diff --git a/.docker/jupyterlab.dockerfile b/.docker/jupyterlab.dockerfile index fbd36c1ca750..3794d8dc21a8 100644 --- a/.docker/jupyterlab.dockerfile +++ b/.docker/jupyterlab.dockerfile @@ -1,6 +1,6 @@ ARG GIT_TAG FROM ghcr.io/nautechsystems/nautilus_trader:$GIT_TAG COPY --from=ghcr.io/nautechsystems/nautilus_data:main /opt/pysetup/catalog /catalog -RUN pip install jupyterlab +RUN pip install jupyterlab datafusion ENV NAUTILUS_PATH="/" CMD ["python", "-m", "jupyterlab", "--port=8888", "--no-browser", "--ip=0.0.0.0", "--allow-root", "-NotebookApp.token=''", "--NotebookApp.password=''", "examples/notebooks"] diff --git a/.docker/nautilus_trader.dockerfile b/.docker/nautilus_trader.dockerfile index fc07fac79c91..66a96cf0dc6b 100644 --- a/.docker/nautilus_trader.dockerfile +++ b/.docker/nautilus_trader.dockerfile @@ -16,13 +16,14 @@ WORKDIR $PYSETUP_PATH FROM base as builder # Install build deps -RUN apt-get update && apt-get install -y curl clang git libssl-dev make pkg-config +RUN apt-get update && \ + apt-get install -y curl clang git libssl-dev make pkg-config && \ + apt-get clean && \ + rm -rf /var/lib/apt/lists/* -# Install Rust stable -RUN curl https://sh.rustup.rs -sSf | bash -s -- -y - -# Install poetry -RUN curl -sSL https://install.python-poetry.org | python3 - +# Install Rust stable and poetry +RUN curl https://sh.rustup.rs -sSf | bash -s -- -y && \ + curl -sSL https://install.python-poetry.org | python3 - # Install package requirements (split step and with --no-root to enable caching) COPY poetry.lock pyproject.toml build.py ./ @@ -36,10 +37,11 @@ COPY nautilus_trader ./nautilus_trader COPY README.md ./ RUN poetry install --only main --all-extras RUN poetry build -f wheel -RUN python -m pip install ./dist/*whl --force +RUN python -m pip install ./dist/*whl --force --no-deps RUN find /usr/local/lib/python3.11/site-packages -name "*.pyc" -exec rm -f {} \; # Final application image FROM base as application + COPY --from=builder /usr/local/lib/python3.11/site-packages /usr/local/lib/python3.11/site-packages COPY examples ./examples diff --git a/.github/workflows/build-wheels.yml b/.github/workflows/build-wheels.yml new file mode 100644 index 000000000000..9f29f4c80a2a --- /dev/null +++ b/.github/workflows/build-wheels.yml @@ -0,0 +1,84 @@ +name: build-wheels + +# Build Linux wheels on successful completion of the `coverage` workflow on the `develop` branch +# Temporarily build wheels on every push to `develop` branch + +on: + push: + branches: [develop] + +jobs: + build-wheels: + # if: ${{ github.event.workflow_run.conclusion == 'success' }} + strategy: + fail-fast: false + matrix: + arch: [x64] + os: [ubuntu-latest] + python-version: ["3.11"] + name: build - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }}) + runs-on: ${{ matrix.os }} + + steps: + - name: Checkout repository + uses: actions/checkout@v4 + + - name: Get Rust version from rust-toolchain.toml + id: rust-version + run: | + version=$(awk -F\" '/version/ {print $2}' nautilus_core/rust-toolchain.toml) + echo "Rust toolchain version $version" + echo "RUST_VERSION=$version" >> $GITHUB_ENV + working-directory: ${{ github.workspace }} + + - name: Set up Rust tool-chain (stable) + uses: actions-rust-lang/setup-rust-toolchain@v1.5 + with: + toolchain: ${{ env.RUST_VERSION }} + components: rustfmt, clippy + + - name: Set up Python environment + uses: actions/setup-python@v4 + with: + python-version: ${{ matrix.python-version }} + + - name: Get Poetry version from poetry-version + run: | + version=$(cat poetry-version) + echo "POETRY_VERSION=$version" >> $GITHUB_ENV + + - name: Install Poetry + uses: snok/install-poetry@v1 + with: + version: ${{ env.POETRY_VERSION }} + + - name: Install build dependencies + run: python -m pip install --upgrade pip setuptools wheel msgspec + + - name: Set poetry cache-dir + run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV + + - name: Poetry cache + id: cached-poetry + uses: actions/cache@v3 + with: + path: ${{ env.POETRY_CACHE_DIR }} + key: ${{ runner.os }}-${{ matrix.python-version }}-poetry-${{ hashFiles('**/poetry.lock') }} + + - name: Install / Build + run: | + poetry install + poetry build --format wheel + + - name: Set release output + id: vars + run: | + echo "ASSET_PATH=$(find ./dist -mindepth 1 -print -quit)" >> $GITHUB_ENV + cd dist + echo "ASSET_NAME=$(printf '%s\0' * | awk 'BEGIN{RS="\0"} {print; exit}')" >> $GITHUB_ENV + + - name: Upload wheel artifact + uses: actions/upload-artifact@v3 + with: + name: ${{ env.ASSET_NAME }} + path: ${{ env.ASSET_PATH }} diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml index 659933055a7c..ea79e7148c56 100644 --- a/.github/workflows/build.yml +++ b/.github/workflows/build.yml @@ -16,6 +16,9 @@ jobs: arch: [x64] os: [ubuntu-latest, macos-latest, windows-latest] python-version: ["3.9", "3.10", "3.11"] + defaults: + run: + shell: bash name: build - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }}) runs-on: ${{ matrix.os }} env: @@ -24,13 +27,21 @@ jobs: steps: - name: Checkout repository - uses: actions/checkout@v3 + uses: actions/checkout@v4 + + - name: Get Rust version from rust-toolchain.toml + id: rust-version + run: | + version=$(awk -F\" '/version/ {print $2}' nautilus_core/rust-toolchain.toml) + echo "Rust toolchain version $version" + echo "RUST_VERSION=$version" >> $GITHUB_ENV + working-directory: ${{ github.workspace }} - name: Set up Rust tool-chain (Linux, Windows) stable if: (runner.os == 'Linux') || (runner.os == 'Windows') uses: actions-rust-lang/setup-rust-toolchain@v1.5 with: - toolchain: stable + toolchain: ${{ env.RUST_VERSION }} components: rustfmt, clippy # Work around as actions-rust-lang does not seem to work on macOS yet @@ -38,7 +49,7 @@ jobs: if: runner.os == 'macOS' uses: actions-rs/toolchain@v1 with: - toolchain: stable + toolchain: ${{ env.RUST_VERSION }} override: true components: rustfmt, clippy @@ -47,8 +58,18 @@ jobs: with: python-version: ${{ matrix.python-version }} + - name: Get Poetry version from poetry-version + run: | + version=$(cat poetry-version) + echo "POETRY_VERSION=$version" >> $GITHUB_ENV + + - name: Install Poetry + uses: snok/install-poetry@v1 + with: + version: ${{ env.POETRY_VERSION }} + - name: Install build dependencies - run: python -m pip install --upgrade pip setuptools wheel pre-commit poetry==1.6.1 msgspec + run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec - name: Setup cached pre-commit id: cached-pre-commit @@ -57,19 +78,14 @@ jobs: path: ~/.cache/pre-commit key: ${{ runner.os }}-${{ matrix.python-version }}-pre-commit-${{ hashFiles('.pre-commit-config.yaml') }} - - name: Setup poetry output (Linux, macOS) - if: (runner.os == 'Linux') || (runner.os == 'macOS') - run: echo "dir=$(poetry config cache-dir)" >> $GITHUB_ENV - - - name: Setup poetry output (Windows) - if: runner.os == 'Windows' - run: echo "dir=$(poetry config cache-dir)" | Out-File -FilePath $env:GITHUB_ENV -Append >> $GITHUB_ENV + - name: Set poetry cache-dir + run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV - name: Poetry cache id: cached-poetry uses: actions/cache@v3 with: - path: ${{ env.dir }} + path: ${{ env.POETRY_CACHE_DIR }} key: ${{ runner.os }}-${{ matrix.python-version }}-poetry-${{ hashFiles('**/poetry.lock') }} - name: Run pre-commit diff --git a/.github/workflows/codeql-analysis.yml b/.github/workflows/codeql-analysis.yml index 72029302ea0b..2a95a84db082 100644 --- a/.github/workflows/codeql-analysis.yml +++ b/.github/workflows/codeql-analysis.yml @@ -18,7 +18,9 @@ jobs: steps: - name: Checkout repository - uses: actions/checkout@v3 + uses: actions/checkout@v4 + with: + fetch-depth: 1 - name: Initialize CodeQL uses: github/codeql-action/init@v1 diff --git a/.github/workflows/coverage.yml b/.github/workflows/coverage.yml index dda365820777..268ca6e465f7 100644 --- a/.github/workflows/coverage.yml +++ b/.github/workflows/coverage.yml @@ -19,12 +19,21 @@ jobs: steps: - name: Checkout repository - uses: actions/checkout@v3 + uses: actions/checkout@v4 - - name: Set up Rust tool-chain (stable) + - name: Get Rust version from rust-toolchain.toml + id: rust-version + run: | + version=$(awk -F\" '/version/ {print $2}' nautilus_core/rust-toolchain.toml) + echo "Rust toolchain version $version" + echo "RUST_VERSION=$version" >> $GITHUB_ENV + working-directory: ${{ github.workspace }} + + - name: Set up Rust tool-chain (Linux, Windows) stable + if: (runner.os == 'Linux') || (runner.os == 'Windows') uses: actions-rust-lang/setup-rust-toolchain@v1.5 with: - toolchain: stable + toolchain: ${{ env.RUST_VERSION }} components: rustfmt, clippy - name: Set up Python environment @@ -32,8 +41,18 @@ jobs: with: python-version: ${{ matrix.python-version }} + - name: Get Poetry version from poetry-version + run: | + version=$(cat poetry-version) + echo "POETRY_VERSION=$version" >> $GITHUB_ENV + + - name: Install Poetry + uses: snok/install-poetry@v1 + with: + version: ${{ env.POETRY_VERSION }} + - name: Install build dependencies - run: python -m pip install --upgrade pip setuptools wheel pre-commit poetry==1.6.1 msgspec + run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec - name: Setup cached pre-commit id: cached-pre-commit @@ -45,14 +64,14 @@ jobs: - name: Run pre-commit run: pre-commit run --all-files - - name: Set poetry output - run: echo "dir=$(poetry config cache-dir)" >> $GITHUB_ENV + - name: Set poetry cache-dir + run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV - name: Poetry cache id: cached-poetry uses: actions/cache@v3 with: - path: ${{ env.dir }} + path: ${{ env.POETRY_CACHE_DIR }} key: ${{ runner.os }}-${{ matrix.python-version }}-poetry-${{ hashFiles('**/poetry.lock') }} - name: Install Redis diff --git a/.github/workflows/docker.yml b/.github/workflows/docker.yml index 38ca1bd14168..2e9e16a41692 100644 --- a/.github/workflows/docker.yml +++ b/.github/workflows/docker.yml @@ -15,16 +15,29 @@ jobs: steps: - name: Checkout repository - uses: actions/checkout@v3 + uses: actions/checkout@v4 + with: + fetch-depth: 1 + + - name: Free Disk Space (Ubuntu) + uses: jlumbroso/free-disk-space@main + with: + tool-cache: true + android: false + dotnet: false + haskell: false + large-packages: true + docker-images: true + swap-storage: true - name: Set up QEMU - uses: docker/setup-qemu-action@v1 + uses: docker/setup-qemu-action@v3 - name: Set up Docker Buildx - uses: docker/setup-buildx-action@v1 + uses: docker/setup-buildx-action@v3 - name: Login to GHCR - uses: docker/login-action@v1 + uses: docker/login-action@v3 with: registry: ghcr.io username: ${{ github.repository_owner }} @@ -37,7 +50,7 @@ jobs: - name: Build nautilus_trader image (develop) if: ${{ steps.branch-name.outputs.current_branch == 'develop' }} id: docker_build_trader_develop - uses: docker/build-push-action@v2 + uses: docker/build-push-action@v5 with: file: ".docker/nautilus_trader.dockerfile" push: true @@ -50,7 +63,7 @@ jobs: - name: Build nautilus_trader image (latest) if: ${{ steps.branch-name.outputs.current_branch == 'master' }} id: docker_build_trader_latest - uses: docker/build-push-action@v2 + uses: docker/build-push-action@v5 with: file: ".docker/nautilus_trader.dockerfile" push: true @@ -63,7 +76,7 @@ jobs: - name: Build jupyterlab image (develop) if: ${{ steps.branch-name.outputs.current_branch == 'develop' }} id: docker_build_jupyterlab_develop - uses: docker/build-push-action@v2 + uses: docker/build-push-action@v5 with: file: ".docker/jupyterlab.dockerfile" push: true @@ -78,7 +91,7 @@ jobs: - name: Build jupyterlab image (latest) if: ${{ steps.branch-name.outputs.current_branch == 'master' }} id: docker_build_jupyterlab_latest - uses: docker/build-push-action@v2 + uses: docker/build-push-action@v5 with: file: ".docker/jupyterlab.dockerfile" push: true diff --git a/.github/workflows/docs.yml b/.github/workflows/docs.yml index 93ad3e5bf4d8..5c880e24ea11 100644 --- a/.github/workflows/docs.yml +++ b/.github/workflows/docs.yml @@ -11,12 +11,23 @@ jobs: runs-on: ubuntu-latest steps: - name: Checkout repository - uses: actions/checkout@v3 + uses: actions/checkout@v4 + with: + fetch-depth: 1 + + - name: Get Rust version from rust-toolchain.toml + id: rust-version + run: | + version=$(awk -F\" '/version/ {print $2}' nautilus_core/rust-toolchain.toml) + echo "Rust toolchain version $version" + echo "RUST_VERSION=$version" >> $GITHUB_ENV + working-directory: ${{ github.workspace }} - - name: Set up Rust tool-chain (stable) - uses: actions-rust-lang/setup-rust-toolchain@v1 + - name: Set up Rust tool-chain (Linux, Windows) stable + if: (runner.os == 'Linux') || (runner.os == 'Windows') + uses: actions-rust-lang/setup-rust-toolchain@v1.5 with: - toolchain: stable + toolchain: ${{ env.RUST_VERSION }} components: rustfmt, clippy - name: Set up Rust tool-chain (nightly) @@ -30,8 +41,18 @@ jobs: with: python-version: "3.11" + - name: Get Poetry version from poetry-version + run: | + version=$(cat poetry-version) + echo "POETRY_VERSION=$version" >> $GITHUB_ENV + + - name: Install Poetry + uses: snok/install-poetry@v1 + with: + version: ${{ env.POETRY_VERSION }} + - name: Install build dependencies - run: python -m pip install --upgrade pip setuptools wheel pre-commit poetry==1.6.1 msgspec + run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec - name: Build project run: poetry install --with docs --all-extras diff --git a/.github/workflows/release.yml b/.github/workflows/release.yml index b1d659f31109..6f375f16153e 100644 --- a/.github/workflows/release.yml +++ b/.github/workflows/release.yml @@ -1,6 +1,6 @@ name: release -# Release NautilusTrader on successful completion of the `build` workflow +# Release on successful completion of the `build` workflow on the `master` branch on: workflow_run: @@ -17,27 +17,39 @@ jobs: fail-fast: false matrix: arch: [x64] - os: [ubuntu-latest, macos-latest] # windows-latest + os: [ubuntu-latest, macos-latest, windows-latest] python-version: ["3.9", "3.10", "3.11"] + defaults: + run: + shell: bash name: test-pip-install - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }}) runs-on: ${{ matrix.os }} steps: - name: Checkout repository - uses: actions/checkout@v3 + uses: actions/checkout@v4 + + - name: Get Rust version from rust-toolchain.toml + id: rust-version + run: | + version=$(awk -F\" '/version/ {print $2}' nautilus_core/rust-toolchain.toml) + echo "Rust toolchain version $version" + echo "RUST_VERSION=$version" >> $GITHUB_ENV + working-directory: ${{ github.workspace }} - name: Set up Rust tool-chain (Linux, Windows) stable if: (runner.os == 'Linux') || (runner.os == 'Windows') uses: actions-rust-lang/setup-rust-toolchain@v1.5 with: - toolchain: stable + toolchain: ${{ env.RUST_VERSION }} components: rustfmt, clippy - - name: Set up Rust tool-chain (macOS) + # Work around as actions-rust-lang does not seem to work on macOS yet + - name: Set up Rust tool-chain (macOS) stable if: runner.os == 'macOS' uses: actions-rs/toolchain@v1 with: - toolchain: stable + toolchain: ${{ env.RUST_VERSION }} override: true components: rustfmt, clippy @@ -46,8 +58,18 @@ jobs: with: python-version: ${{ matrix.python-version }} + - name: Get Poetry version from poetry-version + run: | + version=$(cat poetry-version) + echo "POETRY_VERSION=$version" >> $GITHUB_ENV + + - name: Install Poetry + uses: snok/install-poetry@v1 + with: + version: ${{ env.POETRY_VERSION }} + - name: Install build dependencies - run: python -m pip install --upgrade pip setuptools wheel pre-commit poetry==1.6.1 msgspec + run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec - name: Test pip installation run: pip install . @@ -61,14 +83,22 @@ jobs: steps: - name: Checkout repository - uses: actions/checkout@v3 + uses: actions/checkout@v4 with: fetch-depth: 2 - - name: Set up Rust tool-chain (stable) + - name: Get Rust version from rust-toolchain.toml + id: rust-version + run: | + version=$(awk -F\" '/version/ {print $2}' nautilus_core/rust-toolchain.toml) + echo "Rust toolchain version $version" + echo "RUST_VERSION=$version" >> $GITHUB_ENV + working-directory: ${{ github.workspace }} + + - name: Set up Rust tool-chain uses: actions-rust-lang/setup-rust-toolchain@v1.5 with: - toolchain: stable + toolchain: ${{ env.RUST_VERSION }} components: rustfmt, clippy - name: Set up Python environment @@ -76,17 +106,27 @@ jobs: with: python-version: "3.11" + - name: Get Poetry version from poetry-version + run: | + version=$(cat poetry-version) + echo "POETRY_VERSION=$version" >> $GITHUB_ENV + + - name: Install Poetry + uses: snok/install-poetry@v1 + with: + version: ${{ env.POETRY_VERSION }} + - name: Install build dependencies - run: python -m pip install --upgrade pip setuptools wheel pre-commit poetry==1.6.1 msgspec + run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec - - name: Set poetry caching - run: echo "dir=$(poetry config cache-dir)" >> $GITHUB_ENV + - name: Set poetry cache-dir + run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV - name: Poetry cache id: cached-poetry uses: actions/cache@v3 with: - path: ${{ env.dir }} + path: ${{ env.POETRY_CACHE_DIR }} key: ${{ runner.os }}-${{ matrix.python-version }}-poetry-${{ hashFiles('**/poetry.lock') }} - name: Install @@ -100,8 +140,8 @@ jobs: - name: Set output id: vars run: | - echo "::set-output name=tag_name::v$(poetry version --short)" - echo "::set-output name=release_name::NautilusTrader $(poetry version --short) Beta" + echo "TAG_NAME=v$(poetry version --short)" >> $GITHUB_ENV + echo "RELEASE_NAME=NautilusTrader $(poetry version --short) Beta" >> $GITHUB_ENV sed -n '/^#/,${p;/^---/q};w RELEASE.md' RELEASES.md - name: Create GitHub release @@ -109,8 +149,6 @@ jobs: uses: actions/create-release@v1 env: GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }} - TAG_NAME: ${{ steps.vars.outputs.tag_name }} - RELEASE_NAME: ${{ steps.vars.outputs.release_name }} with: tag_name: ${{ env.TAG_NAME }} release_name: ${{ env.RELEASE_NAME }} @@ -127,12 +165,20 @@ jobs: steps: - name: Checkout repository - uses: actions/checkout@v3 + uses: actions/checkout@v4 - - name: Set up Rust tool-chain (stable) + - name: Get Rust version from rust-toolchain.toml + id: rust-version + run: | + version=$(awk -F\" '/version/ {print $2}' nautilus_core/rust-toolchain.toml) + echo "Rust toolchain version $version" + echo "RUST_VERSION=$version" >> $GITHUB_ENV + working-directory: ${{ github.workspace }} + + - name: Set up Rust tool-chain uses: actions-rust-lang/setup-rust-toolchain@v1.5 with: - toolchain: stable + toolchain: ${{ env.RUST_VERSION }} components: rustfmt, clippy - name: Set up Python environment @@ -140,17 +186,27 @@ jobs: with: python-version: "3.11" + - name: Get Poetry version from poetry-version + run: | + version=$(cat poetry-version) + echo "POETRY_VERSION=$version" >> $GITHUB_ENV + + - name: Install Poetry + uses: snok/install-poetry@v1 + with: + version: ${{ env.POETRY_VERSION }} + - name: Install build dependencies - run: python -m pip install --upgrade pip setuptools wheel pre-commit poetry==1.6.1 msgspec + run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec - - name: Set poety output - run: echo "dir=$(poetry config cache-dir)" >> $GITHUB_ENV + - name: Set poetry cache-dir + run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV - name: Poetry cache id: cached-poetry uses: actions/cache@v3 with: - path: ${{ env.dir }} + path: ${{ env.POETRY_CACHE_DIR }} key: ${{ runner.os }}-${{ matrix.python-version }}-poetry-${{ hashFiles('**/poetry.lock') }} - name: Install / Build @@ -161,17 +217,15 @@ jobs: - name: Set release output id: vars run: | - echo "::set-output name=asset_path::$(find ./dist -mindepth 1 -print -quit)" + echo "ASSET_PATH=$(find ./dist -mindepth 1 -print -quit)" >> $GITHUB_ENV cd dist - echo "::set-output name=asset_name::$(printf '%s\0' * | awk 'BEGIN{RS="\0"} {print; exit}')" + echo "ASSET_NAME=$(printf '%s\0' * | awk 'BEGIN{RS="\0"} {print; exit}')" >> $GITHUB_ENV - name: Upload release asset id: upload-release-asset uses: actions/upload-release-asset@v1 env: GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }} - ASSET_PATH: ${{ steps.vars.outputs.asset_path }} - ASSET_NAME: ${{ steps.vars.outputs.asset_name }} with: upload_url: ${{ needs.tag-release.outputs.upload_url }} asset_path: ${{ env.ASSET_PATH }} @@ -192,6 +246,9 @@ jobs: arch: [x64] os: [ubuntu-20.04, ubuntu-latest, windows-latest] python-version: ["3.9", "3.10", "3.11"] + defaults: + run: + shell: bash name: publish-wheels - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }}) runs-on: ${{ matrix.os }} env: @@ -199,20 +256,29 @@ jobs: steps: - name: Checkout repository - uses: actions/checkout@v3 + uses: actions/checkout@v4 + + - name: Get Rust version from rust-toolchain.toml + id: rust-version + run: | + version=$(awk -F\" '/version/ {print $2}' nautilus_core/rust-toolchain.toml) + echo "Rust toolchain version $version" + echo "RUST_VERSION=$version" >> $GITHUB_ENV + working-directory: ${{ github.workspace }} - name: Set up Rust tool-chain (Linux, Windows) stable if: (runner.os == 'Linux') || (runner.os == 'Windows') uses: actions-rust-lang/setup-rust-toolchain@v1.5 with: - toolchain: stable + toolchain: ${{ env.RUST_VERSION }} components: rustfmt, clippy - - name: Set up Rust tool-chain (macOS) + # Work around as actions-rust-lang does not seem to work on macOS yet + - name: Set up Rust tool-chain (macOS) stable if: runner.os == 'macOS' uses: actions-rs/toolchain@v1 with: - toolchain: stable + toolchain: ${{ env.RUST_VERSION }} override: true components: rustfmt, clippy @@ -221,22 +287,27 @@ jobs: with: python-version: ${{ matrix.python-version }} - - name: Install build dependencies - run: python -m pip install --upgrade pip setuptools wheel pre-commit poetry==1.6.1 msgspec + - name: Get Poetry version from poetry-version + run: | + version=$(cat poetry-version) + echo "POETRY_VERSION=$version" >> $GITHUB_ENV - - name: Set poetry output (Linux, macOS) - if: (runner.os == 'Linux') || (runner.os == 'macOS') - run: echo "dir=$(poetry config cache-dir)" >> $GITHUB_ENV + - name: Install Poetry + uses: snok/install-poetry@v1 + with: + version: ${{ env.POETRY_VERSION }} + + - name: Install build dependencies + run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec - - name: Set poetry output (Windows) - if: runner.os == 'Windows' - run: echo "dir=$(poetry config cache-dir)" | Out-File -FilePath $env:GITHUB_ENV -Append >> $GITHUB_ENV + - name: Set poetry cache-dir + run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV - name: Poetry cache id: cached-poetry uses: actions/cache@v3 with: - path: ${{ env.dir }} + path: ${{ env.POETRY_CACHE_DIR }} key: ${{ runner.os }}-${{ matrix.python-version }}-poetry-${{ hashFiles('**/poetry.lock') }} - name: Install / Build @@ -244,43 +315,18 @@ jobs: poetry install poetry build --format wheel - - name: Set output for release (Linux, macOS) - id: vars-unix - if: (runner.os == 'Linux') || (runner.os == 'macOS') + - name: Set release output + id: vars run: | - echo "::set-output name=asset_path::$(find ./dist -mindepth 1 -print -quit)" + echo "ASSET_PATH=$(find ./dist -mindepth 1 -print -quit)" >> $ GITHUB_ENV cd dist - echo "::set-output name=asset_name::$(printf '%s\0' * | awk 'BEGIN{RS="\0"} {print; exit}')" + echo "ASSET_NAME=$(printf '%s\0' * | awk 'BEGIN{RS="\0"} {print; exit}')" >> $ GITHUB_ENV - - name: Upload release asset (Linux, macOS) + - name: Upload release asset id: upload-release-asset-unix - if: (runner.os == 'Linux') || (runner.os == 'macOS') - uses: actions/upload-release-asset@v1 - env: - GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }} - ASSET_PATH: ${{ steps.vars-unix.outputs.asset_path }} - ASSET_NAME: ${{ steps.vars-unix.outputs.asset_name }} - with: - upload_url: ${{ needs.tag-release.outputs.upload_url }} - asset_path: ${{ env.ASSET_PATH }} - asset_name: ${{ env.ASSET_NAME }} - asset_content_type: application/wheel - - - name: Set output for release (Windows) - id: vars-windows - if: runner.os == 'Windows' - run: | - echo "::set-output name=asset_path::$(Get-ChildItem dist | Select-Object -ExpandProperty FullName)" - echo "::set-output name=asset_name::$(Get-ChildItem dist | Select-Object -ExpandProperty Name)" - - - name: Upload release asset (Windows) - id: upload-release-asset-windows - if: runner.os == 'Windows' uses: actions/upload-release-asset@v1 env: GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }} - ASSET_PATH: ${{ steps.vars-windows.outputs.asset_path }} - ASSET_NAME: ${{ steps.vars-windows.outputs.asset_name }} with: upload_url: ${{ needs.tag-release.outputs.upload_url }} asset_path: ${{ env.ASSET_PATH }} diff --git a/.gitignore b/.gitignore index 787348286769..0ef5802007fe 100644 --- a/.gitignore +++ b/.gitignore @@ -16,6 +16,7 @@ .benchmarks* .coverage* +.history* .cache/ .env/ .git/ @@ -31,6 +32,7 @@ __pycache__ _build/ build/ +catalog/ data_catalog/ dist/ env/ diff --git a/.pre-commit-config.yaml b/.pre-commit-config.yaml index f72da0f64383..4e64b58c0992 100644 --- a/.pre-commit-config.yaml +++ b/.pre-commit-config.yaml @@ -3,7 +3,7 @@ repos: # General checks ############################################################################## - repo: https://github.com/pre-commit/pre-commit-hooks - rev: v4.4.0 + rev: v4.5.0 hooks: - id: forbid-new-submodules - id: fix-encoding-pragma @@ -25,7 +25,7 @@ repos: - id: check-yaml - repo: https://github.com/codespell-project/codespell - rev: v2.2.5 + rev: v2.2.6 hooks: - id: codespell description: Checks for common misspellings. @@ -67,7 +67,7 @@ repos: types: [python] - repo: https://github.com/psf/black - rev: 23.7.0 + rev: 23.10.0 hooks: - id: black types_or: [python, pyi] @@ -76,7 +76,7 @@ repos: exclude: "docs/_pygments/monokai.py" - repo: https://github.com/astral-sh/ruff-pre-commit - rev: v0.0.287 + rev: v0.1.1 hooks: - id: ruff args: ["--fix"] @@ -105,7 +105,7 @@ repos: ] - repo: https://github.com/pre-commit/mirrors-mypy - rev: v1.5.1 + rev: v1.6.1 hooks: - id: mypy args: [ diff --git a/README.md b/README.md index 48e24401c070..6485a9b32807 100644 --- a/README.md +++ b/README.md @@ -15,10 +15,10 @@ | Platform | Rust | Python | | :----------------- | :------ | :----- | -| `Linux (x86_64)` | 1.72.0+ | 3.9+ | -| `macOS (x86_64)` | 1.72.0+ | 3.9+ | -| `macOS (arm64)` | 1.72.0+ | 3.9+ | -| `Windows (x86_64)` | 1.72.0+ | 3.9+ | +| `Linux (x86_64)` | 1.73.0+ | 3.9+ | +| `macOS (x86_64)` | 1.73.0+ | 3.9+ | +| `macOS (arm64)` | 1.73.0+ | 3.9+ | +| `Windows (x86_64)` | 1.73.0+ | 3.9+ | - **Website:** https://nautilustrader.io - **Docs:** https://docs.nautilustrader.io @@ -140,13 +140,14 @@ NautilusTrader is designed in a modular way to work with 'adapters' which provid connectivity to data publishers and/or trading venues - converting their raw API into a unified interface. The following integrations are currently supported: -| Name | ID | Type | Status | Docs | -| :-------------------------------------------------------- | :-------- | :---------------------- | :-------------------------------------------------- | :---------------------------------------------------------------- | -| [Betfair](https://betfair.com) | `BETFAIR` | Sports Betting Exchange | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/betfair.html) | -| [Binance](https://binance.com) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | -| [Binance US](https://binance.us) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | -| [Binance Futures](https://www.binance.com/en/futures) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | -| [Interactive Brokers](https://www.interactivebrokers.com) | `IB` | Brokerage (multi-venue) | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/ib.html) | +| Name | ID | Type | Status | Docs | +| :-------------------------------------------------------- | :-------- | :---------------------- | :------------------------------------------------------ | :---------------------------------------------------------------- | +| [Betfair](https://betfair.com) | `BETFAIR` | Sports Betting Exchange | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/betfair.html) | +| [Binance](https://binance.com) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/stable-green) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | +| [Binance US](https://binance.us) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/stable-green) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | +| [Binance Futures](https://www.binance.com/en/futures) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/stable-green) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | +| [Bybit](https://www.bybit.com) | `BYBIT` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/building-orange) | | +| [Interactive Brokers](https://www.interactivebrokers.com) | `IB` | Brokerage (multi-venue) | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/ib.html) | Refer to the [Integrations](https://docs.nautilustrader.io/integrations/index.html) documentation for further details. diff --git a/RELEASES.md b/RELEASES.md index e51e05297a62..7b25d83cc3e8 100644 --- a/RELEASES.md +++ b/RELEASES.md @@ -1,3 +1,59 @@ +# NautilusTrader 1.179.0 Beta + +Released on 22nd October 2023 (UTC). + +A major feature of this release is the `ParquetDataCatalog` version 2, which represents months of +collective effort thanks to contributions from Brad @limx0, @twitu, @ghill2 and @davidsblom. + +This will be the final release with support for Python 3.9. + +### Enhancements +- Added `ParquetDataCatalog` v2 supporting built-in data types `OrderBookDelta`, `QuoteTick`, `TradeTick` and `Bar` +- Added `Strategy` specific order and position event handlers +- Added `ExecAlgorithm` specific order and position event handlers +- Added `Cache.is_order_pending_cancel_local(...)` (tracks local orders in cancel transition) +- Added `BinanceTimeInForce.GTD` enum member (futures only) +- Added Binance Futures support for GTD orders +- Added Binance internal bar aggregation inference from aggregated trade ticks or 1-MINUTE bars (depending on lookback window) +- Added `BinanceExecClientConfig.use_gtd` option (to remap to GTC and locally manage GTD orders) +- Added package version check for `nautilus_ibapi`, thanks @rsmb7z +- Added `RiskEngine` min/max instrument notional limit checks +- Added `Controller` for dynamically controlling actor and strategy instances for a `Trader` +- Added `ReportProvider.generate_fills_report(...)` which provides a row per individual fill event, thanks @r3k4mn14r +- Moved indicator registration and data handling down to `Actor` (now available for `Actor`) +- Implemented Binance `WebSocketClient` live subscribe and unsubscribe +- Implemented `BinanceCommonDataClient` retries for `update_instruments` +- Decythonized `Trader` + +### Breaking Changes +- Renamed `BookType.L1_TBBO` to `BookType.L1_MBP` (more accurate definition, as L1 is the top-level price either side) +- Renamed `VenueStatusUpdate` -> `VenueStatus` +- Renamed `InstrumentStatusUpdate` -> `InstrumentStatus` +- Renamed `Actor.subscribe_venue_status_updates(...)` to `Actor.subscribe_venue_status(...)` +- Renamed `Actor.subscribe_instrument_status_updates(...)` to `Actor.subscribe_instrument_status(...)` +- Renamed `Actor.unsubscribe_venue_status_updates(...)` to `Actor.unsubscribe_venue_status(...)` +- Renamed `Actor.unsubscribe_instrument_status_updates(...)` to `Actor.unsubscribe_instrument_status(...)` +- Renamed `Actor.on_venue_status_update(...)` to `Actor.on_venue_status(...)` +- Renamed `Actor.on_instrument_status_update(...)` to `Actor.on_instrument_status(...)` +- Changed `InstrumentStatus` fields/schema and constructor +- Moved `manage_gtd_expiry` from `Strategy.submit_order(...)` and `Strategy.submit_order_list(...)` to `StrategyConfig` (simpler and allows re-activiting any GTD timers on start) + +### Fixes +- Fixed `LimitIfTouchedOrder.create` (exec_algorithm_params were not being passed in) +- Fixed `OrderEmulator` start-up processing of OTO contingent orders (when position from parent is open) +- Fixed `SandboxExecutionClientConfig` `kw_only=True` to allow importing without initializing +- Fixed `OrderBook` pickling (did not include all attributes), thanks @limx0 +- Fixed open position snapshots race condition (added `open_only` flag) +- Fixed `Strategy.cancel_order` for orders in `INITIALIZED` state and with an `emulation_trigger` (was not sending command to `OrderEmulator`) +- Fixed `BinanceWebSocketClient` reconnect behavior (reconnect handler was not being called due event loop issue from Rust) +- Fixed Binance instruments missing max notional values, thanks for reporting @AnthonyVince and thanks for fixing @filipmacek +- Fixed Binance Futures fee rates for backtesting +- Fixed `Timer` missing condition check for non-positive intervals +- Fixed `Condition` checks involving integers, was previously defaulting to 32-bit and overflowing +- Fixed `ReportProvider.generate_order_fills_report(...)` which was missing partial fills for orders not in a final `FILLED` status, thanks @r3k4mn14r + +--- + # NautilusTrader 1.178.0 Beta Released on 2nd September 2023 (UTC). @@ -221,7 +277,7 @@ Released on 30th April 2023 (UTC). - Added `Cache.orders_for_exec_algorithm(...)` - Added `Cache.orders_for_exec_spawn(...)` - Added `TWAPExecAlgorithm` and `TWAPExecAlgorithmConfig` to examples -- Build out `ExecAlgorithm` base class for implementing 'first class' executon algorithms +- Build out `ExecAlgorithm` base class for implementing 'first class' execution algorithms - Rewired execution for improved flow flexibility between emulated orders, execution algorithms and the `RiskEngine` - Improved handling for `OrderEmulator` updating of contingency orders from execution algorithms - Defined public API for instruments, can now import directly from `nautilus_trader.model.instruments` (denest namespace) @@ -584,7 +640,7 @@ Released on 18th November 2022 (UTC). Released on 3rd November 2022 (UTC). ### Breaking Changes -- Added `LiveExecEngineConfig.reconcilation` boolean flag to control if reconciliation is active +- Added `LiveExecEngineConfig.reconciliation` boolean flag to control if reconciliation is active - Removed `LiveExecEngineConfig.reconciliation_auto` (unclear naming and concept) - All Redis keys have changed to a lowercase convention (either migrate or flush your Redis) - Removed `BidAskMinMax` indicator (to reduce total package size) diff --git a/build.py b/build.py index 160e327029c7..16f852f32b26 100644 --- a/build.py +++ b/build.py @@ -12,6 +12,7 @@ from pathlib import Path import numpy as np +import toml from Cython.Build import build_ext from Cython.Build import cythonize from Cython.Compiler import Options @@ -103,7 +104,7 @@ def _build_rust_libs() -> None: ) except subprocess.CalledProcessError as e: raise RuntimeError( - f"Error running cargo: {e.stderr.decode()}", + f"Error running cargo: {e}", ) from e @@ -156,6 +157,7 @@ def _build_extensions() -> list[Extension]: if platform.system() != "Windows": # Suppress warnings produced by Cython boilerplate extra_compile_args.append("-Wno-parentheses-equality") + extra_compile_args.append("-Wno-unreachable-code") if BUILD_MODE == "release": extra_compile_args.append("-O2") extra_compile_args.append("-pipe") @@ -295,7 +297,7 @@ def _strip_unneeded_symbols() -> None: capture_output=True, ) except subprocess.CalledProcessError as e: - raise RuntimeError(f"Error when stripping symbols.\n{e.stderr.decode()}") from e + raise RuntimeError(f"Error when stripping symbols.\n{e}") from e def build() -> None: @@ -327,9 +329,10 @@ def build() -> None: if __name__ == "__main__": + nautilus_trader_version = toml.load("pyproject.toml")["tool"]["poetry"]["version"] print("\033[36m") print("=====================================================================") - print("Nautilus Builder") + print(f"Nautilus Builder {nautilus_trader_version}") print("=====================================================================\033[0m") print(f"System: {platform.system()} {platform.machine()}") print(f"Clang: {_get_clang_version()}") diff --git a/docs/_pygments/monokai.py b/docs/_pygments/monokai.py index 99945d8d3626..07820e00adbd 100644 --- a/docs/_pygments/monokai.py +++ b/docs/_pygments/monokai.py @@ -1,3 +1,4 @@ +# fmt: off from pygments.style import Style from pygments.token import Comment from pygments.token import Error @@ -38,10 +39,10 @@ class MonokaiStyle(Style): Comment.Single: "", # class: 'c1' Comment.Special: "", # class: 'cs' - Keyword: "#66d9ef", # class: 'k' + Keyword: "#D9C4FF", # class: 'k' Keyword.Constant: "", # class: 'kc' Keyword.Declaration: "", # class: 'kd' - Keyword.Namespace: "#f92672", # class: 'kn' + Keyword.Namespace: "#D9C4FF", # class: 'kn' Keyword.Pseudo: "", # class: 'kp' Keyword.Reserved: "", # class: 'kr' Keyword.Type: "", # class: 'kt' @@ -52,41 +53,41 @@ class MonokaiStyle(Style): Punctuation: "#f8f8f2", # class: 'p' Name: "#f8f8f2", # class: 'n' - Name.Attribute: "#a6e22e", # class: 'na' - to be revised + Name.Attribute: "#D9C4FF", # class: 'na' - to be revised Name.Builtin: "", # class: 'nb' Name.Builtin.Pseudo: "", # class: 'bp' - Name.Class: "#a6e22e", # class: 'nc' - to be revised - Name.Constant: "#66d9ef", # class: 'no' - to be revised - Name.Decorator: "#a6e22e", # class: 'nd' - to be revised + Name.Class: "#A0D8F0", # class: 'nc' - to be revised + Name.Constant: "#A0D8F0", # class: 'no' - to be revised + Name.Decorator: "#e6db74", # class: 'nd' - to be revised Name.Entity: "", # class: 'ni' - Name.Exception: "#a6e22e", # class: 'ne' - Name.Function: "#a6e22e", # class: 'nf' + Name.Exception: "#D9C4FF", # class: 'ne' + Name.Function: "#A0D8F0", # class: 'nf' Name.Property: "", # class: 'py' Name.Label: "", # class: 'nl' Name.Namespace: "", # class: 'nn' - to be revised - Name.Other: "#a6e22e", # class: 'nx' + Name.Other: "#D9C4FF", # class: 'nx' Name.Tag: "#f92672", # class: 'nt' - like a keyword Name.Variable: "", # class: 'nv' - to be revised - Name.Variable.Class: "", # class: 'vc' - to be revised + Name.Variable.Class: "#A0D8F0", # class: 'vc' - to be revised Name.Variable.Global: "", # class: 'vg' - to be revised Name.Variable.Instance: "", # class: 'vi' - to be revised - Number: "#ae81ff", # class: 'm' + Number: "#e6db74", # class: 'm' Number.Float: "", # class: 'mf' Number.Hex: "", # class: 'mh' Number.Integer: "", # class: 'mi' Number.Integer.Long: "", # class: 'il' Number.Oct: "", # class: 'mo' - Literal: "#ae81ff", # class: 'l' - Literal.Date: "#e6db74", # class: 'ld' + Literal: "#D9C4FF", # class: 'l' + Literal.Date: "#A3BE8C", # class: 'ld' - String: "#e6db74", # class: 's' + String: "#A3BE8C", # class: 's' String.Backtick: "", # class: 'sb' String.Char: "", # class: 'sc' String.Doc: "", # class: 'sd' - like a comment String.Double: "", # class: 's2' - String.Escape: "#ae81ff", # class: 'se' + String.Escape: "#D9C4FF", # class: 'se' String.Heredoc: "", # class: 'sh' String.Interpol: "", # class: 'si' String.Other: "", # class: 'sx' @@ -99,7 +100,7 @@ class MonokaiStyle(Style): Generic.Emph: "italic", # class: 'ge' Generic.Error: "", # class: 'gr' Generic.Heading: "", # class: 'gh' - Generic.Inserted: "#a6e22e", # class: 'gi' + Generic.Inserted: "#D9C4FF", # class: 'gi' Generic.Output: "", # class: 'go' Generic.Prompt: "", # class: 'gp' Generic.Strong: "bold", # class: 'gs' diff --git a/docs/_static/custom.css b/docs/_static/custom.css index 5df4fe6b060d..4a21d59c584e 100644 --- a/docs/_static/custom.css +++ b/docs/_static/custom.css @@ -89,8 +89,8 @@ h1, h2, h3 { transition: transform .25s cubic-bezier(.1,.7,.1,1),box-shadow .25s; } .md-typeset code { - background-color: transparent; - color: #f92672; + color: #ddc; + background-color: #282828; display: inline-block; } .md-nav__link[data-md-state=blur] { diff --git a/docs/_static/fontawesome.css b/docs/_static/fontawesome.css index b2ceba3d321f..a77ede7d88fe 100644 --- a/docs/_static/fontawesome.css +++ b/docs/_static/fontawesome.css @@ -81,8 +81,8 @@ h1, h2, h3 { transition: transform .25s cubic-bezier(.1,.7,.1,1),box-shadow .25s; } .md-typeset code { - background-color: transparent; - color: #f92672; + color: #ddc; + background-color: #282828; display: inline-block; } .md-nav__link[data-md-state=blur] { diff --git a/docs/api_reference/adapters/betfair.md b/docs/api_reference/adapters/betfair.md index 3d7de3bfa956..96394a37178e 100644 --- a/docs/api_reference/adapters/betfair.md +++ b/docs/api_reference/adapters/betfair.md @@ -78,10 +78,10 @@ :member-order: bysource ``` -## Historic +## OrderBook ```{eval-rst} -.. automodule:: nautilus_trader.adapters.betfair.historic +.. automodule:: nautilus_trader.adapters.betfair.orderbook :show-inheritance: :inherited-members: :members: diff --git a/docs/api_reference/common.md b/docs/api_reference/common.md index ee437c874438..8867c0720a53 100644 --- a/docs/api_reference/common.md +++ b/docs/api_reference/common.md @@ -78,14 +78,6 @@ :member-order: bysource ``` -```{eval-rst} -.. automodule:: nautilus_trader.common.queue - :show-inheritance: - :inherited-members: - :members: - :member-order: bysource -``` - ```{eval-rst} .. automodule:: nautilus_trader.common.throttler :show-inheritance: diff --git a/docs/api_reference/index.md b/docs/api_reference/index.md index 203b917e8102..337d20806675 100644 --- a/docs/api_reference/index.md +++ b/docs/api_reference/index.md @@ -1,33 +1,9 @@ -# API Reference - -Welcome to the API reference for the Python/Cython implementation of NautilusTrader! - -The API reference provides detailed technical documentation for the NautilusTrader framework, -including its modules, classes, methods, and functions. The reference is automatically generated -from the latest NautilusTrader source code using [Sphinx](https://www.sphinx-doc.org/en/master/). - -Please note that there are separate references for different versions of NautilusTrader: - -- **Latest**: This reference is built from the head of the `master` branch and represents the documentation for the latest stable release. -- **Develop**: This reference is built from the head of the `develop` branch and represents the documentation for the latest changes and features currently in development. - -You can select the desired API reference from the **Versions** top right drop down menu. - -```{note} -If you select an item from the top level navigation, this will take you to the **Latest** API reference. -``` - -Use the right navigation sidebar to explore the available modules and their contents. -You can click on any item to view its detailed documentation, including parameter descriptions, and return value explanations. - -If you have any questions or need further assistance, please reach out to the NautilusTrader community for support. +# Python API ```{eval-rst} .. toctree:: :maxdepth: 1 :glob: - :titlesonly: - :hidden: accounting.md adapters/index.md @@ -51,3 +27,36 @@ If you have any questions or need further assistance, please reach out to the Na system.md trading.md ``` + +Welcome to the Python API reference for NautilusTrader! + +The API reference provides detailed technical documentation for the NautilusTrader framework, +including its modules, classes, methods, and functions. The reference is automatically generated +from the latest NautilusTrader source code using [Sphinx](https://www.sphinx-doc.org/en/master/). + +Please note that there are separate references for different versions of NautilusTrader: + +- **Latest**: This API reference is built from the head of the `master` branch and represents the latest stable release. +- **Develop**: This API reference is built from the head of the `develop` branch and represents bleeding edge and experimental changes/features currently in development. + +You can select the desired API reference from the **Versions** top right drop down menu. + +```{note} +If you select an item from the top level navigation, this will take you to the **Latest** API reference. +``` + +Use the right navigation sidebar to explore the available modules and their contents. +You can click on any item to view its detailed documentation, including parameter descriptions, and return value explanations. + +## Why Python? + +Python was originally created decades ago as a simple scripting language with a clean straight +forward syntax. It has since evolved into a fully fledged general purpose object-oriented +programming language. Based on the TIOBE index, Python is currently the most popular programming language in the world. +Not only that, Python has become the _de facto lingua franca_ of data science, machine learning, and artificial intelligence. + +The language out of the box is not without its drawbacks however, especially in the context of +implementing large performance-critical systems. Cython has addressed a lot of these issues, offering all the advantages +of a statically typed language, embedded into Pythons rich ecosystem of software libraries and +developer/user communities. + diff --git a/docs/api_reference/model/data.md b/docs/api_reference/model/data.md index 2fd4577f4e0e..994a481ef55b 100644 --- a/docs/api_reference/model/data.md +++ b/docs/api_reference/model/data.md @@ -21,7 +21,7 @@ ``` ```{eval-rst} -.. automodule:: nautilus_trader.model.data.tick +.. automodule:: nautilus_trader.model.data.status :show-inheritance: :inherited-members: :members: @@ -29,7 +29,7 @@ ``` ```{eval-rst} -.. automodule:: nautilus_trader.model.data.ticker +.. automodule:: nautilus_trader.model.data.tick :show-inheritance: :inherited-members: :members: @@ -37,7 +37,7 @@ ``` ```{eval-rst} -.. automodule:: nautilus_trader.model.data.venue +.. automodule:: nautilus_trader.model.data.ticker :show-inheritance: :inherited-members: :members: diff --git a/docs/api_reference/persistence.md b/docs/api_reference/persistence.md index 79b707349695..9b1109a74b7b 100644 --- a/docs/api_reference/persistence.md +++ b/docs/api_reference/persistence.md @@ -29,31 +29,7 @@ ``` ```{eval-rst} -.. automodule:: nautilus_trader.persistence.external.readers - :show-inheritance: - :inherited-members: - :members: - :member-order: bysource -``` - -```{eval-rst} -.. automodule:: nautilus_trader.persistence.streaming.batching - :show-inheritance: - :inherited-members: - :members: - :member-order: bysource -``` - -```{eval-rst} -.. automodule:: nautilus_trader.persistence.streaming.engine - :show-inheritance: - :inherited-members: - :members: - :member-order: bysource -``` - -```{eval-rst} -.. automodule:: nautilus_trader.persistence.streaming.writer +.. automodule:: nautilus_trader.persistence.writer :show-inheritance: :inherited-members: :members: diff --git a/docs/api_reference/trading.md b/docs/api_reference/trading.md index 6c0e5dc2ceef..190ab696c834 100644 --- a/docs/api_reference/trading.md +++ b/docs/api_reference/trading.md @@ -4,6 +4,14 @@ .. automodule:: nautilus_trader.trading ``` +```{eval-rst} +.. automodule:: nautilus_trader.trading.controller + :show-inheritance: + :inherited-members: + :members: + :member-order: bysource +``` + ```{eval-rst} .. automodule:: nautilus_trader.trading.filters :show-inheritance: diff --git a/docs/concepts/advanced/actors.md b/docs/concepts/advanced/actors.md new file mode 100644 index 000000000000..069fd3934c21 --- /dev/null +++ b/docs/concepts/advanced/actors.md @@ -0,0 +1,7 @@ +# Actors + +The `Strategy` class actually inherits from `Actor`, and additionally provides order management +methods on top. This means everything discussed in the [Strategies](../../concepts/strategies.md) guide +also applies to actors. + +This doc is an evolving work in progress and will continue to describe actors more fully… diff --git a/docs/concepts/advanced/advanced_orders.md b/docs/concepts/advanced/advanced_orders.md index 23b35e02bd35..ba4238497d45 100644 --- a/docs/concepts/advanced/advanced_orders.md +++ b/docs/concepts/advanced/advanced_orders.md @@ -19,19 +19,19 @@ specific exchange they are being routed to. These contingency types relate to ContingencyType FIX tag <1385> https://www.onixs.biz/fix-dictionary/5.0.sp2/tagnum_1385.html. ``` -### One Triggers the Other (OTO) +### *'One Triggers the Other'* (OTO) An OTO orders involves two orders—a parent order and a child order. The parent order is a live marketplace order. The child order, held in a separate order file, is not. If the parent order executes in full, the child order is released to the marketplace and becomes live. An OTO order can be made up of stock orders, option orders, or a combination of both. -### One Cancels the Other (OCO) +### *'One Cancels the Other'* (OCO) An OCO order is an order whose execution results in the immediate cancellation of another order linked to it. Cancellation of the Contingent Order happens on a best efforts basis. In an OCO order, both orders are live in the marketplace at the same time. The execution of either order triggers an attempt to cancel the other unexecuted order. Partial executions will also trigger an attempt to cancel the other order. -### One Updates the Other (OUO) +### *'One Updates the Other'* (OUO) An OUO order is an order whose execution results in the immediate reduction of quantity in another order linked to it. The quantity reduction happens on a best effort basis. In an OUO order both orders are live in the marketplace at the same time. The execution of either order triggers an diff --git a/docs/concepts/advanced/data.md b/docs/concepts/advanced/custom_data.md similarity index 98% rename from docs/concepts/advanced/data.md rename to docs/concepts/advanced/custom_data.md index 754d3ed4ef73..83b5ab75351c 100644 --- a/docs/concepts/advanced/data.md +++ b/docs/concepts/advanced/custom_data.md @@ -1,12 +1,15 @@ -# Data +# Custom/Generic Data Due to the modular nature of the Nautilus design, it is possible to set up systems with very flexible data streams, including custom user defined data types. This guide covers some possible use cases for this functionality. -## Custom/Generic Data It's possible to create custom data types within the Nautilus system. First you will need to define your data by subclassing from `Data`. +```{note} +As `Data` holds no state, it is not strictly necessary to call `super().