nautilus_model/python/data/
trade.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    UnixNanos,
24    python::{
25        IntoPyObjectPoseiExt,
26        serialization::{from_dict_pyo3, to_dict_pyo3},
27        to_pyvalue_err,
28    },
29    serialization::Serializable,
30};
31use pyo3::{
32    IntoPyObjectExt,
33    prelude::*,
34    pyclass::CompareOp,
35    types::{PyDict, PyInt, PyString, PyTuple},
36};
37
38use super::data_to_pycapsule;
39use crate::{
40    data::{Data, TradeTick},
41    enums::{AggressorSide, FromU8},
42    identifiers::{InstrumentId, TradeId},
43    python::common::PY_MODULE_MODEL,
44    types::{
45        price::{Price, PriceRaw},
46        quantity::{Quantity, QuantityRaw},
47    },
48};
49
50impl TradeTick {
51    /// Creates a new [`TradeTick`] from a Python object.
52    ///
53    /// # Panics
54    ///
55    /// Panics if converting `aggressor_side_u8` to `AggressorSide` fails.
56    ///
57    /// # Errors
58    ///
59    /// Returns a `PyErr` if attribute extraction or type conversion fails.
60    pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self> {
61        let instrument_id_obj: Bound<'_, PyAny> = obj.getattr("instrument_id")?.extract()?;
62        let instrument_id_str: String = instrument_id_obj.getattr("value")?.extract()?;
63        let instrument_id =
64            InstrumentId::from_str(instrument_id_str.as_str()).map_err(to_pyvalue_err)?;
65
66        let price_py: Bound<'_, PyAny> = obj.getattr("price")?.extract()?;
67        let price_raw: PriceRaw = price_py.getattr("raw")?.extract()?;
68        let price_prec: u8 = price_py.getattr("precision")?.extract()?;
69        let price = Price::from_raw(price_raw, price_prec);
70
71        let size_py: Bound<'_, PyAny> = obj.getattr("size")?.extract()?;
72        let size_raw: QuantityRaw = size_py.getattr("raw")?.extract()?;
73        let size_prec: u8 = size_py.getattr("precision")?.extract()?;
74        let size = Quantity::from_raw(size_raw, size_prec);
75
76        let aggressor_side_obj: Bound<'_, PyAny> = obj.getattr("aggressor_side")?.extract()?;
77        let aggressor_side_u8 = aggressor_side_obj.getattr("value")?.extract()?;
78        let aggressor_side = AggressorSide::from_u8(aggressor_side_u8).unwrap();
79
80        let trade_id_obj: Bound<'_, PyAny> = obj.getattr("trade_id")?.extract()?;
81        let trade_id_str: String = trade_id_obj.getattr("value")?.extract()?;
82        let trade_id = TradeId::from(trade_id_str.as_str());
83
84        let ts_event: u64 = obj.getattr("ts_event")?.extract()?;
85        let ts_init: u64 = obj.getattr("ts_init")?.extract()?;
86
87        Ok(Self::new(
88            instrument_id,
89            price,
90            size,
91            aggressor_side,
92            trade_id,
93            ts_event.into(),
94            ts_init.into(),
95        ))
96    }
97}
98
99#[pymethods]
100impl TradeTick {
101    #[new]
102    fn py_new(
103        instrument_id: InstrumentId,
104        price: Price,
105        size: Quantity,
106        aggressor_side: AggressorSide,
107        trade_id: TradeId,
108        ts_event: u64,
109        ts_init: u64,
110    ) -> PyResult<Self> {
111        Self::new_checked(
112            instrument_id,
113            price,
114            size,
115            aggressor_side,
116            trade_id,
117            ts_event.into(),
118            ts_init.into(),
119        )
120        .map_err(to_pyvalue_err)
121    }
122
123    fn __setstate__(&mut self, state: &Bound<'_, PyAny>) -> PyResult<()> {
124        let py_tuple: &Bound<'_, PyTuple> = state.downcast::<PyTuple>()?;
125        let binding = py_tuple.get_item(0)?;
126        let instrument_id_str = binding.downcast::<PyString>()?.extract::<&str>()?;
127        let price_raw = py_tuple
128            .get_item(1)?
