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, serialization::from_dict_pyo3, 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, 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        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            strategy_type.into(),
83            activation_ns.into(),
84            expiration_ns.into(),
85            currency,
86            price_precision,
87            price_increment,
88            multiplier,
89            lot_size,
90            max_quantity,
91            min_quantity,
92            max_price,
93            min_price,
94            margin_init,
95            margin_maint,
96            maker_fee,
97            taker_fee,
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!(FuturesSpread)
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 = "strategy_type")]
156    fn py_strategy_type(&self) -> &str {
157        self.strategy_type.as_str()
158    }
159
160    #[getter]
161    #[pyo3(name = "activation_ns")]
162    fn py_activation_ns(&self) -> u64 {
163        self.activation_ns.as_u64()
164    }
165
166    #[getter]
167    #[pyo3(name = "expiration_ns")]
168    fn py_expiration_ns(&self) -> u64 {
169        self.expiration_ns.as_u64()
170    }
171
172    #[getter]
173    #[pyo3(name = "currency")]
174    fn py_currency(&self) -> Currency {
175        self.currency
176    }
177
178    #[getter]
179    #[pyo3(name = "price_precision")]
180    fn py_price_precision(&self) -> u8 {
181        self.price_precision
182    }
183
184    #[getter]
185    #[pyo3(name = "price_increment")]
186    fn py_price_increment(&self) -> Price {
187        self.price_increment
188    }
189
190    #[getter]
191    #[pyo3(name = "size_increment")]
192    fn py_size_increment(&self) -> Quantity {
193        self.size_increment
194    }
195
196    #[getter]
197    #[pyo3(name = "size_precision")]
198    fn py_size_precision(&self) -> u8 {
199        self.size_precision
200    }
201
202    #[getter]
203    #[pyo3(name = "multiplier")]
204    fn py_multiplier(&self) -> Quantity {
205        self.multiplier
206    }
207
208    #[getter]
209    #[pyo3(name = "lot_size")]
210    fn py_lot_size(&self) -> Quantity {
211        self.lot_size
212    }
213
214    #[getter]
215    #[pyo3(name = "max_quantity")]
216    fn py_max_quantity(&self) -> Option<Quantity> {
217        self.max_quantity
218    }
219
220    #[getter]
221    #[pyo3(name = "min_quantity")]
222    fn py_min_quantity(&self) -> Option<Quantity> {
223        self.min_quantity
224    }
225
226    #[getter]
227    #[pyo3(name = "max_price")]
228    fn py_max_price(&self) -> Option<Price> {
229        self.max_price
230    }
231
232    #[getter]
233    #[pyo3(name = "min_price")]
234    fn py_min_price(&self) -> Option<Price> {
235        self.min_price
236    }
237
238    #[getter]
239    #[pyo3(name = "margin_init")]
240    fn py_margin_init(&self) -> Decimal {
241        self.margin_init
242    }
243
244    #[getter]
245    #[pyo3(name = "margin_maint")]
246    fn py_margin_maint(&self) -> Decimal {
247        self.margin_maint
248    }
249
250    #[getter]
251    #[pyo3(name = "maker_fee")]
252    fn py_maker_fee(&self) -> Decimal {
253        self.maker_fee
254    }
255
256    #[getter]
257    #[pyo3(name = "taker_fee")]
258    fn py_taker_fee(&self) -> Decimal {
259        self.taker_fee
260    }
261
262    #[getter]
263    #[pyo3(name = "info")]
264    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
265        // Convert HashMap<String, serde_json::Value> back to Python dict
266        if let Some(ref info_map) = self.info {
267            let py_dict = PyDict::new(py);
268
269            for (key, value) in info_map {
270                // Convert serde_json::Value back to Python object via JSON
271                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
272                let py_value =
273                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
274                py_dict.set_item(key, py_value)?;
275            }
276            Ok(py_dict.unbind())
277        } else {
278            Ok(PyDict::new(py).unbind())
279        }
280    }
281
282    #[getter]
283    #[pyo3(name = "ts_event")]
284    fn py_ts_event(&self) -> u64 {
285        self.ts_event.as_u64()
286    }
287
288    #[getter]
289    #[pyo3(name = "ts_init")]
290    fn py_ts_init(&self) -> u64 {
291        self.ts_init.as_u64()
292    }
293
294    #[staticmethod]
295    #[pyo3(name = "from_dict")]
296    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
297        from_dict_pyo3(py, values)
298    }
299
300    #[pyo3(name = "to_dict")]
301    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
302        let dict = PyDict::new(py);
303        dict.set_item("type", stringify!(FuturesSpread))?;
304        dict.set_item("id", self.id.to_string())?;
305        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
306        dict.set_item("asset_class", self.asset_class.to_string())?;
307        dict.set_item("underlying", self.underlying.to_string())?;
308        dict.set_item("strategy_type", self.strategy_type.to_string())?;
309        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
310        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
311        dict.set_item("currency", self.currency.code.to_string())?;
312        dict.set_item("price_precision", self.price_precision)?;
313        dict.set_item("price_increment", self.price_increment.to_string())?;
314        dict.set_item("size_increment", self.size_increment.to_string())?;
315        dict.set_item("size_precision", self.size_precision)?;
316        dict.set_item("multiplier", self.multiplier.to_string())?;
317        dict.set_item("lot_size", self.lot_size.to_string())?;
318        dict.set_item("margin_init", self.margin_init.to_string())?;
319        dict.set_item("margin_maint", self.margin_maint.to_string())?;
320        dict.set_item("maker_fee", self.maker_fee.to_string())?;
321        dict.set_item("taker_fee", self.taker_fee.to_string())?;
322        // Serialize info dict
323        if let Some(ref info_map) = self.info {
324            let info_dict = PyDict::new(py);
325
326            for (key, value) in info_map {
327                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
328                let py_value =
329                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
330                info_dict.set_item(key, py_value)?;
331            }
332            dict.set_item("info", info_dict)?;
333        } else {
334            dict.set_item("info", PyDict::new(py))?;
335        }
336        dict.set_item("ts_event", self.ts_event.as_u64())?;
337        dict.set_item("ts_init", self.ts_init.as_u64())?;
338        match self.max_quantity {
339            Some(value) => dict.set_item("max_quantity", value.to_string())?,
340            None => dict.set_item("max_quantity", py.None())?,
341        }
342
343        match self.min_quantity {
344            Some(value) => dict.set_item("min_quantity", value.to_string())?,
345            None => dict.set_item("min_quantity", py.None())?,
346        }
347
348        match self.max_price {
349            Some(value) => dict.set_item("max_price", value.to_string())?,
350            None => dict.set_item("max_price", py.None())?,
351        }
352
353        match self.min_price {
354            Some(value) => dict.set_item("min_price", value.to_string())?,
355            None => dict.set_item("min_price", py.None())?,
356        }
357
358        match self.exchange {
359            Some(value) => dict.set_item("exchange", value.to_string())?,
360            None => dict.set_item("exchange", py.None())?,
361        }
362        Ok(dict.into())
363    }
364}
nautilus_model/python/instruments/futures_spread.rs

nautilus_model/python/instruments/
futures_spread.rs