__init__()`. +``` + ```python from nautilus_trader.core.data import Data @@ -68,10 +71,6 @@ The recommended approach to satisfy the contract is to assign `ts_event` and `ts to backing fields, and then implement the `@property` for each as shown above (for completeness, the docstrings are copied from the `Data` base class). -```{note} -As `Data` holds no state, it is not strictly necessary to call `super().__init__()`. -``` - ```{note} These timestamps are what allow Nautilus to correctly order data streams for backtests by monotonically increasing `ts_init` UNIX nanoseconds. diff --git a/docs/concepts/advanced/emulated_orders.md b/docs/concepts/advanced/emulated_orders.md index 020641b67925..29af99176163 100644 --- a/docs/concepts/advanced/emulated_orders.md +++ b/docs/concepts/advanced/emulated_orders.md @@ -2,7 +2,7 @@ The platform makes it possible to emulate most order types locally, regardless of whether the type is supported on a trading venue. The logic and code paths for -order emulation are exactly the same for all environment contexts (backtest, sandbox, live), +order emulation are exactly the same for all environment contexts (`backtest`, `sandbox`, `live`) and utilize a common `OrderEmulator` component. ```{note} @@ -53,15 +53,15 @@ trading venue. ## Order types | | Can emulate | Released type | |------------------------|-------------|---------------| -| `MARKET` | No | - | -| `MARKET_TO_LIMIT` | No | - | -| `LIMIT` | Yes | `MARKET` | -| `STOP_MARKET` | Yes | `MARKET` | -| `STOP_LIMIT` | Yes | `LIMIT` | -| `MARKET_IF_TOUCHED` | Yes | `MARKET` | -| `LIMIT_IF_TOUCHED` | Yes | `LIMIT` | -| `TRAILING_STOP_MARKET` | Yes | `MARKET` | -| `TRAILING_STOP_LIMIT` | Yes | `LIMIT` | +| `MARKET` | | - | +| `MARKET_TO_LIMIT` | | - | +| `LIMIT` | ✓ | `MARKET` | +| `STOP_MARKET` | ✓ | `MARKET` | +| `STOP_LIMIT` | ✓ | `LIMIT` | +| `MARKET_IF_TOUCHED` | ✓ | `MARKET` | +| `LIMIT_IF_TOUCHED` | ✓ | `LIMIT` | +| `TRAILING_STOP_MARKET` | ✓ | `MARKET` | +| `TRAILING_STOP_LIMIT` | ✓ | `LIMIT` | ## Querying When writing trading strategies, it may be necessary to know the state of emulated orders in the system. @@ -72,12 +72,9 @@ It's possible to query for emulated orders through the following `Cache` methods See the full [API reference](../../api_reference/cache) for additional details. -You can also query order objects directly in Python: +You can also query order objects directly: - `order.is_emulated` -Or through the C API if in Cython: -- `order.is_emulated_c()` - If either of these return `False`, then the order has been _released_ from the `OrderEmulator`, and so is no longer considered an emulated order. @@ -90,5 +87,3 @@ on the `Cache` which is made for the job. ## Persisted emulated orders If a running system either crashes or shuts down with active emulated orders, then they will be reloaded inside the `OrderEmulator` from any configured cache database. -It should be remembered that any custom `position_id` originally assigned to the -submit order command will be lost (as per the above warning). diff --git a/docs/concepts/advanced/index.md b/docs/concepts/advanced/index.md index cb6ad32d56b4..b3fd9de3eccf 100644 --- a/docs/concepts/advanced/index.md +++ b/docs/concepts/advanced/index.md @@ -15,9 +15,21 @@ highest to lowest level (although they are self-contained and can be read in any :titlesonly: :hidden: - data.md + actors.md + custom_data.md advanced_orders.md emulated_orders.md synthetic_instruments.md portfolio_statistics.md ``` + +## Guides + +Explore more advanced concepts of NautilusTrader through these guides: + +- [Actors](actors.md) +- [Custom/Generic data](custom_data.md) +- [Advanced Orders](advanced_orders.md) +- [Emulated Orders](emulated_orders.md) +- [Synthetic Instruments](synthetic_instruments.md) +- [Portfolio Statistics](portfolio_statistics.md) diff --git a/docs/concepts/advanced/synthetic_instruments.md b/docs/concepts/advanced/synthetic_instruments.md index 3c5314bb2c8c..7b68d76b7630 100644 --- a/docs/concepts/advanced/synthetic_instruments.md +++ b/docs/concepts/advanced/synthetic_instruments.md @@ -1,9 +1,9 @@ -# Synthetic instruments +# Synthetic Instruments The platform supports the definition of customized synthetic instruments. These instruments can generate synthetic quote and trade ticks, which are beneficial for: -- Allowing actors (and strategies) to subscribe to quote or trade feeds (for any purpose) +- Allowing `Actor` (and `Strategy`) components to subscribe to quote or trade feeds (for any purpose) - Facilitating the triggering of emulated orders - Constructing bars from synthetic quotes or trades @@ -67,12 +67,12 @@ self.subscribe_quote_ticks(self._synthetic_id) ``` ```{note} -The `instrument_id` for the synthetic instrument in the above example will be structured as `{symbol}.{SYNTH}`, resulting in 'BTC-ETH:BINANCE.SYNTH'. +The `instrument_id` for the synthetic instrument in the above example will be structured as `{symbol}.{SYNTH}`, resulting in `'BTC-ETH:BINANCE.SYNTH'`. ``` ## Updating formulas -It's also possible to update a synthetic instruments formula at any time. The following examples -shows up to achieve this with an actor/strategy. +It's also possible to update a synthetic instrument formulas at any time. The following example +shows how to achieve this with an actor/strategy. ``` # Recover the synthetic instrument from the cache (assuming `synthetic_id` was assigned) diff --git a/docs/concepts/architecture.md b/docs/concepts/architecture.md index e6a49f058339..b47a2a9ec0d8 100644 --- a/docs/concepts/architecture.md +++ b/docs/concepts/architecture.md @@ -1,12 +1,17 @@ # Architecture -This guide describes the architecture of NautilusTrader from highest to lowest level, including: -- Design philosophy -- System architecture -- Framework organization -- Code structure -- Component organization and interaction -- Implementation techniques +Welcome to the architectural overview of NautilusTrader. + +This guide dives deep into the foundational principles, structures, and designs that underpin +the platform. Whether you're a developer, system architect, or just curious about the inner workings +of NautilusTrader, this exposition covers: + +- The **Design Philosophy** that drives decisions and shapes the system's evolution +- The overarching **System Architecture** providing a bird's-eye view of the entire system framework +- How the **Framework** is organized to facilitate modularity and maintainability +- The **Code Structure** that ensures readability and scalability +- A breakdown of **Component Organization and Interaction** to understand how different parts communicate and collaborate +- And finally, the **Implementation Techniques** that are crucial for performance, reliability, and robustness ## Design philosophy The major architectural techniques and design patterns employed by NautilusTrader are: @@ -38,9 +43,11 @@ environment contexts. ```{note} Throughout the documentation, the term _"Nautilus system boundary"_ refers to operations within -the runtime of a single Nautilus node (also known as a trader instance). +the runtime of a single Nautilus node (also known as a "trader instance"). ``` +![Architecture](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/_images/architecture-overview.png?raw=true "architecture") + ### Environment contexts - `Backtest` - Historical data with simulated venues - `Sandbox` - Real-time data with simulated venues @@ -62,8 +69,8 @@ on a single thread, for both backtesting and live trading. Much research and tes resulted in arriving at this design, as it was found the overhead of context switching between threads didn't actually result in improved performance. -When considering the logic of how your trading will work within the system boundary, you can expect each component to consume messages -in a predictable synchronous way (_similar_ to the [actor model](https://en.wikipedia.org/wiki/Actor_model)). +When considering the logic of how your algo trading will work within the system boundary, you can expect each component to consume messages +in a deterministic synchronous way (_similar_ to the [actor model](https://en.wikipedia.org/wiki/Actor_model)). ```{note} Of interest is the LMAX exchange architecture, which achieves award winning performance running on @@ -100,14 +107,14 @@ for each of these subpackages from the left nav menu. ### System implementations - `backtest` - backtesting componentry as well as a backtest engine and node implementations - `live` - live engine and client implementations as well as a node for live trading -- `system` - the core system kernel common between backtest, sandbox and live contexts +- `system` - the core system kernel common between `backtest`, `sandbox`, `live` contexts ## Code structure -The foundation of the codebase is the `nautilus_core` directory, containing a collection of core Rust libraries including a C API interface generated by `cbindgen`. +The foundation of the codebase is the `nautilus_core` directory, containing a collection of core Rust crates including a C foreign function interface (FFI) generated by `cbindgen`. -The bulk of the production code resides in the `nautilus_trader` directory, which contains a collection of Python and Cython modules. +The bulk of the production code resides in the `nautilus_trader` directory, which contains a collection of Python/Cython subpackages and modules. -Python bindings for the Rust core are achieved by statically linking the Rust libraries to the C extension modules generated by Cython at compile time (effectively extending the CPython API). +Python bindings for the Rust core are provided by statically linking the Rust libraries to the C extension modules generated by Cython at compile time (effectively extending the CPython API). ```{note} Both Rust and Cython are build dependencies. The binary wheels produced from a build do not themselves require diff --git a/docs/concepts/backtesting.md b/docs/concepts/backtesting.md new file mode 100644 index 000000000000..edbc28fdb046 --- /dev/null +++ b/docs/concepts/backtesting.md @@ -0,0 +1,52 @@ +# Backtesting + +Backtesting with NautilusTrader is a methodical simulation process that replicates trading +activities using a specific system implementation. This system is composed of various components +including [Actors](advanced/actors.md), [Strategies](strategies.md), [Execution Algorithms](execution.md), +and other user-defined modules. The entire trading simulation is predicated on a stream of historical data processed by a +`BacktestEngine`. Once this data stream is exhausted, the engine concludes its operation, producing +detailed results and performance metrics for in-depth analysis. + +It's paramount to recognize that NautilusTrader offers two distinct API levels for setting up and +conducting backtests: **high-level** and **low-level**. + +## Choosing an API level: + +Consider the **low-level** API when: + +- The entirety of your data stream can be comfortably accommodated within available memory +- You choose to avoid storing data in the Nautilus-specific Parquet format +- Or, you have a specific need/preference for retaining raw data in its innate format, such as CSV, Binary, etc +- You seek granular control over the `BacktestEngine`, enabling functionalities such as re-running backtests on identical data while interchanging components (like actors or strategies) or tweaking parameter settings + +Consider the **high-level** API when: + +- Your data stream's size exceeds available memory, necessitating streaming data in batches +- You want to harness the performance capabilities and convenience of the `ParquetDataCatalog` and persist your data in the Nautilus-specific Parquet format +- You value the flexibility and advanced functionalities offered by passing configuration objects, which can define diverse backtest runs across many engines at once + +## Low-level API: + +The low-level API revolves around a single `BacktestEngine`, with inputs initialized and added 'manually' via a Python script. +An instantiated `BacktestEngine` can accept: +- Lists of `Data` objects which will be automatically sorted into monotonic order by `ts_init` +- Multiple venues (manually initialized and added) +- Multiple actors (manually initialized and added) +- Multiple execution algorithms (manually initialized and added) + +## High-level API: + +The high-level API revolves around a single `BacktestNode`, which will orchestrate the management +of individual `BacktestEngine`s, each defined by a `BacktestRunConfig`. +Multiple configurations can be bundled into a list and fed to the node to be run. + +Each of these `BacktestRunConfig` objects in turn is made up of: +- A list of `BacktestDataConfig` objects +- A list of `BacktestVenueConfig` objects +- A list of `ImportableActorConfig` objects +- A list of `ImportableStrategyConfig` objects +- A list of `ImportableExecAlgorithmConfig` objects +- An optional `ImportableControllerConfig` object +- An optional `BacktestEngineConfig` object (otherwise will be the default) + +**This doc is an evolving work in progress and will continue to describe each API more fully...** diff --git a/docs/concepts/data.md b/docs/concepts/data.md new file mode 100644 index 000000000000..d8bb8f328448 --- /dev/null +++ b/docs/concepts/data.md @@ -0,0 +1,183 @@ +# Data + +The NautilusTrader platform defines a range of built-in data types crafted specifically to represent +a trading domain: + +- `OrderBookDelta` (L1/L2/L3) - Most granular order book updates +- `OrderBookDeltas` (L1/L2/L3) - Bundles multiple order book deltas +- `QuoteTick` - Top-of-book best bid and ask prices and sizes +- `TradeTick` - A single trade/match event between counterparties +- `Bar` - OHLCV 'bar' data, aggregated using a specific *method* +- `Ticker` - General base class for a symbol ticker +- `Instrument` - General base class for a tradable instrument +- `VenueStatus` - A venue level status event +- `InstrumentStatus` - An instrument level status event +- `InstrumentClose` - An instrument closing price + +Each of these data types inherits from `Data`, which defines two fields: +- `ts_event` - The UNIX timestamp (nanoseconds) when the data event occurred +- `ts_init` - The UNIX timestamp (nanoseconds) when the object was initialized + +This inheritance ensures chronological data ordering (vital for backtesting), while also enhancing analytics. + +Consistency is key; data flows through the platform in exactly the same way for all system contexts (`backtest`, `sandbox`, `live`) +primarily through the `MessageBus` to the `DataEngine` and onto subscribed or registered handlers. + +For those seeking customization, the platform supports user-defined data types. Refer to the advanced [Custom/Generic data guide](advanced/custom_data.md) for more details. + +## Loading data + +NautilusTrader facilitates data loading and conversion for three main use cases: +- Populating the `BacktestEngine` directly to run backtests +- Persisting the Nautilus-specific Parquet format for the data catalog via `ParquetDataCatalog.write_data(...)` to be later used with a `BacktestNode` +- For research purposes (to ensure data is consistent between research and backtesting) + +Regardless of the destination, the process remains the same: converting diverse external data formats into Nautilus data structures. + +To achieve this, two main components are necessary: +- A type of DataLoader (normally specific per raw source/format) which can read the data and return a `pd.DataFrame` with the correct schema for the desired Nautilus object +- A type of DataWrangler (specific per data type) which takes this `pd.DataFrame` and returns a `list[Data]` of Nautilus objects + +### Data loaders + +Data loader components are typically specific for the raw source/format and per integration. For instance, Binance order book data is stored in its raw CSV file form with +an entirely different format to [Databento Binary Encoding (DBN)](https://docs.databento.com/knowledge-base/new-users/dbn-encoding/getting-started-with-dbn) files. + +### Data wranglers + +Data wranglers are implemented per specific Nautilus data type, and can be found in the `nautilus_trader.persistence.wranglers` module. +Currently there exists: +- `OrderBookDeltaDataWrangler` +- `QuoteTickDataWrangler` +- `TradeTickDataWrangler` +- `BarDataWrangler` + +```{warning} +At the risk of causing confusion, there are also a growing number of DataWrangler v2 components, which will take a `pd.DataFrame` typically +with a different fixed width Nautilus arrow v2 schema, and output pyo3 Nautilus objects which are only compatible with the new version +of the Nautilus core, currently in development. + +**These pyo3 provided data objects are not compatible where the legacy Cython objects are currently used (adding directly to a `BacktestEngine` etc).** +``` + +### Transformation pipeline + +**Process flow:** +1. Raw data (e.g., CSV) is input into the pipeline +2. DataLoader processes the raw data and converts it into a `pd.DataFrame` +3. DataWrangler further processes the `pd.DataFrame` to generate a list of Nautilus objects +4. The Nautilus `list[Data]` is the output of the data loading process + +``` + ┌──────────┐ ┌──────────────────────┐ ┌──────────────────────┐ + │ │ │ │ │ │ + │ │ │ │ │ │ + │ Raw data │ │ │ `pd.DataFrame` │ │ + │ (CSV) ├───►│ DataLoader ├─────────────────►│ DataWrangler ├───► Nautilus `list[Data]` + │ │ │ │ │ │ + │ │ │ │ │ │ + │ │ │ │ │ │ + └──────────┘ └──────────────────────┘ └──────────────────────┘ + +- This diagram illustrates how raw data is transformed into Nautilus data structures. +``` + +Conceretely, this would involve: +- `BinanceOrderBookDeltaDataLoader.load(...)` which reads CSV files provided by Binance from disk, and returns a `pd.DataFrame` +- `OrderBookDeltaDataWrangler.process(...)` which takes the `pd.DataFrame` and returns `list[OrderBookDelta]` + +The following example shows how to accomplish the above in Python: +```python +import os + +from nautilus_trader import PACKAGE_ROOT +from nautilus_trader.persistence.loaders import BinanceOrderBookDeltaDataLoader +from nautilus_trader.persistence.wranglers import OrderBookDeltaDataWrangler +from nautilus_trader.test_kit.providers import TestInstrumentProvider + + +# Load raw data +data_path = os.path.join(PACKAGE_ROOT, "tests/test_data/binance-btcusdt-depth-snap.csv") +df = BinanceOrderBookDeltaDataLoader.load(data_path) + +# Setup a wrangler +instrument = TestInstrumentProvider.btcusdt_binance() +wrangler = OrderBookDeltaDataWrangler(instrument) + +# Process to a list `OrderBookDelta` Nautilus objects +deltas = wrangler.process(df) +``` + +## Data catalog + +The data catalog is a central store for Nautilus data, persisted in the [Parquet](https://parquet.apache.org) file format. + +We have chosen Parquet as the storage format for the following reasons: +- It performs much better than CSV/JSON/HDF5/etc in terms of compression ratio (storage size) and read performance +- It does not require any separate running components (for example a database) +- It is quick and simple to get up and running with + +The Arrow schemas used for the Parquet format are either single sourced in the core `persistence` Rust library, or available +from the `/serialization/arrow/schema.py` module. + +```{note} +2023-10-14: The current plan is to eventually phase out the Python schemas module, so that all schemas are single sourced in the Rust core. +``` + +### Initializing +The data catalog can be initialized from a `NAUTILUS_PATH` environment variable, or by explicitly passing in a path like object. + +The following example shows how to initialize a data catalog where there is pre-existing data already written to disk at the given path. + +```python +CATALOG_PATH = os.getcwd() + "/catalog" + +# Create a new catalog instance +catalog = ParquetDataCatalog(CATALOG_PATH) +``` + +### Writing data +New data can be stored in the catalog, which is effectively writing the given data to disk in the Nautilus-specific Parquet format. +All Nautilus built-in `Data` objects are supported, and any data which inherits from `Data` can be written. + +The following example shows the above list of Binance `OrderBookDelta` objects being written. +```python +catalog.write_data(deltas) +``` + +```{warning} +Existing data for the same data type, `instrument_id`, and date will be overwritten without prior warning. +Ensure you have appropriate backups or safeguards in place before performing this action. +``` + +Rust Arrow schema implementations and available for the follow data types (enhanced performance): +- `OrderBookDelta` +- `QuoteTick` +- `TradeTick` +- `Bar` + +### Reading data +Any stored data can then we read back into memory: +```python +start = dt_to_unix_nanos(pd.Timestamp("2020-01-03", tz=pytz.utc)) +end = dt_to_unix_nanos(pd.Timestamp("2020-01-04", tz=pytz.utc)) + +deltas = catalog.order_book_deltas(instrument_ids=[instrument.id.value], start=start, end=end) +``` + +### Streaming data +When running backtests in streaming mode with a `BacktestNode`, the data catalog can be used to stream the data in batches. + +The following example shows how to achieve this by initializing a `BacktestDataConfig` configuration object: +```python +data_config = BacktestDataConfig( + catalog_path=str(catalog.path), + data_cls=OrderBookDelta, + instrument_id=instrument.id.value, + start_time=start, + end_time=end, +) +``` + +This configuration object can then be passed into a `BacktestRunConfig` and then in turn passed into a `BacktestNode` as part of a run. +See the [Backtest (high-level API)](../tutorials/backtest_high_level.md) tutorial for more details. diff --git a/docs/concepts/execution.md b/docs/concepts/execution.md index c625ea319f44..8ebf0f533ecc 100644 --- a/docs/concepts/execution.md +++ b/docs/concepts/execution.md @@ -20,6 +20,7 @@ methods. It also provides methods for managing orders and trade execution: - `submit_order_list(...)` - `modify_order(...)` - `cancel_order(...)` +- `cancel_orders(...)` - `cancel_all_orders(...)` - `close_position(...)` - `close_all_positions(...)` @@ -36,57 +37,35 @@ The general execution flow looks like the following (each arrow indicates moveme The `OrderEmulator` and `ExecAlgorithm`(s) components are optional in the flow, depending on individual order parameters (as explained below). -## Submitting orders - -An `OrderFactory` is provided on the base class for every `Strategy` as a convenience, reducing -the amount of boilerplate required to create different `Order` objects (although these objects -can still be initialized directly with the `Order.__init__` constructor if the trader prefers). - -The component an order flows to when submitted for execution depends on the following: - -- If an `emulation_trigger` is specified, the order will first be sent to the `OrderEmulator` -- If an `exec_algorithm_id` is specified, the order will first be sent to the relevant `ExecAlgorithm` (assuming it exists and has been registered correctly) -- Otherwise, the order is sent to the `RiskEngine` - -The following examples show method implementations for a `Strategy`. - -This example submits a `LIMIT` BUY order for emulation (see [OrderEmulator](advanced/emulated_orders.md)): -```python - def buy(self) -> None: - """ - Users simple buy method (example). - """ - order: LimitOrder = self.order_factory.limit( - instrument_id=self.instrument_id, - order_side=OrderSide.BUY, - quantity=self.instrument.make_qty(self.trade_size), - price=self.instrument.make_price(5000.00), - emulation_trigger=TriggerType.LAST_TRADE, - ) - - self.submit_order(order) ``` - -```{note} -It's possible to specify both order emulation, and an execution algorithm. -``` - -This example submits a `MARKET` BUY order to a TWAP execution algorithm: -```python - def buy(self) -> None: - """ - Users simple buy method (example). - """ - order: MarketOrder = self.order_factory.market( - instrument_id=self.instrument_id, - order_side=OrderSide.BUY, - quantity=self.instrument.make_qty(self.trade_size), - time_in_force=TimeInForce.FOK, - exec_algorithm_id=ExecAlgorithmId("TWAP"), - exec_algorithm_params={"horizon_secs": 20, "interval_secs": 2.5}, - ) - - self.submit_order(order) + ┌───────────────────┐ + │ │ + │ │ + │ │ + ┌───────► OrderEmulator ├────────────┐ + │ │ │ │ + │ │ │ │ + │ │ │ │ +┌─────────┴──┐ └─────▲──────┬──────┘ │ +│ │ │ │ ┌───────▼────────┐ ┌─────────────────────┐ ┌─────────────────────┐ +│ │ │ │ │ │ │ │ │ │ +│ ├──────────┼──────┼───────────► ├───► ├───► │ +│ Strategy │ │ │ │ │ │ │ │ │ +│ │ │ │ │ RiskEngine │ │ ExecutionEngine │ │ ExecutionClient │ +│ ◄──────────┼──────┼───────────┤ ◄───┤ ◄───┤ │ +│ │ │ │ │ │ │ │ │ │ +│ │ │ │ │ │ │ │ │ │ +└─────────┬──┘ ┌─────┴──────▼──────┐ └───────▲────────┘ └─────────────────────┘ └─────────────────────┘ + │ │ │ │ + │ │ │ │ + │ │ │ │ + └───────► ExecAlgorithm ├────────────┘ + │ │ + │ │ + │ │ + └───────────────────┘ + +- This diagram illustrates message flow (commands and events) across the Nautilus execution components. ``` ## Execution algorithms @@ -242,7 +221,7 @@ or confusion with the "parent" and "child" contingency orders terminology (an ex The `Cache` provides several methods to aid in managing (keeping track of) the activity of an execution algorithm: -```python +```cython cpdef list orders_for_exec_algorithm( self, diff --git a/docs/concepts/index.md b/docs/concepts/index.md index c832a0ba66fe..e53696882d92 100644 --- a/docs/concepts/index.md +++ b/docs/concepts/index.md @@ -7,131 +7,75 @@ :titlesonly: :hidden: + overview.md architecture.md strategies.md instruments.md - adapters.md orders.md execution.md + backtesting.md + data.md + adapters.md logging.md advanced/index.md ``` Welcome to NautilusTrader! + +Explore the foundational concepts of NautilusTrader through the following guides. + +```{note} +The terms "NautilusTrader", "Nautilus" and "platform" are used interchageably throughout the documentation. +``` + +```{warning} It's important to note that the [API Reference](../api_reference/index.md) documentation should be considered the source of truth for the platform. If there are any discrepancies between concepts described here and the API Reference, then the API Reference should be considered the correct information. We are working to ensure that concepts stay up-to-date with the API Reference and will be introducing doc tests in the near future to help with this. - -```{note} -The terms "NautilusTrader", "Nautilus" and "platform" are used interchageably throughout the documentation. ``` -There are three main use cases for this software package: +## [Overview](overview.md) +The **Overview** guide covers the main use cases for the platform. -- Backtesting trading systems with historical data (`backtest`) -- Testing trading systems with real-time data and simulated execution (`sandbox`) -- Deploying trading systems with real-time data and executing on venues with real (or paper) accounts (`live`) +## [Architecture](architecture.md) +The **Architecture** guide dives deep into the foundational principles, structures, and designs that underpin +the platform. Whether you're a developer, system architect, or just curious about the inner workings +of NautilusTrader. -The projects codebase provides a framework for implementing the software layer of systems which achieve the above. You will find -the default `backtest` and `live` system implementations in their respectively named subpackages. A `sandbox` environment can -be built using the sandbox adapter. +## [Strategies](strategies.md) +The heart of the NautilusTrader user experience is in writing and working with +trading strategies. The **Strategies** guide covers how to implement trading strategies for the platform. -```{note} -All examples will utilize these default system implementations. -``` +## [Instruments](instruments.md) +The `Instrument` base class represents the core specification for any tradable asset/contract. -```{note} -We consider trading strategies to be subcomponents of end-to-end trading systems, these systems -include the application and infrastructure layers. -``` +## [Orders](orders.md) +The **Orders** guide provides more details about the available order types for the platform, along with +the execution instructions supported for each. + +## [Execution](execution.md) +NautilusTrader can handle trade execution and order management for multiple strategies and venues +simultaneously (per instance). Several interacting components are involved in execution, making it +crucial to understand the possible flows of execution messages (commands and events). + +## [Backtesting](backtesting.md) +Backtesting with NautilusTrader is a methodical simulation process that replicates trading +activities using a specific system implementation. + +## [Data](data.md) +The NautilusTrader platform defines a range of built-in data types crafted specifically to represent +a trading domain + +## [Adapters](adapters.md) +The NautilusTrader design allows for integrating data publishers and/or trading venues +through adapter implementations, these can be found in the top level `adapters` subpackage. -## Distributed -The platform is designed to be easily integrated into a larger distributed system. -To facilitate this, nearly all configuration and domain objects can be serialized using JSON, MessagePack or Apache Arrow (Feather) for communication over the network. - -## Common core -The common system core is utilized by both the backtest, sandbox, and live trading nodes. -User-defined Actor and Strategy components are managed consistently across these environment contexts. - -## Backtesting -Backtesting can be achieved by first making data available to a `BacktestEngine` either directly or via -a higher level `BacktestNode` and `ParquetDataCatalog`, and then running the data through the system with nanosecond resolution. - -## Live trading -A `TradingNode` can ingest data and events from multiple data and execution clients. -Live deployments can use both demo/paper trading accounts, or real accounts. - -For live trading, a `TradingNode` can ingest data and events from multiple data and execution clients. -The system supports both demo/paper trading accounts and real accounts. High performance can be achieved by running -asynchronously on a single [event loop](https://docs.python.org/3/library/asyncio-eventloop.html), -with the potential to further boost performance by leveraging the [uvloop](https://github.com/MagicStack/uvloop) implementation (available for Linux and macOS). - -## Domain model -The platform features a comprehensive trading domain model that includes various value types such as -`Price` and `Quantity`, as well as more complex entities such as `Order` and `Position` objects, -which are used to aggregate multiple events to determine state. - -### Data Types -The following market data types can be requested historically, and also subscribed to as live streams when available from a data publisher, and implemented in an integrations adapter. -- `OrderBookDelta` -- `OrderBookDeltas` (L1/L2/L3) -- `Ticker` -- `QuoteTick` -- `TradeTick` -- `Bar` -- `Instrument` -- `VenueStatusUpdate` -- `InstrumentStatusUpdate` - -The following PriceType options can be used for bar aggregations; -- `BID` -- `ASK` -- `MID` -- `LAST` - -The following BarAggregation options are possible; -- `MILLISECOND` -- `SECOND` -- `MINUTE` -- `HOUR` -- `DAY` -- `WEEK` -- `MONTH` -- `TICK` -- `VOLUME` -- `VALUE` (a.k.a Dollar bars) -- `TICK_IMBALANCE` -- `TICK_RUNS` -- `VOLUME_IMBALANCE` -- `VOLUME_RUNS` -- `VALUE_IMBALANCE` -- `VALUE_RUNS` - -The price types and bar aggregations can be combined with step sizes >= 1 in any way through a `BarSpecification`. -This enables maximum flexibility and now allows alternative bars to be aggregated for live trading. - -### Account Types -The following account types are available for both live and backtest environments; - -- `Cash` single-currency (base currency) -- `Cash` multi-currency -- `Margin` single-currency (base currency) -- `Margin` multi-currency -- `Betting` single-currency - -### Order Types -The following order types are available (when possible on an exchange); - -- `MARKET` -- `LIMIT` -- `STOP_MARKET` -- `STOP_LIMIT` -- `MARKET_TO_LIMIT` -- `MARKET_IF_TOUCHED` -- `LIMIT_IF_TOUCHED` -- `TRAILING_STOP_MARKET` -- `TRAILING_STOP_LIMIT` +## [Logging](logging.md) +The platform provides logging for both backtesting and live trading using a high-performance logger implemented in Rust. +## [Advanced](advanced/index.md) +Here you will find more detailed documentation and examples covering the more advanced +features and functionality of the platform. diff --git a/docs/concepts/logging.md b/docs/concepts/logging.md index 3e792c02525c..9ae31dbab046 100644 --- a/docs/concepts/logging.md +++ b/docs/concepts/logging.md @@ -25,8 +25,8 @@ Log level (`LogLevel`) values include: - 'WARNING' or 'WRN' - 'ERROR' or 'ERR' -```{tip} -See the `LoggingConfig` [API Reference](../api_reference/config.md) for further details. +```{note} +See the `LoggingConfig` [API Reference](../api_reference/config.md#LoggingConfig) for further details. ``` Logging can be configured in the following ways: diff --git a/docs/concepts/orders.md b/docs/concepts/orders.md index 7bcf743a760f..bd59817c05a7 100644 --- a/docs/concepts/orders.md +++ b/docs/concepts/orders.md @@ -121,6 +121,8 @@ For clarity, any optional parameters will be clearly marked with a comment which ## Order Types +The following order types are available for the platform. + ### Market A _Market_ order is an instruction by the trader to immediately trade the given quantity at the best price available. You can also specify several @@ -132,12 +134,12 @@ to BUY 100,000 AUD using USD: ```python order: MarketOrder = self.order_factory.market( - instrument_id=InstrumentId.from_str("AUD/USD.IDEALPRO"), - order_side=OrderSide.BUY, - quantity=Quantity.from_int(100_000), - time_in_force=TimeInForce.IOC, # <-- optional (default GTC) - reduce_only=False, # <-- optional (default False) - tags="ENTRY", # <-- optional (default None) + instrument_id=InstrumentId.from_str("AUD/USD.IDEALPRO"), + order_side=OrderSide.BUY, + quantity=Quantity.from_int(100_000), + time_in_force=TimeInForce.IOC, # <-- optional (default GTC) + reduce_only=False, # <-- optional (default False) + tags="ENTRY", # <-- optional (default None) ) ``` [API Reference](https://docs.nautilustrader.io/api_reference/model/orders.html#module-nautilus_trader.model.orders.market) @@ -151,16 +153,16 @@ contracts at a limit price of 5000 USDT, as a market maker. ```python order: LimitOrder = self.order_factory.limit( - instrument_id=InstrumentId.from_str("ETHUSDT-PERP.BINANCE"), - order_side=OrderSide.SELL, - quantity=Quantity.from_int(20), - price=Price.from_str("5000.00"), - time_in_force=TimeInForce.GTC, # <-- optional (default GTC) - expire_time=None, # <-- optional (default None) - post_only=True, # <-- optional (default False) - reduce_only=False, # <-- optional (default False) - display_qty=None, # <-- optional (default None which indicates full display) - tags=None, # <-- optional (default None) + instrument_id=InstrumentId.from_str("ETHUSDT-PERP.BINANCE"), + order_side=OrderSide.SELL, + quantity=Quantity.from_int(20), + price=Price.from_str("5000.00"), + time_in_force=TimeInForce.GTC, # <-- optional (default GTC) + expire_time=None, # <-- optional (default None) + post_only=True, # <-- optional (default False) + reduce_only=False, # <-- optional (default False) + display_qty=None, # <-- optional (default None which indicates full display) + tags=None, # <-- optional (default None) ) ``` [API Reference](https://docs.nautilustrader.io/api_reference/model/orders.html#module-nautilus_trader.model.orders.limit) @@ -175,15 +177,15 @@ to SELL 1 BTC at a trigger price of 100,000 USDT, active until further notice: ```python order: StopMarketOrder = self.order_factory.stop_market( - instrument_id=InstrumentId.from_str("BTCUSDT.BINANCE"), - order_side=OrderSide.SELL, - quantity=Quantity.from_int(1), - trigger_price=Price.from_int(100_000), - trigger_type=TriggerType.LAST_TRADE, # <-- optional (default DEFAULT) - time_in_force=TimeInForce.GTC, # <-- optional (default GTC) - expire_time=None, # <-- optional (default None) - reduce_only=False, # <-- optional (default False) - tags=None, # <-- optional (default None) + instrument_id=InstrumentId.from_str("BTCUSDT.BINANCE"), + order_side=OrderSide.SELL, + quantity=Quantity.from_int(1), + trigger_price=Price.from_int(100_000), + trigger_type=TriggerType.LAST_TRADE, # <-- optional (default DEFAULT) + time_in_force=TimeInForce.GTC, # <-- optional (default GTC) + expire_time=None, # <-- optional (default None) + reduce_only=False, # <-- optional (default False) + tags=None, # <-- optional (default None) ) ``` [API Reference](https://docs.nautilustrader.io/api_reference/model/orders.html#module-nautilus_trader.model.orders.stop_market) @@ -197,17 +199,17 @@ once the market hits the trigger price of 1.30010 USD, active until midday 6th J ```python order: StopLimitOrder = self.order_factory.stop_limit( - instrument_id=InstrumentId.from_str("GBP/USD.CURRENEX"), - order_side=OrderSide.BUY, - quantity=Quantity.from_int(50_000), - price=Price.from_str("1.30000"), - trigger_price=Price.from_str("1.30010"), - trigger_type=TriggerType.BID, # <-- optional (default DEFAULT) - time_in_force=TimeInForce.GTD, # <-- optional (default GTC) - expire_time=pd.Timestamp("2022-06-06T12:00"), - post_only=True, # <-- optional (default False) - reduce_only=False, # <-- optional (default False) - tags=None, # <-- optional (default None) + instrument_id=InstrumentId.from_str("GBP/USD.CURRENEX"), + order_side=OrderSide.BUY, + quantity=Quantity.from_int(50_000), + price=Price.from_str("1.30000"), + trigger_price=Price.from_str("1.30010"), + trigger_type=TriggerType.BID, # <-- optional (default DEFAULT) + time_in_force=TimeInForce.GTD, # <-- optional (default GTC) + expire_time=pd.Timestamp("2022-06-06T12:00"), + post_only=True, # <-- optional (default False) + reduce_only=False, # <-- optional (default False) + tags=None, # <-- optional (default None) ) ``` [API Reference](https://docs.nautilustrader.io/api_reference/model/orders.html#module-nautilus_trader.model.orders.stop_limit) @@ -222,13 +224,13 @@ to BUY 200,000 USD using JPY: ```python order: MarketToLimitOrder = self.order_factory.market_to_limit( - instrument_id=InstrumentId.from_str("USD/JPY.IDEALPRO"), - order_side=OrderSide.BUY, - quantity=Quantity.from_int(200_000), - time_in_force=TimeInForce.GTC, # <-- optional (default GTC) - reduce_only=False, # <-- optional (default False) - display_qty=None, # <-- optional (default None which indicates full display) - tags=None, # <-- optional (default None) + instrument_id=InstrumentId.from_str("USD/JPY.IDEALPRO"), + order_side=OrderSide.BUY, + quantity=Quantity.from_int(200_000), + time_in_force=TimeInForce.GTC, # <-- optional (default GTC) + reduce_only=False, # <-- optional (default False) + display_qty=None, # <-- optional (default None which indicates full display) + tags=None, # <-- optional (default None) ) ``` @@ -245,15 +247,15 @@ to SELL 10 ETHUSDT-PERP Perpetual Futures contracts at a trigger price of 10,000 ```python order: MarketIfTouchedOrder = self.order_factory.market_if_touched( - instrument_id=InstrumentId.from_str("ETHUSDT-PERP.BINANCE"), - order_side=OrderSide.SELL, - quantity=Quantity.from_int(10), - trigger_price=Price.from_int("10000.00"), - trigger_type=TriggerType.LAST_TRADE, # <-- optional (default DEFAULT) - time_in_force=TimeInForce.GTC, # <-- optional (default GTC) - expire_time=None, # <-- optional (default None) - reduce_only=False, # <-- optional (default False) - tags="ENTRY", # <-- optional (default