129            .downcast::<PyInt>()?
130            .extract::<PriceRaw>()?;
131        let price_prec = py_tuple.get_item(2)?.downcast::<PyInt>()?.extract::<u8>()?;
132        let size_raw = py_tuple
133            .get_item(3)?
134            .downcast::<PyInt>()?
135            .extract::<QuantityRaw>()?;
136        let size_prec = py_tuple.get_item(4)?.downcast::<PyInt>()?.extract::<u8>()?;
137
138        let aggressor_side_u8 = py_tuple.get_item(5)?.downcast::<PyInt>()?.extract::<u8>()?;
139        let binding = py_tuple.get_item(6)?;
140        let trade_id_str = binding.downcast::<PyString>()?.extract::<&str>()?;
141        let ts_event = py_tuple
142            .get_item(7)?
143            .downcast::<PyInt>()?
144            .extract::<u64>()?;
145        let ts_init = py_tuple
146            .get_item(8)?
147            .downcast::<PyInt>()?
148            .extract::<u64>()?;
149
150        self.instrument_id = InstrumentId::from_str(instrument_id_str).map_err(to_pyvalue_err)?;
151        self.price = Price::from_raw(price_raw, price_prec);
152        self.size = Quantity::from_raw(size_raw, size_prec);
153        self.aggressor_side = AggressorSide::from_u8(aggressor_side_u8).unwrap();
154        self.trade_id = TradeId::from(trade_id_str);
155        self.ts_event = ts_event.into();
156        self.ts_init = ts_init.into();
157
158        Ok(())
159    }
160
161    fn __getstate__(&self, py: Python) -> PyResult<PyObject> {
162        (
163            self.instrument_id.to_string(),
164            self.price.raw,
165            self.price.precision,
166            self.size.raw,
167            self.size.precision,
168            self.aggressor_side as u8,
169            self.trade_id.to_string(),
170            self.ts_event.as_u64(),
171            self.ts_init.as_u64(),
172        )
173            .into_py_any(py)
174    }
175
176    fn __reduce__(&self, py: Python) -> PyResult<PyObject> {
177        let safe_constructor = py.get_type::<Self>().getattr("_safe_constructor")?;
178        let state = self.__getstate__(py)?;
179        (safe_constructor, PyTuple::empty(py), state).into_py_any(py)
180    }
181
182    #[staticmethod]
183    fn _safe_constructor() -> Self {
184        Self::new(
185            InstrumentId::from("NULL.NULL"),
186            Price::zero(0),
187            Quantity::from(1), // size cannot be zero
188            AggressorSide::NoAggressor,
189            TradeId::from("NULL"),
190            UnixNanos::default(),
191            UnixNanos::default(),
192        )
193    }
194
195    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
196        match op {
197            CompareOp::Eq => self.eq(other).into_py_any_unwrap(py),
198            CompareOp::Ne => self.ne(other).into_py_any_unwrap(py),
199            _ => py.NotImplemented(),
200        }
201    }
202
203    fn __hash__(&self) -> isize {
204        let mut h = DefaultHasher::new();
205        self.hash(&mut h);
206        h.finish() as isize
207    }
208
209    fn __repr__(&self) -> String {
210        format!("{}({})", stringify!(TradeTick), self)
211    }
212
213    fn __str__(&self) -> String {
214        self.to_string()
215    }
216
217    #[getter]
218    #[pyo3(name = "instrument_id")]
219    fn py_instrument_id(&self) -> InstrumentId {
220        self.instrument_id
221    }
222
223    #[getter]
224    #[pyo3(name = "price")]
225    fn py_price(&self) -> Price {
226        self.price
227    }
228
229    #[getter]
