nautilus_model/python/data/
bar.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Posei Systems Pty Ltd. All rights reserved.
3//  https://poseitrader.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    str::FromStr,
20};
21
22use nautilus_core::{
23    python::{
24        IntoPyObjectPoseiExt,
25        serialization::{from_dict_pyo3, to_dict_pyo3},
26        to_pyvalue_err,
27    },
28    serialization::Serializable,
29};
30use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict};
31
32use super::data_to_pycapsule;
33use crate::{
34    data::{
35        Data,
36        bar::{Bar, BarSpecification, BarType},
37    },
38    enums::{AggregationSource, BarAggregation, PriceType},
39    identifiers::InstrumentId,
40    python::common::PY_MODULE_MODEL,
41    types::{
42        price::{Price, PriceRaw},
43        quantity::{Quantity, QuantityRaw},
44    },
45};
46
47#[pymethods]
48impl BarSpecification {
49    #[new]
50    fn py_new(step: usize, aggregation: BarAggregation, price_type: PriceType) -> PyResult<Self> {
51        Self::new_checked(step, aggregation, price_type).map_err(to_pyvalue_err)
52    }
53
54    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
55        match op {
56            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
57            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
58            _ => py.NotImplemented(),
59        }
60    }
61
62    fn __hash__(&self) -> isize {
63        let mut h = DefaultHasher::new();
64        self.hash(&mut h);
65        h.finish() as isize
66    }
67
68    fn __repr__(&self) -> String {
69        format!("{self:?}")
70    }
71
72    fn __str__(&self) -> String {
73        self.to_string()
74    }
75
76    #[staticmethod]
77    #[pyo3(name = "fully_qualified_name")]
78    fn py_fully_qualified_name() -> String {
79        format!("{}:{}", PY_MODULE_MODEL, stringify!(BarSpecification))
80    }
81}
82
83#[pymethods]
84impl BarType {
85    #[new]
86    #[pyo3(signature = (instrument_id, spec, aggregation_source = AggregationSource::External)
87    )]
88    fn py_new(
89        instrument_id: InstrumentId,
90        spec: BarSpecification,
91        aggregation_source: AggregationSource,
92    ) -> Self {
93        Self::new(instrument_id, spec, aggregation_source)
94    }
95
96    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
97        match op {
98            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
99            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
100            _ => py.NotImplemented(),
101        }
102    }
103
104    fn __hash__(&self) -> isize {
105        let mut h = DefaultHasher::new();
106        self.hash(&mut h);
107        h.finish() as isize
108    }
109
110    fn __repr__(&self) -> String {
111        format!("{self:?}")
112    }
113
114    fn __str__(&self) -> String {
115        self.to_string()
116    }
117
118    #[staticmethod]
119    #[pyo3(name = "fully_qualified_name")]
120    fn py_fully_qualified_name() -> String {
121        format!("{}:{}", PY_MODULE_MODEL, stringify!(BarType))
122    }
123
124    #[staticmethod]
125    #[pyo3(name = "from_str")]
126    fn py_from_str(value: &str) -> PyResult<Self> {
127        Self::from_str(value).map_err(to_pyvalue_err)
128    }
129
130    #[staticmethod]
131    #[pyo3(name = "new_composite")]
132    fn py_new_composite(
133        instrument_id: InstrumentId,
134        spec: BarSpecification,
135        aggregation_source: AggregationSource,
136        composite_step: usize,
137        composite_aggregation: BarAggregation,
138        composite_aggregation_source: AggregationSource,
139    ) -> Self {
140        Self::new_composite(
141            instrument_id,
142            spec,
143            aggregation_source,
144            composite_step,
145            composite_aggregation,
146            composite_aggregation_source,
147        )
148    }
149
150    #[pyo3(name = "is_standard")]
151    fn py_is_standard(&self) -> bool {
152        self.is_standard()
153    }
154
155    #[pyo3(name = "is_composite")]
156    fn py_is_composite(&self) -> bool {
157        self.is_composite()
158    }
159
160    #[pyo3(name = "standard")]
161    fn py_standard(&self) -> Self {
162        self.standard()
163    }
164
165    #[pyo3(name = "composite")]
166    fn py_composite(&self) -> Self {
167        self.composite()
168    }
169}
170
171impl Bar {
172    /// Creates a Rust `Bar` instance from a Python object.