None) + instrument_id=InstrumentId.from_str("ETHUSDT-PERP.BINANCE"), + order_side=OrderSide.SELL, + quantity=Quantity.from_int(10), + trigger_price=Price.from_int("10000.00"), + trigger_type=TriggerType.LAST_TRADE, # <-- optional (default DEFAULT) + time_in_force=TimeInForce.GTC, # <-- optional (default GTC) + expire_time=None, # <-- optional (default None) + reduce_only=False, # <-- optional (default False) + tags="ENTRY", # <-- optional (default None) ) ``` @@ -269,17 +271,17 @@ active until midday 6th June, 2022 (UTC): ```python order: StopLimitOrder = self.order_factory.limit_if_touched( - instrument_id=InstrumentId.from_str("BTCUSDT-PERP.BINANCE"), - order_side=OrderSide.BUY, - quantity=Quantity.from_int(5), - price=Price.from_str("30100"), - trigger_price=Price.from_str("30150"), - trigger_type=TriggerType.LAST_TRADE, # <-- optional (default DEFAULT) - time_in_force=TimeInForce.GTD, # <-- optional (default GTC) - expire_time=pd.Timestamp("2022-06-06T12:00"), - post_only=True, # <-- optional (default False) - reduce_only=False, # <-- optional (default False) - tags="TAKE_PROFIT", # <-- optional (default None) + instrument_id=InstrumentId.from_str("BTCUSDT-PERP.BINANCE"), + order_side=OrderSide.BUY, + quantity=Quantity.from_int(5), + price=Price.from_str("30100"), + trigger_price=Price.from_str("30150"), + trigger_type=TriggerType.LAST_TRADE, # <-- optional (default DEFAULT) + time_in_force=TimeInForce.GTD, # <-- optional (default GTC) + expire_time=pd.Timestamp("2022-06-06T12:00"), + post_only=True, # <-- optional (default False) + reduce_only=False, # <-- optional (default False) + tags="TAKE_PROFIT", # <-- optional (default None) ) ``` @@ -295,17 +297,17 @@ Perpetual Futures Contracts activating at a trigger price of 5000 USD, then trai ```python order: TrailingStopMarketOrder = self.order_factory.trailing_stop_market( - instrument_id=InstrumentId.from_str("ETHUSD-PERP.BINANCE"), - order_side=OrderSide.SELL, - quantity=Quantity.from_int(10), - trigger_price=Price.from_str("5000"), - trigger_type=TriggerType.LAST_TRADE, # <-- optional (default DEFAULT) - trailing_offset=Decimal(100), - trailing_offset_type=TrailingOffsetType.BASIS_POINTS, - time_in_force=TimeInForce.GTC, # <-- optional (default GTC) - expire_time=None, # <-- optional (default None) - reduce_only=True, # <-- optional (default False) - tags="TRAILING_STOP-1", # <-- optional (default None) + instrument_id=InstrumentId.from_str("ETHUSD-PERP.BINANCE"), + order_side=OrderSide.SELL, + quantity=Quantity.from_int(10), + trigger_price=Price.from_str("5000"), + trigger_type=TriggerType.LAST_TRADE, # <-- optional (default DEFAULT) + trailing_offset=Decimal(100), + trailing_offset_type=TrailingOffsetType.BASIS_POINTS, + time_in_force=TimeInForce.GTC, # <-- optional (default GTC) + expire_time=None, # <-- optional (default None) + reduce_only=True, # <-- optional (default False) + tags="TRAILING_STOP-1", # <-- optional (default None) ) ``` @@ -322,19 +324,19 @@ away from the current ask price, active until further notice: ```python order: TrailingStopLimitOrder = self.order_factory.trailing_stop_limit( - instrument_id=InstrumentId.from_str("AUD/USD.CURRENEX"), - order_side=OrderSide.BUY, - quantity=Quantity.from_int(1_250_000), - price=Price.from_str("0.71000"), - trigger_price=Price.from_str("0.72000"), - trigger_type=TriggerType.BID_ASK, # <-- optional (default DEFAULT) - limit_offset=Decimal("0.00050"), - trailing_offset=Decimal("0.00100"), - trailing_offset_type=TrailingOffsetType.PRICE, - time_in_force=TimeInForce.GTC, # <-- optional (default GTC) - expire_time=None, # <-- optional (default None) - reduce_only=True, # <-- optional (default False) - tags="TRAILING_STOP", # <-- optional (default None) + instrument_id=InstrumentId.from_str("AUD/USD.CURRENEX"), + order_side=OrderSide.BUY, + quantity=Quantity.from_int(1_250_000), + price=Price.from_str("0.71000"), + trigger_price=Price.from_str("0.72000"), + trigger_type=TriggerType.BID_ASK, # <-- optional (default DEFAULT) + limit_offset=Decimal("0.00050"), + trailing_offset=Decimal("0.00100"), + trailing_offset_type=TrailingOffsetType.PRICE, + time_in_force=TimeInForce.GTC, # <-- optional (default GTC) + expire_time=None, # <-- optional (default None) + reduce_only=True, # <-- optional (default False) + tags="TRAILING_STOP", # <-- optional (default None) ) ``` diff --git a/docs/concepts/overview.md b/docs/concepts/overview.md new file mode 100644 index 000000000000..a7d70cbba1c8 --- /dev/null +++ b/docs/concepts/overview.md @@ -0,0 +1,162 @@ +# Overview + +NautilusTrader is an open-source, high-performance, production-grade algorithmic trading platform, +providing quantitative traders with the ability to backtest portfolios of automated trading strategies +on historical data with an event-driven engine, and also deploy those same strategies live, with no code changes. + +The platform is 'AI-first', designed to develop and deploy algorithmic trading strategies within a highly performant +and robust Python native environment. This helps to address the parity challenge of keeping the Python research/backtest +environment, consistent with the production live trading environment. + +NautilusTraders design, architecture and implementation philosophy holds software correctness and safety at the +highest level, with the aim of supporting Python native, mission-critical, trading system backtesting +and live deployment workloads. + +The platform is also universal and asset class agnostic - with any REST, WebSocket or FIX API able to be integrated via modular +adapters. Thus, it can handle high-frequency trading operations for any asset classes +including FX, Equities, Futures, Options, CFDs, Crypto and Betting - across multiple venues simultaneously. + +## Features + +- **Fast:** C-level speed through Rust and Cython. Asynchronous networking with [uvloop](https://github.com/MagicStack/uvloop) +- **Reliable:** Type safety through Rust and Cython. Redis backed performant state persistence +- **Flexible:** OS independent, runs on Linux, macOS, Windows. Deploy using Docker +- **Integrated:** Modular adapters mean any REST, WebSocket, or FIX API can be integrated +- **Advanced:** Time in force `IOC`, `FOK`, `GTD`, `AT_THE_OPEN`, `AT_THE_CLOSE`, advanced order types and conditional triggers. Execution instructions `post-only`, `reduce-only`, and icebergs. Contingency order lists including `OCO`, `OTO` +- **Backtesting:** Run with multiple venues, instruments and strategies simultaneously using historical quote tick, trade tick, bar, order book and custom data with nanosecond resolution +- **Live:** Use identical strategy implementations between backtesting and live deployments +- **Multi-venue:** Multiple venue capabilities facilitate market making and statistical arbitrage strategies +- **AI Agent Training:** Backtest engine fast enough to be used to train AI trading agents (RL/ES) + +![Nautilus](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/_images/nautilus-art.png?raw=true "nautilus") +> *nautilus - from ancient Greek 'sailor' and naus 'ship'.* +> +> *The nautilus shell consists of modular chambers with a growth factor which approximates a logarithmic spiral. +> The idea is that this can be translated to the aesthetics of design and architecture.* + +## Why NautilusTrader? + +- **Highly performant event-driven Python** - native binary core components +- **Parity between backtesting and live trading** - identical strategy code +- **Reduced operational risk** - risk management functionality, logical correctness and type safety +- **Highly extendable** - message bus, custom components and actors, custom data, custom adapters + +Traditionally, trading strategy research and backtesting might be conducted in Python (or other suitable language) +using vectorized methods, with the strategy then needing to be reimplemented in a more event-drive way +using C++, C#, Java or other statically typed language(s). The reasoning here is that vectorized backtesting code cannot +express the granular time and event dependent complexity of real-time trading, where compiled languages have +proven to be more suitable due to their inherently higher performance, and type safety. + +One of the key advantages of NautilusTrader here, is that this reimplementation step is now circumvented - as the critical core components of the platform +have all been written entirely in Rust or Cython. This means we're using the right tools for the job, where systems programming languages compile performant binaries, +with CPython C extension modules then able to offer a Python native environment, suitable for professional quantitative traders and trading firms. + +## Use cases + +There are three main use cases for this software package: + +- Backtesting trading systems with historical data (`backtest`) +- Testing trading systems with real-time data and simulated execution (`sandbox`) +- Deploying trading systems with real-time data and executing on venues with real (or paper) accounts (`live`) + +The projects codebase provides a framework for implementing the software layer of systems which achieve the above. You will find +the default `backtest` and `live` system implementations in their respectively named subpackages. A `sandbox` environment can +be built using the sandbox adapter. + +```{note} +- All examples will utilize these default system implementations. +- We consider trading strategies to be subcomponents of end-to-end trading systems, these systems +include the application and infrastructure layers. +``` + +## Distributed +The platform is designed to be easily integrated into a larger distributed system. +To facilitate this, nearly all configuration and domain objects can be serialized using JSON, MessagePack or Apache Arrow (Feather) for communication over the network. + +## Common core +The common system core is utilized by all node contexts `backtest`, `sandbox`, and `live`. +User-defined Actor, Strategy and ExecAlgorithm components are managed consistently across these environment contexts. + +## Backtesting +Backtesting can be achieved by first making data available to a `BacktestEngine` either directly or via +a higher level `BacktestNode` and `ParquetDataCatalog`, and then running the data through the system with nanosecond resolution. + +## Live trading +A `TradingNode` can ingest data and events from multiple data and execution clients. +Live deployments can use both demo/paper trading accounts, or real accounts. + +For live trading, a `TradingNode` can ingest data and events from multiple data and execution clients. +The platform supports both demo/paper trading accounts and real accounts. High performance can be achieved by running +asynchronously on a single [event loop](https://docs.python.org/3/library/asyncio-eventloop.html), +with the potential to further boost performance by leveraging the [uvloop](https://github.com/MagicStack/uvloop) implementation (available for Linux and macOS). + +```{tip} +Python 3.11 offers improved run-time performance, while Python 3.12 additionally offers improved asyncio performance. +``` + +## Domain model +The platform features a comprehensive trading domain model that includes various value types such as +`Price` and `Quantity`, as well as more complex entities such as `Order` and `Position` objects, +which are used to aggregate multiple events to determine state. + +### Data Types +The following market data types can be requested historically, and also subscribed to as live streams when available from a data publisher, and implemented in an integrations adapter. +- `OrderBookDelta` (L1/L2/L3) +- `Ticker` +- `QuoteTick` +- `TradeTick` +- `Bar` +- `Instrument` +- `VenueStatus` +- `InstrumentStatus` +- `InstrumentClose` + +The following PriceType options can be used for bar aggregations; +- `BID` +- `ASK` +- `MID` +- `LAST` + +The following BarAggregation options are possible; +- `MILLISECOND` +- `SECOND` +- `MINUTE` +- `HOUR` +- `DAY` +- `WEEK` +- `MONTH` +- `TICK` +- `VOLUME` +- `VALUE` (a.k.a Dollar bars) +- `TICK_IMBALANCE` +- `TICK_RUNS` +- `VOLUME_IMBALANCE` +- `VOLUME_RUNS` +- `VALUE_IMBALANCE` +- `VALUE_RUNS` + +The price types and bar aggregations can be combined with step sizes >= 1 in any way through a `BarSpecification`. +This enables maximum flexibility and now allows alternative bars to be aggregated for live trading. + +### Account Types +The following account types are available for both live and backtest environments; + +- `Cash` single-currency (base currency) +- `Cash` multi-currency +- `Margin` single-currency (base currency) +- `Margin` multi-currency +- `Betting` single-currency + +### Order Types +The following order types are available (when possible on a venue); + +- `MARKET` +- `LIMIT` +- `STOP_MARKET` +- `STOP_LIMIT` +- `MARKET_TO_LIMIT` +- `MARKET_IF_TOUCHED` +- `LIMIT_IF_TOUCHED` +- `TRAILING_STOP_MARKET` +- `TRAILING_STOP_LIMIT` + diff --git a/docs/concepts/strategies.md b/docs/concepts/strategies.md index b7b540ebc973..83c78dbc5f3b 100644 --- a/docs/concepts/strategies.md +++ b/docs/concepts/strategies.md @@ -2,14 +2,14 @@ The heart of the NautilusTrader user experience is in writing and working with trading strategies. Defining a trading strategy is achieved by inheriting the `Strategy` class, -and implementing the methods required by the strategy. +and implementing the methods required by the users trading strategy logic. Using the basic building blocks of data ingest, event handling, and order management (which we will discuss below), it's possible to implement any type of trading strategy including directional, momentum, re-balancing, pairs, market making etc. Refer to the `Strategy` in the [API Reference](../api_reference/trading.md) for a complete description -of all the possible functionality. +of all available methods. There are two main parts of a Nautilus trading strategy: - The strategy implementation itself, defined by inheriting the `Strategy` class @@ -19,6 +19,14 @@ There are two main parts of a Nautilus trading strategy: Once a strategy is defined, the same source can be used for backtesting and live trading. ``` +The main capabilities of a strategy include: +- Historical data requests +- Live data feed subscriptions +- Setting time alerts or timers +- Cache access +- Portfolio access +- Creating and managing orders and positions + ## Implementation Since a trading strategy is a class which inherits from `Strategy`, you must define a constructor where you can handle initialization. Minimally the base/super class needs to be initialized: @@ -29,7 +37,337 @@ class MyStrategy(Strategy): super().__init__() # <-- the super class must be called to initialize the strategy ``` +From here, you can implement handlers as necessary to perform actions based on state transitions +and events. + +### Handlers + +Handlers are methods within the `Strategy` class which may perform actions based on different types of events or state changes. +These methods are named with the prefix `on_*`. You can choose to implement any or all of these handler +methods depending on the specific needs of your strategy. + +The purpose of having multiple handlers for similar types of events is to provide flexibility in handling granularity. +This means that you can choose to respond to specific events with a dedicated handler, or use a more generic +handler to react to a range of related events (using switch type logic). The call sequence is generally most specific to most general. + +#### Stateful actions + +These handlers are triggered by lifecycle state changes of the `Strategy`. It's recommended to: + +- Use the `on_start` method to initialize your strategy (e.g., fetch instruments, subscribe to data) +- Use the `on_stop` method for cleanup tasks (e.g., cancel open orders, close open positions, unsubscribe from data) + +```python +def on_start(self) -> None: +def on_stop(self) -> None: +def on_resume(self) -> None: +def on_reset(self) -> None: +def on_dispose(self) -> None: +def on_degrade(self) -> None: +def on_fault(self) -> None: +def on_save(self) -> dict[str, bytes]: # Returns user defined dictionary of state to be saved +def on_load(self, state: dict[str, bytes]) -> None: +``` + +#### Data handling + +These handlers deal with market data updates. +You can use these handlers to define actions upon receiving new market data. + +```python +def on_order_book_deltas(self, deltas: OrderBookDeltas) -> None: +def on_order_book(self, order_book: OrderBook) -> None: +def on_ticker(self, ticker: Ticker) -> None: +def on_quote_tick(self, tick: QuoteTick) -> None: +def on_trade_tick(self, tick: TradeTick) -> None: +def on_bar(self, bar: Bar) -> None: +def on_venue_status(self, data: VenueStatus) -> None: +def on_instrument(self, instrument: Instrument) -> None: +def on_instrument_status(self, data: InstrumentStatus) -> None: +def on_instrument_close(self, data: InstrumentClose) -> None: +def on_historical_data(self, data: Data) -> None: +def on_data(self, data: Data) -> None: # Generic data passed to this handler +``` + +#### Order management + +Handlers in this category are triggered by events related to orders. +`OrderEvent` type messages are passed to handlers in the following sequence: + +1. Specific handler (e.g., `on_order_accepted`, `on_order_rejected`, etc.) +2. `on_order_event(...)` +3. `on_event(...)` + +```python +def on_order_initialized(self, event: OrderInitialized) -> None: +def on_order_denied(self, event: OrderDenied) -> None: +def on_order_emulated(self, event: OrderEmulated) -> None: +def on_order_released(self, event: OrderReleased) -> None: +def on_order_submitted(self, event: OrderSubmitted) -> None: +def on_order_rejected(self, event: OrderRejected) -> None: +def on_order_accepted(self, event: OrderAccepted) -> None: +def on_order_canceled(self, event: OrderCanceled) -> None: +def on_order_expired(self, event: OrderExpired) -> None: +def on_order_triggered(self, event: OrderTriggered) -> None: +def on_order_pending_update(self, event: OrderPendingUpdate) -> None: +def on_order_pending_cancel(self, event: OrderPendingCancel) -> None: +def on_order_modify_rejected(self, event: OrderModifyRejected) -> None: +def on_order_cancel_rejected(self, event: OrderCancelRejected) -> None: +def on_order_updated(self, event: OrderUpdated) -> None: +def on_order_filled(self, event: OrderFilled) -> None: +def on_order_event(self, event: OrderEvent) -> None: # All order event messages are eventually passed to this handler +``` + +#### Position management + +Handlers in this category are triggered by events related to positions. +`PositionEvent` type messages are passed to handlers in the following sequence: + +1. Specific handler (e.g., `on_position_opened`, `on_position_changed`, etc.) +2. `on_position_event(...)` +3. `on_event(...)` + +```python +def on_position_opened(self, event: PositionOpened) -> None: +def on_position_changed(self, event: PositionChanged) -> None: +def on_position_closed(self, event: PositionClosed) -> None: +def on_position_event(self, event: PositionEvent) -> None: # All position event messages are eventually passed to this handler +``` + +#### Generic event handling + +This handler will eventually receive all event messages which arrive at the strategy, including those for +which no other specific handler exists. + +```python +def on_event(self, event: Event) -> None: +``` + +#### Handler example + +The following example shows a typical `on_start` handler method implementation (taken from the example EMA cross strategy). +Here we can see the following: +- Indicators being registered to receive bar updates +- Historical data being requested (to hydrate the indicators) +- Live data being subscribed to + +```python +def on_start(self) -> None: + """ + Actions to be performed on strategy start. + """ + self.instrument = self.cache.instrument(self.instrument_id) + if self.instrument is None: + self.log.error(f"Could not find instrument for {self.instrument_id}") + self.stop() + return + + # Register the indicators for updating + self.register_indicator_for_bars(self.bar_type, self.fast_ema) + self.register_indicator_for_bars(self.bar_type, self.slow_ema) + + # Get historical data + self.request_bars(self.bar_type) + + # Subscribe to live data + self.subscribe_bars(self.bar_type) + self.subscribe_quote_ticks(self.instrument_id) +``` + +### Clock and timers + +Strategies have access to a comprehensive `Clock` which provides a number of methods for creating +different timestamps, as well as setting time alerts or timers. + +```{note} +See the `Clock` [API reference](../api_reference/common.md#Clock) for a complete list of available methods. +``` + +#### Current timestamps + +While there are multiple ways to obtain current timestamps, here are two commonly used methods as examples: + +**UTC Timestamp:** This method returns a timezone-aware (UTC) timestamp: +```python +now: pd.Timestamp = self.clock.utc_now() +``` + +**Unix Nanoseconds:** This method provides the current timestamp in nanoseconds since the UNIX epoch: +```python +unix_nanos: int = self.clock.timestamp_ns() +``` + +#### Time alerts + +Time alerts can be set which will result in a `TimeEvent` being dispatched to the `on_event` handler at the +specified alert time. In a live context, this might be slightly delayed by a few microseconds. + +This example sets a time alert to trigger one minute from the current time: +```python +self.clock.set_alert_time( + name="MyTimeAlert1", + alert_time=self.clock.utc_now() + pd.Timedelta(minutes=1), +) +``` + +#### Timers + +Continuous timers can be setup which will generate a `TimeEvent` at regular intervals until the timer expires +or is canceled. + +This example sets a timer to fire once per minute, starting immediately: +```python +self.clock.set_timer( + name="MyTimer1", + interval=pd.Timedelta(minutes=1), +) +``` + +### Cache access + +The traders central `Cache` can be accessed to fetch data and execution objects (orders, positions etc). +There are many methods available often with filtering functionality, here we go through some basic use cases. + +#### Fetching data + +The following example shows how data can be fetched from the cache (assuming some instrument ID attribute is assigned): + +```python +last_quote = self.cache.quote_tick(self.instrument_id) +last_trade = self.cache.trade_tick(self.instrument_id) +last_bar = self.cache.bar() +``` + +#### Fetching execution objects + +The following example shows how individual order and position objects can be fetched from the cache: + +```python +order = self.cache.order() +position = self.cache.position() + +``` + +Refer to the `Cache` in the [API Reference](../api_reference/cache.md) for a complete description +of all available methods. + +### Portfolio access + +The traders central `Portfolio` can be accessed to fetch account and positional information. +The following shows a general outline of available methods. + +#### Account and positional information + +```python +def account(self, venue: Venue) -> Account + +def balances_locked(self, venue: Venue) -> dict[Currency, Money] +def margins_init(self, venue: Venue) -> dict[Currency, Money] +def margins_maint(self, venue: Venue) -> dict[Currency, Money] +def unrealized_pnls(self, venue: Venue) -> dict[Currency, Money] +def net_exposures(self, venue: Venue) -> dict[Currency, Money] + +def unrealized_pnl(self, instrument_id: InstrumentId) -> Money +def net_exposure(self, instrument_id: InstrumentId) -> Money +def net_position(self, instrument_id: InstrumentId) -> decimal.Decimal + +def is_net_long(self, instrument_id: InstrumentId) -> bool +def is_net_short(self, instrument_id: InstrumentId) -> bool +def is_flat(self, instrument_id: InstrumentId) -> bool +def is_completely_flat(self) -> bool +``` + +Refer to the `Portfolio` in the [API Reference](../api_reference/portfolio.md) for a complete description +of all available methods. + +#### Reports and analysis + +The `Portfolio` also makes a `PortfolioAnalyzer` available, which can be fed with a flexible amount of data +(to accommodate different lookback windows). The analyzer can provide tracking for and generating of performance +metrics and statistics. + +Refer to the `PortfolioAnalyzer` in the [API Reference](../api_reference/analysis.md) for a complete description +of all available methods. + +```{tip} +Also see the [Porfolio statistics](../concepts/advanced/portfolio_statistics.md) guide. +``` + +### Trading commands + +NautilusTrader offers a comprehensive suite of trading commands, enabling granular order management +tailored for algorithmic trading. These commands are essential for executing strategies, managing risk, +and ensuring seamless interaction with various trading venues. In the following sections, we will +delve into the specifics of each command and its use cases. + +#### Submitting orders + +An `OrderFactory` is provided on the base class for every `Strategy` as a convenience, reducing +the amount of boilerplate required to create different `Order` objects (although these objects +can still be initialized directly with the `Order.__init__(...)` constructor if the trader prefers). + +The component an order flows to when submitted for execution depends on the following: + +- If an `emulation_trigger` is specified, the order will _firstly_ be sent to the `OrderEmulator` +- If an `exec_algorithm_id` is specified (with no `emulation_trigger`), the order will _firstly_ be sent to the relevant `ExecAlgorithm` (assuming it exists and has been registered correctly) +- Otherwise, the order will _firstly_ be sent to the `RiskEngine` + +The following examples show method implementations for a `Strategy`. + +This example submits a `LIMIT` BUY order for emulation (see [OrderEmulator](advanced/emulated_orders.md)): +```python + def buy(self) -> None: + """ + Users simple buy method (example). + """ + order: LimitOrder = self.order_factory.limit( + instrument_id=self.instrument_id, + order_side=OrderSide.BUY, + quantity=self.instrument.make_qty(self.trade_size), + price=self.instrument.make_price(5000.00), + emulation_trigger=TriggerType.LAST_TRADE, + ) + + self.submit_order(order) +``` + +```{note} +It's possible to specify both order emulation, and an execution algorithm. +``` + +This example submits a `MARKET` BUY order to a TWAP execution algorithm: +```python + def buy(self) -> None: + """ + Users simple buy method (example). + """ + order: MarketOrder = self.order_factory.market( + instrument_id=self.instrument_id, + order_side=OrderSide.BUY, + quantity=self.instrument.make_qty(self.trade_size), + time_in_force=TimeInForce.FOK, + exec_algorithm_id=ExecAlgorithmId("TWAP"), + exec_algorithm_params={"horizon_secs": 20, "interval_secs": 2.5}, + ) + + self.submit_order(order) +``` + +#### Managed GTD expiry + +It's possible for the strategy to manage expiry for orders with a time in force of GTD (_Good 'till Date_). +This may be desirable if the exchange/broker does not support this time in force option, or for any +reason you prefer the strategy to manage this. + +To use this option, pass `manage_gtd_expiry=True` to your `StrategyConfig`. When an order is submitted with +a time in force of GTD, the strategy will automatically start an internal time alert. +Once the internal GTD time alert is reached, the order will be canceled (if not already closed). + +Some venues (such as Binance Futures) support the GTD time in force, so to avoid conflicts when using +`managed_gtd_expiry` you should set `use_gtd=False` for your execution client config. + ## Configuration + The main purpose of a separate configuration class is to provide total flexibility over where and how a trading strategy can be instantiated. This includes being able to serialize strategies and their configurations over the wire, making distributed backtesting @@ -84,18 +422,18 @@ strategy = MyStrategy(config=config) ```{note} Even though it often makes sense to define a strategy which will trade a single -instrument. There is actually no limit to the number of instruments a single strategy -can work with. +instrument. The number of instruments a single strategy can work with is only limited by machine resources. ``` ### Multiple strategies + If you intend running multiple instances of the same strategy, with different configurations (such as trading different instruments), then you will need to define a unique `order_id_tag` for each of these strategies (as shown above). ```{note} The platform has built-in safety measures in the event that two strategies share a -duplicated strategy ID, then an exception will be thrown that the strategy ID has already been registered. +duplicated strategy ID, then an exception will be raised that the strategy ID has already been registered. ``` The reason for this is that the system must be able to identify which strategy @@ -107,14 +445,3 @@ example the above config would result in a strategy ID of `MyStrategy-001`. See the `StrategyId` [documentation](../api_reference/model/identifiers.md) for further details. ``` -### Managed GTD expiry -It's possible for the strategy to manage expiry for orders with a time in force of GTD (_Good 'till Date_). -This may be desirable if the exchange/broker does not support this time in force option, or for any -reason you prefer the strategy to manage this. - -Simply set the `manage_gtd_expiry` boolean flag on the `submit_order()` or `submit_order_list()` methods -to `True`. This will then start a timer, when the timer expires the order will be canceled (if not already closed). - -```python -strategy.submit_order(order, manage_gtd_expiry=True) -``` diff --git a/docs/conf.py b/docs/conf.py index 44694db529f9..437980216e05 100644 --- a/docs/conf.py +++ b/docs/conf.py @@ -80,14 +80,19 @@ "title": "Getting Started", }, { - "href": "/user_guide/index", + "href": "/concepts/index", "internal": True, - "title": "User Guide", + "title": "Concepts", }, { "href": "/api_reference/index", "internal": True, - "title": "API Reference", + "title": "Python API", + }, + { + "href": "rust", + "internal": True, + "title": "Rust API", }, { "href": "/integrations/index", diff --git a/docs/developer_guide/cython.md b/docs/developer_guide/cython.md index 1319a104c3a3..0ba9587d76d8 100644 --- a/docs/developer_guide/cython.md +++ b/docs/developer_guide/cython.md @@ -3,6 +3,16 @@ Here you will find guidance and tips for working on NautilusTrader using the Cython language. More information on Cython syntax and conventions can be found by reading the [Cython docs](https://cython.readthedocs.io/en/latest/index.html). +## What is Cython? + +[Cython](https://cython.org) is a compiled programming language that aims to be a superset of the Python programming +language, designed to give C-like performance with code that is written mostly in Python with +optional additional C-inspired syntax. + +The project heavily utilizes Cython to provide static type safety and increased performance +for Python through [C extension modules](https://docs.python.org/3/extending/extending.html). The vast majority of the production code is actually +written in Cython, however the libraries can be accessed from both Python and Cython. + ## Function and method signatures Ensure that all functions and methods returning `void` or a primitive C type (such as `bint`, `int`, `double`) include the `except *` keyword in the signature. diff --git a/docs/developer_guide/index.md b/docs/developer_guide/index.md index bf64c41d8c97..06641f27dc4c 100644 --- a/docs/developer_guide/index.md +++ b/docs/developer_guide/index.md @@ -1,5 +1,18 @@ # Developer Guide +```{eval-rst} +.. toctree:: + :maxdepth: 2 + :hidden: + + environment_setup.md + coding_standards.md + cython.md + rust.md + testing.md + packaged_data.md +``` + Welcome to the developer guide for NautilusTrader! Here you will find information related to developing and extending the NautilusTrader codebase. @@ -31,15 +44,11 @@ It's not necessary to become a C language expert, however it's helpful to unders syntax is used in function and method definitions, in local code blocks, and the common primitive C types and how these map to their corresponding `PyObject` types. -```{eval-rst} -.. toctree:: - :maxdepth: 2 - :hidden: - - environment_setup.md - coding_standards.md - cython.md - rust.md - testing.md - packaged_data.md -``` +## Contents + +- [Environment Setup](environment_setup.md) +- [Coding Standards](coding_standards.md) +- [Cython](cython.md) +- [Rust](rust.md) +- [Testing](testing.md) +- [Packaged Data](packaged_data.md) diff --git a/docs/getting_started/index.md b/docs/getting_started/index.md index 96cc751ee587..1062a8ee5fa1 100644 --- a/docs/getting_started/index.md +++ b/docs/getting_started/index.md @@ -1,12 +1,5 @@ # Getting Started -Welcome to the NautilusTrader getting started guide! - -We recommend you first review the [installation](installation.md) guide to ensure that NautilusTrader -is properly installed on your machine. - -Then read through the [quick start](quick_start.md) guide. - ```{eval-rst} .. toctree:: :maxdepth: 2 @@ -15,5 +8,15 @@ Then read through the [quick start](quick_start.md) guide. :hidden: installation.md - quick_start.md -``` \ No newline at end of file + quickstart.md +``` + +To get started with NautilusTrader you will need the following: +- A Python environment with `nautilus_trader` installed +- A way to launch Python scripts for backtesting and/or live trading (either from the command line, or jupyter notebook etc) + +## [Installation](installation.md) +The **Installation** guide will help to ensure that NautilusTrader is properly installed on your machine. + +## [Quickstart](quickstart.md) +The **Quickstart** provides a step-by-step walk through for setting up your first backtest. diff --git a/docs/getting_started/installation.md b/docs/getting_started/installation.md index a29f65eb4ce4..9028842992f8 100644 --- a/docs/getting_started/installation.md +++ b/docs/getting_started/installation.md @@ -1,26 +1,34 @@ # Installation -The package is tested against Python 3.9, 3.10, 3.11 on 64-bit Linux, macOS and Windows. -We recommend running the platform with the latest stable version of Python, and -in a virtual environment to isolate the dependencies. +NautilusTrader is tested and supported for Python 3.9-3.11 on the following 64-bit platforms: + +| Operating System | Supported Versions | CPU Architecture | +|------------------------|-----------------------|-------------------| +| Linux (Ubuntu) | 20.04 or later | x86_64 | +| macOS | 12 or later | x86_64, ARM64 | +| Windows Server | 2022 or later | x86_64 | + +```{tip} +We recommend running the platform with the latest supported stable version of Python, and in a virtual environment to isolate the dependencies. +``` ## From PyPI -To install the latest binary wheel (or sdist package) from PyPI: +To install the latest binary wheel (or sdist package) from PyPI using Pythons _pip_ package manager: pip install -U nautilus_trader ## Extras -Also, the following optional dependency ‘extras’ are separately available for installation. +Install optional dependencies as 'extras' for specific integrations: -- `betfair` - package required for the Betfair integration -- `docker` - package required for docker when using the IB gateway -- `ib` - package required for the Interactive Brokers adapter -- `redis` - packages required to use Redis as a cache database +- `betfair`: Betfair adapter +- `docker`: Needed for Docker when using the IB gateway +- `ib`: Interactive Brokers adapter +- `redis`: Use Redis as a cache database -For example, to install including the `docker`, `ib` and `redis` extras using pip: +To install with specific extras using _pip_: - pip install -U nautilus_trader[docker,ib,redis] + pip install -U "nautilus_trader[docker,ib,redis]" ## From Source Installation from source requires the `Python.h` header file, which is included in development releases such as `python-dev`. diff --git a/docs/getting_started/quick_start.md b/docs/getting_started/quickstart.md similarity index 98% rename from docs/getting_started/quick_start.md rename to docs/getting_started/quickstart.md index 2eb5c7c7a6fa..b76d6e12b450 100644 --- a/docs/getting_started/quick_start.md +++ b/docs/getting_started/quickstart.md @@ -1,10 +1,10 @@ -# Quick Start +# Quickstart This guide explains how to get up and running with NautilusTrader backtesting with some FX data. The Nautilus maintainers have pre-loaded some test data using the standard Nautilus persistence format (Parquet) for this guide. -For more details on how to load data into Nautilus, see [Backtest Example](../guides/backtest_example.md). +For more details on how to load data into Nautilus, see the [Backtest](../tutorials/backtest_high_level.md) tutorial. ## Running in docker A self-contained dockerized jupyter notebook server is available for download, which does not require any setup or diff --git a/docs/guides/backtest_example.md b/docs/guides/backtest_example.md deleted file mode 100644 index dd8cca91e57f..000000000000 --- a/docs/guides/backtest_example.md +++ /dev/null @@ -1,188 +0,0 @@ -# Complete Backtest Example - -This notebook runs through a complete backtest example using raw data (external to Nautilus) to a single backtest run. - -## Imports - -We'll start with all of our imports for the remainder of this guide: - -```python -import datetime -import os -import shutil -from decimal import Decimal - -import fsspec -import pandas as pd -from nautilus_trader.core.datetime import dt_to_unix_nanos -from nautilus_trader.model.data import QuoteTick -from nautilus_trader.model.objects import Price, Quantity - -from nautilus_trader.test_kit.providers import TestInstrumentProvider -from nautilus_trader.backtest.node import BacktestNode, BacktestVenueConfig, BacktestDataConfig, BacktestRunConfig, BacktestEngineConfig -from nautilus_trader.config import ImportableStrategyConfig -from nautilus_trader.persistence.catalog import ParquetDataCatalog -from nautilus_trader.persistence.external.core import process_files, write_objects -from nautilus_trader.persistence.external.readers import TextReader -``` - -## Getting some raw data - -As a once off before we start the notebook - we need to download some sample data for backtesting. - -For this example we will use FX data from `histdata.com`. Simply go to https://www.histdata.com/download-free-forex-historical-data/?/ascii/tick-data-quotes/ and select an FX pair, then select one or more months of data to download. - -Once you have downloaded the data, set the variable `DATA_DIR` below to the directory containing the data. By default, it will use the users `Downloads` directory. - - -```python -DATA_DIR = "~/Downloads/" -``` - -Run the cell below; you should see the files that you downloaded: - -```python -fs = fsspec.filesystem('file') -raw_files = fs.glob(f"{DATA_DIR}/HISTDATA*") -assert raw_files, f"Unable to find any histdata files in directory {DATA_DIR}" -raw_files -``` - -## The Data Catalog - -Next we will load this raw data into the data catalog. The data catalog is a central store for Nautilus data, persisted in the [Parquet](https://parquet.apache.org) file format. - -We have chosen parquet as the storage format for the following reasons: -- It performs much better than CSV/JSON/HDF5/etc in terms of compression ratio (storage size) and read performance -- It does not require any separate running components (for example a database) -- It is quick and simple to get up and running with - -## Loading data into the catalog - -We can load data from various sources into the data catalog using helper methods in the `nautilus_trader.persistence.external.readers` module. The module contains methods for reading various data formats (CSV, JSON, text), minimising the amount of code required to get data loaded correctly into the data catalog. - -The FX data from `histdata` is stored in CSV/text format, with fields `timestamp, bid_price, ask_price`. To load the data into the catalog, we simply write a function that converts each row into a Nautilus object (in this case, a `QuoteTick`). For this example, we will use the `TextReader` helper, which allows reading and applying a parsing function line by line. - -Then, we simply instantiate a `ParquetDataCatalog` (passing in a directory where to store the data, by default we will just use the current directory) and pass our parsing function wrapping in the Reader class to `process_files`. We also need to know about which instrument this data is for; in this example, we will simply use one of the Nautilus test helpers to create a FX instrument. - -It should only take a couple of minutes to load the data (depending on how many months). - - -```python -def parser(line): - ts, bid, ask, idx = line.split(b",") - dt = pd.Timestamp(datetime.datetime.strptime(ts.decode(), "%Y%m%d %H%M%S%f"), tz='UTC') - yield QuoteTick( - instrument_id=AUDUSD.id, - bid_price=Price.from_str(bid.decode()), - ask_price=Price.from_str(ask.decode()), - bid_size=Quantity.from_int(100_000), - ask_size=Quantity.from_int(100_000), - ts_event=dt_to_unix_nanos(dt), - ts_init=dt_to_unix_nanos(dt), - ) -``` - -We'll set up a catalog in the current working directory. - -```python -CATALOG_PATH = os.getcwd() + "/catalog" - -# Clear if it already exists, then create fresh -if os.path.exists(CATALOG_PATH): - shutil.rmtree(CATALOG_PATH) -os.mkdir(CATALOG_PATH) -``` - -```python -AUDUSD = TestInstrumentProvider.default_fx_ccy("AUD/USD") - -catalog = ParquetDataCatalog(CATALOG_PATH) - -process_files( - glob_path=f"{DATA_DIR}/HISTDATA*.zip", - reader=TextReader(line_parser=parser), - catalog=catalog, -) - -# Also manually write the AUD/USD instrument to the catalog -write_objects(catalog, [AUDUSD]) -``` - -## Using the Data Catalog - -Once data has been loaded into the catalog, the `catalog` instance can be used for loading data for backtests, or simple for research purposes. It contains various methods to pull data from the catalog, like `quote_ticks` (show below). - -```python -catalog.instruments() -``` - -```python -import pandas as pd -from nautilus_trader.core.datetime import dt_to_unix_nanos - - -start = dt_to_unix_nanos(pd.Timestamp('2020-01-01', tz='UTC')) -end = dt_to_unix_nanos(pd.Timestamp('2020-01-02', tz='UTC')) - -catalog.quote_ticks(start=start, end=end) -``` - -## Configuring backtests - -Nautilus uses a `BacktestRunConfig` object, which allows configuring a backtest in one place. It is a `Partialable` object (which means it can be configured in stages); the benefits of which are reduced boilerplate code when creating multiple backtest runs (for example when doing some sort of grid search over parameters). - -### Adding data and venues - -```python -instrument = catalog.instruments(as_nautilus=True)[0] - -venues_config=[ - BacktestVenueConfig( - name="SIM", - oms_type="HEDGING", - account_type="MARGIN", - base_currency="USD", - starting_balances=["1_000_000 USD"], - ) -] - -data_config=[ - BacktestDataConfig( - catalog_path=str(ParquetDataCatalog.from_env().path), - data_cls=QuoteTick, - instrument_id=instrument.id.value, - start_time=1580398089820000000, - end_time=1580504394501000000, - ) -] - -strategies = [ - ImportableStrategyConfig( - strategy_path="nautilus_trader.examples.strategies.ema_cross:EMACross", - config_path="nautilus_trader.examples.strategies.ema_cross:EMACrossConfig", - config=dict( - instrument_id=instrument.id.value, - bar_type="EUR/USD.SIM-15-MINUTE-BID-INTERNAL", - fast_ema_period=10, - slow_ema_period=20, - trade_size=Decimal(1_000_000), - ), - ), -] - -config = BacktestRunConfig( - engine=BacktestEngineConfig(strategies=strategies), - data=data_config, - venues=venues_config, -) - -``` - -## Run the backtest! - -```python -node = BacktestNode(configs=[config]) - -results = node.run() -``` diff --git a/docs/guides/index.md b/docs/guides/index.md deleted file mode 100644 index cb84ae1b72bf..000000000000 --- a/docs/guides/index.md +++ /dev/null @@ -1,29 +0,0 @@ -# Guides - -Welcome to the guides for the NautilusTrader platform! We hope these guides will be a helpful -resource as you explore the different features and capabilities of the platform. - -To get started, you can take a look at the table of contents on the left-hand side of the page. -The topics are generally ordered from highest to lowest level, so you can start with the higher-level -concepts and then dive into the more specific details as needed. - -It's important to note that the [API Reference](../api_reference/index.md) documentation should be -considered the source of truth for the platform. If there are any discrepancies between the user -guide and the API Reference, the API Reference should be considered the correct information. We are -working to ensure that the user guide stays up-to-date with the API Reference and will be introducing -doc tests in the near future to help with this. - -```{note} -The terms "NautilusTrader", "Nautilus" and "platform" are used interchageably throughout the documentation. -``` - -```{eval-rst} -.. toctree:: - :maxdepth: 1 - :glob: - :titlesonly: - :hidden: - - backtest_example.md - loading_external_data.md -``` diff --git a/docs/guides/loading_external_data.md b/docs/guides/loading_external_data.md deleted file mode 100644 index a7f0f48cb22c..000000000000 --- a/docs/guides/loading_external_data.md +++ /dev/null @@ -1,190 +0,0 @@ -# Loading External Data - -This notebook runs through an example of loading raw data (external to Nautilus) into the NautilusTrader `ParquetDataCatalog`, for use in backtesting. - -## The DataCatalog - -The data catalog is a central store for Nautilus data, persisted in the [Parquet](https://parquet.apache.org) file format. - -We have chosen parquet as the storage format for the following reasons: -- It performs much better than CSV/JSON/HDF5/etc in terms of compression ratio (storage size) and read performance -- It does not require any separately running components (for example a database) -- It is quick and simple to get up and running with - -### Getting some sample raw data - -Before we start the notebook - as a once off we need to download some sample data for loading. - -For this notebook we will use FX data from `histdata.com`, simply go to https://www.histdata.com/download-free-forex-historical-data/?