nautilus_model/python/instruments/
binary_option.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::BinaryOption,
33    types::{Currency, Money, Price, Quantity},
34};
35
36#[pymethods]
37#[pyo3_stub_gen::derive::gen_stub_pymethods]
38impl BinaryOption {
39    /// Represents a generic binary option instrument.
40    #[expect(clippy::too_many_arguments)]
41    #[new]
42    #[pyo3(signature = (instrument_id, raw_symbol, asset_class, currency, activation_ns, expiration_ns, price_precision, size_precision, price_increment, size_increment, ts_event, ts_init, outcome=None, description=None, max_quantity=None, min_quantity=None, max_notional=None, min_notional=None, max_price=None, min_price=None, margin_init=None, margin_maint=None, maker_fee=None, taker_fee=None, tick_scheme=None, info=None, event_id=None))]
43    fn py_new(
44        instrument_id: InstrumentId,
45        raw_symbol: Symbol,
46        asset_class: AssetClass,
47        currency: Currency,
48        activation_ns: u64,
49        expiration_ns: u64,
50        price_precision: u8,
51        size_precision: u8,
52        price_increment: Price,
53        size_increment: Quantity,
54        ts_event: u64,
55        ts_init: u64,
56        outcome: Option<String>,
57        description: Option<String>,
58        max_quantity: Option<Quantity>,
59        min_quantity: Option<Quantity>,
60        max_notional: Option<Money>,
61        min_notional: Option<Money>,
62        max_price: Option<Price>,
63        min_price: Option<Price>,
64        margin_init: Option<Decimal>,
65        margin_maint: Option<Decimal>,
66        maker_fee: Option<Decimal>,
67        taker_fee: Option<Decimal>,
68        tick_scheme: Option<String>,
69        info: Option<Py<PyDict>>,
70        event_id: Option<String>,
71    ) -> PyResult<Self> {
72        // Convert Python dict to Params
73        let info_map = if let Some(info_dict) = info {
74            Python::attach(|py| from_pydict(py, &info_dict))?
75        } else {
76            None
77        };
78
79        Self::builder()
80            .instrument_id(instrument_id)
81            .raw_symbol(raw_symbol)
82            .asset_class(asset_class)
83            .currency(currency)
84            .activation_ns(activation_ns.into())
85            .expiration_ns(expiration_ns.into())
86            .price_precision(price_precision)
87            .size_precision(size_precision)
88            .price_increment(price_increment)
89            .size_increment(size_increment)
90            .maybe_event_id(event_id.map(|value| Ustr::from(&value)))
91            .maybe_outcome(outcome.map(|x| Ustr::from(&x)))
92            .maybe_description(description.map(|x| Ustr::from(&x)))
93            .maybe_max_quantity(max_quantity)
94            .maybe_min_quantity(min_quantity)
95            .maybe_max_notional(max_notional)
96            .maybe_min_notional(min_notional)
97            .maybe_max_price(max_price)
98            .maybe_min_price(min_price)
99            .maybe_margin_init(margin_init)
100            .maybe_margin_maint(margin_maint)
101            .maybe_maker_fee(maker_fee)
102            .maybe_taker_fee(taker_fee)
103            .maybe_tick_scheme(tick_scheme.map(|name| ustr::Ustr::from(name.as_str())))
104            .maybe_info(info_map)
105            .ts_event(ts_event.into())
106            .ts_init(ts_init.into())
107            .build()
108            .map_err(to_pyvalue_err)
109    }
110
111    fn __hash__(&self) -> isize {
112        let mut hasher = DefaultHasher::new();
113        self.hash(&mut hasher);
114        hasher.finish() as isize
115    }
116
117    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
118        match op {
119            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
120            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
121            _ => py.NotImplemented(),
122        }
123    }
124
125    #[getter]
126    fn type_name(&self) -> &'static str {
127        stringify!(BinaryOption)
128    }
129
130    #[getter]
131    #[pyo3(name = "id")]
132    fn py_id(&self) -> InstrumentId {
133        self.id
134    }
135
136    #[getter]
137    #[pyo3(name = "raw_symbol")]
138    fn py_raw_symbol(&self) -> Symbol {
139        self.raw_symbol
140    }
141
142    #[getter]
143    #[pyo3(name = "asset_class")]
144    fn py_asset_class(&self) -> AssetClass {
145        self.asset_class
146    }
147
148    #[getter]
149    #[pyo3(name = "currency")]
150    fn py_currency(&self) -> Currency {
151        self.currency
152    }
153
154    #[getter]
155    #[pyo3(name = "activation_ns")]
156    fn py_activation_ns(&self) -> u64 {
157        self.activation_ns.as_u64()
158    }
159
160    #[getter]
161    #[pyo3(name = "expiration_ns")]
162    fn py_expiration_ns(&self) -> u64 {
163        self.expiration_ns.as_u64()
164    }
165
166    #[getter]
167    #[pyo3(name = "price_precision")]
168    fn py_price_precision(&self) -> u8 {
169        self.price_precision
170    }
171
172    #[getter]
173    #[pyo3(name = "size_precision")]
174    fn py_size_precision(&self) -> u8 {
175        self.size_precision
176    }
177
178    #[getter]
179    #[pyo3(name = "price_increment")]
180    fn py_price_increment(&self) -> Price {
181        self.price_increment
182    }
183
184    #[getter]
185    #[pyo3(name = "size_increment")]