230    #[pyo3(name = "size")]
231    fn py_size(&self) -> Quantity {
232        self.size
233    }
234
235    #[getter]
236    #[pyo3(name = "aggressor_side")]
237    fn py_aggressor_side(&self) -> AggressorSide {
238        self.aggressor_side
239    }
240
241    #[getter]
242    #[pyo3(name = "trade_id")]
243    fn py_trade_id(&self) -> TradeId {
244        self.trade_id
245    }
246
247    #[getter]
248    #[pyo3(name = "ts_event")]
249    fn py_ts_event(&self) -> u64 {
250        self.ts_event.as_u64()
251    }
252
253    #[getter]
254    #[pyo3(name = "ts_init")]
255    fn py_ts_init(&self) -> u64 {
256        self.ts_init.as_u64()
257    }
258
259    #[staticmethod]
260    #[pyo3(name = "fully_qualified_name")]
261    fn py_fully_qualified_name() -> String {
262        format!("{}:{}", PY_MODULE_MODEL, stringify!(TradeTick))
263    }
264
265    #[staticmethod]
266    #[pyo3(name = "get_metadata")]
267    fn py_get_metadata(
268        instrument_id: &InstrumentId,
269        price_precision: u8,
270        size_precision: u8,
271    ) -> PyResult<HashMap<String, String>> {
272        Ok(Self::get_metadata(
273            instrument_id,
274            price_precision,
275            size_precision,
276        ))
277    }
278
279    #[staticmethod]
280    #[pyo3(name = "get_fields")]
281    fn py_get_fields(py: Python<'_>) -> PyResult<Bound<'_, PyDict>> {
282        let py_dict = PyDict::new(py);
283        for (k, v) in Self::get_fields() {
284            py_dict.set_item(k, v)?;
285        }
286
287        Ok(py_dict)
288    }
289
290    /// Returns a new object from the given dictionary representation.
291    #[staticmethod]
292    #[pyo3(name = "from_dict")]
293    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
294        from_dict_pyo3(py, values)
295    }
296
297    #[staticmethod]
298    #[pyo3(name = "from_json")]
299    fn py_from_json(data: Vec<u8>) -> PyResult<Self> {
300        Self::from_json_bytes(&data).map_err(to_pyvalue_err)
301    }
302
303    #[staticmethod]
304    #[pyo3(name = "from_msgpack")]
305    fn py_from_msgpack(data: Vec<u8>) -> PyResult<Self> {
306        Self::from_msgpack_bytes(&data).map_err(to_pyvalue_err)
307    }
308
309    /// Creates a `PyCapsule` containing a raw pointer to a `Data::Trade` object.
310    ///
311    /// This function takes the current object (assumed to be of a type that can be represented as
312    /// `Data::Trade`), and encapsulates a raw pointer to it within a `PyCapsule`.
313    ///
314    /// # Safety
315    ///
316    /// This function is safe as long as the following conditions are met:
317    /// - The `Data::Trade` object pointed to by the capsule must remain valid for the lifetime of the capsule.
318    /// - The consumer of the capsule must ensure proper handling to avoid dereferencing a dangling pointer.
319    ///
320    /// # Panics
321    ///
322    /// The function will panic if the `PyCapsule` creation fails, which can occur if the
323    /// `Data::Trade` object cannot be converted into a raw pointer.
324    #[pyo3(name = "as_pycapsule")]
325    fn py_as_pycapsule(&self, py: Python<'_>) -> PyObject {
326        data_to_pycapsule(py, Data::Trade(*self))
327    }
328
329    /// Return a dictionary representation of the object.
330    #[pyo3(name = "to_dict")]
331    fn py_to_dict(&self, py: Python<'_>) -> PyResult<Py<PyDict>> {
332        to_dict_pyo3(py, self)
333    }
334
335    /// Return JSON encoded bytes representation of the object.