/ascii/tick-data-quotes/ and select a Forex pair and one or more months of data to download. - -Once you have downloaded the data, set the variable `input_files` below to the path containing the -data. You can also use a glob to select multiple files, for example `"~/Downloads/HISTDATA_COM_ASCII_AUDUSD_*.zip"`. - -```python -import fsspec -fs = fsspec.filesystem("file") - -input_files = "~/Downloads/HISTDATA_COM_ASCII_AUDUSD_T202001.zip" -``` - -Run the cell below; you should see the files that you downloaded: - -```python -# Simple check that the file path is correct -assert len(fs.glob(input_files)), f"Could not find files with {input_files=}" -``` - -### Loading data via Reader classes - -We can load data from various sources into the data catalog using helper methods in the -`nautilus_trader.persistence.external.readers` module. The module contains methods for reading -various data formats (CSV, JSON, text), minimising the amount of code required to get data loaded -correctly into the data catalog. - -There are a handful of readers available, some notes on when to use which: -- `CSVReader` - use when your data is CSV (comma separated values) and has a header row. Each row of the data typically is one "entry" and is linked to the header. -- `TextReader` - similar to CSVReader, however used when data may container multiple 'entries' per line. For example, JSON data with multiple order book or trade ticks in a single line. This data typically does not have a header row, and field names come from some external definition. -- `ParquetReader` - for parquet files, will read chunks of the data and process similar to `CSVReader`. - -Each of the `Reader` classes takes a `line_parser` or `block_parser` function, a user defined function to convert a line or block (chunk / multiple rows) of data into Nautilus object(s) (for example `QuoteTick` or `TradeTick`). - -### Writing the parser function - -The FX data from `histdata` is stored in CSV (plain text) format, with fields `timestamp, bid_price, ask_price`. - -For this example, we will use the `CSVReader` class, where we need to manually pass a header (as the files do not contain one). The `CSVReader` has a couple of options, we'll be setting `chunked=False` to process the data line-by-line, and `as_dataframe=False` to process the data as a string rather than DataFrame. See the [API Reference](../api_reference/persistence.md) for more details. - -```python -import datetime -import pandas as pd -from nautilus_trader.model.data import QuoteTick -from nautilus_trader.model.objects import Price, Quantity -from nautilus_trader.core.datetime import dt_to_unix_nanos - -def parser(data, instrument_id): - """ Parser function for hist_data FX data, for use with CSV Reader """ - dt = pd.Timestamp(datetime.datetime.strptime(data['timestamp'].decode(), "%Y%m%d %H%M%S%f"), tz='UTC') - yield QuoteTick( - instrument_id=instrument_id, - bid_price=Price.from_str(data["bid_price"].decode()), - ask_price=Price.from_str(data["ask_price"].decode()), - bid_size=Quantity.from_int(100_000), - ask_size=Quantity.from_int(100_000), - ts_event=dt_to_unix_nanos(dt), - ts_init=dt_to_unix_nanos(dt), - ) -``` - -### Creating a new DataCatalog - -If a `ParquetDataCatalog` does not already exist, we can easily create one. -Now that we have our parser function, we instantiate a `ParquetDataCatalog` (passing in a directory where to store the data, by default we will just use the current directory): - -```python -import os, shutil -CATALOG_PATH = os.getcwd() + "/catalog" - -# Clear if it already exists, then create fresh -if os.path.exists(CATALOG_PATH): - shutil.rmtree(CATALOG_PATH) -os.mkdir(CATALOG_PATH) -``` - -```python -# Create an instance of the ParquetDataCatalog -from nautilus_trader.persistence.catalog import ParquetDataCatalog -catalog = ParquetDataCatalog(CATALOG_PATH) -``` - -### Instruments - -Nautilus needs to link market data to an instrument ID, and an instrument ID to an `Instrument` -definition. This can be done at any time, although typically it makes sense when you are loading -market data into the catalog. - -For our example, Nautilus contains some helpers for creating FX pairs, which we will use. If -however, you were adding data for financial or crypto markets, you would need to create (and add to -the catalog) an instrument corresponding to that instrument ID. Definitions for other -instruments (of various asset classes) can be found in `nautilus_trader.model.instruments`. - -See [Instruments](../concepts/instruments.md) for more details on creating other instruments. - -```python -from nautilus_trader.persistence.external.core import process_files, write_objects -from nautilus_trader.test_kit.providers import TestInstrumentProvider - -# Use nautilus test helpers to create a EUR/USD FX instrument for our purposes -instrument = TestInstrumentProvider.default_fx_ccy("EUR/USD") -``` - -We can now add our new instrument to the `ParquetDataCatalog`: - -```python -from nautilus_trader.persistence.external.core import write_objects - -write_objects(catalog, [instrument]) -``` - -And check its existence: - -```python -catalog.instruments() -``` - - -### Loading the files - -One final note: our parsing function takes an `instrument_id` argument, as in our case with -hist_data, however the actual file does not contain information about the instrument, only the file name -does. In our instance, we would likely need to split our loading per FX pair, so we can determine -which instrument we are loading. We will use a simple lambda function to pass our instrument ID to -the parsing function. - -We can now use the `process_files` function to load one or more files using our `Reader` class and -`parsing` function as shown below. This function will loop over many files, as well as breaking up -large files into chunks (protecting us from out of memory errors when reading large files) and save -the results to the `ParquetDataCatalog`. - -For the hist_data, it should take less than a minute or two to load each FX file (a progress bar -will appear below): - - -```python -from nautilus_trader.persistence.external.core import process_files -from nautilus_trader.persistence.external.readers import CSVReader - - -process_files( - glob_path=input_files, - reader=CSVReader( - block_parser=lambda x: parser(x, instrument_id=instrument.id), - header=["timestamp", "bid", "ask", "volume"], - chunked=False, - as_dataframe=False, - ), - catalog=catalog, -) -``` - -## Using the ParquetDataCatalog - -Once data has been loaded into the catalog, the `catalog` instance can be used for loading data into -the backtest engine, or simple for research purposes. It contains various methods to pull data from -the catalog, such as `quote_ticks`, for example: - -```python -import pandas as pd -from nautilus_trader.core.datetime import dt_to_unix_nanos - -start = dt_to_unix_nanos(pd.Timestamp("2020-01-01", tz="UTC")) -end = dt_to_unix_nanos(pd.Timestamp("2020-01-02", tz="UTC")) - -catalog.quote_ticks(start=start, end=end) -``` - -Finally, clean up the catalog - -```python -if os.path.exists(CATALOG_PATH): - shutil.rmtree(CATALOG_PATH) -``` diff --git a/docs/index.md b/docs/index.md index 5355efad208f..036a5c413064 100644 --- a/docs/index.md +++ b/docs/index.md @@ -1,117 +1,66 @@ # NautilusTrader Documentation -Welcome to the official documentation for NautilusTrader! - -NautilusTrader is an open-source, high-performance, production-grade algorithmic trading platform, -providing quantitative traders with the ability to backtest portfolios of automated trading strategies -on historical data with an event-driven engine, and also deploy those same strategies live, with no code changes. - -The platform is 'AI-first', designed to develop and deploy algorithmic trading strategies within a highly performant -and robust Python native environment. This helps to address the parity challenge of keeping the Python research/backtest -environment, consistent with the production live trading environment. - -NautilusTraders design, architecture and implementation philosophy holds software correctness and safety at the -highest level, with the aim of supporting Python native, mission-critical, trading system backtesting -and live deployment workloads. - -The platform is also universal and asset class agnostic - with any REST, WebSocket or FIX API able to be integrated via modular -adapters. Thus, it can handle high-frequency trading operations for any asset classes -including FX, Equities, Futures, Options, CFDs, Crypto and Betting - across multiple venues simultaneously. - -## Features - -- **Fast:** C-level speed through Rust and Cython. Asynchronous networking with [uvloop](https://github.com/MagicStack/uvloop) -- **Reliable:** Type safety through Rust and Cython. Redis backed performant state persistence -- **Flexible:** OS independent, runs on Linux, macOS, Windows. Deploy using Docker -- **Integrated:** Modular adapters mean any REST, WebSocket, or FIX API can be integrated -- **Advanced:** Time in force `IOC`, `FOK`, `GTD`, `AT_THE_OPEN`, `AT_THE_CLOSE`, advanced order types and conditional triggers. Execution instructions `post-only`, `reduce-only`, and icebergs. Contingency order lists including `OCO`, `OTO` -- **Backtesting:** Run with multiple venues, instruments and strategies simultaneously using historical quote tick, trade tick, bar, order book and custom data with nanosecond resolution -- **Live:** Use identical strategy implementations between backtesting and live deployments -- **Multi-venue:** Multiple venue capabilities facilitate market making and statistical arbitrage strategies -- **AI Agent Training:** Backtest engine fast enough to be used to train AI trading agents (RL/ES) +```{eval-rst} +.. toctree:: + :maxdepth: 1 + :glob: + :titlesonly: + :hidden: -![Nautilus](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/_images/nautilus-art.png?raw=true "nautilus") -> *nautilus - from ancient Greek 'sailor' and naus 'ship'.* -> -> *The nautilus shell consists of modular chambers with a growth factor which approximates a logarithmic spiral. -> The idea is that this can be translated to the aesthetics of design and architecture.* + getting_started/index.md + concepts/index.md + tutorials/index.md + integrations/index.md + api_reference/index.md + rust.md + developer_guide/index.md -## Why NautilusTrader? +``` -- **Highly performant event-driven Python** - native binary core components -- **Parity between backtesting and live trading** - identical strategy code -- **Reduced operational risk** - risk management functionality, logical correctness and type safety -- **Highly extendable** - message bus, custom components and actors, custom data, custom adapters +Welcome to the official documentation for NautilusTrader! -Traditionally, trading strategy research and backtesting might be conducted in Python (or other suitable language) -using vectorized methods, with the strategy then needing to be reimplemented in a more event-drive way -using C++, C#, Java or other statically typed language(s). The reasoning here is that vectorized backtesting code cannot -express the granular time and event dependent complexity of real-time trading, where compiled languages have -proven to be more suitable due to their inherently higher performance, and type safety. +**NautilusTrader is an open-source, high-performance, production-grade algorithmic trading platform, +providing quantitative traders with the ability to backtest portfolios of automated trading strategies +on historical data with an event-driven engine, and also deploy those same strategies live, with no code changes.** -One of the key advantages of NautilusTrader here, is that this reimplementation step is now circumvented - as the critical core components of the platform -have all been written entirely in Rust or Cython. This means we're using the right tools for the job, where systems programming languages compile performant binaries, -with CPython C extension modules then able to offer a Python native environment, suitable for professional quantitative traders and trading firms. +The platform boasts an extensive array of features and capabilities, coupled with open-ended flexibility for assembling +trading systems using the framework. Given the breadth of information, and required pre-requisite knowledge, both beginners and experts alike may find the learning curve steep. +However, this documentation aims to assist you in learning and understanding NautilusTrader, so that you can then leverage it to achieve your algorithmic trading goals. -## Why Python? +If you have any questions or need further assistance, please reach out to the NautilusTrader community for support. -Python was originally created decades ago as a simple scripting language with a clean straight -forward syntax. It has since evolved into a fully fledged general purpose object-oriented -programming language. Based on the TIOBE index, Python is currently the most popular programming language in the world. -Not only that, Python has become the _de facto lingua franca_ of data science, machine learning, and artificial intelligence. +```{note} +The terms "NautilusTrader", "Nautilus" and "platform" are used interchageably throughout the documentation. +``` -The language out of the box is not without its drawbacks however, especially in the context of -implementing large performance-critical systems. Cython has addressed a lot of these issues, offering all the advantages -of a statically typed language, embedded into Pythons rich ecosystem of software libraries and -developer/user communities. +The following is a brief summary of what you'll find in the documentation, and how to use each section. -## What is Cython? +## [Getting Started](getting_started/index.md) -[Cython](https://cython.org) is a compiled programming language that aims to be a superset of the Python programming -language, designed to give C-like performance with code that is written mostly in Python with -optional additional C-inspired syntax. +The **Getting Started** section offers an introductory overview of the platform, +a step-by-step guide to installing NautilusTrader, and a tutorial on setting up and running your first backtest. +This section is crafted for those who are hands-on learners and are eager to see results quickly. -The project heavily utilizes Cython to provide static type safety and increased performance -for Python through [C extension modules](https://docs.python.org/3/extending/extending.html). The vast majority of the production code is actually -written in Cython, however the libraries can be accessed from both Python and Cython. +## [Concepts](concepts/index.md) -## What is Rust? +The **Concepts** section breaks down the fundamental ideas, terminologies, and components of the platform, ensuring you have a solid grasp before diving deeper. -[Rust](https://www.rust-lang.org/) is a multi-paradigm programming language designed for performance and safety, especially safe -concurrency. Rust is blazingly fast and memory-efficient (comparable to C and C++) with no runtime or -garbage collector. It can power mission-critical systems, run on embedded devices, and easily -integrates with other languages. +## [Tutorials](tutorials/index.md) -Rust’s rich type system and ownership model guarantees memory-safety and thread-safety deterministically — -eliminating many classes of bugs at compile-time. +The **Tutorials** section offers a guided learning experience with a series of comprehensive step-by-step walkthroughs. +Each tutorial targets specific features or workflows, allowing you to learn by doing. +From basic tasks to more advanced operations, these tutorials cater to a wide range of skill levels. -The project increasingly utilizes Rust for core performance-critical components. Python language binding is handled through -Cython, with static libraries linked at compile-time before the wheel binaries are packaged, so a user -does not need to have Rust installed to run NautilusTrader. In the future as more Rust code is introduced, -[PyO3](https://pyo3.rs/latest) will be leveraged for easier Python bindings. +## [Integrations](integrations/index.md) -## Architecture Quality Attributes +The **Integrations** guides for the platform, covers adapter differences in configuration, available features and capabilities, +as well as providing tips for a smoother trading experience. -- Reliability -- Performance -- Modularity -- Testability -- Maintainability -- Deployability +## [API Reference](api_reference/index.md) -![Architecture](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/_images/architecture-overview.png?raw=true "architecture") +The **API Reference** provides comprehensive technical information on available modules, functions, classes, methods, and other components for both the Python and Rust APIs. -```{eval-rst} -.. toctree:: - :maxdepth: 1 - :glob: - :titlesonly: - :hidden: +## [Developer Guide](developer_guide/index.md) - getting_started/index.md - concepts/index.md - guides/index.md - integrations/index.md - api_reference/index.md - developer_guide/index.md -``` +The **Developer Guide** is tailored for those who wish to delve further into and potentially modify the codebase. +It provides insights into the architectural decisions, coding standards, and best practices, helping to ensuring a pleasant and productive development experience. diff --git a/docs/integrations/binance.md b/docs/integrations/binance.md index c8fce4f4bf4d..77a7c1152649 100644 --- a/docs/integrations/binance.md +++ b/docs/integrations/binance.md @@ -5,11 +5,6 @@ of daily trading volume, and open interest of crypto assets and crypto derivative products. This integration supports live market data ingest and order execution with Binance. -```{warning} -This integration is still under construction. Consider it to be in an -unstable beta phase and exercise caution. -``` - ## Overview The following documentation assumes a trader is setting up for both live market data feeds, and trade execution. The full Binance integration consists of an assortment of components, @@ -47,13 +42,13 @@ E.g. for Binance Futures, the said instruments symbol is `BTCUSDT-PERP` within t ## Order types | | Spot | Margin | Futures | |------------------------|---------------------------------|---------------------------------|-------------------| -| `MARKET` | Yes | Yes | Yes | -| `LIMIT` | Yes | Yes | Yes | -| `STOP_MARKET` | No | Yes | Yes | -| `STOP_LIMIT` | Yes (`post-only` not available) | Yes (`post-only` not available) | Yes | -| `MARKET_IF_TOUCHED` | No | No | Yes | -| `LIMIT_IF_TOUCHED` | Yes | Yes | Yes | -| `TRAILING_STOP_MARKET` | No | No | Yes | +| `MARKET` | ✓ | ✓ | ✓ | +| `LIMIT` | ✓ | ✓ | ✓ | +| `STOP_MARKET` | | ✓ | ✓ | +| `STOP_LIMIT` | ✓ (`post-only` not available) | ✓ (`post-only` not available) | ✓ | +| `MARKET_IF_TOUCHED` | | | ✓ | +| `LIMIT_IF_TOUCHED` | ✓ | ✓ | ✓ | +| `TRAILING_STOP_MARKET` | | | ✓ | ### Trailing stops Binance use the concept of an *activation price* for trailing stops ([see docs](https://www.binance.com/en-AU/support/faq/what-is-a-trailing-stop-order-360042299292)). diff --git a/docs/integrations/index.md b/docs/integrations/index.md index ae165b6b2999..1b7581f08957 100644 --- a/docs/integrations/index.md +++ b/docs/integrations/index.md @@ -1,5 +1,18 @@ # Integrations +```{eval-rst} +.. toctree:: + :maxdepth: 2 + :glob: + :titlesonly: + :hidden: + + betfair.md + binance.md + ib.md + +``` + NautilusTrader is designed in a modular way to work with 'adapters' which provide connectivity to data publishers and/or trading venues - converting their raw API into a unified interface. The following integrations are currently supported: @@ -10,13 +23,14 @@ It's advised to conduct some of your own testing with small amounts of capital b running strategies which are able to access larger capital allocations. ``` -| Name | ID | Type | Status | Docs | -|:--------------------------------------------------------|:--------|:------------------------|:----------------------------------------------------|:------------------------------------------------------------------| -[Betfair](https://betfair.com) | BETFAIR | Sports Betting Exchange | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/betfair.html) | -[Binance](https://binance.com) | BINANCE | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | -[Binance US](https://binance.us) | BINANCE | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | -[Binance Futures](https://www.binance.com/en/futures) | BINANCE | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | -[Interactive Brokers](https://www.interactivebrokers.com) | IB | Brokerage (multi-venue) | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/ib.html) | +| Name | ID | Type | Status | Docs | +| :-------------------------------------------------------- | :-------- | :---------------------- | :------------------------------------------------------ | :---------------------------------------------------------------- | +| [Betfair](https://betfair.com) | `BETFAIR` | Sports Betting Exchange | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/betfair.html) | +| [Binance](https://binance.com) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/stable-green) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | +| [Binance US](https://binance.us) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/stable-green) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | +| [Binance Futures](https://www.binance.com/en/futures) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/stable-green) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) | +| [Bybit](https://www.bybit.com) | `BYBIT` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/building-orange) | | +| [Interactive Brokers](https://www.interactivebrokers.com) | `IB` | Brokerage (multi-venue) | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/ib.html) | ## Implementation goals @@ -46,16 +60,3 @@ this means there is some normalization and standardization needed. - All symbols will match the native/local symbol for the exchange, unless there are conflicts (such as Binance using the same symbol for both Spot and Perpetual Futures markets). - All timestamps will be either normalized to UNIX nanoseconds, or clearly marked as UNIX milliseconds by appending `_ms` to param and property names. - -```{eval-rst} -.. toctree:: - :maxdepth: 2 - :glob: - :titlesonly: - :hidden: - - betfair.md - binance.md - ib.md - -``` diff --git a/docs/rust.md b/docs/rust.md new file mode 100644 index 000000000000..8dd1c1b4dd5c --- /dev/null +++ b/docs/rust.md @@ -0,0 +1,39 @@ +# Rust API + +The core of NautilusTrader is written in Rust, and one day it will be possible to run systems +entirely programmed and compiled from Rust 🦀. + +The API reference provides detailed technical documentation for the core NautilusTrader crates, +the docs are generated from source code using `cargo doc`. + +```{note} +Note the docs are generated using the _nightly_ toolchain (to be able to compile docs for the entire workspace). +However, we target the _stable_ toolchain for all releases. +``` + +Use the following links to explore the Rust docs API references for two different versions of the codebase: + +## [Latest Rust docs](https://docs.nautilustrader.io/core) +This API reference is built from the HEAD of the `master` branch and represents the latest stable release. + +## [Develop Rust docs](https://docs.nautilustrader.io/develop/core) +This API reference is built from the HEAD of the `develop` branch and represents bleeding edge and experimental changes/features currently in development. + +## What is Rust? +[Rust](https://www.rust-lang.org/) is a multi-paradigm programming language designed for performance and safety, especially safe +concurrency. Rust is blazingly fast and memory-efficient (comparable to C and C++) with no runtime or +garbage collector. It can power mission-critical systems, run on embedded devices, and easily +integrates with other languages. + +Rust’s rich type system and ownership model guarantees memory-safety and thread-safety deterministically — +eliminating many classes of bugs at compile-time. + +The project increasingly utilizes Rust for core performance-critical components. Python language binding is handled through +Cython, with static libraries linked at compile-time before the wheel binaries are packaged, so a user +does not need to have Rust installed to run NautilusTrader. In the future as more Rust code is introduced, +[PyO3](https://pyo3.rs/latest) will be leveraged for easier Python bindings. + +This project makes the [Soundness Pledge](https://raphlinus.github.io/rust/2020/01/18/soundness-pledge.html): + +> “The intent of this project is to be free of soundness bugs. +> The developers will do their best to avoid them, and welcome help in analyzing and fixing them.” diff --git a/docs/tutorials/backtest_high_level.md b/docs/tutorials/backtest_high_level.md new file mode 100644 index 000000000000..6162fb256125 --- /dev/null +++ b/docs/tutorials/backtest_high_level.md @@ -0,0 +1,181 @@ +# Backtest (high-level API) + +**This tutorial walks through how to use a `BacktestNode` to backtest a simple EMA cross strategy +on a simulated FX ECN venue using historical quote tick data.** + +The following points will be covered: +- How to load raw data (external to Nautilus) into the data catalog +- How to setup configuration objects for a `BacktestNode` +- How to run backtests with a `BacktestNode` + +## Imports + +We'll start with all of our imports for the remainder of this tutorial: + +```python +import datetime +import os +import shutil +from decimal import Decimal +from pathlib import Path + +import fsspec +import pandas as pd + +from nautilus_trader.core.datetime import dt_to_unix_nanos +from nautilus_trader.model.data import QuoteTick +from nautilus_trader.model.objects import Price, Quantity +from nautilus_trader.backtest.node import BacktestNode, BacktestVenueConfig, BacktestDataConfig, BacktestRunConfig, BacktestEngineConfig +from nautilus_trader.config.common import ImportableStrategyConfig +from nautilus_trader.persistence.catalog import ParquetDataCatalog +from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler +from nautilus_trader.test_kit.providers import CSVTickDataLoader +from nautilus_trader.test_kit.providers import TestInstrumentProvider +``` + +## Getting raw data + +As a once off before we start the notebook - we need to download some sample data for backtesting. + +For this example we will use FX data from `histdata.com`. Simply go to https://www.histdata.com/download-free-forex-historical-data/?/ascii/tick-data-quotes/ and select an FX pair, then select one or more months of data to download. + +Once you have downloaded the data, set the variable `DATA_DIR` below to the directory containing the data. By default, it will use the users `Downloads` directory. + + +```python +DATA_DIR = "~/Downloads/" +``` + +Then place the data archive into a `/"HISTDATA"` directory and run the cell below; you should see the files that you downloaded: + +```python +path = Path(DATA_DIR).expanduser() / "HISTDATA" +raw_files = list(path.iterdir()) +assert raw_files, f"Unable to find any histdata files in directory {path}" +raw_files +``` + +## Loading data into the Data Catalog + +The FX data from `histdata` is stored in CSV/text format, with fields `timestamp, bid_price, ask_price`. +Firstly, we need to load this raw data into a `pandas.DataFrame` which has a compatible schema for Nautilus quote ticks. + +Then we can create Nautilus `QuoteTick` objects by processing the DataFrame with a `QuoteTickDataWrangler`. + +```python +# Here we just take the first data file found and load into a pandas DataFrame +df = CSVTickDataLoader.load(raw_files[0], index_col=0, format="%Y%m%d %H%M%S%f") +df.columns = ["bid_price", "ask_price"] + +# Process quote ticks using a wrangler +EURUSD = TestInstrumentProvider.default_fx_ccy("EUR/USD") +wrangler = QuoteTickDataWrangler(EURUSD) + +ticks = wrangler.process(df) +``` + +See the [Loading data](../concepts/data) guide for more details. + +Next, we simply instantiate a `ParquetDataCatalog` (passing in a directory where to store the data, by default we will just use the current directory). +We can then write the instrument and tick data to the catalog, it should only take a couple of minutes to load the data (depending on how many months). + +```python +CATALOG_PATH = os.getcwd() + "/catalog" + +# Clear if it already exists, then create fresh +if os.path.exists(CATALOG_PATH): + shutil.rmtree(CATALOG_PATH) +os.mkdir(CATALOG_PATH) + +# Create a catalog instance +catalog = ParquetDataCatalog(CATALOG_PATH) +``` + +```python +# Write instrument to the catalog +catalog.write_data([EURUSD]) + +# Write ticks to catalog +catalog.write_data(ticks) +``` + +## Using the Data Catalog + +Once data has been loaded into the catalog, the `catalog` instance can be used for loading data for backtests, or simply for research purposes. +It contains various methods to pull data from the catalog, such as `.instruments(...)` and `quote_ticks(...)` (shown below). + +```python +catalog.instruments() +``` + +```python +start = dt_to_unix_nanos(pd.Timestamp("2020-01-03", tz="UTC")) +end = dt_to_unix_nanos(pd.Timestamp("2020-01-04", tz="UTC")) + +catalog.quote_ticks(instrument_ids=[EURUSD.id.value], start=start, end=end) +``` + +See the [Data catalog](../concepts/data) guide for more details. + +## Configuring backtests + +Nautilus uses a `BacktestRunConfig` object, which allows configuring a backtest in one place. It is a `Partialable` object (which means it can be configured in stages); the benefits of which are reduced boilerplate code when creating multiple backtest runs (for example when doing some sort of grid search over parameters). + +### Adding data and venues + +We can now use configuration objects to build up our final run configuration: + +```python +instrument = catalog.instruments(as_nautilus=True)[0] + +venue_configs = [ + BacktestVenueConfig( + name="SIM", + oms_type="HEDGING", + account_type="MARGIN", + base_currency="USD", + starting_balances=["1_000_000 USD"], + ), +] + +data_configs = [ + BacktestDataConfig( + catalog_path=str(ParquetDataCatalog.from_env().path), + data_cls=QuoteTick, + instrument_id=instrument.id.value, + start_time=start, + end_time=end, + ), +] + +strategies = [ + ImportableStrategyConfig( + strategy_path="nautilus_trader.examples.strategies.ema_cross:EMACross", + config_path="nautilus_trader.examples.strategies.ema_cross:EMACrossConfig", + config=dict( + instrument_id=instrument.id.value, + bar_type="EUR/USD.SIM-15-MINUTE-BID-INTERNAL", + fast_ema_period=10, + slow_ema_period=20, + trade_size=Decimal(1_000_000), + ), + ), +] + +config = BacktestRunConfig( + engine=BacktestEngineConfig(strategies=strategies), + data=data_configs, + venues=venue_configs, +) + +``` + +## Run the backtest! + +Now we can simply run the backtest node, which will simulate trading across the entire data stream: +```python +node = BacktestNode(configs=[config]) + +results = node.run() +results +``` diff --git a/docs/tutorials/backtest_low_level.md b/docs/tutorials/backtest_low_level.md new file mode 100644 index 000000000000..8c9e35574a83 --- /dev/null +++ b/docs/tutorials/backtest_low_level.md @@ -0,0 +1,228 @@ +# Backtest (low-level API) + +**This tutorial walks through how to use a `BacktestEngine` to backtest a simple EMA cross strategy +with a TWAP execution algorithm on a simulated Binance Spot exchange using historical trade tick data.** + +The following points will be covered: +- How to load raw data (external to Nautilus) using data loaders and wranglers +- How to add this data to a `BacktestEngine` +- How to add venues, strategies and execution algorithms to a `BacktestEngine` +- How to run backtests with a `BacktestEngine` +- Post-run analysis and options for repeated runs + +## Imports + +We'll start with all of our imports for the remainder of this tutorial: + +```python +import time +from decimal import Decimal + +import pandas as pd + +from nautilus_trader.backtest.engine import BacktestEngine +from nautilus_trader.backtest.engine import BacktestEngineConfig +from nautilus_trader.examples.algorithms.twap import TWAPExecAlgorithm +from nautilus_trader.examples.strategies.ema_cross_twap import EMACrossTWAP +from nautilus_trader.examples.strategies.ema_cross_twap import EMACrossTWAPConfig +from nautilus_trader.model.currencies import ETH +from nautilus_trader.model.currencies import USDT +from nautilus_trader.model.enums import AccountType +from nautilus_trader.model.enums import OmsType +from nautilus_trader.model.identifiers import Venue +from nautilus_trader.model.objects import Money +from nautilus_trader.persistence.wranglers import TradeTickDataWrangler +from nautilus_trader.test_kit.providers import TestDataProvider +from nautilus_trader.test_kit.providers import TestInstrumentProvider +``` + +## Loading data + +For this tutorial we'll use some stub test data which exists in the NautilusTrader repository +(this data is also used by the automated test suite to test the correctness of the platform). + +Firstly, instantiate a data provider which we can use to read raw CSV trade tick data into memory as a `pd.DataFrame`. +We then need to initialize the instrument which matches the data, in this case the `ETHUSDT` spot cryptocurrency pair for Binance. +We'll use this instrument for the remainder of this backtest run. + +Next, we need to wrangle this data into a list of Nautilus `TradeTick` objects, which can we later add to the `BacktestEngine`: + +```python +# Load stub test data +provider = TestDataProvider() +trades_df = provider.read_csv_ticks("binance-ethusdt-trades.csv") + +# Initialize the instrument which matches the data +ETHUSDT_BINANCE = TestInstrumentProvider.ethusdt_binance() + +# Process into Nautilus objects +wrangler = TradeTickDataWrangler(instrument=ETHUSDT_BINANCE) +ticks = wrangler.process(trades_df) +``` + +See the [Data](../concepts/data.md) guide for a more detailed explanation of the typical data processing components and pipeline. + +## Initialize a backtest engine + +Now we'll need a backtest engine, minimally you could just call `BacktestEngine()` which will instantiate +an engine with a default configuration. + +Here we also show initializing a `BacktestEngineConfig` (will only a custom `trader_id` specified) +to show the general configuration pattern: + +```python +# Configure backtest engine +config = BacktestEngineConfig(trader_id="BACKTESTER-001") + +# Build the backtest engine +engine = BacktestEngine(config=config) + +``` + +See the [Configuration](../api_reference/config.md) API reference for details of all configuration options available. + +## Adding data + +Now we can add data to the backtest engine. First add the `Instrument` object we previously initialized, which matches our data. + +Then we can add the trade ticks we wrangled earlier: +```python +# Add instrument(s) +engine.add_instrument(ETHUSDT_BINANCE) + +# Add data +engine.add_data(ticks) + +``` + +```{note} +The amount of and variety of data types is only limited by machine resources and your imagination (custom types are possible). +``` + +## Adding venues + +We'll need a venue to trade on, which should match the *market* data being added to the engine. + +In this case we'll setup a *simulated* Binance Spot exchange: + +```python +# Add a trading venue (multiple venues possible) +BINANCE = Venue("BINANCE") +engine.add_venue( + venue=BINANCE, + oms_type=OmsType.NETTING, + account_type=AccountType.CASH, # Spot CASH account (not for perpetuals or futures) + base_currency=None, # Multi-currency account + starting_balances=[Money(1_000_000.0, USDT), Money(10.0, ETH)], +) + +``` + +```{note} +Multiple venues can be used for backtesting, only limited by machine resources. +``` + +## Adding strategies + +Now we can add the trading strategies we'd like to run as part of our system. + +```{note} +Multiple strategies and instruments can be used for backtesting, only limited by machine resources. +``` + +Firstly, initialize a strategy configuration, then use this to initialize a strategy which we can add to the engine: +```python + +# Configure your strategy +strategy_config = EMACrossTWAPConfig( + instrument_id=str(ETHUSDT_BINANCE.id), + bar_type="ETHUSDT.BINANCE-250-TICK-LAST-INTERNAL", + trade_size=Decimal("0.10"), + fast_ema_period=10, + slow_ema_period=20, + twap_horizon_secs=10.0, + twap_interval_secs=2.5, +) + +# Instantiate and add your strategy +strategy = EMACrossTWAP(config=strategy_config) +engine.add_strategy(strategy=strategy) + +``` + +You may notice that this strategy config includes parameters related to a TWAP execution algorithm. +This is because we can flexibly use different parameters per order submit, we still need to initialize +and add the actual `ExecAlgorithm` component which will execute the algorithm - which we'll do now. + +## Adding execution algorithms + +NautilusTrader allows us to build up very complex systems of custom components. Here we show just one of the custom components +available, in this case a built-in TWAP execution algorithm. It is configured and added to the engine in generally the same pattern as for strategies: + +```{note} +Multiple execution algorithms can be used for backtesting, only limited by machine resources. +``` + +```python +# Instantiate and add your execution algorithm +exec_algorithm = TWAPExecAlgorithm() # Using defaults +engine.add_exec_algorithm(exec_algorithm) + +``` + +## Running backtests + +Now that we have our data, venues and trading system configured - we can run a backtest! +Simply call the `.run(...)` method which will run a backtest over all available data by default: + +```python +# Run the engine (from start to end of data) +engine.run() +``` + +See the [BacktestEngine](../api_reference/backtest.md) API reference for a complete description of all available methods and options. + +## Post-run and analysis + +Once the backtest is completed, a post-run tearsheet will be automatically logged using some +default statistics (or custom statistics which can be loaded, see the advanced [Portfolio statistics](../concepts/advanced/portfolio_statistics.md) guide). + +Also, many resultant data and execution objects will be held in memory, which we +can use to further analyze the performance by generating various reports: + +```python +# Optionally view reports +with pd.option_context( + "display.max_rows", + 100, + "display.max_columns", + None, + "display.width", + 300, +): + print(engine.trader.generate_account_report(BINANCE)) + print(engine.trader.generate_order_fills_report()) + print(engine.trader.generate_positions_report()) +``` + +## Repeated runs + +We can also choose to reset the engine for repeated runs with different strategy and component configurations. +Calling the `.reset(...)` method will retain all loaded data and components, but reset all other stateful values +as if we had a fresh `BacktestEngine` (this avoids having to load the same data again): + +```python + +# For repeated backtest runs make sure to reset the engine +engine.reset() +``` + +Individual components (actors, strategies, execution algorithms) need to be removed and added as required. + +See the [Trader](../api_reference/trading.md) API reference for a description of all methods available to achieve this. + + +```python +# Once done, good practice to dispose of the object if the script continues +engine.dispose() +``` diff --git a/docs/tutorials/index.md b/docs/tutorials/index.md new file mode 100644 index 000000000000..c34eb49efeb3 --- /dev/null +++ b/docs/tutorials/index.md @@ -0,0 +1,39 @@ +# Tutorials + +```{eval-rst} +.. toctree:: + :maxdepth: 1 + :glob: + :titlesonly: + :hidden: + + backtest_low_level.md + backtest_high_level.md +``` + +Welcome to the tutorials for NautilusTrader! + +This section offers a guided learning experience with a series of comprehensive step-by-step walkthroughs. +Each tutorial targets specific features or workflows, allowing you to learn by doing. +From basic tasks to more advanced operations, these tutorials cater to a wide range of skill levels. + +```{tip} +Make sure you are following the tutorial docs which match the version of NautilusTrader you are running: +- **Latest** - These docs are built from the HEAD of the `master` branch and work with the latest stable release. +- **Develop** - These docs are built from the HEAD of the `develop` branch and work with bleeding edge and experimental changes/features currently in development. +``` + +## Backtesting +Backtesting involves running simulated trading systems on historical data. The backtesting tutorials will +begin with the general basics, then become more specific. + +### Which API level? +For more information on which API level to choose, refer to the [Backtesting](../concepts/backtesting.md) guide. + +### [Backtest (low-level API)](backtest_low_level.md) +This tutorial runs through how to load raw data (external to Nautilus) using data loaders and wranglers, +and then use this data with a `BacktestEngine` to run a single backtest. + +### [Backtest (high-level API)](backtest_high_level.md) +This tutorial runs through how to load raw data (external to Nautilus) into the data catalog, +and then use this data with a `BacktestNode` to run a single backtest. diff --git a/examples/backtest/betfair_backtest_orderbook_imbalance.py b/examples/backtest/betfair_backtest_orderbook_imbalance.py index 1c0d44ec79fb..0b93cdf40ec6 100644 --- a/examples/backtest/betfair_backtest_orderbook_imbalance.py +++ b/examples/backtest/betfair_backtest_orderbook_imbalance.py @@ -70,7 +70,7 @@ # Add data raw = list(BetfairDataProvider.market_updates()) - parser = BetfairParser() + parser = BetfairParser(currency=GBP.code) updates = [upd for update in raw for upd in parser.parse(update)] engine.add_data(updates, client_id=ClientId("BETFAIR")) diff --git a/examples/backtest/crypto_ema_cross_ethusdt_trade_ticks.py b/examples/backtest/crypto_ema_cross_ethusdt_trade_ticks.py index 9b38e80ce3e5..cbc45db54951 100644 --- a/examples/backtest/crypto_ema_cross_ethusdt_trade_ticks.py +++ b/examples/backtest/crypto_ema_cross_ethusdt_trade_ticks.py @@ -66,7 +66,7 @@ config = EMACrossTWAPConfig( instrument_id=str(ETHUSDT_BINANCE.id), bar_type="ETHUSDT.BINANCE-250-TICK-LAST-INTERNAL", - trade_size=Decimal("0.05"), + trade_size=Decimal("0.10"), fast_ema_period=10, slow_ema_period=20, twap_horizon_secs=10.0, diff --git a/examples/backtest/crypto_ema_cross_ethusdt_trailing_stop.py b/examples/backtest/crypto_ema_cross_ethusdt_trailing_stop.py index ca17811e91ea..9b5342cba9e8 100644 --- a/examples/backtest/crypto_ema_cross_ethusdt_trailing_stop.py +++ b/examples/backtest/crypto_ema_cross_ethusdt_trailing_stop.py @@ -65,7 +65,7 @@ config = EMACrossTrailingStopConfig( instrument_id=str(ETHUSDT_BINANCE.id), bar_type="ETHUSDT.BINANCE-100-TICK-LAST-INTERNAL", - trade_size=Decimal("0.05"), + trade_size=Decimal("0.10"), fast_ema_period=10, slow_ema_period=20, atr_period=20, diff --git a/examples/backtest/crypto_orderbook_imbalance.py b/examples/backtest/crypto_orderbook_imbalance.py new file mode 100644 index 000000000000..cb9b8057301b --- /dev/null +++ b/examples/backtest/crypto_orderbook_imbalance.py @@ -0,0 +1,124 @@ +#!