nautilus_model/python/data/
depth.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::{HashMap, hash_map::DefaultHasher},
18    hash::{Hash, Hasher},
19};
20
21use nautilus_core::{
22    python::{
23        IntoPyObjectNautilusExt,
24        serialization::{from_dict_pyo3, to_dict_pyo3},
25        to_pyvalue_err,
26    },
27    serialization::{
28        Serializable,
29        msgpack::{FromMsgPack, ToMsgPack},
30    },
31};
32use pyo3::{IntoPyObjectExt, prelude::*, pyclass::CompareOp, types::PyDict};
33
34use crate::{
35    data::{
36        depth::{DEPTH10_LEN, OrderBookDepth},
37        order::BookOrder,
38    },
39    enums::OrderSide,
40    identifiers::InstrumentId,
41    python::common::PY_MODULE_MODEL,
42    types::{Price, Quantity},
43};
44
45#[pymethods]
46#[pyo3_stub_gen::derive::gen_stub_pymethods]
47impl OrderBookDepth {
48    /// Represents one aggregated order book snapshot with any number of levels per side.
49    ///
50    /// The plural name denotes the many levels in one snapshot. In contrast, `super.OrderBookDeltas`
51    /// is a container of multiple update events. Up to ten levels per side remain inline; deeper venue
52    /// snapshots spill transparently without changing the data type.
53    ///
54    /// Per-level `BookOrder.order_id` values are retained when supplied by the venue.
55    #[expect(clippy::too_many_arguments)]
56    #[new]
57    fn py_new(
58        instrument_id: InstrumentId,
59        bids: Vec<BookOrder>,
60        asks: Vec<BookOrder>,
61        bid_counts: Vec<u32>,
62        ask_counts: Vec<u32>,
63        flags: u8,
64        sequence: u64,
65        ts_event: u64,
66        ts_init: u64,
67    ) -> PyResult<Self> {
68        if bids.len() != bid_counts.len() {
69            return Err(to_pyvalue_err(format!(
70                "bid order and count lengths must match: {} orders and {} counts",
71                bids.len(),
72                bid_counts.len(),
73            )));
74        }
75
76        if asks.len() != ask_counts.len() {
77            return Err(to_pyvalue_err(format!(
78                "ask order and count lengths must match: {} orders and {} counts",
79                asks.len(),
80                ask_counts.len(),
81            )));
82        }
83
84        Self::new_checked(
85            instrument_id,
86            bids,
87            asks,
88            bid_counts,
89            ask_counts,
90            flags,
91            sequence,
92            ts_event.into(),
93            ts_init.into(),
94        )
95        .map_err(to_pyvalue_err)
96    }
97
98    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
99        match op {
100            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
101            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
102            _ => py.NotImplemented(),
103        }
104    }
105
106    fn __hash__(&self) -> isize {
107        let mut h = DefaultHasher::new();
108        self.hash(&mut h);
109        h.finish() as isize
110    }
111
112    fn __repr__(&self) -> String {
113        format!("{self:?}")
114    }
115
116    fn __str__(&self) -> String {
117        self.to_string()
118    }
119
120    #[getter]
121    #[pyo3(name = "instrument_id")]
122    fn py_instrument_id(&self) -> InstrumentId {
123        self.instrument_id
124    }
125
126    #[getter]
127    #[pyo3(name = "bids")]
128    fn py_bids(&self) -> Vec<BookOrder> {
129        self.bids.to_vec()
130    }
131
132    #[getter]
133    #[pyo3(name = "asks")]
134    fn py_asks(&self) -> Vec<BookOrder> {
135        self.asks.to_vec()
136    }
137
138    #[getter]
139    #[pyo3(name = "bid_counts")]
140    fn py_bid_counts(&self) -> Vec<u32> {
141        self.bid_counts.to_vec()
142    }
143
144    #[getter]
145    #[pyo3(name = "ask_counts")]
146    fn py_ask_counts(&self) -> Vec<u32> {
147        self.ask_counts.to_vec()
148    }
149
150    #[getter]
151    #[pyo3(name = "flags")]
152    fn py_flags(&self) -> u8 {
153        self.flags
154    }
155
156    #[getter]
157    #[pyo3(name = "sequence")]
158    fn py_sequence(&self) -> u64 {
159        self.sequence
160    }
161
162    #[getter]
163    #[pyo3(name = "ts_event")]
164    fn py_ts_event(&self) -> u64 {
165        self.ts_event.as_u64()
166    }
167
168    #[getter]
169    #[pyo3(name = "ts_init")]
170    fn py_ts_init(&self) -> u64 {
171        self.ts_init.as_u64()
172    }
173
174    #[staticmethod]
175    #[pyo3(name = "fully_qualified_name")]
176    fn py_fully_qualified_name() -> String {
177        format!("{}:{}", PY_MODULE_MODEL, stringify!(OrderBookDepth))
178    }
179
180    /// Returns the metadata for the type, for use with serialization formats.