336    #[pyo3(name = "to_json_bytes")]
337    fn py_to_json_bytes(&self, py: Python<'_>) -> Py<PyAny> {
338        // SAFETY: Unwrap safe when serializing a valid object
339        self.to_json_bytes().unwrap().into_py_any_unwrap(py)
340    }
341
342    /// Return MsgPack encoded bytes representation of the object.
343    #[pyo3(name = "to_msgpack_bytes")]
344    fn py_to_msgpack_bytes(&self, py: Python<'_>) -> Py<PyAny> {
345        // SAFETY: Unwrap safe when serializing a valid object
346        self.to_msgpack_bytes().unwrap().into_py_any_unwrap(py)
347    }
348}
349
350////////////////////////////////////////////////////////////////////////////////
351// Tests
352////////////////////////////////////////////////////////////////////////////////
353#[cfg(test)]
354mod tests {
355    use nautilus_core::python::IntoPyObjectPoseiExt;
356    use pyo3::Python;
357    use rstest::rstest;
358
359    use crate::{
360        data::{TradeTick, stubs::stub_trade_ethusdt_buyer},
361        enums::AggressorSide,
362        identifiers::{InstrumentId, TradeId},
363        types::{Price, Quantity},
364    };
365
366    #[rstest]
367    fn test_trade_tick_py_new_with_zero_size() {
368        pyo3::prepare_freethreaded_python();
369
370        let instrument_id = InstrumentId::from("ETH-USDT-SWAP.OKX");
371        let price = Price::from("10000.00");
372        let zero_size = Quantity::from(0);
373        let aggressor_side = AggressorSide::Buyer;
374        let trade_id = TradeId::from("123456789");
375        let ts_event = 1;
376        let ts_init = 2;
377
378        let result = TradeTick::py_new(
379            instrument_id,
380            price,
381            zero_size,
382            aggressor_side,
383            trade_id,
384            ts_event,
385            ts_init,
386        );
387
388        assert!(result.is_err());
389    }
390
391    #[rstest]
392    fn test_to_dict(stub_trade_ethusdt_buyer: TradeTick) {
393        pyo3::prepare_freethreaded_python();
394        let trade = stub_trade_ethusdt_buyer;
395
396        Python::with_gil(|py| {
397            let dict_string = trade.py_to_dict(py).unwrap().to_string();
398            let expected_string = r"{'type': 'TradeTick', 'instrument_id': 'ETHUSDT-PERP.BINANCE', 'price': '10000.0000', 'size': '1.00000000', 'aggressor_side': 'BUYER', 'trade_id': '123456789', 'ts_event': 0, 'ts_init': 1}";
399            assert_eq!(dict_string, expected_string);
400        });
401    }
402
403    #[rstest]
404    fn test_from_dict(stub_trade_ethusdt_buyer: TradeTick) {
405        pyo3::prepare_freethreaded_python();
406        let trade = stub_trade_ethusdt_buyer;
407
408        Python::with_gil(|py| {
409            let dict = trade.py_to_dict(py).unwrap();
410            let parsed = TradeTick::py_from_dict(py, dict).unwrap();
411            assert_eq!(parsed, trade);
412        });
413    }
414
415    #[rstest]
416    fn test_from_pyobject(stub_trade_ethusdt_buyer: TradeTick) {
417        pyo3::prepare_freethreaded_python();
418        let trade = stub_trade_ethusdt_buyer;
419
420        Python::with_gil(|py| {
421            let tick_pyobject = trade.into_py_any_unwrap(py);
422            let parsed_tick = TradeTick::from_pyobject(tick_pyobject.bind(py)).unwrap();
423            assert_eq!(parsed_tick, trade);
424        });
425    }
426}
nautilus_model/python/data/trade.rs

nautilus_model/python/data/
trade.rs