/usr/bin/env python3 +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import time +from decimal import Decimal +from pathlib import Path + +import pandas as pd + +from nautilus_trader.backtest.engine import BacktestEngine +from nautilus_trader.backtest.engine import BacktestEngineConfig +from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalance +from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalanceConfig +from nautilus_trader.model.currencies import BTC +from nautilus_trader.model.currencies import USDT +from nautilus_trader.model.enums import AccountType +from nautilus_trader.model.enums import BookType +from nautilus_trader.model.enums import OmsType +from nautilus_trader.model.enums import book_type_to_str +from nautilus_trader.model.identifiers import Venue +from nautilus_trader.model.objects import Money +from nautilus_trader.persistence.loaders import BinanceOrderBookDeltaDataLoader +from nautilus_trader.persistence.wranglers import OrderBookDeltaDataWrangler +from nautilus_trader.test_kit.providers import TestInstrumentProvider + + +if __name__ == "__main__": + # Configure backtest engine + config = BacktestEngineConfig( + trader_id="BACKTESTER-001", + # logging=LoggingConfig(log_level="DEBUG"), + ) + + # Build the backtest engine + engine = BacktestEngine(config=config) + + # Add a trading venue (multiple venues possible) + BINANCE = Venue("BINANCE") + + # Ensure the book type matches the data + book_type = BookType.L2_MBP + + engine.add_venue( + venue=BINANCE, + oms_type=OmsType.NETTING, + account_type=AccountType.CASH, + base_currency=None, # Multi-currency account + starting_balances=[Money(1_000_000.0, USDT), Money(100.0, BTC)], + book_type=book_type, # <-- Venues order book + ) + + # Add instruments + BTCUSDT_BINANCE = TestInstrumentProvider.btcusdt_binance() + engine.add_instrument(BTCUSDT_BINANCE) + + # Add data + data_dir = Path("~/Downloads").expanduser() / "Data" / "Binance" + + path_snap = data_dir / "BTCUSDT_T_DEPTH_2022-11-01_depth_snap.csv" + print(f"Loading {path_snap} ...") + df_snap = BinanceOrderBookDeltaDataLoader.load(path_snap) + print(str(df_snap)) + + path_update = data_dir / "BTCUSDT_T_DEPTH_2022-11-01_depth_update.csv" + print(f"Loading {path_update} ...") + nrows = 1_000_000 + df_update = BinanceOrderBookDeltaDataLoader.load(path_update, nrows=nrows) + print(str(df_update)) + + print("Wrangling OrderBookDelta objects ...") + wrangler = OrderBookDeltaDataWrangler(instrument=BTCUSDT_BINANCE) + deltas = wrangler.process(df_snap) + deltas += wrangler.process(df_update) + engine.add_data(deltas) + + # Configure your strategy + config = OrderBookImbalanceConfig( + instrument_id=str(BTCUSDT_BINANCE.id), + max_trade_size=Decimal("1.000"), + min_seconds_between_triggers=1.0, + book_type=book_type_to_str(book_type), + ) + + # Instantiate and add your strategy + strategy = OrderBookImbalance(config=config) + engine.add_strategy(strategy=strategy) + + time.sleep(0.1) + input("Press Enter to continue...") + + # Run the engine (from start to end of data) + engine.run() + + # Optionally view reports + with pd.option_context( + "display.max_rows", + 100, + "display.max_columns", + None, + "display.width", + 300, + ): + print(engine.trader.generate_account_report(BINANCE)) + print(engine.trader.generate_order_fills_report()) + print(engine.trader.generate_positions_report()) + + # For repeated backtest runs make sure to reset the engine + engine.reset() + + # Good practice to dispose of the object + engine.dispose() diff --git a/examples/live/betfair.py b/examples/live/betfair.py index bfbf26fe6de9..88e6a3f80e77 100644 --- a/examples/live/betfair.py +++ b/examples/live/betfair.py @@ -19,10 +19,12 @@ from decimal import Decimal from nautilus_trader.adapters.betfair.config import BetfairDataClientConfig +from nautilus_trader.adapters.betfair.config import BetfairExecClientConfig from nautilus_trader.adapters.betfair.factories import BetfairLiveDataClientFactory from nautilus_trader.adapters.betfair.factories import BetfairLiveExecClientFactory from nautilus_trader.adapters.betfair.factories import get_cached_betfair_client from nautilus_trader.adapters.betfair.factories import get_cached_betfair_instrument_provider +from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProviderConfig from nautilus_trader.common.clock import LiveClock from nautilus_trader.common.logging import Logger from nautilus_trader.config import CacheDatabaseConfig @@ -37,42 +39,41 @@ # *** IT IS NOT INTENDED TO BE USED TO TRADE LIVE WITH REAL MONEY. *** -async def main(market_id: str): +async def main(instrument_config: BetfairInstrumentProviderConfig): # Connect to Betfair client early to load instruments and account currency - loop = asyncio.get_event_loop() logger = Logger(clock=LiveClock()) client = get_cached_betfair_client( username=None, # Pass here or will source from the `BETFAIR_USERNAME` env var password=None, # Pass here or will source from the `BETFAIR_PASSWORD` env var app_key=None, # Pass here or will source from the `BETFAIR_APP_KEY` env var - cert_dir=None, # Pass here or will source from the `BETFAIR_CERT_DIR` env var logger=logger, - loop=loop, ) await client.connect() # Find instruments for a particular market_id - market_filter = tuple({"market_id": (market_id,)}.items()) provider = get_cached_betfair_instrument_provider( client=client, logger=logger, - market_filter=market_filter, + config=instrument_config, ) await provider.load_all_async() instruments = provider.list_all() print(f"Found instruments:\n{[ins.id for ins in instruments]}") # Determine account currency - used in execution client - # account = await client.get_account_details() + account = await client.get_account_details() # Configure trading node config = TradingNodeConfig( timeout_connection=30.0, - logging=LoggingConfig(log_level="INFO"), + timeout_disconnection=30.0, + timeout_post_stop=30.0, + logging=LoggingConfig(log_level="DEBUG"), cache_database=CacheDatabaseConfig(type="in-memory"), data_clients={ "BETFAIR": BetfairDataClientConfig( - market_filter=market_filter, + account_currency=account.currency_code, + instrument_config=instrument_config, # username="YOUR_BETFAIR_USERNAME", # password="YOUR_BETFAIR_PASSWORD", # app_key="YOUR_BETFAIR_APP_KEY", @@ -81,21 +82,22 @@ async def main(market_id: str): }, exec_clients={ # # UNCOMMENT TO SEND ORDERS - # "BETFAIR": BetfairExecClientConfig( - # base_currency=account["currencyCode"], - # # "username": "YOUR_BETFAIR_USERNAME", - # # "password": "YOUR_BETFAIR_PASSWORD", - # # "app_key": "YOUR_BETFAIR_APP_KEY", - # # "cert_dir": "YOUR_BETFAIR_CERT_DIR", - # market_filter=market_filter, - # ), + "BETFAIR": BetfairExecClientConfig( + account_currency=account.currency_code, + instrument_config=instrument_config, + # "username": "YOUR_BETFAIR_USERNAME", + # "password": "YOUR_BETFAIR_PASSWORD", + # "app_key": "YOUR_BETFAIR_APP_KEY", + # "cert_dir": "YOUR_BETFAIR_CERT_DIR", + ), }, ) strategies = [ OrderBookImbalance( config=OrderBookImbalanceConfig( instrument_id=instrument.id.value, - max_trade_size=Decimal(5), + max_trade_size=Decimal(10), + trigger_min_size=10, order_id_tag=instrument.selection_id, subscribe_ticker=True, ), @@ -113,17 +115,22 @@ async def main(market_id: str): node.build() try: - node.run() - await asyncio.gather(*asyncio.all_tasks()) + await node.run_async() except Exception as e: print(e) print(traceback.format_exc()) finally: - node.dispose() + await node.stop_async() + await asyncio.sleep(1) + return node if __name__ == "__main__": # Update the market ID with something coming up in `Next Races` from # https://www.betfair.com.au/exchange/plus/ # The market ID will appear in the browser query string. - asyncio.run(main(market_id="1.207188674")) + config = BetfairInstrumentProviderConfig( + market_ids=["1.218938285"], + ) + node = asyncio.run(main(instrument_config=config)) + node.dispose() diff --git a/examples/live/betfair_sandbox.py b/examples/live/betfair_sandbox.py index a6190b809c00..6a9d10f86439 100644 --- a/examples/live/betfair_sandbox.py +++ b/examples/live/betfair_sandbox.py @@ -15,10 +15,14 @@ # ------------------------------------------------------------------------------------------------- import asyncio +import traceback from decimal import Decimal +from nautilus_trader.adapters.betfair.config import BetfairDataClientConfig +from nautilus_trader.adapters.betfair.factories import BetfairLiveDataClientFactory from nautilus_trader.adapters.betfair.factories import get_cached_betfair_client from nautilus_trader.adapters.betfair.factories import get_cached_betfair_instrument_provider +from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProviderConfig from nautilus_trader.adapters.sandbox.config import SandboxExecutionClientConfig from nautilus_trader.adapters.sandbox.execution import SandboxExecutionClient from nautilus_trader.adapters.sandbox.factory import SandboxLiveExecClientFactory @@ -36,38 +40,40 @@ # *** IT IS NOT INTENDED TO BE USED TO TRADE LIVE WITH REAL MONEY. *** -async def main(market_id: str): +async def main(instrument_config: BetfairInstrumentProviderConfig): # Connect to Betfair client early to load instruments and account currency - loop = asyncio.get_event_loop() logger = Logger(clock=LiveClock()) client = get_cached_betfair_client( username=None, # Pass here or will source from the `BETFAIR_USERNAME` env var password=None, # Pass here or will source from the `BETFAIR_PASSWORD` env var app_key=None, # Pass here or will source from the `BETFAIR_APP_KEY` env var - cert_dir=None, # Pass here or will source from the `BETFAIR_CERT_DIR` env var logger=logger, - loop=loop, ) await client.connect() # Find instruments for a particular market_id - market_filter = {"market_id": (market_id,)} provider = get_cached_betfair_instrument_provider( client=client, logger=logger, - market_filter=tuple(market_filter.items()), + config=instrument_config, ) await provider.load_all_async() instruments = provider.list_all() print(f"Found instruments:\n{[ins.id for ins in instruments]}") + # Load account currency + account_currency = await provider.get_account_currency() + # Configure trading node config = TradingNodeConfig( timeout_connection=30.0, logging=LoggingConfig(log_level="DEBUG"), cache_database=CacheDatabaseConfig(type="in-memory"), data_clients={ - # "BETFAIR": BetfairDataClientConfig(market_filter=tuple(market_filter.items())) + "BETFAIR": BetfairDataClientConfig( + account_currency=account_currency, + instrument_config=instrument_config, + ), }, exec_clients={ "SANDBOX": SandboxExecutionClientConfig( @@ -92,24 +98,31 @@ async def main(market_id: str): node = TradingNode(config=config) node.trader.add_strategies(strategies) + # Need to manually set instruments for sandbox exec client + SandboxExecutionClient.INSTRUMENTS = instruments + # Register your client factories with the node (can take user defined factories) - # node.add_data_client_factory("BETFAIR", BetfairLiveDataClientFactory) + node.add_data_client_factory("BETFAIR", BetfairLiveDataClientFactory) node.add_exec_client_factory("SANDBOX", SandboxLiveExecClientFactory) - SandboxExecutionClient.INSTRUMENTS = instruments node.build() - node.run() - # try: - # node.start() - # except Exception as e: - # print(e) - # print(traceback.format_exc()) - # finally: - # node.dispose() + try: + await node.run_async() + except Exception as e: + print(e) + print(traceback.format_exc()) + finally: + await node.stop_async() + await asyncio.sleep(1) + return node if __name__ == "__main__": # Update the market ID with something coming up in `Next Races` from # https://www.betfair.com.au/exchange/plus/ # The market ID will appear in the browser query string. - asyncio.run(main(market_id="1.199513161")) + config = BetfairInstrumentProviderConfig( + market_ids=["1.199513161"], + ) + node = asyncio.run(main(config)) + node.dispose() diff --git a/examples/live/binance_futures_testnet_market_maker.py b/examples/live/binance_futures_testnet_market_maker.py index f44fb0394c14..99e804c42539 100644 --- a/examples/live/binance_futures_testnet_market_maker.py +++ b/examples/live/binance_futures_testnet_market_maker.py @@ -46,6 +46,7 @@ # log_level_file="DEBUG", # log_file_format="json", ), + # tracing=TracingConfig(stdout_level="DEBUG"), exec_engine=LiveExecEngineConfig( reconciliation=True, reconciliation_lookback_mins=1440, @@ -91,6 +92,7 @@ timeout_disconnection=10.0, timeout_post_stop=5.0, ) + # Instantiate the node with a configuration node = TradingNode(config=config_node) diff --git a/examples/live/binance_futures_testnet_orderbook_imbalance.py b/examples/live/binance_futures_testnet_orderbook_imbalance.py new file mode 100644 index 000000000000..745c91a6ec63 --- /dev/null +++ b/examples/live/binance_futures_testnet_orderbook_imbalance.py @@ -0,0 +1,123 @@ +#!/usr/bin/env python3 +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +from decimal import Decimal + +from nautilus_trader.adapters.binance.common.enums import BinanceAccountType +from nautilus_trader.adapters.binance.config import BinanceDataClientConfig +from nautilus_trader.adapters.binance.config import BinanceExecClientConfig +from nautilus_trader.adapters.binance.factories import BinanceLiveDataClientFactory +from nautilus_trader.adapters.binance.factories import BinanceLiveExecClientFactory +from nautilus_trader.config import CacheDatabaseConfig +from nautilus_trader.config import InstrumentProviderConfig +from nautilus_trader.config import LiveExecEngineConfig +from nautilus_trader.config import LoggingConfig +from nautilus_trader.config import TradingNodeConfig +from nautilus_trader.config.common import CacheConfig +from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalance +from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalanceConfig +from nautilus_trader.live.node import TradingNode + + +# *** THIS IS A TEST STRATEGY WITH NO ALPHA ADVANTAGE WHATSOEVER. *** +# *** IT IS NOT INTENDED TO BE USED TO TRADE LIVE WITH REAL MONEY. *** + +# *** THIS INTEGRATION IS STILL UNDER CONSTRUCTION. *** +# *** CONSIDER IT TO BE IN AN UNSTABLE BETA PHASE AND EXERCISE CAUTION. *** + +# Configure the trading node +config_node = TradingNodeConfig( + trader_id="TESTER-001", + logging=LoggingConfig( + log_level="INFO", + # log_level_file="DEBUG", + # log_file_format="json", + ), + # tracing=TracingConfig(stdout_level="DEBUG"), + exec_engine=LiveExecEngineConfig( + reconciliation=True, + reconciliation_lookback_mins=1440, + filter_position_reports=True, + ), + cache=CacheConfig( + # snapshot_orders=True, + # snapshot_positions=True, + # snapshot_positions_interval=5.0, + ), + cache_database=CacheDatabaseConfig( + type="in-memory", + flush_on_start=False, + timestamps_as_iso8601=True, + ), + data_clients={ + "BINANCE": BinanceDataClientConfig( + api_key=None, # "YOUR_BINANCE_TESTNET_API_KEY" + api_secret=None, # "YOUR_BINANCE_TESTNET_API_SECRET" + account_type=BinanceAccountType.USDT_FUTURE, + base_url_http=None, # Override with custom endpoint + base_url_ws=None, # Override with custom endpoint + us=False, # If client is for Binance US + testnet=True, # If client uses the testnet + instrument_provider=InstrumentProviderConfig(load_all=True), + ), + }, + exec_clients={ + "BINANCE": BinanceExecClientConfig( + api_key=None, # "YOUR_BINANCE_TESTNET_API_KEY" + api_secret=None, # "YOUR_BINANCE_TESTNET_API_SECRET" + account_type=BinanceAccountType.USDT_FUTURE, + base_url_http=None, # Override with custom endpoint + base_url_ws=None, # Override with custom endpoint + us=False, # If client is for Binance US + testnet=True, # If client uses the testnet + instrument_provider=InstrumentProviderConfig(load_all=True), + ), + }, + timeout_connection=20.0, + timeout_reconciliation=10.0, + timeout_portfolio=10.0, + timeout_disconnection=10.0, + timeout_post_stop=5.0, +) + +# Instantiate the node with a configuration +node = TradingNode(config=config_node) + +# Configure your strategy +strat_config = OrderBookImbalanceConfig( + instrument_id="ETHUSDT-PERP.BINANCE", + external_order_claims=["ETHUSDT-PERP.BINANCE"], + max_trade_size=Decimal("0.010"), +) + +# Instantiate your strategy +strategy = OrderBookImbalance(config=strat_config) + +# Add your strategies and modules +node.trader.add_strategy(strategy) + +# Register your client factories with the node (can take user defined factories) +node.add_data_client_factory("BINANCE", BinanceLiveDataClientFactory) +node.add_exec_client_factory("BINANCE", BinanceLiveExecClientFactory) +node.build() + + +# Stop and dispose of the node with SIGINT/CTRL+C +if __name__ == "__main__": + try: + node.run() + finally: + node.dispose() diff --git a/examples/live/interactive_brokers/historic_download.py b/examples/live/interactive_brokers/historic_download.py new file mode 100644 index 000000000000..79b401aa6ce9 --- /dev/null +++ b/examples/live/interactive_brokers/historic_download.py @@ -0,0 +1,90 @@ +#!/usr/bin/env python3 +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import pandas as pd + +# fmt: off +from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersDataClientConfig +from nautilus_trader.adapters.interactive_brokers.factories import InteractiveBrokersLiveDataClientFactory +from nautilus_trader.adapters.interactive_brokers.factories import InteractiveBrokersLiveExecClientFactory +from nautilus_trader.adapters.interactive_brokers.historic.bar_data import BarDataDownloader +from nautilus_trader.adapters.interactive_brokers.historic.bar_data import BarDataDownloaderConfig +from nautilus_trader.config import LoggingConfig +from nautilus_trader.config import TradingNodeConfig +from nautilus_trader.live.node import TradingNode +from nautilus_trader.model.data import Bar + + +# fmt: on + +# *** MAKE SURE YOU HAVE REQUIRED DATA SUBSCRIPTION FOR THIS WORK WORK AS INTENDED. *** + +df = pd.DataFrame() + + +# Data Handler for BarDataDownloader +def do_something_with_bars(bars: list): + global df + bars_dict = [Bar.to_dict(bar) for bar in bars] + df = pd.concat([df, pd.DataFrame(bars_dict)]) + df = df.sort_values(by="ts_init") + + +# Configure the trading node +config_node = TradingNodeConfig( + trader_id="TESTER-001", + logging=LoggingConfig(log_level="INFO"), + data_clients={ + "InteractiveBrokers": InteractiveBrokersDataClientConfig( + ibg_host="127.0.0.1", + ibg_port=7497, + ibg_client_id=1, + ), + }, + timeout_connection=90.0, +) + +# Instantiate the node with a configuration +node = TradingNode(config=config_node) + +# Configure your strategy +downloader_config = BarDataDownloaderConfig( + start_iso_ts="2023-09-01T00:00:00+00:00", + end_iso_ts="2023-09-30T00:00:00+00:00", + bar_types=[ + "AAPL.NASDAQ-1-MINUTE-BID-EXTERNAL", + "AAPL.NASDAQ-1-MINUTE-ASK-EXTERNAL", + "AAPL.NASDAQ-1-MINUTE-LAST-EXTERNAL", + ], + handler=do_something_with_bars, + freq="1W", +) + +# Instantiate the downloader and add into node +downloader = BarDataDownloader(config=downloader_config) +node.trader.add_actor(downloader) + +# Register your client factories with the node (can take user defined factories) +node.add_data_client_factory("InteractiveBrokers", InteractiveBrokersLiveDataClientFactory) +node.add_exec_client_factory("InteractiveBrokers", InteractiveBrokersLiveExecClientFactory) +node.build() + +# Stop and dispose of the node with SIGINT/CTRL+C +if __name__ == "__main__": + try: + node.run() + finally: + node.dispose() diff --git a/examples/live/interactive_brokers_example.py b/examples/live/interactive_brokers/interactive_brokers_example.py similarity index 100% rename from examples/live/interactive_brokers_example.py rename to examples/live/interactive_brokers/interactive_brokers_example.py diff --git a/examples/live/interactive_brokers_book_imbalance.py b/examples/live/interactive_brokers_book_imbalance.py deleted file mode 100644 index f49e74492a2a..000000000000 --- a/examples/live/interactive_brokers_book_imbalance.py +++ /dev/null @@ -1,131 +0,0 @@ -#!/usr/bin/env python3 -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -from decimal import Decimal - -# fmt: off -from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersDataClientConfig -from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersExecClientConfig -from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersGatewayConfig -from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersInstrumentProviderConfig -from nautilus_trader.adapters.interactive_brokers.factories import InteractiveBrokersLiveDataClientFactory -from nautilus_trader.adapters.interactive_brokers.factories import InteractiveBrokersLiveExecClientFactory -from nautilus_trader.config import LiveDataEngineConfig -from nautilus_trader.config import LiveRiskEngineConfig -from nautilus_trader.config import LoggingConfig -from nautilus_trader.config import RoutingConfig -from nautilus_trader.config import TradingNodeConfig -from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalance -from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalanceConfig -from nautilus_trader.live.node import TradingNode - - -# fmt: on - -# *** THIS IS A TEST STRATEGY WITH NO ALPHA ADVANTAGE WHATSOEVER. *** -# *** IT IS NOT INTENDED TO BE USED TO TRADE LIVE WITH REAL MONEY. *** - -# *** THIS INTEGRATION IS STILL UNDER CONSTRUCTION. *** -# *** CONSIDER IT TO BE IN AN UNSTABLE BETA PHASE AND EXERCISE CAUTION. *** - -gateway = InteractiveBrokersGatewayConfig( - start=False, - username=None, - password=None, - trading_mode="paper", - read_only_api=True, -) - -# Configure the trading node -config_node = TradingNodeConfig( - trader_id="TESTER-001", - logging=LoggingConfig(log_level="INFO"), - risk_engine=LiveRiskEngineConfig(bypass=True), - data_clients={ - "IB": InteractiveBrokersDataClientConfig( - ibg_host="127.0.0.1", - ibg_port=7497, - ibg_client_id=1, - handle_revised_bars=False, - use_regular_trading_hours=True, - instrument_provider=InteractiveBrokersInstrumentProviderConfig( - build_futures_chain=False, - build_options_chain=False, - min_expiry_days=10, - max_expiry_days=60, - load_ids=frozenset( - [ - "EUR/USD.IDEALPRO", - "BTC/USD.PAXOS", - "SPY.ARCA", - "ABC.NYSE", - "YMH24.CBOT", - "CLZ27.NYMEX", - "ESZ27.CME", - ], - ), - ), - gateway=gateway, - ), - }, - exec_clients={ - "IB": InteractiveBrokersExecClientConfig( - ibg_host="127.0.0.1", - ibg_port=7497, - ibg_client_id=1, - account_id="DU123456", # This must match with the IB Gateway/TWS node is connecting to - gateway=gateway, - routing=RoutingConfig(default=True, venues=frozenset({"IDEALPRO"})), - ), - }, - data_engine=LiveDataEngineConfig( - time_bars_timestamp_on_close=False, # Will use opening time as `ts_event` (same like IB) - validate_data_sequence=True, # Will make sure DataEngine discards any Bars received out of sequence - ), - timeout_connection=90.0, - timeout_reconciliation=5.0, - timeout_portfolio=5.0, - timeout_disconnection=5.0, - timeout_post_stop=2.0, -) - -# Instantiate the node with a configuration -node = TradingNode(config=config_node) - -# Configure your strategy -strategy_config = OrderBookImbalanceConfig( - instrument_id="EUR/USD.IDEALPRO", - max_trade_size=Decimal(1), - use_quote_ticks=True, - book_type="L1_TBBO", -) -# Instantiate your strategy -strategy = OrderBookImbalance(config=strategy_config) - -# Add your strategies and modules -node.trader.add_strategy(strategy) - -# Register your client factories with the node (can take user defined factories) -node.add_data_client_factory("IB", InteractiveBrokersLiveDataClientFactory) -node.add_exec_client_factory("IB", InteractiveBrokersLiveExecClientFactory) -node.build() - -# Stop and dispose of the node with SIGINT/CTRL+C -if __name__ == "__main__": - try: - node.run() - finally: - node.dispose() diff --git a/examples/notebooks/backtest_binance_orderbook.ipynb b/examples/notebooks/backtest_binance_orderbook.ipynb new file mode 100644 index 000000000000..4e33a0294d24 --- /dev/null +++ b/examples/notebooks/backtest_binance_orderbook.ipynb @@ -0,0 +1,338 @@ +{ + "cells": [ + { + "cell_type": "markdown", + "id": "82356efa-eac5-4c85-a8b1-d9ea1969c67e", + "metadata": {}, + "source": [ + "# Backtest on Binance OrderBook data\n", + "\n", + "This example runs through how to setup the data catalog and a `BacktestNode` to backtest an `OrderBookImbalance` strategy or order book data. This example requires you bring your Binance own order book data.\n", + "\n", + "**Warning:**\n", + "\n", + "
\n", + "Intended to be run on bare metal (not in the jupyterlab docker container).\n", + "
" + ] + }, + { + "cell_type": "markdown", + "id": "ed70be00-0c81-43c5-877c-5cd030254887", + "metadata": {}, + "source": [ + "## Imports\n", + "\n", + "We'll start with all of our imports for the remainder of this guide:" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "3fb0574f-6e59-41af-a0ed-f7e4a33e3717", + "metadata": {}, + "outputs": [], + "source": [ + "import os\n", + "import shutil\n", + "from decimal import Decimal\n", + "from pathlib import Path\n", + "\n", + "import pandas as pd\n", + "\n", + "from nautilus_trader.backtest.node import BacktestNode\n", + "from nautilus_trader.core.datetime import dt_to_unix_nanos\n", + "from nautilus_trader.config import BacktestRunConfig, BacktestVenueConfig, BacktestDataConfig, BacktestEngineConfig\n", + "from nautilus_trader.config import ImportableStrategyConfig\n", + "from nautilus_trader.config import LoggingConfig\n", + "from nautilus_trader.examples.strategies.ema_cross import EMACross, EMACrossConfig\n", + "from nautilus_trader.model.data import OrderBookDelta\n", + "from nautilus_trader.persistence.loaders import BinanceOrderBookDeltaDataLoader\n", + "from nautilus_trader.persistence.wranglers import OrderBookDeltaDataWrangler\n", + "from nautilus_trader.persistence.catalog import ParquetDataCatalog\n", + "from nautilus_trader.test_kit.providers import TestInstrumentProvider" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "7dc89545-fb2e-4a54-baf1-ffa7d9f80189", + "metadata": {}, + "outputs": [], + "source": [ + "# Path to your data directory, using user /Downloads as an example\n", + "DATA_DIR = \"~/Downloads\"" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "f4dd65a9-bef9-4f9f-98a5-57497e01ba8a", + "metadata": {}, + "outputs": [], + "source": [ + "data_path = Path(DATA_DIR).expanduser() / \"Data\" / \"Binance\"\n", + "raw_files = list(data_path.iterdir())\n", + "assert raw_files, f\"Unable to find any histdata files in directory {data_path}\"\n", + "raw_files" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "e44e488a-a19e-48f8-b896-aa35851d3420", + "metadata": {}, + "outputs": [], + "source": [ + "# First we'll load the initial order book snapshot\n", + "path_snap = data_path / \"BTCUSDT_T_DEPTH_2022-11-01_depth_snap.csv\"\n", + "df_snap = BinanceOrderBookDeltaDataLoader.load(path_snap)\n", + "df_snap" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "dcff2a8b-5f17-4966-932d-1d2d62aa811b", + "metadata": {}, + "outputs": [], + "source": [ + "# Then we'll load the order book updates, to save time here we're limiting to 1 million rows\n", + "path_update = data_path / \"BTCUSDT_T_DEPTH_2022-11-01_depth_update.csv\"\n", + "nrows = 1_000_000\n", + "df_update = BinanceOrderBookDeltaDataLoader.load(path_update, nrows=nrows)\n", + "df_update" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "fe365a55-91cb-4306-a42a-f0df6929feef", + "metadata": {}, + "outputs": [], + "source": [ + "# Process deltas using a wrangler\n", + "BTCUSDT_BINANCE = TestInstrumentProvider.btcusdt_binance()\n", + "wrangler = OrderBookDeltaDataWrangler(BTCUSDT_BINANCE)\n", + "\n", + "deltas = wrangler.process(df_snap)\n", + "deltas += wrangler.process(df_update)\n", + "deltas.sort(key=lambda x: x.ts_init) # Ensure data is non-decreasing by `ts_init`\n", + "deltas[:10]" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "45d39b65-d3af-4d91-bbe7-2e3f109c0e0e", + "metadata": {}, + "outputs": [], + "source": [ + "CATALOG_PATH = os.getcwd() + \"/catalog\"\n", + "\n", + "# Clear if it already exists, then create fresh\n", + "if os.path.exists(CATALOG_PATH):\n", + " shutil.rmtree(CATALOG_PATH)\n", + "os.mkdir(CATALOG_PATH)\n", + "\n", + "# Create a catalog instance\n", + "catalog = ParquetDataCatalog(CATALOG_PATH)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "943c42a0-4fd7-47b6-a8b8-70d839a5803a", + "metadata": {}, + "outputs": [], + "source": [ + "# Write instrument and ticks to catalog (this currently takes a minute - investigating)\n", + "catalog.write_data([BTCUSDT_BINANCE])\n", + "catalog.write_data(deltas)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "c731d5ae-16ab-4b10-b1a1-727a3e446f94", + "metadata": {}, + "outputs": [], + "source": [ + "# Confirm the instrument was written\n", + "catalog.instruments()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "36d3ddd1-3987-4a5d-b787-c94a491462aa", + "metadata": {}, + "outputs": [], + "source": [ + "# Explore the available data in the catalog\n", + "start = dt_to_unix_nanos(pd.Timestamp(\"2022-11-01\", tz=\"UTC\"))\n", + "end = dt_to_unix_nanos(pd.Timestamp(\"2022-11-04\", tz=\"UTC\"))\n", + "\n", + "deltas = catalog.order_book_deltas(start=start, end=end)\n", + "print(len(deltas))\n", + "deltas[:10]" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "265677cf-3a93-4b05-88f5-8e7c042a7860", + "metadata": {}, + "outputs": [], + "source": [ + "instrument = catalog.instruments()[0]\n", + "book_type = \"L2_MBP\" # Ensure data book type matches venue book type\n", + "\n", + "data_configs = [BacktestDataConfig(\n", + " catalog_path=CATALOG_PATH,\n", + " data_cls=OrderBookDelta,\n", + " instrument_id=instrument.id.value,\n", + " # start_time=start, # Run across all data\n", + " # end_time=end, # Run across all data\n", + " )\n", + "]\n", + "\n", + "venues_configs = [\n", + " BacktestVenueConfig(\n", + " name=\"BINANCE\",\n", + " oms_type=\"NETTING\",\n", + " account_type=\"CASH\",\n", + " base_currency=None,\n", + " starting_balances=[\"20 BTC\", \"100000 USDT\"],\n", + " book_type=book_type, # <-- Venues book type\n", + " )\n", + "]\n", + "\n", + "strategies = [\n", + " ImportableStrategyConfig(\n", + " strategy_path=\"nautilus_trader.examples.strategies.orderbook_imbalance:OrderBookImbalance\",\n", + " config_path=\"nautilus_trader.examples.strategies.orderbook_imbalance:OrderBookImbalanceConfig\",\n", + " config=dict(\n", + " instrument_id=instrument.id.value,\n", + " book_type=book_type,\n", + " max_trade_size=Decimal(\"1.000\"),\n", + " min_seconds_between_triggers=1.0,\n", + " ),\n", + " ),\n", + "]\n", + "\n", + "# NautilusTrader currently exceeds the rate limit for Jupyter notebook logging (stdout output),\n", + "# this is why the `log_level` is set to \"ERROR\". If you lower this level to see\n", + "# more logging then the notebook will hang during cell execution. A fix is currently\n", + "# being investigated which involves either raising the configured rate limits for\n", + "# Jupyter, or throttling the log flushing from Nautilus.\n", + "# https://github.com/jupyterlab/jupyterlab/issues/12845\n", + "# https://github.com/deshaw/jupyterlab-limit-output\n", + "config = BacktestRunConfig(\n", + " engine=BacktestEngineConfig(\n", + " strategies=strategies,\n", + " logging=LoggingConfig(log_level=\"ERROR\"),\n", + " ),\n", + " data=data_configs,\n", + " venues=venues_configs,\n", + ")\n", + "\n", + "config" + ] + }, + { + "cell_type": "markdown", + "id": "77f4d5cb-621f-4d5b-843e-7c0da11073ae", + "metadata": {}, + "source": [ + "## Run the backtest!" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "741b9024-6c0d-4cb9-9c28-687add29cd4e", + "metadata": {}, + "outputs": [], + "source": [ + "node = BacktestNode(configs=[config])\n", + "\n", + "result = node.run()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "7d50d1cd-d778-4e0f-b9da-ff9e44f4499f", + "metadata": {}, + "outputs": [], + "source": [ + "result" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "af22401c-4d5b-4a58-bb18-97f460cb284c", + "metadata": {}, + "outputs": [], + "source": [ + "from nautilus_trader.backtest.engine import BacktestEngine\n", + "from nautilus_trader.model.identifiers import Venue\n", + "\n", + "engine: BacktestEngine = node.get_engine(config.id)\n", + "\n", + "engine.trader.generate_order_fills_report()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "3381055f-134f-4bd1-bd04-d0c518030f1f", + "metadata": {}, + "outputs": [], + "source": [ + "engine.trader.generate_positions_report()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "975d538e-6de1-4d72-ae61-7eeb64b37aa6", + "metadata": {}, + "outputs": [], + "source": [ + "engine.trader.generate_account_report(Venue(\"BINANCE\"))" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "afb0b9c1-42e2-493c-836e-b7402863aecd", + "metadata": {}, + "outputs": [], + "source": [] + } + ], + "metadata": { + "kernelspec": { + "display_name": "Python 3 (ipykernel)", + "language": "python", + "name": "python3" + }, + "language_info": { + "codemirror_mode": { + "name": "ipython", + "version": 3 + }, + "file_extension": ".py", + "mimetype": "text/x-python", + "name": "python", + "nbconvert_exporter": "python", + "pygments_lexer": "ipython3", + "version": "3.10.12" + } + }, + "nbformat": 4, + "nbformat_minor": 5 +} diff --git a/examples/notebooks/backtest_example.ipynb b/examples/notebooks/backtest_example.ipynb index 1f9b3e7d5214..f27db49c8893 100644 --- a/examples/notebooks/backtest_example.ipynb +++ b/examples/notebooks/backtest_example.ipynb @@ -1,5 +1,25 @@ { "cells": [ + { + "cell_type": "markdown", + "id": "82356efa-eac5-4c85-a8b1-d9ea1969c67e", + "metadata": {}, + "source": [ + "# Complete backtest using the data catalog and a BacktestNode (higher level)\n", + "\n", + "This example runs through how to setup the data catalog and a `BacktestNode` for a single 'one-shot' backtest run." + ] + }, + { + "cell_type": "markdown", + "id": "ed70be00-0c81-43c5-877c-5cd030254887", + "metadata": {}, + "source": [ + "## Imports\n", + "\n", + "We'll start with all of our imports for the remainder of this guide:" + ] + }, { "cell_type": "code", "execution_count": null, @@ -28,9 +48,22 @@ "metadata": {}, "outputs": [], "source": [ + "# You can also use a relative path such as `ParquetDataCatalog(\"./catalog\")`,\n", + "# for example if you're running this notebook after the data setup from the docs.\n", + "# catalog = ParquetDataCatalog(\"./catalog\")\n", "catalog = ParquetDataCatalog.from_env()" ] }, + { + "cell_type": "code", + "execution_count": null, + "id": "c731d5ae-16ab-4b10-b1a1-727a3e446f94", + "metadata": {}, + "outputs": [], + "source": [ + "catalog.instruments()" + ] + }, { "cell_type": "code", "execution_count": null, @@ -38,11 +71,11 @@ "metadata": {}, "outputs": [], "source": [ - "catalog.instruments()\n", - "start = dt_to_unix_nanos(pd.Timestamp('2020-01-01', tz='UTC'))\n", - "end = dt_to_unix_nanos(pd.Timestamp('2020-01-02', tz='UTC'))\n", + "start = dt_to_unix_nanos(pd.Timestamp(\"2020-01-03\", tz=\"UTC\"))\n", + "end = dt_to_unix_nanos(pd.Timestamp(\"2020-01-04\", tz=\"UTC\"))\n", "\n", - "catalog.quote_ticks(start=start, end=end)" + "ticks = catalog.quote_ticks(start=start, end=end)\n", + "ticks[:10]" ] }, { @@ -52,19 +85,18 @@ "metadata": {}, "outputs": [], "source": [ - "instrument = catalog.instruments(as_nautilus=True)[0]\n", + "instrument = catalog.instruments()[0]\n", "\n", - "data_config=[\n", - " BacktestDataConfig(\n", + "data_configs = [BacktestDataConfig(\n", " catalog_path=str(ParquetDataCatalog.from_env().path),\n", " data_cls=QuoteTick,\n", " instrument_id=instrument.id.value,\n", - " start_time=1580398089820000000,\n", - " end_time=1580504394501000000,\n", + " start_time=start,\n", + " end_time=end,\n", " )\n", "]\n", "\n", - "venues_config=[\n", + "venues_configs = [\n", " BacktestVenueConfig(\n", " name=\"SIM\",\n", " oms_type=\"HEDGING\",\n", @@ -100,8 +132,8 @@ " strategies=strategies,\n", " logging=LoggingConfig(log_level=\"ERROR\"),\n", " ),\n", - " data=data_config,\n", - " venues=venues_config,\n", + " data=data_configs,\n", + " venues=venues_configs,\n", ")\n", "\n", "config" @@ -136,6 +168,14 @@ "source": [ "result" ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "af22401c-4d5b-4a58-bb18-97f460cb284c", + "metadata": {}, + "outputs": [], + "source": [] } ], "metadata": { @@ -154,7 +194,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.9.16" + "version": "3.10.12" } }, "nbformat": 4, diff --git a/examples/notebooks/backtest_fx_usdjpy.ipynb b/examples/notebooks/backtest_fx_usdjpy.ipynb index d5b1875d2237..d2a3e78c3a4e 100644 --- a/examples/notebooks/backtest_fx_usdjpy.ipynb +++ b/examples/notebooks/backtest_fx_usdjpy.ipynb @@ -1,5 +1,15 @@ { "cells": [ + { + "cell_type": "markdown", + "id": "1c15a4c8-1259-4860-9fe1-403eec871de7", + "metadata": {}, + "source": [ + "# Complete backtest using a wrangler and BacktestEngine (lower level)\n", + "\n", + "This example runs through how to setup a `BacktestEngine` for a single 'one-shot' backtest run." + ] + }, { "cell_type": "code", "execution_count": null, @@ -237,7 +247,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.10.10" + "version": "3.10.12" } }, "nbformat": 4, diff --git a/examples/notebooks/external_data_backtest.ipynb b/examples/notebooks/external_data_backtest.ipynb index 12a256f0df5b..c3a26dffa2ff 100644 --- a/examples/notebooks/external_data_backtest.ipynb +++ b/examples/notebooks/external_data_backtest.ipynb @@ -1,5 +1,21 @@ { "cells": [ + { + "cell_type": "markdown", + "id": "d60853dd-51a1-4090-bb0c-f2623697d2dd", + "metadata": {}, + "source": [ + "# Loading external data\n", + "\n", + "This example demonstrates how to load external data into the `ParquetDataCatalog`, and then use this to run a one-shot backtest using a `BacktestNode`.\n", + "\n", + "**Warning:**\n", + "\n", + "
\n", + "Intended to be run on bare metal (not in the jupyterlab docker container)\n", + "
" + ] + }, { "cell_type": "code", "execution_count": null, @@ -11,18 +27,18 @@ "import os\n", "import shutil\n", "from decimal import Decimal\n", + "from pathlib import Path\n", "\n", "import fsspec\n", "import pandas as pd\n", "from nautilus_trader.core.datetime import dt_to_unix_nanos\n", "from nautilus_trader.model.data import QuoteTick\n", "from nautilus_trader.model.objects import Price, Quantity\n", - "\n", "from nautilus_trader.backtest.node import BacktestNode, BacktestVenueConfig, BacktestDataConfig, BacktestRunConfig, BacktestEngineConfig\n", "from nautilus_trader.config.common import ImportableStrategyConfig\n", "from nautilus_trader.persistence.catalog import ParquetDataCatalog\n", - "from nautilus_trader.persistence.external.core import process_files, write_objects\n", - "from nautilus_trader.persistence.external.readers import TextReader\n", + "from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler\n", + "from nautilus_trader.test_kit.providers import CSVTickDataLoader\n", "from nautilus_trader.test_kit.providers import TestInstrumentProvider" ] }, @@ -33,19 +49,19 @@ "metadata": {}, "outputs": [], "source": [ - "DATA_DIR = \"~/Downloads/\"" + "DATA_DIR = \"~/Downloads\"" ] }, { "cell_type": "code", "execution_count": null, - "id": "154e3c17-604b-4b3d-b782-70225f4258aa", + "id": "57b1530a-2f5c-44d1-bf35-0c08a2c2b63b", "metadata": {}, "outputs": [], "source": [ - "fs = fsspec.filesystem('file')\n", - "raw_files = fs.glob(f\"{DATA_DIR}/HISTDATA*\")\n", - "assert raw_files, f\"Unable to find any histdata files in directory {DATA_DIR}\"\n", + "path = Path(DATA_DIR).expanduser() / \"HISTDATA\"\n", + "raw_files = list(path.iterdir())\n", + "assert raw_files, f\"Unable to find any histdata files in directory {path}\"\n", "raw_files" ] }, @@ -56,18 +72,15 @@ "metadata": {}, "outputs": [], "source": [ - "def parser(line):\n", - " ts, bid, ask, idx = line.split(b\",\")\n", - " dt = pd.Timestamp(datetime.datetime.strptime(ts.decode(), \"%Y%m%d %H%M%S%f\"), tz='UTC')\n", - " yield QuoteTick(\n", - " instrument_id=AUDUSD.id,\n", - " bid_price=Price.from_str(bid.decode()),\n", - " ask_price=Price.from_str(ask.decode()),\n", - " bid_size=Quantity.from_int(100_000),\n", - " ask_size=Quantity.from_int(100_000),\n", - " ts_event=dt_to_unix_nanos(dt),\n", - " ts_init=dt_to_unix_nanos(dt),\n", - " )" + "# Here we just take the first data file found and load into a pandas DataFrame\n", + "df = CSVTickDataLoader.load(raw_files[0], index_col=0, format=\"%Y%m%d %H%M%S%f\")\n", + "df.columns = [\"bid_price\", \"ask_price\"]\n", + "\n", + "# Process quote ticks using a wrangler\n", + "EURUSD = TestInstrumentProvider.default_fx_ccy(\"EUR/USD\")\n", + "wrangler = QuoteTickDataWrangler(EURUSD)\n", + "\n", + "ticks = wrangler.process(df)" ] }, { @@ -82,7 +95,10 @@ "# Clear if it already exists, then create fresh\n", "if os.path.exists(CATALOG_PATH):\n", " shutil.rmtree(CATALOG_PATH)\n", - "os.mkdir(CATALOG_PATH)" + "os.mkdir(CATALOG_PATH)\n", + "\n", + "# Create a catalog instance\n", + "catalog = ParquetDataCatalog(CATALOG_PATH)" ] }, { @@ -92,18 +108,9 @@ "metadata": {}, "outputs": [], "source": [ - "AUDUSD = TestInstrumentProvider.default_fx_ccy(\"AUD/USD\")\n", - "\n", - "catalog = ParquetDataCatalog(CATALOG_PATH)\n", - "\n", - "process_files(\n", - " glob_path=f\"{DATA_DIR}/HISTDATA_COM_ASCII_EURUSD_T202101*.zip\",\n", - " reader=TextReader(line_parser=parser),\n", - " catalog=catalog,\n", - ")\n", - "\n", - "# Also manually write the AUD/USD instrument to the catalog\n", - "write_objects(catalog, [AUDUSD])" + "# Write instrument and ticks to catalog (this currently takes a minute - investigating)\n", + "catalog.write_data([EURUSD])\n", + "catalog.write_data(ticks)" ] }, { @@ -113,6 +120,7 @@ "metadata": {}, "outputs": [], "source": [ + "# Fetch all instruments from catalog (as a check)\n", "catalog.instruments()" ] }, @@ -123,14 +131,11 @@ "metadata": {}, "outputs": [], "source": [ - "import pandas as pd\n", - "from nautilus_trader.core.datetime import dt_to_unix_nanos\n", - "\n", - "\n", - "start = dt_to_unix_nanos(pd.Timestamp('2021-01-03', tz='UTC'))\n", - "end = dt_to_unix_nanos(pd.Timestamp('2021-01-04', tz='UTC'))\n", + "start = dt_to_unix_nanos(pd.Timestamp(\"2020-01-03\", tz=\"UTC\"))\n", + "end = dt_to_unix_nanos(pd.Timestamp(\"2020-01-04\", tz=\"UTC\"))\n", "\n", - "catalog.quote_ticks(start=start, end=end)" + "ticks = catalog.quote_ticks(instrument_ids=[EURUSD.id.value], start=start, end=end)\n", + "ticks[:10]" ] }, { @@ -140,26 +145,26 @@ "metadata": {}, "outputs": [], "source": [ - "instrument = catalog.instruments(as_nautilus=True)[0]\n", + "instrument = catalog.instruments()[0]\n", "\n", - "venues_config=[\n", + "venue_configs = [\n", " BacktestVenueConfig(\n", " name=\"SIM\",\n", " oms_type=\"HEDGING\",\n", " account_type=\"MARGIN\",\n", " base_currency=\"USD\",\n", " starting_balances=[\"1000000 USD\"],\n", - " )\n", + " ),\n", "]\n", "\n", - "data_config=[\n", + "data_configs = [\n", " BacktestDataConfig(\n", " catalog_path=str(catalog.path),\n", " data_cls=QuoteTick,\n", " instrument_id=instrument.id.value,\n", " start_time=start,\n", " end_time=end,\n", - " )\n", + " ),\n", "]\n", "\n", "strategies = [\n", @@ -178,8 +183,8 @@ "\n", "config = BacktestRunConfig(\n", " engine=BacktestEngineConfig(strategies=strategies),\n", - " data=data_config,\n", - " venues=venues_config,\n", + " data=data_configs,\n", + " venues=venue_configs,\n", ")\n" ] }, @@ -216,9 +221,9 @@ ], "metadata": { "kernelspec": { - "display_name": "Python (nautilus_trader)", + "display_name": "Python 3 (ipykernel)", "language": "python", - "name": "nautilus_trader" + "name": "python3" }, "language_info": { "codemirror_mode": { @@ -230,7 +235,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.9.16" + "version": "3.10.12" } }, "nbformat": 4, diff --git a/examples/notebooks/parquet_explorer.ipynb b/examples/notebooks/parquet_explorer.ipynb new file mode 100644 index 000000000000..4ea3726a5ebe --- /dev/null +++ b/examples/notebooks/parquet_explorer.ipynb @@ -0,0 +1,208 @@ +{ + "cells": [ + { + "cell_type": "markdown", + "id": "f673eaec-8dd9-481c-9b92-a92c557a32d3", + "metadata": {}, + "source": [ + "# Parquet Explorer\n", + "\n", + "In this example, we'll explore some basic query operations on Parquet files written by Nautilus. We'll utilize both the `datafusio`n and `pyarrow` libraries.