nautilus_live/python/client/
requests.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
16//! Exposes historical data and instrument requests to Python adapters as owned PyO3 objects.
17//!
18//! Implements read-only access to request identifiers, routing metadata, and query parameters
19//! used by Python data clients. Time-bounded requests expose their start and end values as both
20//! Python datetimes and nanosecond timestamps.
21
22use std::num::NonZero;
23
24use nautilus_common::messages::data::{
25    RequestBars, RequestBookDeltas, RequestBookDepth, RequestBookSnapshot, RequestCustomData,
26    RequestFundingRates, RequestInstrument, RequestInstruments, RequestOptionChainReferencePrice,
27    RequestQuotes, RequestTrades,
28};
29use nautilus_core::{UUID4, python::params::params_to_pydict};
30use nautilus_model::{
31    data::{BarType, DataType},
32    identifiers::{ClientId, InstrumentId, OptionSeriesId, Venue},
33};
34use pyo3::{IntoPyObjectExt, prelude::*, types::PyDict};
35
36macro_rules! request {
37    ($wrapper:ident, $request:ident, $name:tt, $client_id:ty, {$($field:ident: $ty:ty = $convert:expr),* $(,)?}) => {
38        #[doc = concat!("An owned ", $name, " request.")]
39        #[pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.live")]
40        #[pyclass(name = $name, module = "nautilus_trader.live", frozen)]
41        #[derive(Debug)]
42        pub struct $wrapper {
43            pub(crate) request: $request,
44        }
45
46        #[pyo3_stub_gen::derive::gen_stub_pymethods]
47        #[pymethods]
48        impl $wrapper {
49            #[getter]
50            fn client_id(&self) -> $client_id { self.request.client_id }
51
52            #[getter]
53            fn request_id(&self) -> UUID4 { self.request.request_id }
54
55            #[getter]
56            fn ts_init(&self) -> u64 { self.request.ts_init.as_u64() }
57
58            #[getter]
59            fn params(&self, py: Python<'_>) -> PyResult<Option<Py<PyDict>>> {
60                self.request.params.as_ref().map(|params| params_to_pydict(py, params)).transpose()
61            }
62            $(
63                #[getter]
64                fn $field(&self) -> $ty { ($convert)(&self.request) }
65            )*
66        }
67    };
68}
69
70macro_rules! request_window {
71    ($wrapper:ident) => {
72        #[pyo3_stub_gen::derive::gen_stub_pymethods]
73        #[pymethods]
74        impl $wrapper {
75            #[getter]
76            #[gen_stub(override_return_type(type_repr = "datetime.datetime | None", imports = ("datetime",)))]
77            fn start(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
78                self.request.start.into_py_any(py)
79            }
80
81            #[getter]
82            #[gen_stub(override_return_type(type_repr = "datetime.datetime | None", imports = ("datetime",)))]
83            fn end(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
84                self.request.end.into_py_any(py)
85            }
86
87            #[getter]
88            fn start_ns(&self) -> Option<i128> {
89                self.request.start.map(|timestamp| timestamp.as_nanosecond())
90            }
91
92            #[getter]
93            fn end_ns(&self) -> Option<i128> {
94                self.request.end.map(|timestamp| timestamp.as_nanosecond())
95            }
96        }
97    };
98}
99
100request!(PyRequestCustomData, RequestCustomData, "RequestCustomData", ClientId, {
101    data_type: DataType = |request: &RequestCustomData| request.data_type.clone(),
102    limit: Option<usize> = |request: &RequestCustomData| request.limit.map(NonZero::get)
103});
104request_window!(PyRequestCustomData);
105
