nautilus_model/data/
quote.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
16//! A `QuoteTick` data type representing a top-of-book state.
17
18use std::{cmp, collections::HashMap, fmt::Display, hash::Hash};
19
20use derive_builder::Builder;
21use indexmap::IndexMap;
22use nautilus_core::{
23    UnixNanos,
24    correctness::{FAILED, check_equal_u8},
25    serialization::Serializable,
26};
27use serde::{Deserialize, Serialize};
28
29use super::HasTsInit;
30use crate::{
31    enums::PriceType,
32    identifiers::InstrumentId,
33    types::{
34        Price, Quantity,
35        fixed::{FIXED_PRECISION, FIXED_SIZE_BINARY},
36    },
37};
38
39/// Represents a quote tick in a market.
40#[repr(C)]
41#[derive(Clone, Copy, Debug, PartialEq, Eq, Hash, Serialize, Deserialize, Builder)]
42#[serde(tag = "type")]
43#[cfg_attr(
44    feature = "python",
45    pyo3::pyclass(module = "posei_trader.core.nautilus_pyo3.model")
46)]
47pub struct QuoteTick {
48    /// The quotes instrument ID.
49    pub instrument_id: InstrumentId,
50    /// The top-of-book bid price.
51    pub bid_price: Price,
52    /// The top-of-book ask price.
53    pub ask_price: Price,
54    /// The top-of-book bid size.
55    pub bid_size: Quantity,
56    /// The top-of-book ask size.
57    pub ask_size: Quantity,
58    /// UNIX timestamp (nanoseconds) when the quote event occurred.
59    pub ts_event: UnixNanos,
60    /// UNIX timestamp (nanoseconds) when the instance was created.
61    pub ts_init: UnixNanos,
62}
63
64impl QuoteTick {
65    /// Creates a new [`QuoteTick`] instance with correctness checking.
66    ///
67    /// # Errors
68    ///
69    /// Returns an error if:
70    /// - `bid_price.precision` does not equal `ask_price.precision`.
71    /// - `bid_size.precision` does not equal `ask_size.precision`.
72    ///
73    /// # Notes
74    ///
75    /// PyO3 requires a `Result` type for proper error handling and stacktrace printing in Python.
76    pub fn new_checked(
77        instrument_id: InstrumentId,
78        bid_price: Price,
79        ask_price: Price,
80        bid_size: Quantity,
81        ask_size: Quantity,
82        ts_event: UnixNanos,
83        ts_init: UnixNanos,
84    ) -> anyhow::Result<Self> {
85        check_equal_u8(
86            bid_price.precision,
87            ask_price.precision,
88            "bid_price.precision",
89            "ask_price.precision",
90        )?;
91        check_equal_u8(
92            bid_size.precision,
93            ask_size.precision,
94            "bid_size.precision",
95            "ask_size.precision",
96        )?;
97        Ok(Self {
98            instrument_id,
99            bid_price,
100            ask_price,
101            bid_size,
102            ask_size,
103            ts_event,
104            ts_init,
105        })
106    }
107
108    /// Creates a new [`QuoteTick`] instance.
109    ///
110    /// # Panics
111    ///
112    /// This function panics if:
113    /// - `bid_price.precision` does not equal `ask_price.precision`.
114    /// - `bid_size.precision` does not equal `ask_size.precision`.
115    pub fn new(
116        instrument_id: InstrumentId,
117        bid_price: Price,
118        ask_price: Price,
119        bid_size: Quantity,
120        ask_size: Quantity,
121        ts_event: UnixNanos,
122        ts_init: UnixNanos,
123    ) -> Self {
124        Self::new_checked(
125            instrument_id,
126            bid_price,
127            ask_price,
128            bid_size,
129            ask_size,
130            ts_event,
131            ts_init,
132        )
133        .expect(FAILED)
134    }
135
136    /// Returns the metadata for the type, for use with serialization formats.
137    #[must_use]
138    pub fn get_metadata(
139        instrument_id: &InstrumentId,
140        price_precision: u8,
141        size_precision: u8,
142    ) -> HashMap<String, String> {
143        let mut metadata = HashMap::new();
144        metadata.insert("instrument_id".to_string(), instrument_id.to_string());
145        metadata.insert("price_precision".to_string(), price_precision.to_string());
146        metadata.insert("size_precision".to_string(), size_precision.to_string());
147        metadata
148    }
149
150    /// Returns the field map for the type, for use with Arrow schemas.
151    #[must_use]
152    pub fn get_fields() -> IndexMap<String, String> {
153        let mut metadata = IndexMap::new();
154        metadata.insert("bid_price".to_string(), FIXED_SIZE_BINARY.to_string());
155        metadata.insert("ask_price".to_string(), FIXED_SIZE_BINARY.to_string());
156        metadata.insert("bid_size".to_string(), FIXED_SIZE_BINARY.to_string());
157        metadata.insert("ask_size".to_string(), FIXED_SIZE_BINARY.to_string());
158        metadata.insert("ts_event".to_string(), "UInt64".to_string());
159        metadata.insert("ts_init".to_string(), "UInt64".to_string());
160        metadata
161    }
162
163    /// Returns the [`Price`] for this quote depending on the given `price_type`.
164    ///
165    /// # Panics
166    ///
167    /// Panics if an unsupported `price_type` is provided.