\n", + "\n", + "Before proceeding, ensure that you have `datafusion` installed. If not, you can install it by running:\n", + "```bash\n", + "pip install datafusion\n", + "```" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "ccf1e39a-553e-40be-8518-9016e73ce2cc", + "metadata": { + "editable": true, + "slideshow": { + "slide_type": "" + }, + "tags": [] + }, + "outputs": [], + "source": [ + "import datafusion\n", + "import pyarrow.parquet as pq" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "a69ca54c-3b41-484c-89b8-994409127c10", + "metadata": {}, + "outputs": [], + "source": [ + "trade_tick_path = \"../../tests/test_data/trade_tick_data.parquet\"\n", + "bar_path = \"../../tests/test_data/bar_data.parquet\"" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "25e01228-6c61-4f43-b50e-ba5ea39e4120", + "metadata": {}, + "outputs": [], + "source": [ + "# Create a context\n", + "ctx = datafusion.SessionContext()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "ad4deb44-da1d-420f-a62a-b08863bf59fe", + "metadata": {}, + "outputs": [], + "source": [ + "# Run this cell once (otherwise will error)\n", + "ctx.register_parquet(\"trade_0\", trade_tick_path)\n", + "ctx.register_parquet(\"bar_0\", bar_path)" + ] + }, + { + "cell_type": "markdown", + "id": "8e44be92-2f9a-458e-940f-e188295df2c0", + "metadata": {}, + "source": [ + "### TradeTick data" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "8cbc02c7-ef75-4246-ac40-1105adce42de", + "metadata": {}, + "outputs": [], + "source": [ + "query = \"SELECT * FROM trade_0 ORDER BY ts_init\"\n", + "df = ctx.sql(query)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "26437488-0e74-4bee-a8b9-28a9300203d9", + "metadata": {}, + "outputs": [], + "source": [ + "df.schema()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "2715c62c-99f6-4579-b0b8-3ea2fb81f93e", + "metadata": {}, + "outputs": [], + "source": [ + "df" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "8294b160-3b73-4117-bef8-6b5b6aa31217", + "metadata": {}, + "outputs": [], + "source": [ + "table = pq.read_table(trade_tick_path)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "745678f8-9bca-4edd-b691-0360e1075978", + "metadata": {}, + "outputs": [], + "source": [ + "table.schema" + ] + }, + { + "cell_type": "markdown", + "id": "6372a0d1-970d-4f2b-bbde-313e38c265f7", + "metadata": {}, + "source": [ + "### Bar data" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "28910f87-b819-446b-bd98-3cdbaab1f146", + "metadata": {}, + "outputs": [], + "source": [ + "query = \"SELECT * FROM bar_0 ORDER BY ts_init\"\n", + "df = ctx.sql(query)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "dbf74907-6034-4982-b6d8-9d3734bdcf63", + "metadata": {}, + "outputs": [], + "source": [ + "df.schema()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "a0259bbd-a42d-4aa8-8e15-fe56dafb1970", + "metadata": {}, + "outputs": [], + "source": [ + "df" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "c930e4f8-6a4c-4ea3-b168-eea0ada5964c", + "metadata": {}, + "outputs": [], + "source": [ + "table = pq.read_table(bar_path)\n", + "table.schema" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "9601fbdc-4a14-49cc-8646-652ada4ad35c", + "metadata": {}, + "outputs": [], + "source": [] + } + ], + "metadata": { + "kernelspec": { + "display_name": "Python 3 (ipykernel)", + "language": "python", + "name": "python3" + }, + "language_info": { + "codemirror_mode": { + "name": "ipython", + "version": 3 + }, + "file_extension": ".py", + "mimetype": "text/x-python", + "name": "python", + "nbconvert_exporter": "python", + "pygments_lexer": "ipython3", + "version": "3.10.12" + } + }, + "nbformat": 4, + "nbformat_minor": 5 +} diff --git a/examples/notebooks/quick_start.ipynb b/examples/notebooks/quick_start.ipynb index af977203a2af..698e8e4710c3 100644 --- a/examples/notebooks/quick_start.ipynb +++ b/examples/notebooks/quick_start.ipynb @@ -38,8 +38,6 @@ "from nautilus_trader.config import ImportableStrategyConfig\n", "from nautilus_trader.config import LoggingConfig\n", "from nautilus_trader.persistence.catalog import ParquetDataCatalog\n", - "from nautilus_trader.persistence.external.core import process_files, write_objects\n", - "from nautilus_trader.persistence.external.readers import TextReader\n", "from nautilus_trader.test_kit.providers import TestInstrumentProvider" ] }, @@ -462,7 +460,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.9.16" + "version": "3.10.12" } }, "nbformat": 4, diff --git a/nautilus_core/Cargo.lock b/nautilus_core/Cargo.lock index 775f82c85dee..e39b6686be72 100644 --- a/nautilus_core/Cargo.lock +++ b/nautilus_core/Cargo.lock @@ -43,9 +43,9 @@ dependencies = [ [[package]] name = "aho-corasick" -version = "1.0.5" +version = "1.1.2" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "0c378d78423fdad8089616f827526ee33c19f2fddbd5de1629152c9593ba4783" +checksum = "b2969dcb958b36655471fc61f7e416fa76033bdd4bfed0678d8fee1e2d07a1f0" dependencies = [ "memchr", ] @@ -94,9 +94,9 @@ checksum = "4b46cbb362ab8752921c97e041f5e366ee6297bd428a31275b9fcf1e380f7299" [[package]] name = "anstyle" -version = "1.0.2" +version = "1.0.4" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "15c4c2c83f81532e5845a733998b6971faca23490340a418e9b72a3ec9de12ea" +checksum = "7079075b41f533b8c61d2a4d073c4676e1f8b249ff94a393b0595db304e0dd87" [[package]] name = "anyhow" @@ -104,6 +104,12 @@ version = "1.0.75" source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "a4668cab20f66d8d020e1fbc0ebe47217433c1b6c8f2040faf858554e394ace6" +[[package]] +name = "arrayref" +version = "0.3.7" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "6b4930d2cb77ce62f89ee5d5289b4ac049559b1c45539271f5ed4fdc7db34545" + [[package]] name = "arrayvec" version = "0.7.4" @@ -112,9 +118,9 @@ checksum = "96d30a06541fbafbc7f82ed10c06164cfbd2c401138f6addd8404629c4b16711" [[package]] name = "arrow" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "b7104b9e9761613ae92fe770c741d6bbf1dbc791a0fe204400aebdd429875741" +checksum = "7fab9e93ba8ce88a37d5a30dce4b9913b75413dc1ac56cb5d72e5a840543f829" dependencies = [ "ahash 0.8.3", "arrow-arith", @@ -130,13 +136,14 @@ dependencies = [ "arrow-schema", "arrow-select", "arrow-string", + "pyo3", ] [[package]] name = "arrow-arith" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "38e597a8e8efb8ff52c50eaf8f4d85124ce3c1bf20fab82f476d73739d9ab1c2" +checksum = "bc1d4e368e87ad9ee64f28b9577a3834ce10fe2703a26b28417d485bbbdff956" dependencies = [ "arrow-array", "arrow-buffer", @@ -149,9 +156,9 @@ dependencies = [ [[package]] name = "arrow-array" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "2a86d9c1473db72896bd2345ebb6b8ad75b8553ba390875c76708e8dc5c5492d" +checksum = "d02efa7253ede102d45a4e802a129e83bcc3f49884cab795b1ac223918e4318d" dependencies = [ "ahash 0.8.3", "arrow-buffer", @@ -160,25 +167,26 @@ dependencies = [ "chrono", "chrono-tz", "half 2.3.1", - "hashbrown 0.14.0", + "hashbrown 0.14.2", "num", ] [[package]] name = "arrow-buffer" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "234b3b1c8ed00c874bf95972030ac4def6f58e02ea5a7884314388307fb3669b" +checksum = "fda119225204141138cb0541c692fbfef0e875ba01bfdeaed09e9d354f9d6195" dependencies = [ + "bytes", "half 2.3.1", "num", ] [[package]] name = "arrow-cast" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "22f61168b853c7faea8cea23a2169fdff9c82fb10ae5e2c07ad1cab8f6884931" +checksum = "1d825d51b9968868d50bc5af92388754056796dbc62a4e25307d588a1fc84dee" dependencies = [ "arrow-array", "arrow-buffer", @@ -194,9 +202,9 @@ dependencies = [ [[package]] name = "arrow-csv" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "10b545c114d9bf8569c84d2fbe2020ac4eea8db462c0a37d0b65f41a90d066fe" +checksum = "43ef855dc6b126dc197f43e061d4de46b9d4c033aa51c2587657f7508242cef1" dependencies = [ "arrow-array", "arrow-buffer", @@ -213,9 +221,9 @@ dependencies = [ [[package]] name = "arrow-data" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "c6b6852635e7c43e5b242841c7470606ff0ee70eef323004cacc3ecedd33dd8f" +checksum = "475a4c3699c8b4095ca61cecf15da6f67841847a5f5aac983ccb9a377d02f73a" dependencies = [ "arrow-buffer", "arrow-schema", @@ -225,9 +233,9 @@ dependencies = [ [[package]] name = "arrow-ipc" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "a66da9e16aecd9250af0ae9717ae8dd7ea0d8ca5a3e788fe3de9f4ee508da751" +checksum = "1248005c8ac549f869b7a840859d942bf62471479c1a2d82659d453eebcd166a" dependencies = [ "arrow-array", "arrow-buffer", @@ -239,9 +247,9 @@ dependencies = [ [[package]] name = "arrow-json" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "60ee0f9d8997f4be44a60ee5807443e396e025c23cf14d2b74ce56135cb04474" +checksum = "f03d7e3b04dd688ccec354fe449aed56b831679f03e44ee2c1cfc4045067b69c" dependencies = [ "arrow-array", "arrow-buffer", @@ -250,7 +258,7 @@ dependencies = [ "arrow-schema", "chrono", "half 2.3.1", - "indexmap 2.0.0", + "indexmap 2.0.2", "lexical-core", "num", "serde", @@ -259,9 +267,9 @@ dependencies = [ [[package]] name = "arrow-ord" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "7fcab05410e6b241442abdab6e1035177dc082bdb6f17049a4db49faed986d63" +checksum = "03b87aa408ea6a6300e49eb2eba0c032c88ed9dc19e0a9948489c55efdca71f4" dependencies = [ "arrow-array", "arrow-buffer", @@ -274,9 +282,9 @@ dependencies = [ [[package]] name = "arrow-row" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "91a847dd9eb0bacd7836ac63b3475c68b2210c2c96d0ec1b808237b973bd5d73" +checksum = "114a348ab581e7c9b6908fcab23cb39ff9f060eb19e72b13f8fb8eaa37f65d22" dependencies = [ "ahash 0.8.3", "arrow-array", @@ -284,21 +292,25 @@ dependencies = [ "arrow-data", "arrow-schema", "half 2.3.1", - "hashbrown 0.14.0", + "hashbrown 0.14.2", ] [[package]] name = "arrow-schema" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "54df8c47918eb634c20e29286e69494fdc20cafa5173eb6dad49c7f6acece733" +checksum = "5d1d179c117b158853e0101bfbed5615e86fe97ee356b4af901f1c5001e1ce4b" +dependencies = [ + "bitflags 2.4.1", +] [[package]] name = "arrow-select" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "941dbe481da043c4bd40c805a19ec2fc008846080c4953171b62bcad5ee5f7fb" +checksum = "d5c71e003202e67e9db139e5278c79f5520bb79922261dfe140e4637ee8b6108" dependencies = [ + "ahash 0.8.3", "arrow-array", "arrow-buffer", "arrow-data", @@ -308,9 +320,9 @@ dependencies = [ [[package]] name = "arrow-string" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "359b2cd9e071d5a3bcf44679f9d85830afebc5b9c98a08019a570a65ae933e0f" +checksum = "c4cebbb282d6b9244895f4a9a912e55e57bce112554c7fa91fcec5459cb421ab" dependencies = [ "arrow-array", "arrow-buffer", @@ -324,9 +336,9 @@ dependencies = [ [[package]] name = "async-compression" -version = "0.4.2" +version = "0.4.4" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "d495b6dc0184693324491a5ac05f559acc97bf937ab31d7a1c33dd0016be6d2b" +checksum = "f658e2baef915ba0f26f1f7c42bfb8e12f532a01f449a090ded75ae7a07e9ba2" dependencies = [ "bzip2", "flate2", @@ -336,19 +348,19 @@ dependencies = [ "pin-project-lite", "tokio", "xz2", - "zstd", - "zstd-safe", + "zstd 0.13.0", + "zstd-safe 7.0.0", ] [[package]] name = "async-trait" -version = "0.1.73" +version = "0.1.74" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "bc00ceb34980c03614e35a3a4e218276a0a824e911d07651cd0d858a51e8c0f0" +checksum = "a66537f1bb974b254c98ed142ff995236e81b9d0fe4db0575f46612cb15eb0f9" dependencies = [ "proc-macro2", "quote", - "syn 2.0.29", + "syn 2.0.38", ] [[package]] @@ -385,9 +397,9 @@ dependencies = [ [[package]] name = "base64" -version = "0.21.3" +version = "0.21.4" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "414dcefbc63d77c526a76b3afcf6fbb9b5e2791c19c3aa2297733208750c6e53" +checksum = "9ba43ea6f343b788c8764558649e08df62f86c6ef251fdaeb1ffd010a9ae50a2" [[package]] name = "binary-heap-plus" @@ -406,9 +418,9 @@ checksum = "bef38d45163c2f1dde094a7dfd33ccf595c92905c8f8f4fdc18d06fb1037718a" [[package]] name = "bitflags" -version = "2.4.0" +version = "2.4.1" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "b4682ae6287fcf752ecaabbfcc7b6f9b72aa33933dc23a554d853aea8eea8635" +checksum = "327762f6e5a765692301e5bb513e0d9fef63be86bbc14528052b1cd3e6f03e07" [[package]] name = "bitvec" @@ -422,6 +434,28 @@ dependencies = [ "wyz", ] +[[package]] +name = "blake2" +version = "0.10.6" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "46502ad458c9a52b69d4d4d32775c788b7a1b85e8bc9d482d92250fc0e3f8efe" +dependencies = [ + "digest", +] + +[[package]] +name = "blake3" +version = "1.5.0" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "0231f06152bf547e9c2b5194f247cd97aacf6dcd8b15d8e5ec0663f64580da87" +dependencies = [ + "arrayref", + "arrayvec", + "cc", + "cfg-if", + "constant_time_eq", +] + [[package]] name = "block-buffer" version = "0.10.4" @@ -478,9 +512,9 @@ dependencies = [ [[package]] name = "brotli" -version = "3.3.4" +version = "3.4.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "a1a0b1dbcc8ae29329621f8d4f0d835787c1c38bb1401979b49d13b0b305ff68" +checksum = "516074a47ef4bce09577a3b379392300159ce5b1ba2e501ff1c819950066100f" dependencies = [ "alloc-no-stdlib", "alloc-stdlib", @@ -489,9 +523,9 @@ dependencies = [ [[package]] name = "brotli-decompressor" -version = "2.3.4" +version = "2.5.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "4b6561fd3f895a11e8f72af2cb7d22e08366bebc2b6b57f7744c4bda27034744" +checksum = "da74e2b81409b1b743f8f0c62cc6254afefb8b8e50bbfe3735550f7aeefa3448" dependencies = [ "alloc-no-stdlib", "alloc-stdlib", @@ -499,9 +533,9 @@ dependencies = [ [[package]] name = "bumpalo" -version = "3.13.0" +version = "3.14.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "a3e2c3daef883ecc1b5d58c15adae93470a91d425f3532ba1695849656af3fc1" +checksum = "7f30e7476521f6f8af1a1c4c0b8cc94f0bee37d91763d0ca2665f299b6cd8aec" [[package]] name = "bytecheck" @@ -527,21 +561,21 @@ dependencies = [ [[package]] name = "bytecount" -version = "0.6.3" +version = "0.6.4" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "2c676a478f63e9fa2dd5368a42f28bba0d6c560b775f38583c8bbaa7fcd67c9c" +checksum = "ad152d03a2c813c80bb94fedbf3a3f02b28f793e39e7c214c8a0bcc196343de7" [[package]] name = "byteorder" -version = "1.4.3" +version = "1.5.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "14c189c53d098945499cdfa7ecc63567cf3886b3332b312a5b4585d8d3a6a610" +checksum = "1fd0f2584146f6f2ef48085050886acf353beff7305ebd1ae69500e27c67f64b" [[package]] name = "bytes" -version = "1.4.0" +version = "1.5.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "89b2fd2a0dcf38d7971e2194b6b6eebab45ae01067456a7fd93d5547a61b70be" +checksum = "a2bd12c1caf447e69cd4528f47f94d203fd2582878ecb9e9465484c4148a8223" [[package]] name = "bzip2" @@ -572,9 +606,9 @@ checksum = "37b2a672a2cb129a2e41c10b1224bb368f9f37a2b16b612598138befd7b37eb5" [[package]] name = "cbindgen" -version = "0.24.5" +version = "0.26.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "4b922faaf31122819ec80c4047cc684c6979a087366c069611e33649bf98e18d" +checksum = "da6bc11b07529f16944307272d5bd9b22530bc7d05751717c9d416586cedab49" dependencies = [ "clap 3.2.25", "heck", @@ -607,15 +641,14 @@ checksum = "baf1de4339761588bc0619e3cbc0120ee582ebb74b53b4efbf79117bd2da40fd" [[package]] name = "chrono" -version = "0.4.28" +version = "0.4.31" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "95ed24df0632f708f5f6d8082675bef2596f7084dee3dd55f632290bf35bfe0f" +checksum = "7f2c685bad3eb3d45a01354cedb7d5faa66194d1d58ba6e267a8de788f79db38" dependencies = [ "android-tzdata", "iana-time-zone", "js-sys", "num-traits", - "time 0.1.45", "wasm-bindgen", "windows-targets", ] @@ -686,18 +719,18 @@ dependencies = [ [[package]] name = "clap" -version = "4.4.2" +version = "4.4.6" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "6a13b88d2c62ff462f88e4a121f17a82c1af05693a2f192b5c38d14de73c19f6" +checksum = "d04704f56c2cde07f43e8e2c154b43f216dc5c92fc98ada720177362f953b956" dependencies = [ "clap_builder", ] [[package]] name = "clap_builder" -version = "4.4.2" +version = "4.4.6" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "2bb9faaa7c2ef94b2743a21f5a29e6f0010dff4caa69ac8e9d6cf8b6fa74da08" +checksum = "0e231faeaca65ebd1ea3c737966bf858971cd38c3849107aa3ea7de90a804e45" dependencies = [ "anstyle", "clap_lex 0.5.1", @@ -720,12 +753,12 @@ checksum = "cd7cc57abe963c6d3b9d8be5b06ba7c8957a930305ca90304f24ef040aa6f961" [[package]] name = "comfy-table" -version = "7.0.1" +version = "7.1.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "9ab77dbd8adecaf3f0db40581631b995f312a8a5ae3aa9993188bb8f23d83a5b" +checksum = "7c64043d6c7b7a4c58e39e7efccfdea7b93d885a795d0c054a69dbbf4dd52686" dependencies = [ - "strum 0.24.1", - "strum_macros 0.24.3", + "strum", + "strum_macros", "unicode-width", ] @@ -757,6 +790,12 @@ dependencies = [ "tiny-keccak", ] +[[package]] +name = "constant_time_eq" +version = "0.3.0" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "f7144d30dcf0fafbce74250a3963025d8d52177934239851c917d29f1df280c2" + [[package]] name = "core-foundation" version = "0.9.3" @@ -775,9 +814,9 @@ checksum = "e496a50fda8aacccc86d7529e2c1e0892dbd0f898a6b5645b5561b89c3210efa" [[package]] name = "cpufeatures" -version = "0.2.9" +version = "0.2.10" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "a17b76ff3a4162b0b27f354a0c87015ddad39d35f9c0c36607a3bdd175dde1f1" +checksum = "3fbc60abd742b35f2492f808e1abbb83d45f72db402e14c55057edc9c7b1e9e4" dependencies = [ "libc", ] @@ -800,7 +839,7 @@ dependencies = [ "anes", "cast", "ciborium", - "clap 4.4.2", + "clap 4.4.6", "criterion-plot", "is-terminal", "itertools 0.10.5", @@ -888,9 +927,9 @@ dependencies = [ [[package]] name = "csv" -version = "1.2.2" +version = "1.3.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "626ae34994d3d8d668f4269922248239db4ae42d538b14c398b74a52208e8086" +checksum = "ac574ff4d437a7b5ad237ef331c17ccca63c46479e5b5453eb8e10bb99a759fe" dependencies = [ "csv-core", "itoa", @@ -900,9 +939,9 @@ dependencies = [ [[package]] name = "csv-core" -version = "0.1.10" +version = "0.1.11" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "2b2466559f260f48ad25fe6317b3c8dac77b5bdb5763ac7d9d6103530663bc90" +checksum = "5efa2b3d7902f4b634a20cae3c9c4e6209dc4779feb6863329607560143efa70" dependencies = [ "memchr", ] @@ -949,7 +988,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "978747c1d849a7d2ee5e8adc0159961c48fb7e5db2f06af6723b80123bb53856" dependencies = [ "cfg-if", - "hashbrown 0.14.0", + "hashbrown 0.14.2", "lock_api", "once_cell", "parking_lot_core", @@ -963,9 +1002,9 @@ checksum = "c2e66c9d817f1720209181c316d28635c050fa304f9c79e47a520882661b7308" [[package]] name = "datafusion" -version = "30.0.0" +version = "32.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "45e3bb3a788d9fa793268e9cec2601d79831ed1be437ba74d1deb32b226ae734" +checksum = "7014432223f4d721cb9786cd88bb89e7464e0ba984d4a7f49db7787f5f268674" dependencies = [ "ahash 0.8.3", "arrow", @@ -982,15 +1021,15 @@ dependencies = [ "datafusion-expr", "datafusion-optimizer", "datafusion-physical-expr", + "datafusion-physical-plan", "datafusion-sql", "flate2", "futures", "glob", "half 2.3.1", - "hashbrown 0.14.0", - "indexmap 2.0.0", + "hashbrown 0.14.2", + "indexmap 2.0.2", "itertools 0.11.0", - "lazy_static", "log", "num_cpus", "object_store", @@ -999,7 +1038,6 @@ dependencies = [ "percent-encoding", "pin-project-lite", "rand", - "smallvec", "sqlparser", "tempfile", "tokio", @@ -1007,45 +1045,42 @@ dependencies = [ "url", "uuid", "xz2", - "zstd", + "zstd 0.12.4", ] [[package]] name = "datafusion-common" -version = "30.0.0" +version = "32.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "0dd256483875270612d4fa439359bafa6f1760bae080ecb69eecc59a92b5016f" +checksum = "cb3903ed8f102892f17b48efa437f3542159241d41c564f0d1e78efdc5e663aa" dependencies = [ + "ahash 0.8.3", "arrow", "arrow-array", - "async-compression", - "bytes", - "bzip2", + "arrow-buffer", + "arrow-schema", "chrono", - "flate2", - "futures", + "half 2.3.1", "num_cpus", "object_store", "parquet", + "pyo3", "sqlparser", - "tokio", - "tokio-util", - "xz2", - "zstd", ] [[package]] name = "datafusion-execution" -version = "30.0.0" +version = "32.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "4973610d680bdc38f409a678c838d3873356cc6c29a543d1f56d7b4801e8d0a4" +checksum = "780b73b2407050e53f51a9781868593f694102c59e622de9a8aafc0343c4f237" dependencies = [ "arrow", + "chrono", "dashmap", "datafusion-common", "datafusion-expr", "futures", - "hashbrown 0.14.0", + "hashbrown 0.14.2", "log", "object_store", "parking_lot", @@ -1056,24 +1091,24 @@ dependencies = [ [[package]] name = "datafusion-expr" -version = "30.0.0" +version = "32.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "7f3599f4cfcf22490f7b7d6d2fc70610ca8045b8bdcd99ef9d4309cf2b387537" +checksum = "24c382676338d8caba6c027ba0da47260f65ffedab38fda78f6d8043f607557c" dependencies = [ "ahash 0.8.3", "arrow", + "arrow-array", "datafusion-common", - "lazy_static", "sqlparser", - "strum 0.25.0", - "strum_macros 0.25.2", + "strum", + "strum_macros", ] [[package]] name = "datafusion-optimizer" -version = "30.0.0" +version = "32.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "f067401eea6a0967c83021e714746f9153368cca964d45c4a1a4f99869a1512f" +checksum = "3f2904a432f795484fd45e29ded4537152adb60f636c05691db34fcd94c92c96" dependencies = [ "arrow", "async-trait", @@ -1081,7 +1116,7 @@ dependencies = [ "datafusion-common", "datafusion-expr", "datafusion-physical-expr", - "hashbrown 0.14.0", + "hashbrown 0.14.2", "itertools 0.11.0", "log", "regex-syntax 0.7.5", @@ -1089,38 +1124,74 @@ dependencies = [ [[package]] name = "datafusion-physical-expr" -version = "30.0.0" +version = "32.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "964c19161288d374fe066535f84de37a1dab419e47a24e02f3a0ca6413744451" +checksum = "57b4968e9a998dc0476c4db7a82f280e2026b25f464e4aa0c3bb9807ee63ddfd" dependencies = [ "ahash 0.8.3", "arrow", "arrow-array", "arrow-buffer", "arrow-schema", + "base64", + "blake2", + "blake3", "chrono", "datafusion-common", "datafusion-expr", "half 2.3.1", - "hashbrown 0.14.0", - "indexmap 2.0.0", + "hashbrown 0.14.2", + "hex", + "indexmap 2.0.2", "itertools 0.11.0", - "lazy_static", "libc", "log", + "md-5", "paste", "petgraph", "rand", "regex", + "sha2", "unicode-segmentation", "uuid", ] +[[package]] +name = "datafusion-physical-plan" +version = "32.0.0" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "efd0d1fe54e37a47a2d58a1232c22786f2c28ad35805fdcd08f0253a8b0aaa90" +dependencies = [ + "ahash 0.8.3", + "arrow", + "arrow-array", + "arrow-buffer", + "arrow-schema", + "async-trait", + "chrono", + "datafusion-common", + "datafusion-execution", + "datafusion-expr", + "datafusion-physical-expr", + "futures", + "half 2.3.1", + "hashbrown 0.14.2", + "indexmap 2.0.2", + "itertools 0.11.0", + "log", + "once_cell", + "parking_lot", + "pin-project-lite", + "rand", + "tokio", + "uuid", +] + [[package]] name = "datafusion-sql" -version = "30.0.0" +version = "32.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "5b0939df21e440efcb35078c22b0192c537f7a53ebf1a34288a3a134753dd364" +checksum = "b568d44c87ead99604d704f942e257c8a236ee1bbf890ee3e034ad659dcb2c21" dependencies = [ "arrow", "arrow-schema", @@ -1132,9 +1203,12 @@ dependencies = [ [[package]] name = "deranged" -version = "0.3.8" +version = "0.3.9" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "f2696e8a945f658fd14dc3b87242e6b80cd0f36ff04ea560fa39082368847946" +checksum = "0f32d04922c60427da6f9fef14d042d9edddef64cb9d4ce0d64d0685fbeb1fd3" +dependencies = [ + "powerfmt", +] [[package]] name = "derive_builder" @@ -1175,6 +1249,7 @@ checksum = "9ed9a281f7bc9b7576e61468ba615a66a5c8cfdff42420a70aa82701a3b1e292" dependencies = [ "block-buffer", "crypto-common", + "subtle", ] [[package]] @@ -1189,6 +1264,16 @@ version = "1.9.0" source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "a26ae43d7bcc3b814de94796a5e736d4029efb0ee900c12e2d54c993ad1a1e07" +[[package]] +name = "env_logger" +version = "0.8.4" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "a19187fea3ac7e84da7dacf48de0c45d63c6a76f9490dae389aead16c243fce3" +dependencies = [ + "log", + "regex", +] + [[package]] name = "env_logger" version = "0.10.0" @@ -1210,25 +1295,14 @@ checksum = "5443807d6dff69373d433ab9ef5378ad8df50ca6298caf15de6e52e24aaf54d5" [[package]] name = "errno" -version = "0.3.3" +version = "0.3.5" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "136526188508e25c6fef639d7927dfb3e0e3084488bf202267829cf7fc23dbdd" +checksum = "ac3e13f66a2f95e32a39eaa81f6b95d42878ca0e1db0c7543723dfe12557e860" dependencies = [ - "errno-dragonfly", "libc", "windows-sys", ] -[[package]] -name = "errno-dragonfly" -version = "0.1.2" -source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "aa68f1b12764fab894d2755d2518754e71b4fd80ecfb822714a1206c2aab39bf" -dependencies = [ - "cc", - "libc", -] - [[package]] name = "evalexpr" version = "11.1.0" @@ -1237,9 +1311,9 @@ checksum = "1e757e796a66b54d19fa26de38e75c3351eb7a3755c85d7d181a8c61437ff60c" [[package]] name = "fastrand" -version = "2.0.0" +version = "2.0.1" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "6999dc1837253364c2ebb0704ba97994bd874e8f195d665c50b7548f6ea92764" +checksum = "25cbce373ec4653f1a01a31e8a5e5ec0c622dc27ff9c4e6606eefef5cbbed4a5" [[package]] name = "fixedbitset" @@ -1259,9 +1333,9 @@ dependencies = [ [[package]] name = "flate2" -version = "1.0.27" +version = "1.0.28" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "c6c98ee8095e9d1dcbf2fcc6d95acccb90d1c81db1e44725c6a984b1dbdfb010" +checksum = "46303f565772937ffe1d394a4fac6f411c6013172fadde9dcdb1e147a086940e" dependencies = [ "crc32fast", "miniz_oxide", @@ -1368,7 +1442,7 @@ checksum = "89ca545a94061b6365f2c7355b4b32bd20df3ff95f02da9329b34ccc3bd6ee72" dependencies = [ "proc-macro2", "quote", - "syn 2.0.29", + "syn 2.0.38", ] [[package]] @@ -1425,7 +1499,7 @@ checksum = "be4136b2a15dd319360be1c07d9933517ccf0be8f16bf62a3bee4f0d618df427" dependencies = [ "cfg-if", "libc", - "wasi 0.11.0+wasi-snapshot-preview1", + "wasi", ] [[package]] @@ -1477,9 +1551,9 @@ dependencies = [ [[package]] name = "hashbrown" -version = "0.14.0" +version = "0.14.2" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "2c6201b9ff9fd90a5a3bac2e56a830d0caa509576f0e503818ee82c181b3437a" +checksum = "f93e7192158dbcda357bdec5fb5788eebf8bbac027f3f33e719d29135ae84156" dependencies = [ "ahash 0.8.3", "allocator-api2", @@ -1502,9 +1576,15 @@ dependencies = [ [[package]] name = "hermit-abi" -version = "0.3.2" +version = "0.3.3" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "d77f7ec81a6d05a3abb01ab6eb7590f6083d08449fe5a1c8b1e620283546ccb7" + +[[package]] +name = "hex" +version = "0.4.3" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "443144c8cdadd93ebf52ddb4056d257f5b52c04d3c804e657d19eb73fc33668b" +checksum = "7f24254aa9a54b5c858eaee2f5bccdb46aaf0e486a595ed5fd8f86ba55232a70" [[package]] name = "http" @@ -1562,7 +1642,7 @@ dependencies = [ "httpdate", "itoa", "pin-project-lite", - "socket2 0.4.9", + "socket2 0.4.10", "tokio", "tower-service", "tracing", @@ -1590,16 +1670,16 @@ checksum = "71a816c97c42258aa5834d07590b718b4c9a598944cd39a52dc25b351185d678" [[package]] name = "iana-time-zone" -version = "0.1.57" +version = "0.1.58" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "2fad5b825842d2b38bd206f3e81d6957625fd7f0a361e345c30e01a0ae2dd613" +checksum = "8326b86b6cff230b97d0d312a6c40a60726df3332e721f72a1b035f451663b20" dependencies = [ "android_system_properties", "core-foundation-sys", "iana-time-zone-haiku", "js-sys", "wasm-bindgen", - "windows", + "windows-core", ] [[package]] @@ -1639,12 +1719,12 @@ dependencies = [ [[package]] name = "indexmap" -version = "2.0.0" +version = "2.0.2" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "d5477fe2230a79769d8dc68e0eabf5437907c0457a5614a9e8dddb67f65eb65d" +checksum = "8adf3ddd720272c6ea8bf59463c04e0f93d0bbf7c5439b691bca2987e0270897" dependencies = [ "equivalent", - "hashbrown 0.14.0", + "hashbrown 0.14.2", ] [[package]] @@ -1665,7 +1745,7 @@ version = "0.4.9" source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "cb0889898416213fab133e1d33a0e5858a48177452750691bde3666d0fdbaf8b" dependencies = [ - "hermit-abi 0.3.2", + "hermit-abi 0.3.3", "rustix", "windows-sys", ] @@ -1696,9 +1776,9 @@ checksum = "af150ab688ff2122fcef229be89cb50dd66af9e01a4ff320cc137eecc9bacc38" [[package]] name = "jobserver" -version = "0.1.26" +version = "0.1.27" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "936cfd212a0155903bcbc060e316fb6cc7cbf2e1907329391ebadc1fe0ce77c2" +checksum = "8c37f63953c4c63420ed5fd3d6d398c719489b9f872b9fa683262f8edd363c7d" dependencies = [ "libc", ] @@ -1784,27 +1864,27 @@ dependencies = [ [[package]] name = "libc" -version = "0.2.147" +version = "0.2.149" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "b4668fb0ea861c1df094127ac5f1da3409a82116a4ba74fca2e58ef927159bb3" +checksum = "a08173bc88b7955d1b3145aa561539096c421ac8debde8cbc3612ec635fee29b" [[package]] name = "libm" -version = "0.2.7" +version = "0.2.8" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "f7012b1bbb0719e1097c47611d3898568c546d597c2e74d66f6087edd5233ff4" +checksum = "4ec2a862134d2a7d32d7983ddcdd1c4923530833c9f2ea1a44fc5fa473989058" [[package]] name = "linux-raw-sys" -version = "0.4.5" +version = "0.4.10" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "57bcfdad1b858c2db7c38303a6d2ad4dfaf5eb53dfeb0910128b2c26d6158503" +checksum = "da2479e8c062e40bf0066ffa0bc823de0a9368974af99c9f6df941d2c231e03f" [[package]] name = "lock_api" -version = "0.4.10" +version = "0.4.11" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "c1cc9717a20b1bb222f333e6a92fd32f7d8a18ddc5a3191a11af45dcbf4dcd16" +checksum = "3c168f8615b12bc01f9c17e2eb0cc07dcae1940121185446edc3744920e8ef45" dependencies = [ "autocfg", "scopeguard", @@ -1856,11 +1936,21 @@ dependencies = [ "regex-automata 0.1.10", ] +[[package]] +name = "md-5" +version = "0.10.6" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "d89e7ee0cfbedfc4da3340218492196241d89eefb6dab27de5df917a6d2e78cf" +dependencies = [ + "cfg-if", + "digest", +] + [[package]] name = "memchr" -version = "2.6.2" +version = "2.6.4" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "5486aed0026218e61b8a01d5fbd5a0a134649abb71a0e53b7bc088529dced86e" +checksum = "f665ee40bc4a3c5590afb1e9677db74a508659dfd71e126420da8274909a0167" [[package]] name = "memoffset" @@ -1887,7 +1977,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "927a765cd3fc26206e66b296465fa9d3e5ab003e651c1b3c060e7956d96b19d2" dependencies = [ "libc", - "wasi 0.11.0+wasi-snapshot-preview1", + "wasi", "windows-sys", ] @@ -1911,7 +2001,7 @@ dependencies = [ [[package]] name = "nautilus-backtest" -version = "0.9.0" +version = "0.10.0" dependencies = [ "cbindgen", "nautilus-common", @@ -1924,8 +2014,9 @@ dependencies = [ [[package]] name = "nautilus-common" -version = "0.9.0" +version = "0.10.0" dependencies = [ + "anyhow", "cbindgen", "chrono", "nautilus-core", @@ -1934,19 +2025,20 @@ dependencies = [ "rstest", "serde", "serde_json", - "strum 0.25.0", + "strum", "tempfile", "ustr", ] [[package]] name = "nautilus-core" -version = "0.9.0" +version = "0.10.0" dependencies = [ "anyhow", "cbindgen", "chrono", "criterion", + "heck", "iai", "pyo3", "rmp-serde", @@ -1959,27 +2051,31 @@ dependencies = [ [[package]] name = "nautilus-indicators" -version = "0.9.0" +version = "0.10.0" dependencies = [ + "anyhow", "nautilus-core", "nautilus-model", "pyo3", "rstest", + "strum", ] [[package]] name = "nautilus-model" -version = "0.9.0" +version = "0.10.0" dependencies = [ "anyhow", "cbindgen", + "chrono", "criterion", "derive_builder", "evalexpr", "float-cmp", "iai", - "lazy_static", + "indexmap 2.0.2", "nautilus-core", + "once_cell", "pyo3", "rmp-serde", "rstest", @@ -1987,7 +2083,7 @@ dependencies = [ "rust_decimal_macros", "serde", "serde_json", - "strum 0.25.0", + "strum", "tabled", "thiserror", "thousands", @@ -1996,7 +2092,7 @@ dependencies = [ [[package]] name = "nautilus-network" -version = "0.9.0" +version = "0.10.0" dependencies = [ "anyhow", "criterion", @@ -2019,7 +2115,7 @@ dependencies = [ [[package]] name = "nautilus-persistence" -version = "0.9.0" +version = "0.10.0" dependencies = [ "binary-heap-plus", "chrono", @@ -2029,9 +2125,9 @@ dependencies = [ "futures", "nautilus-core", "nautilus-model", - "pin-project-lite", "pyo3", - "pyo3-asyncio", + "quickcheck", + "quickcheck_macros", "rand", "rstest", "thiserror", @@ -2040,7 +2136,7 @@ dependencies = [ [[package]] name = "nautilus-pyo3" -version = "0.9.0" +version = "0.10.0" dependencies = [ "nautilus-core", "nautilus-indicators", @@ -2138,9 +2234,9 @@ dependencies = [ [[package]] name = "num-traits" -version = "0.2.16" +version = "0.2.17" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "f30b0abd723be7e2ffca1272140fac1a2f084c77ec3e123c192b66af1ee9e6c2" +checksum = "39e3200413f237f41ab11ad6d161bc7239c84dcb631773ccd7de3dfe4b5c267c" dependencies = [ "autocfg", "libm", @@ -2152,31 +2248,31 @@ version = "1.16.0" source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "4161fcb6d602d4d2081af7c3a45852d875a03dd337a6bfdd6e06407b61342a43" dependencies = [ - "hermit-abi 0.3.2", + "hermit-abi 0.3.3", "libc", ] [[package]] name = "object" -version = "0.32.0" +version = "0.32.1" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "77ac5bbd07aea88c60a577a1ce218075ffd59208b2d7ca97adf9bfc5aeb21ebe" +checksum = "9cf5f9dd3933bd50a9e1f149ec995f39ae2c496d31fd772c1fd45ebc27e902b0" dependencies = [ "memchr", ] [[package]] name = "object_store" -version = "0.6.1" +version = "0.7.1" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "27c776db4f332b571958444982ff641d2531417a326ca368995073b639205d58" +checksum = "f930c88a43b1c3f6e776dfe495b4afab89882dbc81530c632db2ed65451ebcb4" dependencies = [ "async-trait", "bytes", "chrono", "futures", "humantime", - "itertools 0.10.5", + "itertools 0.11.0", "parking_lot", "percent-encoding", "snafu", @@ -2204,7 +2300,7 @@ version = "0.10.57" source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "bac25ee399abb46215765b1cb35bc0212377e58a061560d8b29b024fd0430e7c" dependencies = [ - "bitflags 2.4.0", + "bitflags 2.4.1", "cfg-if", "foreign-types", "libc", @@ -2221,7 +2317,7 @@ checksum = "a948666b637a0f465e8564c73e89d4dde00d72d4d473cc972f390fc3dcee7d9c" dependencies = [ "proc-macro2", "quote", - "syn 2.0.29", + "syn 2.0.38", ] [[package]] @@ -2232,18 +2328,18 @@ checksum = "ff011a302c396a5197692431fc1948019154afc178baf7d8e37367442a4601cf" [[package]] name = "openssl-src" -version = "111.27.0+1.1.1v" +version = "300.1.5+3.1.3" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "06e8f197c82d7511c5b014030c9b1efeda40d7d5f99d23b4ceed3524a5e63f02" +checksum = "559068e4c12950d7dcaa1857a61725c0d38d4fc03ff8e070ab31a75d6e316491" dependencies = [ "cc", ] [[package]] name = "openssl-sys" -version = "0.9.92" +version = "0.9.93" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "db7e971c2c2bba161b2d2fdf37080177eff520b3bc044787c7f1f5f9e78d869b" +checksum = "db4d56a4c0478783083cfafcc42493dd4a981d41669da64b4572a2a089b51b1d" dependencies = [ "cc", "libc", @@ -2254,18 +2350,18 @@ dependencies = [ [[package]] name = "ordered-float" -version = "2.10.0" +version = "2.10.1" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "7940cf2ca942593318d07fcf2596cdca60a85c9e7fab408a5e21a4f9dcd40d87" +checksum = "68f19d67e5a2795c94e73e0bb1cc1a7edeb2e28efd39e2e1c9b7a40c1108b11c" dependencies = [ "num-traits", ] [[package]] name = "os_str_bytes" -version = "6.5.1" +version = "6.6.1" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "4d5d9eb14b174ee9aa2ef96dc2b94637a2d4b6e7cb873c7e171f0c20c6cf3eac" +checksum = "e2355d85b9a3786f481747ced0e0ff2ba35213a1f9bd406ed906554d7af805a1" [[package]] name = "overload" @@ -2296,22 +2392,22 @@ dependencies = [ [[package]] name = "parking_lot_core" -version = "0.9.8" +version = "0.9.9" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "93f00c865fe7cabf650081affecd3871070f26767e7b2070a3ffae14c654b447" +checksum = "4c42a9226546d68acdd9c0a280d17ce19bfe27a46bf68784e4066115788d008e" dependencies = [ "cfg-if", "libc", - "redox_syscall", + "redox_syscall 0.4.1", "smallvec", "windows-targets", ] [[package]] name = "parquet" -version = "45.0.0" +version = "47.0.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "49f9739b984380582bdb7749ae5b5d28839bce899212cf16465c1ac1f8b65d79" +checksum = "0463cc3b256d5f50408c49a4be3a16674f4c8ceef60941709620a062b1f6bf4d" dependencies = [ "ahash 0.8.3", "arrow-array", @@ -2327,7 +2423,7 @@ dependencies = [ "chrono", "flate2", "futures", - "hashbrown 0.14.0", + "hashbrown 0.14.2", "lz4", "num", "num-bigint", @@ -2338,7 +2434,7 @@ dependencies = [ "thrift", "tokio", "twox-hash", - "zstd", + "zstd 0.12.4", ] [[package]] @@ -2369,7 +2465,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "e1d3afd2628e69da2be385eb6f2fd57c8ac7977ceeff6dc166ff1657b0e386a9" dependencies = [ "fixedbitset", - "indexmap 2.0.0", + "indexmap 2.0.2", ] [[package]] @@ -2456,6 +2552,12 @@ dependencies = [ "plotters-backend", ] +[[package]] +name = "powerfmt" +version = "0.2.0" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "439ee305def115ba05938db6eb1644ff94165c5ab5e9420d1c1bcedbba909391" + [[package]] name = "ppv-lite86" version = "0.2.17" @@ -2503,9 +2605,9 @@ checksum = "dc375e1527247fe1a97d8b7156678dfe7c1af2fc075c9a4db3690ecd2a148068" [[package]] name = "proc-macro2" -version = "1.0.66" +version = "1.0.69" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "18fb31db3f9bddb2ea821cde30a9f70117e3f119938b5ee630b7403aa6e2ead9" +checksum = "134c189feb4956b20f6f547d2cf727d4c0fe06722b20a0eec87ed445a97f92da" dependencies = [ "unicode-ident", ] @@ -2616,6 +2718,28 @@ dependencies = [ "syn 1.0.109", ] +[[package]] +name = "quickcheck" +version = "1.0.3" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "588f6378e4dd99458b60ec275b4477add41ce4fa9f64dcba6f15adccb19b50d6" +dependencies = [ + "env_logger 0.8.4", + "log", + "rand", +] + +[[package]] +name = "quickcheck_macros" +version = "1.0.0" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "b22a693222d716a9587786f37ac3f6b4faedb5b80c23914e7303ff5a1d8016e9" +dependencies = [ + "proc-macro2", + "quote", + "syn 1.0.109", +] + [[package]] name = "quote" version = "1.0.33" @@ -2663,9 +2787,9 @@ dependencies = [ [[package]] name = "rayon" -version = "1.7.0" +version = "1.8.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "1d2df5196e37bcc87abebc0053e20787d73847bb33134a69841207dd0a47f03b" +checksum = "9c27db03db7734835b3f53954b534c91069375ce6ccaa2e065441e07d9b6cdb1" dependencies = [ "either", "rayon-core", @@ -2673,14 +2797,12 @@ dependencies = [ [[package]] name = "rayon-core" -version = "1.11.0" +version = "1.12.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "4b8f95bd6966f5c87776639160a66bd8ab9895d9d4ab01ddba9fc60661aebe8d" +checksum = "5ce3fb6ad83f861aac485e76e1985cd109d9a3713802152be56c3b1f0e0658ed" dependencies = [ - "crossbeam-channel", "crossbeam-deque", "crossbeam-utils", - "num_cpus", ] [[package]] @@ -2692,16 +2814,25 @@ dependencies = [ "bitflags 1.3.2", ] +[[package]] +name = "redox_syscall" +version = "0.4.1" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "4722d768eff46b75989dd134e5c353f0d6296e5aaa3132e776cbdb56be7731aa" +dependencies = [ + "bitflags 1.3.2", +] + [[package]] name = "regex" -version = "1.9.4" +version = "1.10.2" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "12de2eff854e5fa4b1295edd650e227e9d8fb0c9e90b12e7f36d6a6811791a29" +checksum = "380b951a9c5e80ddfd6136919eef32310721aa4aacd4889a8d39124b026ab343" dependencies = [ "aho-corasick", "memchr", - "regex-automata 0.3.7", - "regex-syntax 0.7.5", + "regex-automata 0.4.3", + "regex-syntax 0.8.2", ] [[package]] @@ -2715,13 +2846,13 @@ dependencies = [ [[package]] name = "regex-automata" -version = "0.3.7" +version = "0.4.3" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "49530408a136e16e5b486e883fbb6ba058e8e4e8ae6621a77b048b314336e629" +checksum = "5f804c7828047e88b2d32e2d7fe5a105da8ee3264f01902f796c8e067dc2483f" dependencies = [ "aho-corasick", "memchr", - "regex-syntax 0.7.5", + "regex-syntax 0.8.2", ] [[package]] @@ -2736,6 +2867,12 @@ version = "0.7.5" source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "dbb5fb1acd8a1a18b3dd5be62d25485eb770e05afb408a9627d14d451bae12da" +[[package]] +name = "regex-syntax" +version = "0.8.2" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "c08c74e62047bb2de4ff487b251e4a92e24f48745648451635cec7d591162d9f" + [[package]] name = "relative-path" version = "1.9.0" @@ -2744,9 +2881,9 @@ checksum = "c707298afce11da2efef2f600116fa93ffa7a032b5d7b628aa17711ec81383ca" [[package]] name = "rend" -version = "0.4.0" +version = "0.4.1" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "581008d2099240d37fb08d77ad713bcaec2c4d89d50b5b21a8bb1996bbab68ab" +checksum = "a2571463863a6bd50c32f94402933f03457a3fbaf697a707c5be741e459f08fd" dependencies = [ "bytecheck", ] @@ -2841,7 +2978,7 @@ dependencies = [ "regex", "relative-path", "rustc_version", - "syn 2.0.29", + "syn 2.0.38", "unicode-ident", ] @@ -2888,11 +3025,11 @@ dependencies = [ [[package]] name = "rustix" -version = "0.38.11" +version = "0.38.20" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "c0c3dde1fc030af041adc40e79c0e7fbcf431dd24870053d187d7c66e4b87453" +checksum = "67ce50cb2e16c2903e30d1cbccfd8387a74b9d4c938b6a4c5ec6cc7556f7a8a0" dependencies = [ - "bitflags 2.4.0", + "bitflags 2.4.1", "errno", "libc", "linux-raw-sys", @@ -2907,7 +3044,7 @@ checksum = "cd8d6c9f025a446bc4d18ad9632e69aec8f287aa84499ee335599fabd20c3fd8" dependencies = [ "log", "ring", - "rustls-webpki 0.101.4", + "rustls-webpki 0.101.6", "sct", ] @@ -2934,9 +3071,9 @@ dependencies = [ [[package]] name = "rustls-webpki" -version = "0.100.2" +version = "0.100.3" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "e98ff011474fa39949b7e5c0428f9b4937eda7da7848bbb947786b7be0b27dab" +checksum = "5f6a5fc258f1c1276dfe3016516945546e2d5383911efc0fc4f1cdc5df3a4ae3" dependencies = [ "ring", "untrusted", @@ -2944,9 +3081,9 @@ dependencies = [ [[package]] name = "rustls-webpki" -version = "0.101.4" +version = "0.101.6" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "7d93931baf2d282fff8d3a532bbfd7653f734643161b87e3e01e59a04439bf0d" +checksum = "3c7d5dece342910d9ba34d259310cae3e0154b873b35408b787b59bce53d34fe" dependencies = [ "ring", "untrusted", @@ -3029,9 +3166,9 @@ dependencies = [ [[package]] name = "semver" -version = "1.0.18" +version = "1.0.20" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "b0293b4b29daaf487284529cc2f5675b8e57c61f70167ba415a463651fd6a918" +checksum = "836fa6a3e1e547f9a2c4040802ec865b5d85f4014efe00555d7090a3dcaa1090" [[package]] name = "seq-macro" @@ -3041,29 +3178,29 @@ checksum = "a3f0bf26fd526d2a95683cd0f87bf103b8539e2ca1ef48ce002d67aad59aa0b4" [[package]] name = "serde" -version = "1.0.188" +version = "1.0.189" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "cf9e0fcba69a370eed61bcf2b728575f726b50b55cba78064753d708ddc7549e" +checksum = "8e422a44e74ad4001bdc8eede9a4570ab52f71190e9c076d14369f38b9200537" dependencies = [ "serde_derive", ] [[package]] name = "serde_derive" -version = "1.0.188" +version = "1.0.189" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "4eca7ac642d82aa35b60049a6eccb4be6be75e599bd2e9adb5f875a737654af2" +checksum = "1e48d1f918009ce3145511378cf68d613e3b3d9137d67272562080d68a2b32d5" dependencies = [ "proc-macro2", "quote", - "syn 2.0.29", + "syn 2.0.38", ] [[package]] name = "serde_json" -version = "1.0.105" +version = "1.0.107" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "693151e1ac27563d6dbcec9dee9fbd5da8539b20fa14ad3752b2e6d363ace360" +checksum = "6b420ce6e3d8bd882e9b243c6eed35dbc9a6110c9769e74b584e0d68d1f20c65" dependencies = [ "itoa", "ryu", @@ -3072,9 +3209,20 @@ dependencies = [ [[package]] name = "sha1" -version = "0.10.5" +version = "0.10.6" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "f04293dc80c3993519f2d7f6f511707ee7094fe0c6d3406feb330cdb3540eba3" +checksum = "e3bf829a2d51ab4a5ddf1352d8470c140cadc8301b2ae1789db023f01cedd6ba" +dependencies = [ + "cfg-if", + "cpufeatures", + "digest", +] + +[[package]] +name = "sha2" +version = "0.10.8" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "793db75ad2bcafc3ffa7c68b215fee268f537982cd901d132f89c6343f3a3dc8" dependencies = [ "cfg-if", "cpufeatures", @@ -3083,9 +3231,9 @@ dependencies = [ [[package]] name = "sharded-slab" -version = "0.1.4" +version = "0.1.7" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "900fba806f70c630b0a382d0d825e17a0f19fcd059a2ade1ff237bcddf446b31" +checksum = "f40ca3c46823713e0d4209592e8d6e826aa57e928f09752619fc696c499637f6" dependencies = [ "lazy_static", ] @@ -3122,9 +3270,9 @@ dependencies = [ [[package]] name = "smallvec" -version = "1.11.0" +version = "1.11.1" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "62bb4feee49fdd9f707ef802e22365a35de4b7b299de4763d44bfea899442ff9" +checksum = "942b4a808e05215192e39f4ab80813e599068285906cc91aa64f923db842bd5a" [[package]] name = "snafu" @@ -3156,9 +3304,9 @@ checksum = "5e9f0ab6ef7eb7353d9119c170a436d1bf248eea575ac42d19d12f4e34130831" [[package]] name = "socket2" -version = "0.4.9" +version = "0.4.10" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "64a4a911eed85daf18834cfaa86a79b7d266ff93ff5ba14005426219480ed662" +checksum = "9f7916fc008ca5542385b89a3d3ce689953c143e9304a9bf8beec1de48994c0d" dependencies = [ "libc", "winapi", @@ -3166,9 +3314,9 @@ dependencies = [ [[package]] name = "socket2" -version = "0.5.3" +version = "0.5.5" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "2538b18701741680e0322a2302176d3253a35388e2e62f172f64f4f16605f877" +checksum = "7b5fac59a5cb5dd637972e5fca70daf0523c9067fcdc4842f053dae04a18f8e9" dependencies = [ "libc", "windows-sys", @@ -3182,9 +3330,9 @@ checksum = "6e63cff320ae2c57904679ba7cb63280a3dc4613885beafb148ee7bf9aa9042d" [[package]] name = "sqlparser" -version = "0.36.1" +version = "0.38.