173    ///
174    /// # Errors
175    ///
176    /// Returns a `PyErr` if retrieving any attribute or converting types fails.
177    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
178        let bar_type_obj: Bound<'_, PyAny> = obj.getattr("bar_type")?.extract()?;
179        let bar_type_str: String = bar_type_obj.call_method0("__str__")?.extract()?;
180        let bar_type = BarType::from(bar_type_str.as_str());
181
182        let open_py: Bound<'_, PyAny> = obj.getattr("open")?;
183        let price_prec: u8 = open_py.getattr("precision")?.extract()?;
184        let open_raw: PriceRaw = open_py.getattr("raw")?.extract()?;
185        let open = Price::from_raw(open_raw, price_prec);
186
187        let high_py: Bound<'_, PyAny> = obj.getattr("high")?;
188        let high_raw: PriceRaw = high_py.getattr("raw")?.extract()?;
189        let high = Price::from_raw(high_raw, price_prec);
190
191        let low_py: Bound<'_, PyAny> = obj.getattr("low")?;
192        let low_raw: PriceRaw = low_py.getattr("raw")?.extract()?;
193        let low = Price::from_raw(low_raw, price_prec);
194
195        let close_py: Bound<'_, PyAny> = obj.getattr("close")?;
196        let close_raw: PriceRaw = close_py.getattr("raw")?.extract()?;
197        let close = Price::from_raw(close_raw, price_prec);
198
199        let volume_py: Bound<'_, PyAny> = obj.getattr("volume")?;
200        let volume_raw: QuantityRaw = volume_py.getattr("raw")?.extract()?;
201        let volume_prec: u8 = volume_py.getattr("precision")?.extract()?;
202        let volume = Quantity::from_raw(volume_raw, volume_prec);
203
204        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
205        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
206
207        Ok(Self::new(
208            bar_type,
209            open,
210            high,
211            low,
212            close,
213            volume,
214            ts_event.into(),
215            ts_init.into(),
216        ))
217    }
218}
219
220#[pymethods]
221#[allow(clippy::too_many_arguments)]
222impl Bar {
223    #[new]
224    fn py_new(
225        bar_type: BarType,
226        open: Price,
227        high: Price,
228        low: Price,
229        close: Price,
230        volume: Quantity,
231        ts_event: u64,
232        ts_init: u64,
233    ) -> PyResult<Self> {
234        Self::new_checked(
235            bar_type,
236            open,
237            high,
238            low,
239            close,
240            volume,
241            ts_event.into(),
242            ts_init.into(),
243        )
244        .map_err(to_pyvalue_err)
245    }
246
247    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
248        match op {
249            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
250            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
251            _ => py.NotImplemented(),
252        }
253    }
254
255    fn __hash__(&self) -> isize {
256        let mut h = DefaultHasher::new();
257        self.hash(&mut h);
258        h.finish() as isize
259    }
260
261    fn __repr__(&self) -> String {
262        format!("{self:?}")
263    }
264
265    fn __str__(&self) -> String {
266        self.to_string()
267    }
268
269    #[getter]
270    #[pyo3(name = "bar_type")]
271    fn py_bar_type(&self) -> BarType {
272        self.bar_type
273    }
274
275    #[getter]
276    #[pyo3(name = "open")]
277    fn py_open(&self) -> Price {
278        self.open
279    }
280
281    #[getter]
282    #[pyo3(name = "high")]
283    fn py_high(&self) -> Price {
284        self.high
285    }
286
287    #[getter]
288    #[pyo3(name = "low")]
289    fn py_low(&self) -> Price {