181    #[staticmethod]
182    #[pyo3(name = "get_metadata")]
183    fn py_get_metadata(
184        instrument_id: &InstrumentId,
185        price_precision: u8,
186        size_precision: u8,
187    ) -> HashMap<String, String> {
188        Self::get_metadata(instrument_id, price_precision, size_precision)
189    }
190
191    /// Returns the field map for the type, for use with Arrow schemas.
192    #[staticmethod]
193    #[pyo3(name = "get_fields")]
194    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
195        let py_dict = PyDict::new(py);
196        for (k, v) in Self::get_fields() {
197            py_dict.set_item(k, v)?;
198        }
199
200        Ok(py_dict)
201    }
202
203    // TODO: Expose this properly from a test stub provider
204    #[staticmethod]
205    #[pyo3(name = "get_stub")]
206    fn py_get_stub() -> Self {
207        let instrument_id = InstrumentId::from("AAPL.XNAS");
208        let flags = 0;
209        let sequence = 0;
210        let ts_event = 1;
211        let ts_init = 2;
212
213        let mut bids: [BookOrder; DEPTH10_LEN] = [BookOrder::default(); DEPTH10_LEN];
214        let mut asks: [BookOrder; DEPTH10_LEN] = [BookOrder::default(); DEPTH10_LEN];
215
216        // Create bids
217        let mut price = 99.00;
218        let mut quantity = 100.0;
219
220        for (i, order) in bids.iter_mut().take(DEPTH10_LEN).enumerate() {
221            *order = BookOrder::new(
222                OrderSide::Buy,
223                Price::new(price, 2),
224                Quantity::new(quantity, 0),
225                (i + 1) as u64,
226            );
227
228            price -= 1.0;
229            quantity += 100.0;
230        }
231
232        // Create asks
233        let mut price = 100.00;
234        let mut quantity = 100.0;
235
236        for (i, order) in asks.iter_mut().take(DEPTH10_LEN).enumerate() {
237            *order = BookOrder::new(
238                OrderSide::Sell,
239                Price::new(price, 2),
240                Quantity::new(quantity, 0),
241                (i + 11) as u64,
242            );
243
244            price += 1.0;
245            quantity += 100.0;
246        }
247
248        let bid_counts: [u32; 10] = [1; 10];
249        let ask_counts: [u32; 10] = [1; 10];
250
251        Self::new(
252            instrument_id,
253            bids,
254            asks,
255            bid_counts,
256            ask_counts,
257            flags,
258            sequence,
259            ts_event.into(),
260            ts_init.into(),
261        )
262    }
263
264    /// Returns a new object from the given dictionary representation.
265    #[staticmethod]
266    #[pyo3(name = "from_dict")]
267    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
268        from_dict_pyo3(py, values)
269    }
270
271    /// Return a dictionary representation of the object.
272    #[pyo3(name = "to_dict")]
273    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
274        to_dict_pyo3(py, self)
275    }
276
277    /// Return JSON encoded bytes representation of the object.
278    #[pyo3(name = "to_json_bytes")]
279    fn py_to_json_bytes(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
280        self.to_json_bytes()
281            .map_err(to_pyvalue_err)?
282            .into_py_any(py)
283    }
284
285    /// Return `MsgPack` encoded bytes representation of the object.
286    #[pyo3(name = "to_msgpack_bytes")]
287    fn py_to_msgpack_bytes(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
288        self.to_msgpack_bytes()
289            .map_err(to_pyvalue_err)?
290            .into_py_any(py)
291    }
292}
293
294#[pymethods]
295impl OrderBookDepth {
296    #[staticmethod]
297    #[pyo3(name = "from_json")]
298    fn py_from_json(data: &[u8]) -> PyResult<Self> {
299        Self::from_json_bytes(data).map_err(to_pyvalue_err)
300    }
301
302    #[staticmethod]
303    #[pyo3(name = "from_msgpack")]
304    fn py_from_msgpack(data: &[u8]) -> PyResult<Self> {
305        Self::from_msgpack_bytes(data).map_err(to_pyvalue_err)
306    }
307}
nautilus_model/python/data/depth.rs

nautilus_model/python/data/
depth.rs