186    fn py_size_increment(&self) -> Quantity {
187        self.size_increment
188    }
189
190    #[getter]
191    #[pyo3(name = "event_id")]
192    fn py_event_id(&self) -> Option<&str> {
193        self.event_id.map(|value| value.as_str())
194    }
195
196    #[getter]
197    #[pyo3(name = "outcome")]
198    fn py_outcome(&self) -> Option<&str> {
199        match self.outcome {
200            Some(outcome) => Some(outcome.as_str()),
201            None => None,
202        }
203    }
204
205    #[getter]
206    #[pyo3(name = "description")]
207    fn py_description(&self) -> Option<&str> {
208        match self.description {
209            Some(description) => Some(description.as_str()),
210            None => None,
211        }
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_notional")]
228    fn py_max_notional(&self) -> Option<Money> {
229        self.max_notional
230    }
231
232    #[getter]
233    #[pyo3(name = "min_notional")]
234    fn py_min_notional(&self) -> Option<Money> {
235        self.min_notional
236    }
237
238    #[getter]
239    #[pyo3(name = "max_price")]
240    fn py_max_price(&self) -> Option<Price> {
241        self.max_price
242    }
243
244    #[getter]
245    #[pyo3(name = "min_price")]
246    fn py_min_price(&self) -> Option<Price> {
247        self.min_price
248    }
249
250    #[getter]
251    #[pyo3(name = "margin_init")]
252    fn py_margin_init(&self) -> Decimal {
253        self.margin_init
254    }
255
256    #[getter]
257    #[pyo3(name = "margin_maint")]
258    fn py_margin_maint(&self) -> Decimal {
259        self.margin_maint
260    }
261
262    #[getter]
263    #[pyo3(name = "maker_fee")]
264    fn py_maker_fee(&self) -> Decimal {
265        self.maker_fee
266    }
267
268    #[getter]
269    #[pyo3(name = "taker_fee")]
270    fn py_taker_fee(&self) -> Decimal {
271        self.taker_fee
272    }
273
274    #[getter]
275    #[pyo3(name = "info")]
276    fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
277        // Convert HashMap<String, serde_json::Value> back to Python dict
278        if let Some(ref info_map) = self.info {
279            let py_dict = PyDict::new(py);
280
281            for (key, value) in info_map {
282                // Convert serde_json::Value back to Python object via JSON
283                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
284                let py_value =
285                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
286                py_dict.set_item(key, py_value)?;
287            }
288            Ok(py_dict.unbind())
289        } else {
290            Ok(PyDict::new(py).unbind())
291        }
292    }
293
294    #[getter]
295    #[pyo3(name = "ts_event")]
296    fn py_ts_event(&self) -> u64 {
297        self.ts_event.as_u64()
298    }
299
300    #[getter]
301    #[pyo3(name = "ts_init")]
302    fn py_ts_init(&self) -> u64 {
303        self.ts_init.as_u64()
304    }
305
306    #[staticmethod]
307    #[pyo3(name = "from_dict")]
308    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
309        crate::python::instruments::from_dict_instrument_pyo3(py, values)
310    }
311
312    #[pyo3(name = "to_dict")]
313    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
314        let dict = PyDict::new(py);
315        dict.set_item("type", stringify!(BinaryOption))?;
316        dict.set_item("id", self.id.to_string())?;
317        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
318        dict.set_item("asset_class", self.asset_class.to_string())?;
319        dict.set_item("currency", self.currency.code.to_string())?;
320        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
321        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
322        dict.set_item("price_precision", self.price_precision)?;
323        dict.set_item("size_precision", self.size_precision)?;
324        dict.set_item("price_increment", self.price_increment.to_string())?;
325        dict.set_item("size_increment", self.size_increment.to_string())?;
326        dict.set_item("margin_init", self.margin_init.to_string())?;
327        dict.set_item("margin_maint", self.margin_maint.to_string())?;
328        dict.set_item("maker_fee", self.maker_fee.to_string())?;
329        dict.set_item("taker_fee", self.taker_fee.to_string())?;
330        dict.set_item("ts_event", self.ts_event.as_u64())?;
331        dict.set_item("ts_init", self.ts_init.as_u64())?;
332        // Serialize info dict
333        if let Some(ref info_map) = self.info {
334            let info_dict = PyDict::new(py);
335
336            for (key, value) in info_map {
337                let json_str = serde_json::to_string(value).map_err(to_pyvalue_err)?;
338                let py_value =
339                    PyModule::import(py, "json")?.call_method("loads", (json_str,), None)?;
340                info_dict.set_item(key, py_value)?;
341            }
342            dict.set_item("info", info_dict)?;
343        } else {
344            dict.set_item("info", PyDict::new(py))?;
345        }
346
347        dict.set_item("event_id", self.event_id.map(|value| value.to_string()))?;
348
349        match &self.outcome {
350            Some(value) => dict.set_item("outcome", value.to_string())?,
351            None => dict.set_item("outcome", py.None())?,
352        }