290        self.low
291    }
292
293    #[getter]
294    #[pyo3(name = "close")]
295    fn py_close(&self) -> Price {
296        self.close
297    }
298
299    #[getter]
300    #[pyo3(name = "volume")]
301    fn py_volume(&self) -> Quantity {
302        self.volume
303    }
304
305    #[getter]
306    #[pyo3(name = "ts_event")]
307    fn py_ts_event(&self) -> u64 {
308        self.ts_event.as_u64()
309    }
310
311    #[getter]
312    #[pyo3(name = "ts_init")]
313    fn py_ts_init(&self) -> u64 {
314        self.ts_init.as_u64()
315    }
316
317    #[staticmethod]
318    #[pyo3(name = "fully_qualified_name")]
319    fn py_fully_qualified_name() -> String {
320        format!("{}:{}", PY_MODULE_MODEL, stringify!(Bar))
321    }
322
323    #[staticmethod]
324    #[pyo3(name = "get_metadata")]
325    fn py_get_metadata(
326        bar_type: &BarType,
327        price_precision: u8,
328        size_precision: u8,
329    ) -> PyResult<HashMap<String, String>> {
330        Ok(Self::get_metadata(
331            bar_type,
332            price_precision,
333            size_precision,
334        ))
335    }
336
337    #[staticmethod]
338    #[pyo3(name = "get_fields")]
339    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
340        let py_dict = PyDict::new(py);
341        for (k, v) in Self::get_fields() {
342            py_dict.set_item(k, v)?;
343        }
344
345        Ok(py_dict)
346    }
347
348    /// Returns a new object from the given dictionary representation.
349    #[staticmethod]
350    #[pyo3(name = "from_dict")]
351    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
352        from_dict_pyo3(py, values)
353    }
354
355    #[staticmethod]
356    #[pyo3(name = "from_json")]
357    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
358        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
359    }
360
361    #[staticmethod]
362    #[pyo3(name = "from_msgpack")]
363    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
364        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
365    }
366
367    /// Creates a `PyCapsule` containing a raw pointer to a `Data::Bar` object.
368    ///
369    /// This function takes the current object (assumed to be of a type that can be represented as
370    /// `Data::Bar`), and encapsulates a raw pointer to it within a `PyCapsule`.
371    ///
372    /// # Safety
373    ///
374    /// This function is safe as long as the following conditions are met:
375    /// - The `Data::Delta` object pointed to by the capsule must remain valid for the lifetime of the capsule.
376    /// - The consumer of the capsule must ensure proper handling to avoid dereferencing a dangling pointer.
377    ///
378    /// # Panics
379    ///
380    /// The function will panic if the `PyCapsule` creation fails, which can occur if the
381    /// `Data::Bar` object cannot be converted into a raw pointer.
382    #[pyo3(name = "as_pycapsule")]
383    fn py_as_pycapsule(&self, py: Python<'_>) -> PyObject {
384        data_to_pycapsule(py, Data::Bar(*self))
385    }
386
387    /// Return a dictionary representation of the object.
388    #[pyo3(name = "to_dict")]
389    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
390        to_dict_pyo3(py, self)
391    }
392
393    /// Return JSON encoded bytes representation of the object.
394    #[pyo3(name = "to_json_bytes")]
395    fn py_to_json_bytes(&self, py: Python<'_>) -> Py<PyAny> {
396        // SAFETY: Unwrap safe when serializing a valid object
397        self.to_json_bytes().unwrap().into_py_any_unwrap(py)
398    }
399
400    /// Return MsgPack encoded bytes representation of the object.
