margin_init.to_string())?;
321        dict.set_item("margin_maint", self.margin_maint.to_string())?;
322        dict.set_item("maker_fee", self.maker_fee.to_string())?;
323        dict.set_item("taker_fee", self.taker_fee.to_string())?;
324        // Serialize info dict
325        if let Some(ref info_map) = self.info {
326            let info_dict = PyDict::new(py);
327
328            for (key, value) in info_map {
329                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
330                let py_value =
331                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
332                info_dict.set_item(key, py_value)?;
333            }
334            dict.set_item("info", info_dict)?;
335        } else {
336            dict.set_item("info", PyDict::new(py))?;
337        }
338        dict.set_item("ts_event", self.ts_event.as_u64())?;
339        dict.set_item("ts_init", self.ts_init.as_u64())?;
340        match self.max_quantity {
341            Some(value) => dict.set_item("max_quantity", value.to_string())?,
342            None => dict.set_item("max_quantity", py.None())?,
343        }
344
345        match self.min_quantity {
346            Some(value) => dict.set_item("min_quantity", value.to_string())?,
347            None => dict.set_item("min_quantity", py.None())?,
348        }
349
350        match self.max_price {
351            Some(value) => dict.set_item("max_price", value.to_string())?,
352            None => dict.set_item("max_price", py.None())?,
353        }
354
355        match self.min_price {
356            Some(value) => dict.set_item("min_price", value.to_string())?,
357            None => dict.set_item("min_price", py.None())?,
358        }
359
360        match self.exchange {
361            Some(value) => dict.set_item("exchange", value.to_string())?,
362            None => dict.set_item("exchange", py.None())?,
363        }
364        dict.set_item(
365            "tick_scheme",
366            crate::python::instruments::tick_scheme_to_py(self),
367        )?;
368        Ok(dict.into())
369    }
370}
nautilus_model/python/instruments/futures_spread.rs

nautilus_model/python/instruments/
futures_spread.rs