168    #[must_use]
169    pub fn extract_price(&self, price_type: PriceType) -> Price {
170        match price_type {
171            PriceType::Bid => self.bid_price,
172            PriceType::Ask => self.ask_price,
173            PriceType::Mid => Price::from_raw(
174                (self.bid_price.raw + self.ask_price.raw) / 2,
175                cmp::min(self.bid_price.precision + 1, FIXED_PRECISION),
176            ),
177            _ => panic!("Cannot extract with price type {price_type}"),
178        }
179    }
180
181    /// Returns the [`Quantity`] for this quote depending on the given `price_type`.
182    ///
183    /// # Panics
184    ///
185    /// Panics if an unsupported `price_type` is provided.
186    #[must_use]
187    pub fn extract_size(&self, price_type: PriceType) -> Quantity {
188        match price_type {
189            PriceType::Bid => self.bid_size,
190            PriceType::Ask => self.ask_size,
191            PriceType::Mid => Quantity::from_raw(
192                (self.bid_size.raw + self.ask_size.raw) / 2,
193                cmp::min(self.bid_size.precision + 1, FIXED_PRECISION),
194            ),
195            _ => panic!("Cannot extract with price type {price_type}"),
196        }
197    }
198}
199
200impl Display for QuoteTick {
201    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
202        write!(
203            f,
204            "{},{},{},{},{},{}",
205            self.instrument_id,
206            self.bid_price,
207            self.ask_price,
208            self.bid_size,
209            self.ask_size,
210            self.ts_event,
211        )
212    }
213}
214
215impl Serializable for QuoteTick {}
216
217impl HasTsInit for QuoteTick {
218    fn ts_init(&self) -> UnixNanos {
219        self.ts_init
220    }
221}
222
223////////////////////////////////////////////////////////////////////////////////
224// Tests
225////////////////////////////////////////////////////////////////////////////////
226#[cfg(test)]
227mod tests {
228    use nautilus_core::{UnixNanos, serialization::Serializable};
229    use rstest::rstest;
230
231    use crate::{
232        data::{QuoteTick, stubs::quote_ethusdt_binance},
233        enums::PriceType,
234        identifiers::InstrumentId,
235        types::{Price, Quantity},
236    };
237
238    #[rstest]
239    #[should_panic(
240        expected = "'bid_price.precision' u8 of 4 was not equal to 'ask_price.precision' u8 of 5"
241    )]
242    fn test_quote_tick_new_with_precision_mismatch_panics() {
243        let instrument_id = InstrumentId::from("ETH-USDT-SWAP.OKX");
244        let bid_price = Price::from("10000.0000"); // Precision: 4
245        let ask_price = Price::from("10000.00100"); // Precision: 5 (mismatch)
246        let bid_size = Quantity::from("1.000000");
247        let ask_size = Quantity::from("1.000000");
248        let ts_event = UnixNanos::from(0);
249        let ts_init = UnixNanos::from(1);
250
251        let _ = QuoteTick::new(
252            instrument_id,
253            bid_price,
254            ask_price,
255            bid_size,
256            ask_size,
257            ts_event,
258            ts_init,
259        );
260    }
261
262    #[rstest]
263    fn test_quote_tick_new_checked_with_precision_mismatch_error() {
264        let instrument_id = InstrumentId::from("ETH-USDT-SWAP.OKX");
265        let bid_price = Price::from("10000.0000");
266        let ask_price = Price::from("10000.0010");
267        let bid_size = Quantity::from("10.000000"); // Precision: 6
268        let ask_size = Quantity::from("10.0000000"); // Precision: 7 (mismatch)
269        let ts_event = UnixNanos::from(0);
270        let ts_init = UnixNanos::from(1);
271
272        let result = QuoteTick::new_checked(
273            instrument_id,
274            bid_price,
275            ask_price,
276            bid_size,
277            ask_size,
278            ts_event,
279            ts_init,
280        );
281
282        assert!(result.is_err());
283    }
284
285    #[rstest]
286    fn test_to_string(quote_ethusdt_binance: QuoteTick) {
287        let quote = quote_ethusdt_binance;
288        assert_eq!(
289            quote.to_string(),
290            "ETHUSDT-PERP.BINANCE,10000.0000,10001.0000,1.00000000,1.00000000,0"
291        );
292    }
293
294    #[rstest]
295    #[case(PriceType::Bid, Price::from("10000.0000"))]
296    #[case(PriceType::Ask, Price::from("10001.0000"))]
297    #[case(PriceType::Mid, Price::from("10000.5000"))]
298    fn test_extract_price(
299        #[case] input: PriceType,
300        #[case] expected: Price,
301        quote_ethusdt_binance: QuoteTick,
302    ) {
303        let quote = quote_ethusdt_binance;
304        let result = quote.extract_price(input);
305        assert_eq!(result, expected);
306    }
307
308    #[rstest]
309    fn test_json_serialization(quote_ethusdt_binance: QuoteTick) {
310        let quote = quote_ethusdt_binance;
311        let serialized = quote.to_json_bytes().unwrap();
312        let deserialized = QuoteTick::from_json_bytes(serialized.as_ref()).unwrap();
313        assert_eq!(deserialized, quote);
314    }
315
316    #[rstest]
317    fn test_msgpack_serialization(quote_ethusdt_binance: QuoteTick) {
318        let quote = quote_ethusdt_binance;
319        let serialized = quote.to_msgpack_bytes().unwrap();
320        let deserialized = QuoteTick::from_msgpack_bytes(serialized.as_ref()).unwrap();
321        assert_eq!(deserialized, quote);
322    }
323}
nautilus_model/data/quote.rs

nautilus_model/data/
quote.rs