401    #[pyo3(name = "to_msgpack_bytes")]
402    fn py_to_msgpack_bytes(&self, py: Python<'_>) -> Py<PyAny> {
403        // SAFETY: Unwrap safe when serializing a valid object
404        self.to_msgpack_bytes().unwrap().into_py_any_unwrap(py)
405    }
406}
407
408////////////////////////////////////////////////////////////////////////////////
409// Tests
410////////////////////////////////////////////////////////////////////////////////
411#[cfg(test)]
412mod tests {
413    use nautilus_core::python::IntoPyObjectPoseiExt;
414    use pyo3::Python;
415    use rstest::rstest;
416
417    use crate::{
418        data::{Bar, BarType},
419        types::{Price, Quantity},
420    };
421
422    #[rstest]
423    #[case("10.0000", "10.0010", "10.0020", "10.0005")] // low > high
424    #[case("10.0000", "10.0010", "10.0005", "10.0030")] // close > high
425    #[case("10.0000", "9.9990", "9.9980", "9.9995")] // high < open
426    #[case("10.0000", "10.0010", "10.0015", "10.0020")] // low > close
427    #[case("10.0000", "10.0000", "10.0001", "10.0002")] // low > high (equal high/open edge case)
428    fn test_bar_py_new_invalid(
429        #[case] open: &str,
430        #[case] high: &str,
431        #[case] low: &str,
432        #[case] close: &str,
433    ) {
434        pyo3::prepare_freethreaded_python();
435
436        let bar_type = BarType::from("AUDUSD.SIM-1-MINUTE-LAST-INTERNAL");
437        let open = Price::from(open);
438        let high = Price::from(high);
439        let low = Price::from(low);
440        let close = Price::from(close);
441        let volume = Quantity::from(100_000);
442        let ts_event = 0;
443        let ts_init = 1;
444
445        let result = Bar::py_new(bar_type, open, high, low, close, volume, ts_event, ts_init);
446        assert!(result.is_err());
447    }
448
449    #[rstest]
450    fn test_bar_py_new() {
451        pyo3::prepare_freethreaded_python();
452
453        let bar_type = BarType::from("AUDUSD.SIM-1-MINUTE-LAST-INTERNAL");
454        let open = Price::from("1.00005");
455        let high = Price::from("1.00010");
456        let low = Price::from("1.00000");
457        let close = Price::from("1.00007");
458        let volume = Quantity::from(100_000);
459        let ts_event = 0;
460        let ts_init = 1;
461
462        let result = Bar::py_new(bar_type, open, high, low, close, volume, ts_event, ts_init);
463        assert!(result.is_ok());
464    }
465
466    #[rstest]
467    fn test_to_dict() {
468        pyo3::prepare_freethreaded_python();
469        let bar = Bar::default();
470
471        Python::with_gil(|py| {
472            let dict_string = bar.py_to_dict(py).unwrap().to_string();
473            let expected_string = r"{'type': 'Bar', 'bar_type': 'AUDUSD.SIM-1-MINUTE-LAST-INTERNAL', 'open': '1.00010', 'high': '1.00020', 'low': '1.00000', 'close': '1.00010', 'volume': '100000', 'ts_event': 0, 'ts_init': 0}";
474            assert_eq!(dict_string, expected_string);
475        });
476    }
477
478    #[rstest]
479    fn test_as_from_dict() {
480        pyo3::prepare_freethreaded_python();
481        let bar = Bar::default();
482
483        Python::with_gil(|py| {
484            let dict = bar.py_to_dict(py).unwrap();
485            let parsed = Bar::py_from_dict(py, dict).unwrap();
486            assert_eq!(parsed, bar);
487        });
488    }
489
490    #[rstest]
491    fn test_from_pyobject() {
492        pyo3::prepare_freethreaded_python();
493        let bar = Bar::default();
494
495        Python::with_gil(|py| {
496            let bar_pyobject = bar.into_py_any_unwrap(py);
497            let parsed_bar = Bar::from_pyobject(bar_pyobject.bind(py)).unwrap();
498            assert_eq!(parsed_bar, bar);
499        });
500    }
501}
nautilus_model/python/data/bar.rs

nautilus_model/python/data/
bar.rs