353
354        match &self.description {
355            Some(value) => dict.set_item("description", value.to_string())?,
356            None => dict.set_item("description", py.None())?,
357        }
358
359        match self.max_quantity {
360            Some(value) => dict.set_item("max_quantity", value.to_string())?,
361            None => dict.set_item("max_quantity", py.None())?,
362        }
363
364        match self.min_quantity {
365            Some(value) => dict.set_item("min_quantity", value.to_string())?,
366            None => dict.set_item("min_quantity", py.None())?,
367        }
368
369        match self.max_notional {
370            Some(value) => dict.set_item("max_notional", value.to_string())?,
371            None => dict.set_item("max_notional", py.None())?,
372        }
373
374        match self.min_notional {
375            Some(value) => dict.set_item("min_notional", value.to_string())?,
376            None => dict.set_item("min_notional", py.None())?,
377        }
378
379        match self.max_price {
380            Some(value) => dict.set_item("max_price", value.to_string())?,
381            None => dict.set_item("max_price", py.None())?,
382        }
383
384        match self.min_price {
385            Some(value) => dict.set_item("min_price", value.to_string())?,
386            None => dict.set_item("min_price", py.None())?,
387        }
388        dict.set_item(
389            "tick_scheme",
390            crate::python::instruments::tick_scheme_to_py(self),
391        )?;
392        Ok(dict.into())
393    }
394}
395
396#[cfg(test)]
397mod tests {
398    use pyo3::{prelude::*, types::PyDict};
399    use rstest::rstest;
400
401    use crate::instruments::{BinaryOption, stubs::*};
402
403    #[rstest]
404    #[case(None)]
405    #[case(Some("event-123"))]
406    fn test_python_constructor_event_id(
407        binary_option: BinaryOption,
408        #[case] event_id: Option<&str>,
409    ) {
410        Python::initialize();
411        Python::attach(|py| {
412            let kwargs = PyDict::new(py);
413            kwargs.set_item("instrument_id", binary_option.id).unwrap();
414            kwargs
415                .set_item("raw_symbol", binary_option.raw_symbol)
416                .unwrap();
417            kwargs
418                .set_item("asset_class", binary_option.asset_class)
419                .unwrap();
420            kwargs.set_item("currency", binary_option.currency).unwrap();
421            kwargs
422                .set_item("activation_ns", binary_option.activation_ns.as_u64())
423                .unwrap();
424            kwargs
425                .set_item("expiration_ns", binary_option.expiration_ns.as_u64())
426                .unwrap();
427            kwargs
428                .set_item("price_precision", binary_option.price_precision)
429                .unwrap();
430            kwargs
431                .set_item("size_precision", binary_option.size_precision)
432                .unwrap();
433            kwargs
434                .set_item("price_increment", binary_option.price_increment)
435                .unwrap();
436            kwargs
437                .set_item("size_increment", binary_option.size_increment)
438                .unwrap();
439            kwargs.set_item("ts_event", 1_u64).unwrap();
440            kwargs.set_item("ts_init", 2_u64).unwrap();
441            if let Some(event_id) = event_id {
442                kwargs.set_item("event_id", event_id).unwrap();
443            }
444
445            let instance = py
446                .get_type::<BinaryOption>()
447                .call((), Some(&kwargs))
448                .unwrap();
449            assert_eq!(
450                instance
451                    .getattr("event_id")
452                    .unwrap()
453                    .extract::<Option<String>>()
454                    .unwrap()
455                    .as_deref(),
456                event_id
457            );
458            let constructed = instance.extract::<BinaryOption>().unwrap();
459            assert_eq!(constructed.event_id.map(|id| id.as_str()), event_id);
460            assert_eq!(constructed.ts_event.as_u64(), 1);
461            assert_eq!(constructed.ts_init.as_u64(), 2);
462        });
463    }
464
465    #[rstest]
466    fn test_dict_round_trip(mut binary_option: BinaryOption) {
467        binary_option.event_id = Some("event-123".into());
468        let mut info = nautilus_core::Params::new();
469        info.insert(
470            "gamma_market".to_string(),
471            "0.1234567890123456789012345678".into(),
472        );
473        binary_option.info = Some(info);
474        Python::initialize();
475        Python::attach(|py| {
476            let values = binary_option.py_to_dict(py).unwrap();
477            let values: Py<PyDict> = values.extract(py).unwrap();
478            let new_binary_option = BinaryOption::py_from_dict(py, values).unwrap();
479            assert_eq!(new_binary_option.event_id, Some("event-123".into()));
480            assert_eq!(
481                serde_json::to_value(&binary_option).unwrap(),
482                serde_json::to_value(&new_binary_option).unwrap(),
483            );
484        });
485    }
486}
nautilus_model/python/instruments/binary_option.rs

nautilus_model/python/instruments/
binary_option.rs