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "2eaa1e88e78d2c2460d78b7dc3f0c08dbb606ab4222f9aff36f420d36e307d87" +checksum = "0272b7bb0a225320170c99901b4b5fb3a4384e255a7f2cc228f61e2ba3893e75" dependencies = [ "log", "sqlparser_derive", @@ -3213,46 +3361,33 @@ version = "0.10.0" source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "73473c0e59e6d5812c5dfe2a064a6444949f089e20eec9a2e5506596494e4623" -[[package]] -name = "strum" -version = "0.24.1" -source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "063e6045c0e62079840579a7e47a355ae92f60eb74daaf156fb1e84ba164e63f" - [[package]] name = "strum" version = "0.25.0" source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "290d54ea6f91c969195bdbcd7442c8c2a2ba87da8bf60a7ee86a235d4bc1e125" dependencies = [ - "strum_macros 0.25.2", + "strum_macros", ] [[package]] name = "strum_macros" -version = "0.24.3" +version = "0.25.3" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "1e385be0d24f186b4ce2f9982191e7101bb737312ad61c1f2f984f34bcf85d59" +checksum = "23dc1fa9ac9c169a78ba62f0b841814b7abae11bdd047b9c58f893439e309ea0" dependencies = [ "heck", "proc-macro2", "quote", "rustversion", - "syn 1.0.109", + "syn 2.0.38", ] [[package]] -name = "strum_macros" -version = "0.25.2" +name = "subtle" +version = "2.5.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "ad8d03b598d3d0fff69bf533ee3ef19b8eeb342729596df84bcc7e1f96ec4059" -dependencies = [ - "heck", - "proc-macro2", - "quote", - "rustversion", - "syn 2.0.29", -] +checksum = "81cdd64d312baedb58e21336b31bc043b77e01cc99033ce76ef539f78e965ebc" [[package]] name = "syn" @@ -3267,9 +3402,9 @@ dependencies = [ [[package]] name = "syn" -version = "2.0.29" +version = "2.0.38" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "c324c494eba9d92503e6f1ef2e6df781e78f6a7705a0202d9801b198807d518a" +checksum = "e96b79aaa137db8f61e26363a0c9b47d8b4ec75da28b7d1d614c2303e232408b" dependencies = [ "proc-macro2", "quote", @@ -3308,9 +3443,9 @@ checksum = "55937e1799185b12863d447f42597ed69d9928686b8d88a1df17376a097d8369" [[package]] name = "target-lexicon" -version = "0.12.11" +version = "0.12.12" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "9d0e916b1148c8e263850e1ebcbd046f333e0683c724876bb0da63ea4373dc8a" +checksum = "14c39fd04924ca3a864207c66fc2cd7d22d7c016007f9ce846cbb9326331930a" [[package]] name = "tempfile" @@ -3320,16 +3455,16 @@ checksum = "cb94d2f3cc536af71caac6b6fcebf65860b347e7ce0cc9ebe8f70d3e521054ef" dependencies = [ "cfg-if", "fastrand", - "redox_syscall", + "redox_syscall 0.3.5", "rustix", "windows-sys", ] [[package]] name = "termcolor" -version = "1.2.0" +version = "1.3.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "be55cf8942feac5c765c2c993422806843c9a9a45d4d5c407ad6dd2ea95eb9b6" +checksum = "6093bad37da69aab9d123a8091e4be0aa4a03e4d601ec641c327398315f62b64" dependencies = [ "winapi-util", ] @@ -3342,22 +3477,22 @@ checksum = "222a222a5bfe1bba4a77b45ec488a741b3cb8872e5e499451fd7d0129c9c7c3d" [[package]] name = "thiserror" -version = "1.0.47" +version = "1.0.50" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "97a802ec30afc17eee47b2855fc72e0c4cd62be9b4efe6591edde0ec5bd68d8f" +checksum = "f9a7210f5c9a7156bb50aa36aed4c95afb51df0df00713949448cf9e97d382d2" dependencies = [ "thiserror-impl", ] [[package]] name = "thiserror-impl" -version = "1.0.47" +version = "1.0.50" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "6bb623b56e39ab7dcd4b1b98bb6c8f8d907ed255b18de254088016b27a8ee19b" +checksum = "266b2e40bc00e5a6c09c3584011e08b06f123c00362c92b975ba9843aaaa14b8" dependencies = [ "proc-macro2", "quote", - "syn 2.0.29", + "syn 2.0.38", ] [[package]] @@ -3389,23 +3524,13 @@ dependencies = [ [[package]] name = "time" -version = "0.1.45" -source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "1b797afad3f312d1c66a56d11d0316f916356d11bd158fbc6ca6389ff6bf805a" -dependencies = [ - "libc", - "wasi 0.10.0+wasi-snapshot-preview1", - "winapi", -] - -[[package]] -name = "time" -version = "0.3.28" +version = "0.3.30" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "17f6bb557fd245c28e6411aa56b6403c689ad95061f50e4be16c274e70a17e48" +checksum = "c4a34ab300f2dee6e562c10a046fc05e358b29f9bf92277f30c3c8d82275f6f5" dependencies = [ "deranged", "itoa", + "powerfmt", "serde", "time-core", "time-macros", @@ -3413,15 +3538,15 @@ dependencies = [ [[package]] name = "time-core" -version = "0.1.1" +version = "0.1.2" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "7300fbefb4dadc1af235a9cef3737cea692a9d97e1b9cbcd4ebdae6f8868e6fb" +checksum = "ef927ca75afb808a4d64dd374f00a2adf8d0fcff8e7b184af886c3c87ec4a3f3" [[package]] name = "time-macros" -version = "0.2.14" +version = "0.2.15" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "1a942f44339478ef67935ab2bbaec2fb0322496cf3cbe84b261e06ac3814c572" +checksum = "4ad70d68dba9e1f8aceda7aa6711965dfec1cac869f311a51bd08b3a2ccbce20" dependencies = [ "time-core", ] @@ -3462,9 +3587,9 @@ checksum = "1f3ccbac311fea05f86f61904b462b55fb3df8837a366dfc601a0161d0532f20" [[package]] name = "tokio" -version = "1.32.0" +version = "1.33.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "17ed6077ed6cd6c74735e21f37eb16dc3935f96878b1fe961074089cc80893f9" +checksum = "4f38200e3ef7995e5ef13baec2f432a6da0aa9ac495b2c0e8f3b7eec2c92d653" dependencies = [ "backtrace", "bytes", @@ -3474,7 +3599,7 @@ dependencies = [ "parking_lot", "pin-project-lite", "signal-hook-registry", - "socket2 0.5.3", + "socket2 0.5.5", "tokio-macros", "windows-sys", ] @@ -3487,7 +3612,7 @@ checksum = "630bdcf245f78637c13ec01ffae6187cca34625e8c63150d424b59e55af2675e" dependencies = [ "proc-macro2", "quote", - "syn 2.0.29", + "syn 2.0.38", ] [[package]] @@ -3514,7 +3639,7 @@ dependencies = [ name = "tokio-tungstenite" version = "0.19.0" dependencies = [ - "env_logger", + "env_logger 0.10.0", "futures-channel", "futures-util", "hyper", @@ -3532,9 +3657,9 @@ dependencies = [ [[package]] name = "tokio-util" -version = "0.7.8" +version = "0.7.9" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "806fe8c2c87eccc8b3267cbae29ed3ab2d0bd37fca70ab622e46aaa9375ddb7d" +checksum = "1d68074620f57a0b21594d9735eb2e98ab38b17f80d3fcb189fca266771ca60d" dependencies = [ "bytes", "futures-core", @@ -3560,11 +3685,10 @@ checksum = "b6bc1c9ce2b5135ac7f93c72918fc37feb872bdc6a5533a8b85eb4b86bfdae52" [[package]] name = "tracing" -version = "0.1.37" +version = "0.1.40" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "8ce8c33a8d48bd45d624a6e523445fd21ec13d3653cd51f681abf67418f54eb8" +checksum = "c3523ab5a71916ccf420eebdf5521fcef02141234bbc0b8a49f2fdc4544364ef" dependencies = [ - "cfg-if", "pin-project-lite", "tracing-attributes", "tracing-core", @@ -3577,26 +3701,26 @@ source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "09d48f71a791638519505cefafe162606f706c25592e4bde4d97600c0195312e" dependencies = [ "crossbeam-channel", - "time 0.3.28", + "time", "tracing-subscriber", ] [[package]] name = "tracing-attributes" -version = "0.1.26" +version = "0.1.27" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "5f4f31f56159e98206da9efd823404b79b6ef3143b4a7ab76e67b1751b25a4ab" +checksum = "34704c8d6ebcbc939824180af020566b01a7c01f80641264eba0999f6c2b6be7" dependencies = [ "proc-macro2", "quote", - "syn 2.0.29", + "syn 2.0.38", ] [[package]] name = "tracing-core" -version = "0.1.31" +version = "0.1.32" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "0955b8137a1df6f1a2e9a37d8a6656291ff0297c1a97c24e0d8425fe2312f79a" +checksum = "c06d3da6113f116aaee68e4d601191614c9053067f9ab7f6edbcb161237daa54" dependencies = [ "once_cell", "valuable", @@ -3662,8 +3786,8 @@ checksum = "3528ecfd12c466c6f163363caf2d02a71161dd5e1cc6ae7b34207ea2d42d81ed" [[package]] name = "tungstenite" -version = "0.20.0" -source = "git+https://github.com/snapview/tungstenite-rs#53914c1180dfb40e2286fc7929d68a1a92f80971" +version = "0.20.1" +source = "git+https://github.com/snapview/tungstenite-rs#8b3ecd3cc0008145ab4bc8d0657c39d09db8c7e2" dependencies = [ "byteorder", "bytes", @@ -3692,9 +3816,9 @@ dependencies = [ [[package]] name = "typenum" -version = "1.16.0" +version = "1.17.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "497961ef93d974e23eb6f433eb5fe1b7930b659f06d12dec6fc44a8f554c0bba" +checksum = "42ff0bf0c66b8238c6f3b578df37d0b7848e55df8577b3f74f92a69acceeb825" [[package]] name = "unicode-bidi" @@ -3704,9 +3828,9 @@ checksum = "92888ba5573ff080736b3648696b70cafad7d250551175acbaa4e0385b3e1460" [[package]] name = "unicode-ident" -version = "1.0.11" +version = "1.0.12" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "301abaae475aa91687eb82514b328ab47a211a533026cb25fc3e519b86adfc3c" +checksum = "3354b9ac3fae1ff6755cb6db53683adb661634f67557942dea4facebec0fee4b" [[package]] name = "unicode-normalization" @@ -3725,9 +3849,9 @@ checksum = "1dd624098567895118886609431a7c3b8f516e41d30e0643f03d94592a147e36" [[package]] name = "unicode-width" -version = "0.1.10" +version = "0.1.11" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "c0edd1e5b14653f783770bce4a4dabb4a5108a5370a5f5d8cfe8710c361f6c8b" +checksum = "e51733f11c9c4f72aa0c160008246859e340b00807569a0da0e7a1079b27ba85" [[package]] name = "unindent" @@ -3772,9 +3896,9 @@ checksum = "09cc8ee72d2a9becf2f2febe0205bbed8fc6615b7cb429ad062dc7b7ddd036a9" [[package]] name = "uuid" -version = "1.4.1" +version = "1.5.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "79daa5ed5740825c40b389c5e50312b9c86df53fccd33f281df655642b43869d" +checksum = "88ad59a7560b41a70d191093a945f0b87bc1deeda46fb237479708a1d6b6cdfc" dependencies = [ "getrandom", ] @@ -3799,9 +3923,9 @@ checksum = "49874b5167b65d7193b8aba1567f5c7d93d001cafc34600cee003eda787e483f" [[package]] name = "walkdir" -version = "2.3.3" +version = "2.4.0" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "36df944cda56c7d8d8b7496af378e6b16de9284591917d307c9b4d313c44e698" +checksum = "d71d857dc86794ca4c280d616f7da00d2dbfd8cd788846559a6813e6aa4b54ee" dependencies = [ "same-file", "winapi-util", @@ -3816,12 +3940,6 @@ dependencies = [ "try-lock", ] -[[package]] -name = "wasi" -version = "0.10.0+wasi-snapshot-preview1" -source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "1a143597ca7c7793eff794def352d41792a93c481eb1042423ff7ff72ba2c31f" - [[package]] name = "wasi" version = "0.11.0+wasi-snapshot-preview1" @@ -3849,7 +3967,7 @@ dependencies = [ "once_cell", "proc-macro2", "quote", - "syn 2.0.29", + "syn 2.0.38", "wasm-bindgen-shared", ] @@ -3871,7 +3989,7 @@ checksum = "54681b18a46765f095758388f2d0cf16eb8d4169b639ab575a8f5693af210c7b" dependencies = [ "proc-macro2", "quote", - "syn 2.0.29", + "syn 2.0.38", "wasm-bindgen-backend", "wasm-bindgen-shared", ] @@ -3898,7 +4016,7 @@ version = "0.23.1" source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "b03058f88386e5ff5310d9111d53f48b17d732b401aeb83a8d5190f2ac459338" dependencies = [ - "rustls-webpki 0.100.2", + "rustls-webpki 0.100.3", ] [[package]] @@ -3919,9 +4037,9 @@ checksum = "ac3b87c63620426dd9b991e5ce0329eff545bccbbb34f3be09ff6fb6ab51b7b6" [[package]] name = "winapi-util" -version = "0.1.5" +version = "0.1.6" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "70ec6ce85bb158151cae5e5c87f95a8e97d2c0c4b001223f33a334e3ce5de178" +checksum = "f29e6f9198ba0d26b4c9f07dbe6f9ed633e1f3d5b8b414090084349e46a52596" dependencies = [ "winapi", ] @@ -3933,10 +4051,10 @@ source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "712e227841d057c1ee1cd2fb22fa7e5a5461ae8e48fa2ca79ec42cfc1931183f" [[package]] -name = "windows" -version = "0.48.0" +name = "windows-core" +version = "0.51.1" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "e686886bc078bc1b0b600cac0147aadb815089b6e4da64016cbd754b6342700f" +checksum = "f1f8cf84f35d2db49a46868f947758c7a1138116f7fac3bc844f43ade1292e64" dependencies = [ "windows-targets", ] @@ -4031,7 +4149,16 @@ version = "0.12.4" source = "registry+https://github.com/rust-lang/crates.io-index" checksum = "1a27595e173641171fc74a1232b7b1c7a7cb6e18222c11e9dfb9888fa424c53c" dependencies = [ - "zstd-safe", + "zstd-safe 6.0.6", +] + +[[package]] +name = "zstd" +version = "0.13.0" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "bffb3309596d527cfcba7dfc6ed6052f1d39dfbd7c867aa2e865e4a449c10110" +dependencies = [ + "zstd-safe 7.0.0", ] [[package]] @@ -4044,13 +4171,21 @@ dependencies = [ "zstd-sys", ] +[[package]] +name = "zstd-safe" +version = "7.0.0" +source = "registry+https://github.com/rust-lang/crates.io-index" +checksum = "43747c7422e2924c11144d5229878b98180ef8b06cca4ab5af37afc8a8d8ea3e" +dependencies = [ + "zstd-sys", +] + [[package]] name = "zstd-sys" -version = "2.0.8+zstd.1.5.5" +version = "2.0.9+zstd.1.5.5" source = "registry+https://github.com/rust-lang/crates.io-index" -checksum = "5556e6ee25d32df2586c098bbfa278803692a20d0ab9565e049480d52707ec8c" +checksum = "9e16efa8a874a0481a574084d34cc26fdb3b99627480f785888deb6386506656" dependencies = [ "cc", - "libc", "pkg-config", ] diff --git a/nautilus_core/Cargo.toml b/nautilus_core/Cargo.toml index f22a978a0326..49a1d7c3b630 100644 --- a/nautilus_core/Cargo.toml +++ b/nautilus_core/Cargo.toml @@ -13,8 +13,8 @@ members = [ ] [workspace.package] -rust-version = "1.72.0" -version = "0.9.0" +rust-version = "1.73.0" +version = "0.10.0" edition = "2021" authors = ["Nautech Systems "] description = "A high-performance algorithmic trading platform and event-driven backtester" @@ -22,22 +22,23 @@ documentation = "https://docs.nautilustrader.io" [workspace.dependencies] anyhow = "1.0.75" -chrono = "0.4.28" +chrono = "0.4.31" futures = "0.3.28" +once_cell = "1.18.0" pyo3 = { version = "0.19.2", features = ["rust_decimal"] } pyo3-asyncio = { version = "0.19.0", features = ["tokio-runtime", "tokio", "attributes"] } rand = "0.8.5" rmp-serde = "1.1.2" rust_decimal = "1.32.0" rust_decimal_macros = "1.32.0" -serde = { version = "1.0.187", features = ["derive"] } -serde_json = "1.0.105" +serde = { version = "1.0.189", features = ["derive"] } +serde_json = "1.0.107" strum = { version = "0.25.0", features = ["derive"] } -thiserror = "1.0.47" -tracing = "0.1.37" -tokio = { version = "1.32.0", features = ["full"] } +thiserror = "1.0.50" +tracing = "0.1.40" +tokio = { version = "1.33.0", features = ["full"] } ustr = { git = "https://github.com/anderslanglands/ustr", features = ["serde"] } -uuid = { version = "1.4.1", features = ["v4"] } +uuid = { version = "1.5.0", features = ["v4"] } # dev-dependencies criterion = "0.5.1" @@ -47,7 +48,7 @@ rstest = "0.18.2" tempfile = "3.8.0" # build-dependencies -cbindgen = "0.24.5" +cbindgen = "0.26.0" [profile.dev] opt-level = 0 @@ -79,3 +80,9 @@ strip = true panic = "abort" incremental = false codegen-units = 1 + +[profile.release-debugging] +inherits = "release" +incremental = true +debug = true +strip = false diff --git a/nautilus_core/backtest/src/engine.rs b/nautilus_core/backtest/src/engine.rs index 4ed85a3c0dbd..642f023a57b4 100644 --- a/nautilus_core/backtest/src/engine.rs +++ b/nautilus_core/backtest/src/engine.rs @@ -15,8 +15,8 @@ use std::ops::{Deref, DerefMut}; -use nautilus_common::{clock::TestClock, clock_api::TestClock_API, timer::TimeEventHandler}; -use nautilus_core::{cvec::CVec, time::UnixNanos}; +use nautilus_common::{clock::TestClock, ffi::clock::TestClock_API, timer::TimeEventHandler}; +use nautilus_core::{ffi::cvec::CVec, time::UnixNanos}; /// Provides a means of accumulating and draining time event handlers. pub struct TimeEventAccumulator { @@ -123,9 +123,9 @@ mod tests { let mut accumulator = TimeEventAccumulator::new(); - let time_event1 = TimeEvent::new(String::from("TEST_EVENT_1"), UUID4::new(), 100, 100); - let time_event2 = TimeEvent::new(String::from("TEST_EVENT_2"), UUID4::new(), 300, 300); - let time_event3 = TimeEvent::new(String::from("TEST_EVENT_3"), UUID4::new(), 200, 200); + let time_event1 = TimeEvent::new("TEST_EVENT_1", UUID4::new(), 100, 100).unwrap(); + let time_event2 = TimeEvent::new("TEST_EVENT_2", UUID4::new(), 300, 300).unwrap(); + let time_event3 = TimeEvent::new("TEST_EVENT_3", UUID4::new(), 200, 200).unwrap(); // Note: as_ptr returns a borrowed pointer. It is valid as long // as the object is in scope. In this case `callback_ptr` is valid diff --git a/nautilus_core/common/Cargo.toml b/nautilus_core/common/Cargo.toml index cdb1312db768..bcee32327b55 100644 --- a/nautilus_core/common/Cargo.toml +++ b/nautilus_core/common/Cargo.toml @@ -14,6 +14,7 @@ proc-macro = true [dependencies] nautilus-core = { path = "../core" } nautilus-model = { path = "../model" } +anyhow = { workspace = true } chrono = { workspace = true } serde = { workspace = true } serde_json = { workspace = true } diff --git a/nautilus_core/common/src/clock.rs b/nautilus_core/common/src/clock.rs index c7acd89b5648..b7e9084bb59a 100644 --- a/nautilus_core/common/src/clock.rs +++ b/nautilus_core/common/src/clock.rs @@ -27,7 +27,7 @@ use crate::timer::{TestTimer, TimeEvent, TimeEventHandler}; const ONE_NANOSECOND: Duration = Duration::from_nanos(1); pub struct MonotonicClock { - /// The last recorded duration value from the clock. + /// The last recorded duration value for the clock. last: Duration, } @@ -51,7 +51,7 @@ impl MonotonicClock { /// Initializes a new `MonotonicClock` instance. #[must_use] pub fn new() -> Self { - MonotonicClock { + Self { last: duration_since_unix_epoch(), } } @@ -79,7 +79,7 @@ impl MonotonicClock { impl Default for MonotonicClock { fn default() -> Self { - MonotonicClock::new() + Self::new() } } @@ -109,13 +109,13 @@ pub trait Clock { /// Return the count of active timers in the clock. fn timer_count(&self) -> usize; - /// Register a default event handler for the clock. If a [`Timer`] + /// Register a default event handler for the clock. If a `Timer` /// does not have an event handler, then this handler is used. fn register_default_handler(&mut self, callback: Box); fn register_default_handler_py(&mut self, callback_py: PyObject); - /// Set a [`Timer`] to alert at a particular time. Optional + /// Set a `Timer` to alert at a particular time. Optional /// callback gets used to handle generated events. fn set_time_alert_ns_py( &mut self, @@ -124,7 +124,7 @@ pub trait Clock { callback_py: Option, ); - /// Set a [`Timer`] to start alerting at every interval + /// Set a `Timer` to start alerting at every interval /// between start and stop time. Optional callback gets /// used to handle generated event. fn set_timer_ns_py( @@ -151,12 +151,13 @@ pub struct TestClock { } impl TestClock { + #[must_use] pub fn get_timers(&self) -> &HashMap { &self.timers } pub fn set_time(&mut self, to_time_ns: UnixNanos) { - self.time_ns = to_time_ns + self.time_ns = to_time_ns; } pub fn advance_time(&mut self, to_time_ns: UnixNanos, set_time: bool) -> Vec { @@ -182,6 +183,7 @@ impl TestClock { } /// Assumes time events are sorted by their `ts_event`. + #[must_use] pub fn match_handlers_py(&self, events: Vec) -> Vec { events .into_iter() @@ -205,8 +207,8 @@ impl TestClock { } impl Clock for TestClock { - fn new() -> TestClock { - TestClock { + fn new() -> Self { + Self { time_ns: 0, timers: HashMap::new(), default_callback: None, @@ -252,7 +254,7 @@ impl Clock for TestClock { } fn register_default_handler_py(&mut self, callback_py: PyObject) { - self.default_callback_py = Some(callback_py) + self.default_callback_py = Some(callback_py); } fn set_time_alert_ns_py( @@ -321,8 +323,8 @@ impl Clock for TestClock { } fn cancel_timers(&mut self) { - for (_, timer) in self.timers.iter_mut() { - timer.cancel() + for timer in &mut self.timers.values_mut() { + timer.cancel(); } self.timers = HashMap::new(); } @@ -338,8 +340,8 @@ pub struct LiveClock { } impl Clock for LiveClock { - fn new() -> LiveClock { - LiveClock { + fn new() -> Self { + Self { internal: MonotonicClock::default(), timers: HashMap::new(), default_callback: None, @@ -385,7 +387,7 @@ impl Clock for LiveClock { } fn register_default_handler_py(&mut self, callback_py: PyObject) { - self.default_callback_py = Some(callback_py) + self.default_callback_py = Some(callback_py); } fn set_time_alert_ns_py( @@ -456,8 +458,8 @@ impl Clock for LiveClock { } fn cancel_timers(&mut self) { - for (_, timer) in self.timers.iter_mut() { - timer.cancel() + for timer in &mut self.timers.values_mut() { + timer.cancel(); } self.timers = HashMap::new(); } diff --git a/nautilus_core/common/src/enums.rs b/nautilus_core/common/src/enums.rs index 266b246422d9..3f56d766ac7e 100644 --- a/nautilus_core/common/src/enums.rs +++ b/nautilus_core/common/src/enums.rs @@ -15,7 +15,7 @@ use std::{ffi::c_char, fmt::Debug, str::FromStr}; -use nautilus_core::string::{cstr_to_string, str_to_cstr}; +use nautilus_core::ffi::string::{cstr_to_string, str_to_cstr}; use serde::{Deserialize, Serialize}; use strum::{Display, EnumIter, EnumString, FromRepr}; @@ -172,11 +172,11 @@ pub enum LogLevel { impl std::fmt::Display for LogLevel { fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result { let display = match self { - LogLevel::Debug => "DBG", - LogLevel::Info => "INF", - LogLevel::Warning => "WRN", - LogLevel::Error => "ERR", - LogLevel::Critical => "CRT", + Self::Debug => "DBG", + Self::Info => "INF", + Self::Warning => "WRN", + Self::Error => "ERR", + Self::Critical => "CRT", }; write!(f, "{display}") } diff --git a/nautilus_core/common/src/clock_api.rs b/nautilus_core/common/src/ffi/clock.rs similarity index 95% rename from nautilus_core/common/src/clock_api.rs rename to nautilus_core/common/src/ffi/clock.rs index e7cf0dda6c4d..174ea0edec82 100644 --- a/nautilus_core/common/src/clock_api.rs +++ b/nautilus_core/common/src/ffi/clock.rs @@ -18,7 +18,10 @@ use std::{ ops::{Deref, DerefMut}, }; -use nautilus_core::{cvec::CVec, string::cstr_to_string, time::UnixNanos}; +use nautilus_core::{ + ffi::{cvec::CVec, string::cstr_to_string}, + time::UnixNanos, +}; use pyo3::{ ffi, prelude::*, @@ -68,7 +71,7 @@ pub extern "C" fn test_clock_drop(clock: TestClock_API) { } /// # Safety -/// - Assumes `callback_ptr` is a valid PyCallable pointer. +/// - Assumes `callback_ptr` is a valid `PyCallable` pointer. #[no_mangle] pub unsafe extern "C" fn test_clock_register_default_handler( clock: &mut TestClock_API, @@ -127,7 +130,7 @@ pub extern "C" fn test_clock_timer_count(clock: &mut TestClock_API) -> usize { /// # Safety /// /// - Assumes `name_ptr` is a valid C string pointer. -/// - Assumes `callback_ptr` is a valid PyCallable pointer. +/// - Assumes `callback_ptr` is a valid `PyCallable` pointer. #[no_mangle] pub unsafe extern "C" fn test_clock_set_time_alert_ns( clock: &mut TestClock_API, @@ -148,7 +151,7 @@ pub unsafe extern "C" fn test_clock_set_time_alert_ns( /// # Safety /// /// - Assumes `name_ptr` is a valid C string pointer. -/// - Assumes `callback_ptr` is a valid PyCallable pointer. +/// - Assumes `callback_ptr` is a valid `PyCallable` pointer. #[no_mangle] pub unsafe extern "C" fn test_clock_set_timer_ns( clock: &mut TestClock_API, @@ -192,7 +195,7 @@ pub unsafe extern "C" fn test_clock_advance_time( pub extern "C" fn vec_time_event_handlers_drop(v: CVec) { let CVec { ptr, len, cap } = v; let data: Vec = - unsafe { Vec::from_raw_parts(ptr as *mut TimeEventHandler, len, cap) }; + unsafe { Vec::from_raw_parts(ptr.cast::(), len, cap) }; drop(data); // Memory freed here } diff --git a/nautilus_core/common/src/logging_api.rs b/nautilus_core/common/src/ffi/logging.rs similarity index 96% rename from nautilus_core/common/src/logging_api.rs rename to nautilus_core/common/src/ffi/logging.rs index 1430eb347eff..411600c6e9d5 100644 --- a/nautilus_core/common/src/logging_api.rs +++ b/nautilus_core/common/src/ffi/logging.rs @@ -19,8 +19,10 @@ use std::{ }; use nautilus_core::{ - parsing::optional_bytes_to_json, - string::{cstr_to_string, optional_cstr_to_string, str_to_cstr}, + ffi::{ + parsing::optional_bytes_to_json, + string::{cstr_to_string, optional_cstr_to_string, str_to_cstr}, + }, uuid::UUID4, }; use nautilus_model::identifiers::trader_id::TraderId; @@ -117,7 +119,7 @@ pub extern "C" fn logger_get_instance_id(logger: &Logger_API) -> UUID4 { #[no_mangle] pub extern "C" fn logger_is_bypassed(logger: &Logger_API) -> u8 { - logger.is_bypassed as u8 + u8::from(logger.is_bypassed) } /// Create a new log event. diff --git a/nautilus_core/common/src/ffi/mod.rs b/nautilus_core/common/src/ffi/mod.rs new file mode 100644 index 000000000000..59f543f6cb1a --- /dev/null +++ b/nautilus_core/common/src/ffi/mod.rs @@ -0,0 +1,18 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod clock; +pub mod logging; +pub mod timer; diff --git a/nautilus_core/common/src/timer_api.rs b/nautilus_core/common/src/ffi/timer.rs similarity index 83% rename from nautilus_core/common/src/timer_api.rs rename to nautilus_core/common/src/ffi/timer.rs index a515e5bc8309..fc60261e2c90 100644 --- a/nautilus_core/common/src/timer_api.rs +++ b/nautilus_core/common/src/ffi/timer.rs @@ -16,11 +16,11 @@ use std::ffi::c_char; use nautilus_core::{ - string::{cstr_to_string, str_to_cstr}, + ffi::string::{cstr_to_string, str_to_cstr}, uuid::UUID4, }; -use crate::timer::TimeEvent; +use crate::timer::{TimeEvent, TimeEventHandler}; /// # Safety /// @@ -32,7 +32,7 @@ pub unsafe extern "C" fn time_event_new( ts_event: u64, ts_init: u64, ) -> TimeEvent { - TimeEvent::new(cstr_to_string(name_ptr), event_id, ts_event, ts_init) + TimeEvent::new(&cstr_to_string(name_ptr), event_id, ts_event, ts_init).unwrap() } /// Returns a [`TimeEvent`] as a C string pointer. @@ -40,3 +40,8 @@ pub unsafe extern "C" fn time_event_new( pub extern "C" fn time_event_to_cstr(event: &TimeEvent) -> *const c_char { str_to_cstr(&event.to_string()) } + +#[no_mangle] +pub extern "C" fn dummy(v: TimeEventHandler) -> TimeEventHandler { + v +} diff --git a/nautilus_core/common/src/lib.rs b/nautilus_core/common/src/lib.rs index 737ded8ad6c7..020495e66f26 100644 --- a/nautilus_core/common/src/lib.rs +++ b/nautilus_core/common/src/lib.rs @@ -14,17 +14,16 @@ // ------------------------------------------------------------------------------------------------- pub mod clock; -#[cfg(feature = "ffi")] -pub mod clock_api; pub mod enums; pub mod logging; -#[cfg(feature = "ffi")] -pub mod logging_api; pub mod msgbus; pub mod testing; pub mod timer; + #[cfg(feature = "ffi")] -pub mod timer_api; +pub mod ffi; +#[cfg(feature = "python")] +pub mod python; #[cfg(feature = "test")] pub mod stubs { diff --git a/nautilus_core/common/src/logging.rs b/nautilus_core/common/src/logging.rs index d88570e9f6fe..350de3f0478d 100644 --- a/nautilus_core/common/src/logging.rs +++ b/nautilus_core/common/src/logging.rs @@ -78,6 +78,7 @@ impl fmt::Display for LogEvent { #[allow(clippy::too_many_arguments)] impl Logger { + #[must_use] pub fn new( trader_id: TraderId, machine_id: String, @@ -101,7 +102,7 @@ impl Logger { } Err(e) => { // Handle the error, e.g. log a warning or ignore the entry - eprintln!("Error parsing log level: {:?}", e); + eprintln!("Error parsing log level: {e:?}"); } } } @@ -121,17 +122,17 @@ impl Logger { file_format, level_filters, rx, - ) + ); }); - Logger { + Self { + tx, trader_id, machine_id, instance_id, level_stdout, level_file, is_bypassed, - tx, } } @@ -156,8 +157,7 @@ impl Logger { None => false, Some(ref unrecognized) => { eprintln!( - "Unrecognized log file format: {}. Using plain text format as default.", - unrecognized + "Unrecognized log file format: {unrecognized}. Using plain text format as default." ); false } @@ -278,7 +278,7 @@ impl Logger { fn default_log_file_basename(trader_id: &str, instance_id: &str) -> String { let current_date_utc = Utc::now().format("%Y-%m-%d"); - format!("{}_{}_{}", trader_id, current_date_utc, instance_id) + format!("{trader_id}_{current_date_utc}_{instance_id}") } fn create_log_file_path( @@ -289,7 +289,7 @@ impl Logger { is_json_format: bool, ) -> PathBuf { let basename = if let Some(file_name) = file_name { - file_name.to_owned() + file_name.clone() } else { Self::default_log_file_basename(trader_id, instance_id) }; @@ -326,7 +326,7 @@ impl Logger { if is_json_format { let json_string = serde_json::to_string(event).expect("Error serializing log event to string"); - format!("{}\n", json_string) + format!("{json_string}\n") } else { template .replace("{ts}", &unix_nanos_to_iso8601(event.timestamp)) @@ -339,42 +339,42 @@ impl Logger { fn write_stdout(out_buf: &mut BufWriter, line: &str) { match out_buf.write_all(line.as_bytes()) { - Ok(_) => {} + Ok(()) => {} Err(e) => eprintln!("Error writing to stdout: {e:?}"), } } fn flush_stdout(out_buf: &mut BufWriter) { match out_buf.flush() { - Ok(_) => {} + Ok(()) => {} Err(e) => eprintln!("Error flushing stdout: {e:?}"), } } fn write_stderr(err_buf: &mut BufWriter, line: &str) { match err_buf.write_all(line.as_bytes()) { - Ok(_) => {} + Ok(()) => {} Err(e) => eprintln!("Error writing to stderr: {e:?}"), } } fn flush_stderr(err_buf: &mut BufWriter) { match err_buf.flush() { - Ok(_) => {} + Ok(()) => {} Err(e) => eprintln!("Error flushing stderr: {e:?}"), } } fn write_file(file_buf: &mut BufWriter, line: &str) { match file_buf.write_all(line.as_bytes()) { - Ok(_) => {} + Ok(()) => {} Err(e) => eprintln!("Error writing to file: {e:?}"), } } fn flush_file(file_buf: &mut BufWriter) { match file_buf.flush() { - Ok(_) => {} + Ok(()) => {} Err(e) => eprintln!("Error writing to file: {e:?}"), } } @@ -395,24 +395,24 @@ impl Logger { message, }; if let Err(SendError(e)) = self.tx.send(event) { - eprintln!("Error sending log event: {}", e); + eprintln!("Error sending log event: {e}"); } } pub fn debug(&mut self, timestamp: u64, color: LogColor, component: String, message: String) { - self.send(timestamp, LogLevel::Debug, color, component, message) + self.send(timestamp, LogLevel::Debug, color, component, message); } pub fn info(&mut self, timestamp: u64, color: LogColor, component: String, message: String) { - self.send(timestamp, LogLevel::Info, color, component, message) + self.send(timestamp, LogLevel::Info, color, component, message); } pub fn warn(&mut self, timestamp: u64, color: LogColor, component: String, message: String) { - self.send(timestamp, LogLevel::Warning, color, component, message) + self.send(timestamp, LogLevel::Warning, color, component, message); } pub fn error(&mut self, timestamp: u64, color: LogColor, component: String, message: String) { - self.send(timestamp, LogLevel::Error, color, component, message) + self.send(timestamp, LogLevel::Error, color, component, message); } pub fn critical( @@ -422,7 +422,7 @@ impl Logger { component: String, message: String, ) { - self.send(timestamp, LogLevel::Critical, color, component, message) + self.send(timestamp, LogLevel::Critical, color, component, message); } } @@ -564,14 +564,10 @@ mod tests { wait_until( || { - let log_file_exists = std::fs::read_dir(&temp_dir) + std::fs::read_dir(&temp_dir) .expect("Failed to read directory") .filter_map(Result::ok) - .filter(|entry| entry.path().is_file()) - .next() - .is_some(); - - log_file_exists + .any(|entry| entry.path().is_file()) }, Duration::from_secs(2), ); @@ -581,12 +577,11 @@ mod tests { let log_file_path = std::fs::read_dir(&temp_dir) .expect("Failed to read directory") .filter_map(Result::ok) - .filter(|entry| entry.path().is_file()) - .next() + .find(|entry| entry.path().is_file()) .expect("No files found in directory") .path(); log_contents = - std::fs::read_to_string(&log_file_path).expect("Error while reading log file"); + std::fs::read_to_string(log_file_path).expect("Error while reading log file"); !log_contents.is_empty() }, Duration::from_secs(2), @@ -630,11 +625,10 @@ mod tests { if let Some(log_file) = std::fs::read_dir(&temp_dir) .expect("Failed to read directory") .filter_map(Result::ok) - .filter(|entry| entry.path().is_file()) - .next() + .find(|entry| entry.path().is_file()) { let log_file_path = log_file.path(); - let log_contents = std::fs::read_to_string(&log_file_path) + let log_contents = std::fs::read_to_string(log_file_path) .expect("Error while reading log file"); !log_contents.contains("RiskEngine") } else { @@ -648,9 +642,7 @@ mod tests { std::fs::read_dir(&temp_dir) .expect("Failed to read directory") .filter_map(Result::ok) - .filter(|entry| entry.path().is_file()) - .next() - .is_some(), + .any(|entry| entry.path().is_file()), "Log file exists" ); } @@ -686,11 +678,10 @@ mod tests { if let Some(log_file) = std::fs::read_dir(&temp_dir) .expect("Failed to read directory") .filter_map(Result::ok) - .filter(|entry| entry.path().is_file()) - .next() + .find(|entry| entry.path().is_file()) { let log_file_path = log_file.path(); - log_contents = std::fs::read_to_string(&log_file_path) + log_contents = std::fs::read_to_string(log_file_path) .expect("Error while reading log file"); !log_contents.is_empty() } else { diff --git a/nautilus_core/common/src/msgbus.rs b/nautilus_core/common/src/msgbus.rs index a87dc66f64eb..5ed133815c49 100644 --- a/nautilus_core/common/src/msgbus.rs +++ b/nautilus_core/common/src/msgbus.rs @@ -110,7 +110,7 @@ impl MessageBus { fn send(&self, endpoint: &String, msg: &Message) { if let Some(handler) = self.endpoints.get(endpoint) { - handler(msg) + handler(msg); } } @@ -123,7 +123,7 @@ impl MessageBus { } else { self.correlation_index.insert(*id, callback); if let Some(handler) = self.endpoints.get(endpoint) { - handler(request) + handler(request); } else { // TODO: log error } @@ -144,7 +144,7 @@ impl MessageBus { correlation_id, } => { if let Some(callback) = self.correlation_index.get(correlation_id) { - callback(response) + callback(response); } else { // TODO: log error } @@ -192,7 +192,7 @@ impl MessageBus { let handlers = entry.or_insert_with(matching_handlers); // call matched handlers - handlers.iter().for_each(|handler| handler(msg)) + handlers.iter().for_each(|handler| handler(msg)); } } @@ -221,7 +221,7 @@ fn is_matching(topic: &String, pattern: &String) -> bool { } else if pc == '?' || tc == pc { table[i + 1][j + 1] = table[i][j]; } - }) + }); }); table[n][m] diff --git a/nautilus_core/common/src/python/mod.rs b/nautilus_core/common/src/python/mod.rs new file mode 100644 index 000000000000..c50115557d1b --- /dev/null +++ b/nautilus_core/common/src/python/mod.rs @@ -0,0 +1,16 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod timer; diff --git a/nautilus_core/common/src/python/timer.rs b/nautilus_core/common/src/python/timer.rs new file mode 100644 index 000000000000..bcca6e6c0a12 --- /dev/null +++ b/nautilus_core/common/src/python/timer.rs @@ -0,0 +1,112 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::str::FromStr; + +use nautilus_core::{python::to_pyvalue_err, time::UnixNanos, uuid::UUID4}; +use pyo3::{ + basic::CompareOp, + prelude::*, + types::{PyLong, PyString, PyTuple}, + IntoPy, Py, PyAny, PyObject, PyResult, Python, ToPyObject, +}; +use ustr::Ustr; + +use crate::timer::TimeEvent; + +#[pymethods] +impl TimeEvent { + #[new] + fn py_new( + name: &str, + event_id: UUID4, + ts_event: UnixNanos, + ts_init: UnixNanos, + ) -> PyResult { + Self::new(name, event_id, ts_event, ts_init).map_err(to_pyvalue_err) + } + + fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { + let tuple: (&PyString, &PyString, &PyLong, &PyLong) = state.extract(py)?; + + self.name = Ustr::from(tuple.0.extract()?); + self.event_id = UUID4::from_str(tuple.1.extract()?).map_err(to_pyvalue_err)?; + self.ts_event = tuple.2.extract()?; + self.ts_init = tuple.3.extract()?; + + Ok(()) + } + + fn __getstate__(&self, py: Python) -> PyResult { + Ok(( + self.name.to_string(), + self.event_id.to_string(), + self.ts_event, + self.ts_init, + ) + .to_object(py)) + } + + fn __reduce__(&self, py: Python) -> PyResult { + let safe_constructor = py.get_type::().getattr("_safe_constructor")?; + let state = self.__getstate__(py)?; + Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) + } + + #[staticmethod] + fn _safe_constructor() -> PyResult { + Ok(Self::new("NULL", UUID4::new(), 0, 0).unwrap()) // Safe default + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("{}('{}')", stringify!(UUID4), self) + } + + #[getter] + #[pyo3(name = "name")] + fn py_name(&self) -> String { + self.name.to_string() + } + + #[getter] + #[pyo3(name = "event_id")] + fn py_event_id(&self) -> UUID4 { + self.event_id + } + + #[getter] + #[pyo3(name = "ts_event")] + fn py_ts_event(&self) -> UnixNanos { + self.ts_event + } + + #[getter] + #[pyo3(name = "ts_init")] + fn py_ts_init(&self) -> UnixNanos { + self.ts_init + } +} diff --git a/nautilus_core/common/src/testing.rs b/nautilus_core/common/src/testing.rs index eef1a0f48418..739e1f32bc73 100644 --- a/nautilus_core/common/src/testing.rs +++ b/nautilus_core/common/src/testing.rs @@ -63,9 +63,10 @@ where break; } - if start_time.elapsed() > timeout { - panic!("Timeout waiting for condition"); - } + assert!( + start_time.elapsed() <= timeout, + "Timeout waiting for condition" + ); thread::sleep(Duration::from_millis(100)); } diff --git a/nautilus_core/common/src/timer.rs b/nautilus_core/common/src/timer.rs index c5a4636db649..c134e1ed0e23 100644 --- a/nautilus_core/common/src/timer.rs +++ b/nautilus_core/common/src/timer.rs @@ -18,6 +18,7 @@ use std::{ fmt::{Display, Formatter}, }; +use anyhow::Result; use nautilus_core::{ correctness::check_valid_string, time::{TimedeltaNanos, UnixNanos}, @@ -29,6 +30,10 @@ use ustr::Ustr; #[repr(C)] #[derive(Clone, Debug)] #[allow(clippy::redundant_allocation)] // C ABI compatibility +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.common") +)] /// Represents a time event occurring at the event timestamp. pub struct TimeEvent { /// The event name. @@ -42,16 +47,20 @@ pub struct TimeEvent { } impl TimeEvent { - #[must_use] - pub fn new(name: String, event_id: UUID4, ts_event: UnixNanos, ts_init: UnixNanos) -> Self { - check_valid_string(&name, "`TimeEvent` name").unwrap(); - - TimeEvent { - name: Ustr::from(&name), + pub fn new( + name: &str, + event_id: UUID4, + ts_event: UnixNanos, + ts_init: UnixNanos, + ) -> Result { + check_valid_string(name, "`TimeEvent` name")?; + + Ok(Self { + name: Ustr::from(name), event_id, ts_event, ts_init, - } + }) } } @@ -113,12 +122,6 @@ pub trait Timer { fn cancel(&mut self); } -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn dummy(v: TimeEventHandler) -> TimeEventHandler { - v -} - #[derive(Clone)] pub struct TestTimer { pub name: String, @@ -139,7 +142,7 @@ impl TestTimer { ) -> Self { check_valid_string(&name, "`TestTimer` name").unwrap(); - TestTimer { + Self { name, interval_ns, start_time_ns, @@ -149,6 +152,7 @@ impl TestTimer { } } + #[must_use] pub fn pop_event(&self, event_id: UUID4, ts_init: UnixNanos) -> TimeEvent { TimeEvent { name: Ustr::from(&self.name), @@ -159,7 +163,7 @@ impl TestTimer { } /// Advance the test timer forward to the given time, generating a sequence - /// of events. A [TimeEvent] is appended for each time a next event is + /// of events. A [`TimeEvent`] is appended for each time a next event is /// <= the given `to_time_ns`. pub fn advance(&mut self, to_time_ns: UnixNanos) -> impl Iterator + '_ { let advances = @@ -213,7 +217,7 @@ mod tests { use super::{TestTimer, TimeEvent}; - #[test] + #[rstest] fn test_pop_event() { let name = String::from("test_timer"); let mut timer = TestTimer::new(name, 0, 1, None); @@ -233,7 +237,7 @@ mod tests { let _: Vec = timer.advance(3).collect(); assert_eq!(timer.advance(4).count(), 0); assert_eq!(timer.next_time_ns, 5); - assert!(!timer.is_expired) + assert!(!timer.is_expired); } #[rstest] diff --git a/nautilus_core/core/Cargo.toml b/nautilus_core/core/Cargo.toml index bf5de5efd8cb..7d5488aa8759 100644 --- a/nautilus_core/core/Cargo.toml +++ b/nautilus_core/core/Cargo.toml @@ -19,6 +19,7 @@ serde = { workspace = true } serde_json = { workspace = true } ustr = { workspace = true } uuid = { workspace = true } +heck = "0.4.1" [features] extension-module = ["pyo3/extension-module"] diff --git a/nautilus_core/core/src/datetime.rs b/nautilus_core/core/src/datetime.rs index b1c6d9610f0c..e2809269326a 100644 --- a/nautilus_core/core/src/datetime.rs +++ b/nautilus_core/core/src/datetime.rs @@ -26,54 +26,55 @@ const NANOSECONDS_IN_MILLISECOND: u64 = 1_000_000; const NANOSECONDS_IN_MICROSECOND: u64 = 1_000; /// Converts seconds to nanoseconds (ns). -#[no_mangle] #[inline] +#[no_mangle] pub extern "C" fn secs_to_nanos(secs: f64) -> u64 { (secs * NANOSECONDS_IN_SECOND as f64) as u64 } /// Converts seconds to milliseconds (ms). -#[no_mangle] #[inline] +#[no_mangle] pub extern "C" fn secs_to_millis(secs: f64) -> u64 { (secs * MILLISECONDS_IN_SECOND as f64) as u64 } /// Converts milliseconds (ms) to nanoseconds (ns). -#[no_mangle] #[inline] +#[no_mangle] pub extern "C" fn millis_to_nanos(millis: f64) -> u64 { (millis * NANOSECONDS_IN_MILLISECOND as f64) as u64 } /// Converts microseconds (μs) to nanoseconds (ns). -#[no_mangle] #[inline] +#[no_mangle] pub extern "C" fn micros_to_nanos(micros: f64) -> u64 { (micros * NANOSECONDS_IN_MICROSECOND as f64) as u64 } /// Converts nanoseconds (ns) to seconds. -#[no_mangle] #[inline] +#[no_mangle] pub extern "C" fn nanos_to_secs(nanos: u64) -> f64 { nanos as f64 / NANOSECONDS_IN_SECOND as f64 } /// Converts nanoseconds (ns) to milliseconds (ms). -#[no_mangle] #[inline] +#[no_mangle] pub extern "C" fn nanos_to_millis(nanos: u64) -> u64 { nanos / NANOSECONDS_IN_MILLISECOND } /// Converts nanoseconds (ns) to microseconds (μs). -#[no_mangle] #[inline] +#[no_mangle] pub extern "C" fn nanos_to_micros(nanos: u64) -> u64 { nanos / NANOSECONDS_IN_MICROSECOND } +/// Converts a UNIX nanoseconds timestamp to an ISO 8601 formatted string. #[inline] #[must_use] pub fn unix_nanos_to_iso8601(timestamp_ns: u64) -> String { diff --git a/nautilus_core/core/src/cvec.rs b/nautilus_core/core/src/ffi/cvec.rs similarity index 100% rename from nautilus_core/core/src/cvec.rs rename to nautilus_core/core/src/ffi/cvec.rs diff --git a/nautilus_core/core/src/ffi/datetime.rs b/nautilus_core/core/src/ffi/datetime.rs new file mode 100644 index 000000000000..9aa69c4146b9 --- /dev/null +++ b/nautilus_core/core/src/ffi/datetime.rs @@ -0,0 +1,25 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use crate::{datetime::unix_nanos_to_iso8601, ffi::string::str_to_cstr}; + +/// Converts a UNIX nanoseconds timestamp to an ISO 8601 formatted C string pointer. +#[cfg(feature = "ffi")] +#[no_mangle] +pub extern "C" fn unix_nanos_to_iso8601_cstr(timestamp_ns: u64) -> *const c_char { + str_to_cstr(&unix_nanos_to_iso8601(timestamp_ns)) +} diff --git a/nautilus_core/core/src/ffi/mod.rs b/nautilus_core/core/src/ffi/mod.rs new file mode 100644 index 000000000000..5f6f51a41c06 --- /dev/null +++ b/nautilus_core/core/src/ffi/mod.rs @@ -0,0 +1,20 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod cvec; +pub mod datetime; +pub mod parsing; +pub mod string; +pub mod uuid; diff --git a/nautilus_core/core/src/ffi/parsing.rs b/nautilus_core/core/src/ffi/parsing.rs new file mode 100644 index 000000000000..5c29cc4cf64b --- /dev/null +++ b/nautilus_core/core/src/ffi/parsing.rs @@ -0,0 +1,261 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::HashMap, + ffi::{c_char, CStr, CString}, +}; + +use serde_json::{Result, Value}; +use ustr::Ustr; + +use crate::{ffi::string::cstr_to_string, parsing::precision_from_str}; + +/// Convert a C bytes pointer into an owned `Vec`. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[must_use] +pub unsafe fn bytes_to_string_vec(ptr: *const c_char) -> Vec { + assert!(!ptr.is_null(), "`ptr` was NULL"); + + let c_str = CStr::from_ptr(ptr); + let bytes = c_str.to_bytes(); + let json_string = std::str::from_utf8(bytes).unwrap(); + let parsed_value: serde_json::Value = serde_json::from_str(json_string).unwrap(); + + match parsed_value { + serde_json::Value::Array(arr) => arr + .into_iter() + .filter_map(|value| match value { + serde_json::Value::String(string_value) => Some(string_value), + _ => None, + }) + .collect(), + _ => Vec::new(), + } +} + +#[must_use] +pub fn string_vec_to_bytes(strings: Vec) -> *const c_char { + let json_string = serde_json::to_string(&strings).unwrap(); + let c_string = CString::new(json_string).unwrap(); + c_string.into_raw() +} + +/// Convert a C bytes pointer into an owned `Option>`. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[must_use] +pub unsafe fn optional_bytes_to_json(ptr: *const c_char) -> Option> { + if ptr.is_null() { + None + } else { + let c_str = CStr::from_ptr(ptr); + let bytes = c_str.to_bytes(); + let json_string = std::str::from_utf8(bytes).unwrap(); + let result: Result> = serde_json::from_str(json_string); + match result { + Ok(map) => Some(map), + Err(e) => { + eprintln!("Error parsing JSON: {e}"); + None + } + } + } +} + +/// Convert a C bytes pointer into an owned `Option>`. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[must_use] +pub unsafe fn optional_bytes_to_str_map(ptr: *const c_char) -> Option> { + if ptr.is_null() { + None + } else { + let c_str = CStr::from_ptr(ptr); + let bytes = c_str.to_bytes(); + let json_string = std::str::from_utf8(bytes).unwrap(); + let result: Result> = serde_json::from_str(json_string); + match result { + Ok(map) => Some(map), + Err(e) => { + eprintln!("Error parsing JSON: {e}"); + None + } + } + } +} + +/// Convert a C bytes pointer into an owned `Option>`. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[must_use] +pub unsafe fn optional_bytes_to_str_vec(ptr: *const c_char) -> Option> { + if ptr.is_null() { + None + } else { + let c_str = CStr::from_ptr(ptr); + let bytes = c_str.to_bytes(); + let json_string = std::str::from_utf8(bytes).unwrap(); + let result: Result> = serde_json::from_str(json_string); + match result { + Ok(map) => Some(map), + Err(e) => { + eprintln!