106request!(PyRequestInstruments, RequestInstruments, "RequestInstruments", Option<ClientId>, {
107    venue: Option<Venue> = |request: &RequestInstruments| request.venue
108});
109request_window!(PyRequestInstruments);
110
111request!(PyRequestInstrument, RequestInstrument, "RequestInstrument", Option<ClientId>, {
112    instrument_id: InstrumentId = |request: &RequestInstrument| request.instrument_id
113});
114request_window!(PyRequestInstrument);
115
116request!(PyRequestBookSnapshot, RequestBookSnapshot, "RequestBookSnapshot", Option<ClientId>, {
117    instrument_id: InstrumentId = |request: &RequestBookSnapshot| request.instrument_id,
118    depth: Option<usize> = |request: &RequestBookSnapshot| request.depth.map(NonZero::get)
119});
120
121request!(PyRequestQuotes, RequestQuotes, "RequestQuotes", Option<ClientId>, {
122    instrument_id: InstrumentId = |request: &RequestQuotes| request.instrument_id,
123    limit: Option<usize> = |request: &RequestQuotes| request.limit.map(NonZero::get)
124});
125request_window!(PyRequestQuotes);
126
127request!(PyRequestTrades, RequestTrades, "RequestTrades", Option<ClientId>, {
128    instrument_id: InstrumentId = |request: &RequestTrades| request.instrument_id,
129    limit: Option<usize> = |request: &RequestTrades| request.limit.map(NonZero::get)
130});
131request_window!(PyRequestTrades);
132
133request!(PyRequestFundingRates, RequestFundingRates, "RequestFundingRates", Option<ClientId>, {
134    instrument_id: InstrumentId = |request: &RequestFundingRates| request.instrument_id,
135    limit: Option<usize> = |request: &RequestFundingRates| request.limit.map(NonZero::get)
136});
137request_window!(PyRequestFundingRates);
138
139request!(PyRequestOptionChainReferencePrice, RequestOptionChainReferencePrice, "RequestOptionChainReferencePrice", Option<ClientId>, {
140    instrument_id: InstrumentId = |request: &RequestOptionChainReferencePrice| request.instrument_id,
141    series_id: OptionSeriesId = |request: &RequestOptionChainReferencePrice| request.series_id
142});
143
144request!(PyRequestBars, RequestBars, "RequestBars", Option<ClientId>, {
145    bar_type: BarType = |request: &RequestBars| request.bar_type,
146    limit: Option<usize> = |request: &RequestBars| request.limit.map(NonZero::get)
147});
148request_window!(PyRequestBars);
149
150request!(PyRequestBookDepth, RequestBookDepth, "RequestBookDepth", Option<ClientId>, {
151    instrument_id: InstrumentId = |request: &RequestBookDepth| request.instrument_id,
152    limit: Option<usize> = |request: &RequestBookDepth| request.limit.map(NonZero::get),
153    depth: Option<usize> = |request: &RequestBookDepth| request.depth.map(NonZero::get)
154});
155request_window!(PyRequestBookDepth);
156
157request!(PyRequestBookDeltas, RequestBookDeltas, "RequestBookDeltas", Option<ClientId>, {
158    instrument_id: InstrumentId = |request: &RequestBookDeltas| request.instrument_id,
159    limit: Option<usize> = |request: &RequestBookDeltas| request.limit.map(NonZero::get)
160});
161request_window!(PyRequestBookDeltas);
162
163pub(crate) fn register(m: &Bound<'_, PyModule>) -> PyResult<()> {
164    m.add_class::<PyRequestCustomData>()?;
165    m.add_class::<PyRequestInstruments>()?;
166    m.add_class::<PyRequestInstrument>()?;
167    m.add_class::<PyRequestBookSnapshot>()?;
168    m.add_class::<PyRequestQuotes>()?;
169    m.add_class::<PyRequestTrades>()?;
170    m.add_class::<PyRequestFundingRates>()?;
171    m.add_class::<PyRequestOptionChainReferencePrice>()?;
172    m.add_class::<PyRequestBars>()?;
173    m.add_class::<PyRequestBookDepth>()?;
174    m.add_class::<PyRequestBookDeltas>()?;
175    Ok(())
176}
nautilus_live/python/client/requests.rs

nautilus_live/python/client/
requests.rs
