nautilus_model/python/orderbook/
level.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::python::IntoPyObjectNautilusExt;
22use pyo3::{prelude::*, pyclass::CompareOp};
23
24use crate::{
25    data::order::BookOrder,
26    enums::OrderSide,
27    orderbook::BookLevel,
28    python::types::fixed::FloatArithmetic,
29    types::{price::Price, quantity::QuantityRaw},
30};
31
32#[pymethods]
33#[pyo3_stub_gen::derive::gen_stub_pymethods]
34impl BookLevel {
35    fn __repr__(&self) -> String {
36        format!("{self:?}")
37    }
38
39    fn __str__(&self) -> String {
40        // TODO: Return debug string for now
41        format!("{self:?}")
42    }
43
44    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
45        match op {
46            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
47            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
48            CompareOp::Ge if self.side() == other.side() => self.ge(other).into_py_any_unwrap(py),
49            CompareOp::Gt if self.side() == other.side() => self.gt(other).into_py_any_unwrap(py),
50            CompareOp::Le if self.side() == other.side() => self.le(other).into_py_any_unwrap(py),
51            CompareOp::Lt if self.side() == other.side() => self.lt(other).into_py_any_unwrap(py),
52            CompareOp::Ge | CompareOp::Gt | CompareOp::Le | CompareOp::Lt => py.NotImplemented(),
53        }
54    }
55
56    fn __hash__(&self) -> isize {
57        let mut hasher = DefaultHasher::new();
58        self.side().hash(&mut hasher);
59        self.price.value.hash(&mut hasher);
60        hasher.finish() as isize
61    }
62
63    #[getter]
64    #[pyo3(name = "price")]
65    fn py_price(&self) -> Price {
66        self.price.value
67    }
68
69    #[getter]
70    #[pyo3(name = "side")]
71    fn py_side(&self) -> OrderSide {
72        self.side()
73    }
74
75    /// Returns the number of orders at this price level.
76    #[pyo3(name = "len")]
77    fn py_len(&self) -> usize {
78        self.len()
79    }
80
81    /// Returns true if this price level has no orders.
82    #[pyo3(name = "is_empty")]
83    fn py_is_empty(&self) -> bool {
84        self.is_empty()
85    }
86
87    /// Returns the total size of all orders at this price level as a float.
88    #[pyo3(name = "size")]
89    fn py_size(&self) -> PyResult<f64> {
90        check_sizes_float_precision(self)?;
91        Ok(self.size())
92    }
93
94    /// Returns the total size of all orders at this price level as raw integer units.
95    #[pyo3(name = "size_raw")]
96    fn py_size_raw(&self) -> QuantityRaw {
97        self.size_raw()
98    }
99
100    /// Returns the total exposure (price * size) of all orders at this price level as a float.
101    #[pyo3(name = "exposure")]
102    fn py_exposure(&self) -> PyResult<f64> {
103        for order in self.orders.values() {
104            order.price.check_float_precision()?;
105            order.size.check_float_precision()?;
106        }
107
108        Ok(self.exposure())
109    }
110
111    /// Returns the total exposure (price * size) of all orders at this price level as raw integer units.
112    ///
113    /// Fixed-scale orders contribute `price.raw * size.raw / FIXED_SCALAR`.
114    /// Native DeFi scales are normalized to the same fixed-scale result.
115    /// Division truncates toward zero.
116    /// Non-positive prices contribute zero.
117    /// Saturates at `QuantityRaw::MAX` if the total exposure would overflow.
118    #[pyo3(name = "exposure_raw")]
119    fn py_exposure_raw(&self) -> QuantityRaw {
120        self.exposure_raw()
121    }
122
123    #[pyo3(name = "first")]
124    fn py_fist(&self) -> Option<BookOrder> {
125        self.first().copied()
126    }
127
128    /// Returns all orders at this price level in FIFO insertion order.
129    #[pyo3(name = "get_orders")]
130    fn py_get_orders(&self) -> Vec<BookOrder> {
131        self.get_orders()
132    }
133}
134
135pub(super) fn check_sizes_float_precision(level: &BookLevel) -> PyResult<()> {
136    for order in level.orders.values() {
137        order.size.check_float_precision()?;
138    }
139
140    Ok(())
141}
nautilus_model/python/orderbook/level.rs

nautilus_model/python/orderbook/
level.rs