("Error parsing JSON: {e}"); + None + } + } + } +} + +/// Return the decimal precision inferred from the given C string. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +/// +/// # Panics +/// +/// - If `ptr` is null. +#[no_mangle] +pub unsafe extern "C" fn precision_from_cstr(ptr: *const c_char) -> u8 { + assert!(!ptr.is_null(), "`ptr` was NULL"); + precision_from_str(&cstr_to_string(ptr)) +} + +/// Return a `bool` value from the given `u8`. +#[must_use] +pub fn u8_to_bool(value: u8) -> bool { + value != 0 +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use std::ffi::CString; + + use rstest::rstest; + + use super::*; + + #[rstest] + fn test_optional_bytes_to_json_null() { + let ptr = std::ptr::null(); + let result = unsafe { optional_bytes_to_json(ptr) }; + assert_eq!(result, None); + } + + #[rstest] + fn test_optional_bytes_to_json_empty() { + let json_str = CString::new("{}").unwrap(); + let ptr = json_str.as_ptr() as *const c_char; + let result = unsafe { optional_bytes_to_json(ptr) }; + assert_eq!(result, Some(HashMap::new())); + } + + #[rstest] + fn test_string_vec_to_bytes_valid() { + let strings = vec!["value1", "value2", "value3"] + .into_iter() + .map(String::from) + .collect::>(); + + let ptr = string_vec_to_bytes(strings.clone()); + + let result = unsafe { bytes_to_string_vec(ptr) }; + assert_eq!(result, strings); + } + + #[rstest] + fn test_string_vec_to_bytes_empty() { + let strings = Vec::new(); + let ptr = string_vec_to_bytes(strings.clone()); + + let result = unsafe { bytes_to_string_vec(ptr) }; + assert_eq!(result, strings); + } + + #[rstest] + fn test_bytes_to_string_vec_valid() { + let json_str = CString::new(r#"["value1", "value2", "value3"]"#).unwrap(); + let ptr = json_str.as_ptr() as *const c_char; + let result = unsafe { bytes_to_string_vec(ptr) }; + + let expected_vec = vec!["value1", "value2", "value3"] + .into_iter() + .map(String::from) + .collect::>(); + + assert_eq!(result, expected_vec); + } + + #[rstest] + fn test_bytes_to_string_vec_invalid() { + let json_str = CString::new(r#"["value1", 42, "value3"]"#).unwrap(); + let ptr = json_str.as_ptr() as *const c_char; + let result = unsafe { bytes_to_string_vec(ptr) }; + + let expected_vec = vec!["value1", "value3"] + .into_iter() + .map(String::from) + .collect::>(); + + assert_eq!(result, expected_vec); + } + + #[rstest] + fn test_optional_bytes_to_json_valid() { + let json_str = CString::new(r#"{"key1": "value1", "key2": 2}"#).unwrap(); + let ptr = json_str.as_ptr() as *const c_char; + let result = unsafe { optional_bytes_to_json(ptr) }; + let mut expected_map = HashMap::new(); + expected_map.insert("key1".to_owned(), Value::String("value1".to_owned())); + expected_map.insert( + "key2".to_owned(), + Value::Number(serde_json::Number::from(2)), + ); + assert_eq!(result, Some(expected_map)); + } + + #[rstest] + fn test_optional_bytes_to_json_invalid() { + let json_str = CString::new(r#"{"key1": "value1", "key2": }"#).unwrap(); + let ptr = json_str.as_ptr() as *const c_char; + let result = unsafe { optional_bytes_to_json(ptr) }; + assert_eq!(result, None); + } + + #[rstest] + #[case("1e8", 0)] + #[case("123", 0)] + #[case("123.45", 2)] + #[case("123.456789", 6)] + #[case("1.23456789e-2", 2)] + #[case("1.23456789e-12", 12)] + fn test_precision_from_cstr(#[case] input: &str, #[case] expected: u8) { + let c_str = CString::new(input).unwrap(); + assert_eq!(unsafe { precision_from_cstr(c_str.as_ptr()) }, expected); + } +} diff --git a/nautilus_core/core/src/string.rs b/nautilus_core/core/src/ffi/string.rs similarity index 90% rename from nautilus_core/core/src/string.rs rename to nautilus_core/core/src/ffi/string.rs index 0006b08a861f..199783eaab7f 100644 --- a/nautilus_core/core/src/string.rs +++ b/nautilus_core/core/src/ffi/string.rs @@ -69,6 +69,21 @@ pub unsafe fn optional_cstr_to_ustr(ptr: *const c_char) -> Option { } } +/// Convert a C string pointer into a string slice. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +/// +/// # Panics +/// +/// - If `ptr` is null. +#[must_use] +pub unsafe fn cstr_to_str(ptr: *const c_char) -> &'static str { + assert!(!ptr.is_null(), "`ptr` was NULL"); + CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed") +} + /// Convert a C string pointer into an owned `String`. /// /// # Safety @@ -80,11 +95,7 @@ pub unsafe fn optional_cstr_to_ustr(ptr: *const c_char) -> Option { /// - If `ptr` is null. #[must_use] pub unsafe fn cstr_to_string(ptr: *const c_char) -> String { - assert!(!ptr.is_null(), "`ptr` was NULL"); - CStr::from_ptr(ptr) - .to_str() - .expect("CStr::from_ptr failed") - .to_string() + cstr_to_str(ptr).to_string() } /// Convert a C string pointer into an owned `Option`. @@ -152,6 +163,15 @@ mod tests { }; } + #[rstest] + fn test_cstr_to_str() { + // Create a valid C string pointer + let c_string = CString::new("test string2").expect("CString::new failed"); + let ptr = c_string.as_ptr(); + let result = unsafe { cstr_to_str(ptr) }; + assert_eq!(result, "test string2"); + } + #[rstest] fn test_cstr_to_string() { // Create a valid C string pointer diff --git a/nautilus_core/core/src/ffi/uuid.rs b/nautilus_core/core/src/ffi/uuid.rs new file mode 100644 index 000000000000..ea8323bf2f95 --- /dev/null +++ b/nautilus_core/core/src/ffi/uuid.rs @@ -0,0 +1,121 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::hash_map::DefaultHasher, + ffi::{c_char, CStr}, + hash::{Hash, Hasher}, +}; + +use crate::uuid::UUID4; + +#[no_mangle] +pub extern "C" fn uuid4_new() -> UUID4 { + UUID4::new() +} + +/// Returns a [`UUID4`] from C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +/// +/// # Panics +/// +/// - If `ptr` cannot be cast to a valid C string. +#[no_mangle] +pub unsafe extern "C" fn uuid4_from_cstr(ptr: *const c_char) -> UUID4 { + assert!(!ptr.is_null(), "`ptr` was NULL"); + UUID4::from( + CStr::from_ptr(ptr) + .to_str() + .unwrap_or_else(|_| panic!("CStr::from_ptr failed")), + ) +} + +#[no_mangle] +pub extern "C" fn uuid4_to_cstr(uuid: &UUID4) -> *const c_char { + uuid.to_cstr().as_ptr() +} + +#[no_mangle] +pub extern "C" fn uuid4_eq(lhs: &UUID4, rhs: &UUID4) -> u8 { + u8::from(lhs == rhs) +} + +#[no_mangle] +pub extern "C" fn uuid4_hash(uuid: &UUID4) -> u64 { + let mut h = DefaultHasher::new(); + uuid.hash(&mut h); + h.finish() +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use std::ffi::CString; + + use rstest::*; + use uuid::{self, Uuid}; + + use super::*; + + #[rstest] + fn test_uuid4_new() { + let uuid = uuid4_new(); + let uuid_string = uuid.to_string(); + let uuid_parsed = Uuid::parse_str(&uuid_string).expect("Uuid::parse_str failed"); + assert_eq!(uuid_parsed.get_version().unwrap(), uuid::Version::Random); + } + + #[rstest] + fn test_uuid4_from_cstr() { + let uuid_string = "6ba7b810-9dad-11d1-80b4-00c04fd430c8"; + let uuid_cstring = CString::new(uuid_string).expect("CString::new failed"); + let uuid_ptr = uuid_cstring.as_ptr(); + let uuid = unsafe { uuid4_from_cstr(uuid_ptr) }; + assert_eq!(uuid_string, uuid.to_string()); + } + + #[rstest] + fn test_uuid4_to_cstr() { + let uuid_string = "6ba7b810-9dad-11d1-80b4-00c04fd430c8"; + let uuid = UUID4::from(uuid_string); + let uuid_ptr = uuid4_to_cstr(&uuid); + let uuid_cstr = unsafe { CStr::from_ptr(uuid_ptr) }; + let uuid_result_string = uuid_cstr.to_str().expect("CStr::to_str failed").to_string(); + assert_eq!(uuid_string, uuid_result_string); + } + + #[rstest] + fn test_uuid4_eq() { + let uuid1 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c8"); + let uuid2 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c8"); + let uuid3 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c9"); + assert_eq!(uuid4_eq(&uuid1, &uuid2), 1); + assert_eq!(uuid4_eq(&uuid1, &uuid3), 0); + } + + #[rstest] + fn test_uuid4_hash() { + let uuid1 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c8"); + let uuid2 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c8"); + let uuid3 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c9"); + assert_eq!(uuid4_hash(&uuid1), uuid4_hash(&uuid2)); + assert_ne!(uuid4_hash(&uuid1), uuid4_hash(&uuid3)); + } +} diff --git a/nautilus_core/core/src/lib.rs b/nautilus_core/core/src/lib.rs index 02521adf5df8..629d50f6e492 100644 --- a/nautilus_core/core/src/lib.rs +++ b/nautilus_core/core/src/lib.rs @@ -13,21 +13,14 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -use pyo3::{prelude::*, PyResult, Python}; - pub mod correctness; -pub mod cvec; pub mod datetime; pub mod parsing; -pub mod python; pub mod serialization; -pub mod string; pub mod time; pub mod uuid; -/// Loaded as nautilus_pyo3.core -#[pymodule] -pub fn core(_: Python<'_>, m: &PyModule) -> PyResult<()> { - m.add_class::()?; - Ok(()) -} +#[cfg(feature = "ffi")] +pub mod ffi; +#[cfg(feature = "python")] +pub mod python; diff --git a/nautilus_core/core/src/parsing.rs b/nautilus_core/core/src/parsing.rs index ab15086de0c2..30b61898b862 100644 --- a/nautilus_core/core/src/parsing.rs +++ b/nautilus_core/core/src/parsing.rs @@ -13,121 +13,6 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -use std::{ - collections::HashMap, - ffi::{c_char, CStr, CString}, -}; - -use serde_json::{Result, Value}; -use ustr::Ustr; - -use crate::string::cstr_to_string; - -/// Convert a C bytes pointer into an owned `Vec`. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[must_use] -pub unsafe fn bytes_to_string_vec(ptr: *const c_char) -> Vec { - assert!(!ptr.is_null(), "`ptr` was NULL"); - - let c_str = CStr::from_ptr(ptr); - let bytes = c_str.to_bytes(); - let json_string = std::str::from_utf8(bytes).unwrap(); - let parsed_value: serde_json::Value = serde_json::from_str(json_string).unwrap(); - - match parsed_value { - serde_json::Value::Array(arr) => arr - .into_iter() - .filter_map(|value| match value { - serde_json::Value::String(string_value) => Some(string_value), - _ => None, - }) - .collect(), - _ => Vec::new(), - } -} - -#[must_use] -pub fn string_vec_to_bytes(strings: Vec) -> *const c_char { - let json_string = serde_json::to_string(&strings).unwrap(); - let c_string = CString::new(json_string).unwrap(); - c_string.into_raw() -} - -/// Convert a C bytes pointer into an owned `Option>`. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[must_use] -pub unsafe fn optional_bytes_to_json(ptr: *const c_char) -> Option> { - if ptr.is_null() { - None - } else { - let c_str = CStr::from_ptr(ptr); - let bytes = c_str.to_bytes(); - let json_string = std::str::from_utf8(bytes).unwrap(); - let result: Result> = serde_json::from_str(json_string); - match result { - Ok(map) => Some(map), - Err(err) => { - eprintln!("Error parsing JSON: {err}"); - None - } - } - } -} - -/// Convert a C bytes pointer into an owned `Option>`. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[must_use] -pub unsafe fn optional_bytes_to_str_map(ptr: *const c_char) -> Option> { - if ptr.is_null() { - None - } else { - let c_str = CStr::from_ptr(ptr); - let bytes = c_str.to_bytes(); - let json_string = std::str::from_utf8(bytes).unwrap(); - let result: Result> = serde_json::from_str(json_string); - match result { - Ok(map) => Some(map), - Err(err) => { - eprintln!("Error parsing JSON: {err}"); - None - } - } - } -} - -/// Convert a C bytes pointer into an owned `Option>`. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[must_use] -pub unsafe fn optional_bytes_to_str_vec(ptr: *const c_char) -> Option> { - if ptr.is_null() { - None - } else { - let c_str = CStr::from_ptr(ptr); - let bytes = c_str.to_bytes(); - let json_string = std::str::from_utf8(bytes).unwrap(); - let result: Result> = serde_json::from_str(json_string); - match result { - Ok(map) => Some(map), - Err(err) => { - eprintln!("Error parsing JSON: {err}"); - None - } - } - } -} - /// Return the decimal precision inferred from the given string. #[must_use] pub fn precision_from_str(s: &str) -> u8 { @@ -142,124 +27,15 @@ pub fn precision_from_str(s: &str) -> u8 { return lower_s.split('.').last().unwrap().len() as u8; } -/// Return the decimal precision inferred from the given C string. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -/// -/// # Panics -/// -/// - If `ptr` is null. -#[no_mangle] -pub unsafe extern "C" fn precision_from_cstr(ptr: *const c_char) -> u8 { - assert!(!ptr.is_null(), "`ptr` was NULL"); - precision_from_str(&cstr_to_string(ptr)) -} - -/// Return a `bool` value from the given `u8`. -pub fn u8_to_bool(value: u8) -> bool { - value != 0 -} - //////////////////////////////////////////////////////////////////////////////// // Tests //////////////////////////////////////////////////////////////////////////////// #[cfg(test)] mod tests { - use std::ffi::CString; - use rstest::rstest; use super::*; - #[rstest] - fn test_optional_bytes_to_json_null() { - let ptr = std::ptr::null(); - let result = unsafe { optional_bytes_to_json(ptr) }; - assert_eq!(result, None); - } - - #[rstest] - fn test_optional_bytes_to_json_empty() { - let json_str = CString::new("{}").unwrap(); - let ptr = json_str.as_ptr() as *const c_char; - let result = unsafe { optional_bytes_to_json(ptr) }; - assert_eq!(result, Some(HashMap::new())); - } - - #[rstest] - fn test_string_vec_to_bytes_valid() { - let strings = vec!["value1", "value2", "value3"] - .into_iter() - .map(String::from) - .collect::>(); - - let ptr = string_vec_to_bytes(strings.clone()); - - let result = unsafe { bytes_to_string_vec(ptr) }; - assert_eq!(result, strings); - } - - #[rstest] - fn test_string_vec_to_bytes_empty() { - let strings = Vec::new(); - let ptr = string_vec_to_bytes(strings.clone()); - - let result = unsafe { bytes_to_string_vec(ptr) }; - assert_eq!(result, strings); - } - - #[rstest] - fn test_bytes_to_string_vec_valid() { - let json_str = CString::new(r#"["value1", "value2", "value3"]"#).unwrap(); - let ptr = json_str.as_ptr() as *const c_char; - let result = unsafe { bytes_to_string_vec(ptr) }; - - let expected_vec = vec!["value1", "value2", "value3"] - .into_iter() - .map(String::from) - .collect::>(); - - assert_eq!(result, expected_vec); - } - - #[rstest] - fn test_bytes_to_string_vec_invalid() { - let json_str = CString::new(r#"["value1", 42, "value3"]"#).unwrap(); - let ptr = json_str.as_ptr() as *const c_char; - let result = unsafe { bytes_to_string_vec(ptr) }; - - let expected_vec = vec!["value1", "value3"] - .into_iter() - .map(String::from) - .collect::>(); - - assert_eq!(result, expected_vec); - } - - #[rstest] - fn test_optional_bytes_to_json_valid() { - let json_str = CString::new(r#"{"key1": "value1", "key2": 2}"#).unwrap(); - let ptr = json_str.as_ptr() as *const c_char; - let result = unsafe { optional_bytes_to_json(ptr) }; - let mut expected_map = HashMap::new(); - expected_map.insert("key1".to_owned(), Value::String("value1".to_owned())); - expected_map.insert( - "key2".to_owned(), - Value::Number(serde_json::Number::from(2)), - ); - assert_eq!(result, Some(expected_map)); - } - - #[rstest] - fn test_optional_bytes_to_json_invalid() { - let json_str = CString::new(r#"{"key1": "value1", "key2": }"#).unwrap(); - let ptr = json_str.as_ptr() as *const c_char; - let result = unsafe { optional_bytes_to_json(ptr) }; - assert_eq!(result, None); - } - #[rstest] #[case("", 0)] #[case("0", 0)] @@ -276,16 +52,4 @@ mod tests { let result = precision_from_str(s); assert_eq!(result, expected); } - - #[rstest] - #[case("1e8", 0)] - #[case("123", 0)] - #[case("123.45", 2)] - #[case("123.456789", 6)] - #[case("1.23456789e-2", 2)] - #[case("1.23456789e-12", 12)] - fn test_precision_from_cstr(#[case] input: &str, #[case] expected: u8) { - let c_str = CString::new(input).unwrap(); - assert_eq!(unsafe { precision_from_cstr(c_str.as_ptr()) }, expected); - } } diff --git a/nautilus_core/core/src/python/casing.rs b/nautilus_core/core/src/python/casing.rs new file mode 100644 index 000000000000..62cad36afa19 --- /dev/null +++ b/nautilus_core/core/src/python/casing.rs @@ -0,0 +1,22 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use heck::ToSnakeCase; +use pyo3::prelude::*; + +#[pyfunction(name = "convert_to_snake_case")] +pub fn py_convert_to_snake_case(s: String) -> String { + s.to_snake_case() +} diff --git a/nautilus_core/core/src/python/datetime.rs b/nautilus_core/core/src/python/datetime.rs new file mode 100644 index 000000000000..843b7282732c --- /dev/null +++ b/nautilus_core/core/src/python/datetime.rs @@ -0,0 +1,61 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use pyo3::prelude::*; + +use crate::datetime::{ + micros_to_nanos, millis_to_nanos, nanos_to_micros, nanos_to_millis, nanos_to_secs, + secs_to_millis, secs_to_nanos, unix_nanos_to_iso8601, +}; + +#[pyfunction(name = "secs_to_nanos")] +pub fn py_secs_to_nanos(secs: f64) -> u64 { + secs_to_nanos(secs) +} + +#[pyfunction(name = "secs_to_millis")] +pub fn py_secs_to_millis(secs: f64) -> u64 { + secs_to_millis(secs) +} + +#[pyfunction(name = "millis_to_nanos")] +pub fn py_millis_to_nanos(millis: f64) -> u64 { + millis_to_nanos(millis) +} + +#[pyfunction(name = "micros_to_nanos")] +pub fn py_micros_to_nanos(micros: f64) -> u64 { + micros_to_nanos(micros) +} + +#[pyfunction(name = "nanos_to_secs")] +pub fn py_nanos_to_secs(nanos: u64) -> f64 { + nanos_to_secs(nanos) +} + +#[pyfunction(name = "nanos_to_millis")] +pub fn py_nanos_to_millis(nanos: u64) -> u64 { + nanos_to_millis(nanos) +} + +#[pyfunction(name = "nanos_to_micros")] +pub fn py_nanos_to_micros(nanos: u64) -> u64 { + nanos_to_micros(nanos) +} + +#[pyfunction(name = "unix_nanos_to_iso8601")] +pub fn py_unix_nanos_to_iso8601(timestamp_ns: u64) -> String { + unix_nanos_to_iso8601(timestamp_ns) +} diff --git a/nautilus_core/core/src/python/mod.rs b/nautilus_core/core/src/python/mod.rs new file mode 100644 index 000000000000..b84cb9a8af45 --- /dev/null +++ b/nautilus_core/core/src/python/mod.rs @@ -0,0 +1,62 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::fmt; + +use pyo3::{ + exceptions::{PyRuntimeError, PyTypeError, PyValueError}, + prelude::*, + wrap_pyfunction, +}; +pub mod casing; +pub mod datetime; +pub mod serialization; +pub mod uuid; + +/// Gets the type name for the given Python `obj`. +pub fn get_pytype_name<'p>(obj: &'p PyObject, py: Python<'p>) -> PyResult<&'p str> { + obj.as_ref(py).get_type().name() +} + +/// Converts any type that implements `Display` to a Python `ValueError`. +pub fn to_pyvalue_err(e: impl fmt::Display) -> PyErr { + PyValueError::new_err(e.to_string()) +} + +/// Converts any type that implements `Display` to a Python `TypeError`. +pub fn to_pytype_err(e: impl fmt::Display) -> PyErr { + PyTypeError::new_err(e.to_string()) +} + +/// Converts any type that implements `Display` to a Python `RuntimeError`. +pub fn to_pyruntime_err(e: impl fmt::Display) -> PyErr { + PyRuntimeError::new_err(e.to_string()) +} + +/// Loaded as nautilus_pyo3.core +#[pymodule] +pub fn core(_: Python<'_>, m: &PyModule) -> PyResult<()> { + m.add_class::()?; + m.add_function(wrap_pyfunction!(casing::py_convert_to_snake_case, m)?)?; + m.add_function(wrap_pyfunction!(datetime::py_secs_to_nanos, m)?)?; + m.add_function(wrap_pyfunction!(datetime::py_secs_to_millis, m)?)?; + m.add_function(wrap_pyfunction!(datetime::py_millis_to_nanos, m)?)?; + m.add_function(wrap_pyfunction!(datetime::py_micros_to_nanos, m)?)?; + m.add_function(wrap_pyfunction!(datetime::py_nanos_to_secs, m)?)?; + m.add_function(wrap_pyfunction!(datetime::py_nanos_to_millis, m)?)?; + m.add_function(wrap_pyfunction!(datetime::py_nanos_to_micros, m)?)?; + m.add_function(wrap_pyfunction!(datetime::py_unix_nanos_to_iso8601, m)?)?; + Ok(()) +} diff --git a/nautilus_core/core/src/python/serialization.rs b/nautilus_core/core/src/python/serialization.rs new file mode 100644 index 000000000000..83d859bca6dc --- /dev/null +++ b/nautilus_core/core/src/python/serialization.rs @@ -0,0 +1,32 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use pyo3::{prelude::*, types::PyDict, Py, PyErr, Python}; +use serde::de::DeserializeOwned; + +pub fn from_dict_pyo3(py: Python<'_>, values: Py) -> Result +where + T: DeserializeOwned, +{ + // Extract to JSON string + use crate::python::to_pyvalue_err; + let json_str: String = PyModule::import(py, "json")? + .call_method("dumps", (values,), None)? + .extract()?; + + // Deserialize to object + let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?; + Ok(instance) +} diff --git a/nautilus_core/core/src/python/uuid.rs b/nautilus_core/core/src/python/uuid.rs new file mode 100644 index 000000000000..aca43f0e71e1 --- /dev/null +++ b/nautilus_core/core/src/python/uuid.rs @@ -0,0 +1,103 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::hash_map::DefaultHasher, + hash::{Hash, Hasher}, + str::FromStr, +}; + +use pyo3::{ + prelude::*, + pyclass::CompareOp, + types::{PyBytes, PyTuple}, +}; + +use super::to_pyvalue_err; +use crate::uuid::UUID4; + +#[pymethods] +impl UUID4 { + #[new] + fn py_new(value: Option<&str>) -> PyResult { + match value { + Some(val) => Self::from_str(val).map_err(to_pyvalue_err), + None => Ok(Self::new()), + } + } + + fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { + let bytes: &PyBytes = state.extract(py)?; + let slice = bytes.as_bytes(); + + if slice.len() != 37 { + return Err(to_pyvalue_err( + "Invalid state for deserialzing, incorrect bytes length", + )); + } + + self.value.copy_from_slice(slice); + Ok(()) + } + + fn __getstate__(&self, _py: Python) -> PyResult { + Ok(PyBytes::new(_py, &self.value).to_object(_py)) + } + + fn __reduce__(&self, py: Python) -> PyResult { + let safe_constructor = py.get_type::().getattr("_safe_constructor")?; + let state = self.__getstate__(py)?; + Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) + } + + #[staticmethod] + fn _safe_constructor() -> PyResult { + Ok(Self::new()) // Safe default + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("{}('{}')", stringify!(UUID4), self) + } + + #[getter] + #[pyo3(name = "value")] + fn py_value(&self) -> String { + self.to_string() + } + + #[staticmethod] + #[pyo3(name = "from_str")] + fn py_from_str(value: &str) -> PyResult { + Self::from_str(value).map_err(to_pyvalue_err) + } +} diff --git a/nautilus_core/core/src/time.rs b/nautilus_core/core/src/time.rs index 33503e139e90..346e243152dd 100644 --- a/nautilus_core/core/src/time.rs +++ b/nautilus_core/core/src/time.rs @@ -28,32 +28,25 @@ pub fn duration_since_unix_epoch() -> Duration { .expect("Error calling `SystemTime::now.duration_since`") } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// /// Returns the current seconds since the UNIX epoch. -#[cfg(feature = "ffi")] #[no_mangle] pub extern "C" fn unix_timestamp() -> f64 { duration_since_unix_epoch().as_secs_f64() } /// Returns the current milliseconds since the UNIX epoch. -#[cfg(feature = "ffi")] #[no_mangle] pub extern "C" fn unix_timestamp_ms() -> u64 { duration_since_unix_epoch().as_millis() as u64 } /// Returns the current microseconds since the UNIX epoch. -#[cfg(feature = "ffi")] #[no_mangle] pub extern "C" fn unix_timestamp_us() -> u64 { duration_since_unix_epoch().as_micros() as u64 } /// Returns the current nanoseconds since the UNIX epoch. -#[cfg(feature = "ffi")] #[no_mangle] pub extern "C" fn unix_timestamp_ns() -> u64 { duration_since_unix_epoch().as_nanos() as u64 diff --git a/nautilus_core/core/src/uuid.rs b/nautilus_core/core/src/uuid.rs index b5bba43f69d4..76d1676ce132 100644 --- a/nautilus_core/core/src/uuid.rs +++ b/nautilus_core/core/src/uuid.rs @@ -14,24 +14,25 @@ // ------------------------------------------------------------------------------------------------- use std::{ - collections::hash_map::DefaultHasher, - ffi::{c_char, CStr, CString}, + ffi::{CStr, CString}, fmt::{Debug, Display, Formatter}, - hash::{Hash, Hasher}, + hash::Hash, str::FromStr, }; -use pyo3::prelude::*; use serde::{Deserialize, Deserializer, Serialize, Serializer}; use uuid::Uuid; -use crate::python::to_pyvalue_err; - +/// Represents a pseudo-random UUID (universally unique identifier) +/// version 4 based on a 128-bit label as specified in RFC 4122. #[repr(C)] #[derive(Copy, Clone, Hash, PartialEq, Eq, Debug)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.core") +)] pub struct UUID4 { - value: [u8; 37], + pub value: [u8; 37], } impl UUID4 { @@ -48,7 +49,7 @@ impl UUID4 { #[must_use] pub fn to_cstr(&self) -> &CStr { - // Safety: unwrap is safe here as we always store valid C strings + // SAFETY: unwrap is safe here as we always store valid C strings CStr::from_bytes_with_nul(&self.value).unwrap() } } @@ -105,86 +106,11 @@ impl<'de> Deserialize<'de> for UUID4 { } } -//////////////////////////////////////////////////////////////////////////////// -// Python API -//////////////////////////////////////////////////////////////////////////////// -#[cfg(feature = "python")] -#[pymethods] -impl UUID4 { - #[new] - fn py_new() -> Self { - UUID4::new() - } - - #[getter] - #[pyo3(name = "value")] - fn py_value(&self) -> String { - self.to_string() - } - - #[staticmethod] - #[pyo3(name = "from_str")] - fn py_from_str(value: &str) -> PyResult { - UUID4::from_str(value).map_err(to_pyvalue_err) - } -} - -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn uuid4_new() -> UUID4 { - UUID4::new() -} - -/// Returns a [`UUID4`] from C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -/// -/// # Panics -/// -/// - If `ptr` cannot be cast to a valid C string. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn uuid4_from_cstr(ptr: *const c_char) -> UUID4 { - assert!(!ptr.is_null(), "`ptr` was NULL"); - UUID4::from( - CStr::from_ptr(ptr) - .to_str() - .unwrap_or_else(|_| panic!("CStr::from_ptr failed")), - ) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn uuid4_to_cstr(uuid: &UUID4) -> *const c_char { - uuid.to_cstr().as_ptr() -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn uuid4_eq(lhs: &UUID4, rhs: &UUID4) -> u8 { - u8::from(lhs == rhs) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn uuid4_hash(uuid: &UUID4) -> u64 { - let mut h = DefaultHasher::new(); - uuid.hash(&mut h); - h.finish() -} - //////////////////////////////////////////////////////////////////////////////// // Tests //////////////////////////////////////////////////////////////////////////////// #[cfg(test)] mod tests { - use std::ffi::CString; - use rstest::*; use uuid; @@ -232,49 +158,4 @@ mod tests { let result_string = format!("{uuid}"); assert_eq!(result_string, uuid_string); } - - #[rstest] - fn test_c_api_uuid4_new() { - let uuid = uuid4_new(); - let uuid_string = uuid.to_string(); - let uuid_parsed = Uuid::parse_str(&uuid_string).expect("Uuid::parse_str failed"); - assert_eq!(uuid_parsed.get_version().unwrap(), uuid::Version::Random); - } - - #[rstest] - fn test_c_api_uuid4_from_cstr() { - let uuid_string = "6ba7b810-9dad-11d1-80b4-00c04fd430c8"; - let uuid_cstring = CString::new(uuid_string).expect("CString::new failed"); - let uuid_ptr = uuid_cstring.as_ptr(); - let uuid = unsafe { uuid4_from_cstr(uuid_ptr) }; - assert_eq!(uuid_string, uuid.to_string()); - } - - #[rstest] - fn test_c_api_uuid4_to_cstr() { - let uuid_string = "6ba7b810-9dad-11d1-80b4-00c04fd430c8"; - let uuid = UUID4::from(uuid_string); - let uuid_ptr = uuid4_to_cstr(&uuid); - let uuid_cstr = unsafe { CStr::from_ptr(uuid_ptr) }; - let uuid_result_string = uuid_cstr.to_str().expect("CStr::to_str failed").to_string(); - assert_eq!(uuid_string, uuid_result_string); - } - - #[rstest] - fn test_c_api_uuid4_eq() { - let uuid1 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c8"); - let uuid2 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c8"); - let uuid3 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c9"); - assert_eq!(uuid4_eq(&uuid1, &uuid2), 1); - assert_eq!(uuid4_eq(&uuid1, &uuid3), 0); - } - - #[rstest] - fn test_c_api_uuid4_hash() { - let uuid1 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c8"); - let uuid2 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c8"); - let uuid3 = UUID4::from("6ba7b810-9dad-11d1-80b4-00c04fd430c9"); - assert_eq!(uuid4_hash(&uuid1), uuid4_hash(&uuid2)); - assert_ne!(uuid4_hash(&uuid1), uuid4_hash(&uuid3)); - } } diff --git a/nautilus_core/indicators/Cargo.toml b/nautilus_core/indicators/Cargo.toml index 15f53c12c0e4..1ba5a2acc46c 100644 --- a/nautilus_core/indicators/Cargo.toml +++ b/nautilus_core/indicators/Cargo.toml @@ -13,8 +13,9 @@ crate-type = ["rlib", "cdylib"] [dependencies] nautilus-core = { path = "../core" } nautilus-model = { path = "../model" } +anyhow = { workspace = true } pyo3 = { workspace = true, optional = true } - +strum = { workspace = true } [dev-dependencies] rstest.workspace = true diff --git a/nautilus_core/indicators/src/average/ama.rs b/nautilus_core/indicators/src/average/ama.rs new file mode 100644 index 000000000000..17997de30223 --- /dev/null +++ b/nautilus_core/indicators/src/average/ama.rs @@ -0,0 +1,278 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::fmt::Display; + +use anyhow::Result; +use nautilus_model::{ + data::{bar::Bar, quote::QuoteTick, trade::TradeTick}, + enums::PriceType, +}; +use pyo3::prelude::*; + +use crate::{ + indicator::{Indicator, MovingAverage}, + ratio::efficiency_ratio::EfficiencyRatio, +}; + +/// An indicator which calculates an adaptive moving average (AMA) across a +/// rolling window. Developed by Perry Kaufman, the AMA is a moving average +/// designed to account for market noise and volatility. The AMA will closely +/// follow prices when the price swings are relatively small and the noise is +/// low. The AMA will increase lag when the price swings increase. +#[repr(C)] +#[derive(Debug)] +#[pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")] +pub struct AdaptiveMovingAverage { + /// The period for the internal `EfficiencyRatio` indicator. + pub period_efficiency_ratio: usize, + /// The period for the fast smoothing constant (> 0). + pub period_fast: usize, + /// The period for the slow smoothing constant (> 0 < `period_fast`). + pub period_slow: usize, + /// The price type used for calculations. + pub price_type: PriceType, + /// The last indicator value. + pub value: f64, + /// The input count for the indicator. + pub count: usize, + _efficiency_ratio: EfficiencyRatio, + _prior_value: Option, + _alpha_fast: f64, + _alpha_slow: f64, + has_inputs: bool, + is_initialized: bool, +} + +impl Display for AdaptiveMovingAverage { + fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result { + write!( + f, + "{}({},{},{})", + self.name(), + self.period_efficiency_ratio, + self.period_fast, + self.period_slow + ) + } +} + +impl Indicator for AdaptiveMovingAverage { + fn name(&self) -> String { + stringify!(AdaptiveMovingAverage).to_string() + } + + fn has_inputs(&self) -> bool { + self.has_inputs + } + + fn is_initialized(&self) -> bool { + self.is_initialized + } + + fn handle_quote_tick(&mut self, tick: &QuoteTick) { + self.update_raw(tick.extract_price(self.price_type).into()); + } + + fn handle_trade_tick(&mut self, tick: &TradeTick) { + self.update_raw((&tick.price).into()); + } + + fn handle_bar(&mut self, bar: &Bar) { + self.update_raw((&bar.close).into()); + } + + fn reset(&mut self) { + self.value = 0.0; + self.count = 0; + self.has_inputs = false; + self.is_initialized = false; + } +} + +impl AdaptiveMovingAverage { + pub fn new( + period_efficiency_ratio: usize, + period_fast: usize, + period_slow: usize, + price_type: Option, + ) -> Result { + // Inputs don't require validation, however we return a `Result` + // to standardize with other indicators which do need validation. + Ok(Self { + period_efficiency_ratio, + period_fast, + period_slow, + price_type: price_type.unwrap_or(PriceType::Last), + value: 0.0, + count: 0, + _alpha_fast: 2.0 / (period_fast + 1) as f64, + _alpha_slow: 2.0 / (period_slow + 1) as f64, + _prior_value: None, + has_inputs: false, + is_initialized: false, + _efficiency_ratio: EfficiencyRatio::new(period_efficiency_ratio, price_type)?, + }) + } + + #[must_use] + pub fn alpha_diff(&self) -> f64 { + self._alpha_fast - self._alpha_slow + } + + pub fn reset(&mut self) { + self.value = 0.0; + self._prior_value = None; + self.count = 0; + self.has_inputs = false; + self.is_initialized = false; + } +} + +impl MovingAverage for AdaptiveMovingAverage { + fn value(&self) -> f64 { + self.value + } + + fn count(&self) -> usize { + self.count + } + + fn update_raw(&mut self, value: f64) { + if !self.has_inputs { + self._prior_value = Some(value); + self._efficiency_ratio.update_raw(value); + self.value = value; + self.has_inputs = true; + return; + } + self._efficiency_ratio.update_raw(value); + self._prior_value = Some(self.value); + + // Calculate the smoothing constant + let smoothing_constant = self + ._efficiency_ratio + .value + .mul_add(self.alpha_diff(), self._alpha_slow) + .powi(2); + + // Calculate the AMA + self.value = smoothing_constant.mul_add( + value - self._prior_value.unwrap(), + self._prior_value.unwrap(), + ); + if self._efficiency_ratio.is_initialized() { + self.is_initialized = true; + } + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use nautilus_model::data::{bar::Bar, quote::QuoteTick, trade::TradeTick}; + use rstest::rstest; + + use crate::{ + average::ama::AdaptiveMovingAverage, + indicator::{Indicator, MovingAverage}, + stubs::*, + }; + + #[rstest] + fn test_ama_initialized(indicator_ama_10: AdaptiveMovingAverage) { + let display_str = format!("{indicator_ama_10}"); + assert_eq!(display_str, "AdaptiveMovingAverage(10,2,30)"); + assert_eq!(indicator_ama_10.name(), "AdaptiveMovingAverage"); + assert!(!indicator_ama_10.has_inputs()); + assert!(!indicator_ama_10.is_initialized()); + } + + #[rstest] + fn test_value_with_one_input(mut indicator_ama_10: AdaptiveMovingAverage) { + indicator_ama_10.update_raw(1.0); + assert_eq!(indicator_ama_10.value, 1.0); + } + + #[rstest] + fn test_value_with_two_inputs(mut indicator_ama_10: AdaptiveMovingAverage) { + indicator_ama_10.update_raw(1.0); + indicator_ama_10.update_raw(2.0); + assert_eq!(indicator_ama_10.value, 1.444_444_444_444_444_2); + } + + #[rstest] + fn test_value_with_three_inputs(mut indicator_ama_10: AdaptiveMovingAverage) { + indicator_ama_10.update_raw(1.0); + indicator_ama_10.update_raw(2.0); + indicator_ama_10.update_raw(3.0); + assert_eq!(indicator_ama_10.value, 2.135_802_469_135_802); + } + + #[rstest] + fn test_reset(mut indicator_ama_10: AdaptiveMovingAverage) { + for _ in 0..10 { + indicator_ama_10.update_raw(1.0); + } + assert!(indicator_ama_10.is_initialized); + indicator_ama_10.reset(); + assert!(!indicator_ama_10.is_initialized); + assert!(!indicator_ama_10.has_inputs); + assert_eq!(indicator_ama_10.value, 0.0); + } + + #[rstest] + fn test_initialized_after_correct_number_of_input(indicator_ama_10: AdaptiveMovingAverage) { + let mut ama = indicator_ama_10; + for _ in 0..9 { + ama.update_raw(1.0); + } + assert!(!ama.is_initialized); + ama.update_raw(1.0); + assert!(ama.is_initialized); + } + + #[rstest] + fn test_handle_quote_tick(mut indicator_ama_10: AdaptiveMovingAverage, quote_tick: QuoteTick) { + indicator_ama_10.handle_quote_tick("e_tick); + assert!(indicator_ama_10.has_inputs); + assert!(!indicator_ama_10.is_initialized); + assert_eq!(indicator_ama_10.value, 1501.0); + } + + #[rstest] + fn test_handle_trade_tick_update( + mut indicator_ama_10: AdaptiveMovingAverage, + trade_tick: TradeTick, + ) { + indicator_ama_10.handle_trade_tick(&trade_tick); + assert!(indicator_ama_10.has_inputs); + assert!(!indicator_ama_10.is_initialized); + assert_eq!(indicator_ama_10.value, 1500.0); + } + + #[rstest] + fn handle_handle_bar( + mut indicator_ama_10: AdaptiveMovingAverage, + bar_ethusdt_binance_minute_bid: Bar, + ) { + indicator_ama_10.handle_bar(&bar_ethusdt_binance_minute_bid); + assert!(indicator_ama_10.has_inputs); + assert!(!indicator_ama_10.is_initialized); + assert_eq!(indicator_ama_10.value, 1522.0); + } +} diff --git a/nautilus_core/indicators/src/average/dema.rs b/nautilus_core/indicators/src/average/dema.rs new file mode 100644 index 000000000000..40bed375c7aa --- /dev/null +++ b/nautilus_core/indicators/src/average/dema.rs @@ -0,0 +1,289 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::fmt::{Display, Formatter}; + +use anyhow::Result; +use nautilus_core::python::to_pyvalue_err; +use nautilus_model::{ + data::{bar::Bar, quote::QuoteTick, trade::TradeTick}, + enums::PriceType, +}; +use pyo3::prelude::*; + +use crate::{ + average::ema::ExponentialMovingAverage, + indicator::{Indicator, MovingAverage}, +}; + +/// The Double Exponential Moving Average attempts to a smoother average with less +/// lag than the normal Exponential Moving Average (EMA) +#[repr(C)] +#[derive(Debug)] +#[pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")] +pub struct DoubleExponentialMovingAverage { + /// The rolling window period for the indicator (> 0). + pub period: usize, + /// The price type used for calculations. + pub price_type: PriceType, + /// The last indicator value. + pub value: f64, + /// The input count for the indicator. + pub count: usize, + has_inputs: bool, + is_initialized: bool, + _ema1: ExponentialMovingAverage, + _ema2: ExponentialMovingAverage, +} + +impl Display for DoubleExponentialMovingAverage { + fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result { + write!(f, "DoubleExponentialMovingAverage(period={})", self.period) + } +} + +impl Indicator for DoubleExponentialMovingAverage { + fn name(&self) -> String { + stringify!(DoubleExponentialMovingAverage).to_string() + } + + fn has_inputs(&self) -> bool { + self.has_inputs + } + fn is_initialized(&self) -> bool { + self.is_initialized + } + + fn handle_quote_tick(&mut self, tick: &QuoteTick) { + self.update_raw(tick.extract_price(self.price_type).into()); + } + + fn handle_trade_tick(&mut self, tick: &TradeTick) { + self.update_raw((&tick.price).into()); + } + + fn handle_bar(&mut self, bar: &Bar) { + self.update_raw((&bar.close).into()); + } + + fn reset(&mut self) { + self.value = 0.0; + self.count = 0; + self.has_inputs = false; + self.is_initialized = false; + } +} + +impl DoubleExponentialMovingAverage { + pub fn new(period: usize, price_type: Option) -> Result { + Ok(Self { + period, + price_type: price_type.unwrap_or(PriceType::Last), + value: 0.0, + count: 0, + has_inputs: false, + is_initialized: false, + _ema1: ExponentialMovingAverage::new(period, price_type)?, + _ema2: ExponentialMovingAverage::new(period, price_type)?, + }) + } +} + +impl MovingAverage for DoubleExponentialMovingAverage { + fn value(&self) -> f64 { + self.value + } + + fn count(&self) -> usize { + self.count + } + fn update_raw(&mut self, value: f64) { + if !self.has_inputs { + self.has_inputs = true; + self.value = value; + } + self._ema1.update_raw(value); + self._ema2.update_raw(self._ema1.value); + + self.value = 2.0f64.mul_add(self._ema1.value, -self._ema2.value); + self.count += 1; + + if !self.is_initialized && self.count >= self.period { + self.is_initialized = true; + } + } +} + +#[cfg(feature = "python")] +#[pymethods] +impl DoubleExponentialMovingAverage { + #[new] + fn py_new(period: usize, price_type: Option) -> PyResult { + Self::new(period, price_type).map_err(to_pyvalue_err) + } + + #[getter] + #[pyo3(name = "name")] + fn py_name(&self) -> String { + self.name() + } + + #[getter] + #[pyo3(name = "period")] + fn py_period(&self) -> usize { + self.period + } + + #[getter] + #[pyo3(name = "count")] + fn py_count(&self) -> usize { + self.count + } + + #[getter] + #[pyo3(name = "value")] + fn py_value(&self) -> f64 { + self.value + } + + #[getter] + #[pyo3(name = "has_inputs")] + fn py_has_inputs(&self) -> bool { + self.has_inputs() + } + + #[getter] + #[pyo3(name = "initialized")] + fn py_initialized(&self) -> bool { + self.is_initialized + } + + #[pyo3(name = "handle_quote_tick")] + fn py_handle_quote_tick(&mut self, tick: &QuoteTick) { + self.py_update_raw(tick.extract_price(self.price_type).into()); + } + + #[pyo3(name = "handle_trade_tick")] + fn py_handle_trade_tick(&mut self, tick: &TradeTick) { + self.update_raw((&tick.price).into()); + } + + #[pyo3(name = "handle_bar")] + fn py_handle_bar(&mut self, bar: &Bar) { + self.update_raw((&bar.close).into()); + } + + #[pyo3(name = "reset")] + fn py_reset(&mut self) { + self.reset(); + } + + #[pyo3(name = "update_raw")] + fn py_update_raw(&mut self, value: f64) { + self.update_raw(value); + } + + fn __repr__(&self) -> String { + format!("DoubleExponentialMovingAverage({})", self.period) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use nautilus_model::data::{bar::Bar, quote::QuoteTick, trade::TradeTick}; + use rstest::rstest; + + use crate::{ + average::dema::DoubleExponentialMovingAverage, + indicator::{Indicator, MovingAverage}, + stubs::*, + }; + + #[rstest] + fn test_dema_initialized(indicator_dema_10: DoubleExponentialMovingAverage) { + let display_str = format!("{indicator_dema_10}"); + assert_eq!(display_str, "DoubleExponentialMovingAverage(period=10)"); + assert_eq!(indicator_dema_10.period, 10); + assert!(!indicator_dema_10.is_initialized); + assert!(!indicator_dema_10.has_inputs); + } + + #[rstest] + fn test_value_with_one_input(mut indicator_dema_10: DoubleExponentialMovingAverage) { + indicator_dema_10.update_raw(1.0); + assert_eq!(indicator_dema_10.value, 1.0); + } + + #[rstest] + fn test_value_with_three_inputs(mut indicator_dema_10: DoubleExponentialMovingAverage) { + indicator_dema_10.update_raw(1.0); + indicator_dema_10.update_raw(2.0); + indicator_dema_10.update_raw(3.0); + assert_eq!(indicator_dema_10.value, 1.904_583_020_285_499_4); + } + + #[rstest] + fn test_initialized_with_required_input(mut indicator_dema_10: DoubleExponentialMovingAverage) { + for i in 1..10 { + indicator_dema_10.update_raw(f64::from(i)); + } + assert!(!indicator_dema_10.is_initialized); + indicator_dema_10.update_raw(10.0); + assert!(indicator_dema_10.is_initialized); + } + + #[rstest] + fn test_handle_quote_tick( + mut indicator_dema_10: DoubleExponentialMovingAverage, + quote_tick: QuoteTick, + ) { + indicator_dema_10.handle_quote_tick("e_tick); + assert_eq!(indicator_dema_10.value, 1501.0); + } + + #[rstest] + fn test_handle_trade_tick( + mut indicator_dema_10: DoubleExponentialMovingAverage, + trade_tick: TradeTick, + ) { + indicator_dema_10.handle_trade_tick(&trade_tick); + assert_eq!(indicator_dema_10.value, 1500.0); + } + + #[rstest] + fn test_handle_bar( + mut indicator_dema_10: DoubleExponentialMovingAverage, + bar_ethusdt_binance_minute_bid: Bar, + ) { + indicator_dema_10.handle_bar(&bar_ethusdt_binance_minute_bid); + assert_eq!(indicator_dema_10.value, 1522.0); + assert!(indicator_dema_10.has_inputs); + assert!(!indicator_dema_10.is_initialized); + } + + #[rstest] + fn test_reset(mut indicator_dema_10: DoubleExponentialMovingAverage) { + indicator_dema_10.update_raw(1.0); + assert_eq!(indicator_dema_10.count, 1); + indicator_dema_10.reset(); + assert_eq!(indicator_dema_10.value, 0.0); + assert_eq!(indicator_dema_10.count, 0); + assert!(!indicator_dema_10.has_inputs); + assert!(!indicator_dema_10.is_initialized); + } +} diff --git a/nautilus_core/indicators/src/average/ema.rs b/nautilus_core/indicators/src/average/ema.rs new file mode 100644 index 000000000000..52355400414e --- /dev/null +++ b/nautilus_core/indicators/src/average/ema.rs @@ -0,0 +1,307 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::fmt::Display; + +use anyhow::Result; +use nautilus_core::python::to_pyvalue_err; +use nautilus_model::{ + data::{bar::Bar, quote::QuoteTick, trade::TradeTick}, + enums::PriceType, +}; +use pyo3::prelude::*; + +use crate::indicator::{Indicator, MovingAverage}; + +#[repr(C)] +#[derive(Debug)] +#[pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")] +pub struct ExponentialMovingAverage { + pub period: usize, + pub price_type: PriceType, + pub alpha: f64, + pub value: f64, + pub count: usize, + has_inputs: bool, + is_initialized: bool, +} + +impl Display for ExponentialMovingAverage { + fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result { + write!(f, "{}({})", self.name(), self.period,) + } +} + +impl Indicator for ExponentialMovingAverage { + fn name(&self) -> String { + stringify!(ExponentialMovingAverage).to_string() + } + + fn has_inputs(&self) -> bool { + self.has_inputs + } + + fn is_initialized(&self) -> bool { + self.is_initialized + } + + fn handle_quote_tick(&mut self, tick: &QuoteTick) { + self.update_raw(tick.extract_price(self.price_type).into()); + } + + fn handle_trade_tick(&mut self, tick: &TradeTick) { + self.update_raw((&tick.price).into()); + } + + fn handle_bar(&mut self, bar: &Bar) { + self.update_raw((&bar.close).into()); + } + + fn reset(&mut self) { + self.value = 0.0; + self.count = 0; + self.has_inputs = false; + self.is_initialized = false; + } +} + +impl ExponentialMovingAverage { + pub fn new(period: usize, price_type: Option) -> Result { + // Inputs don't require validation, however we return a `Result` + // to standardize with other indicators which do need validation. + Ok(Self { + period, + price_type: price_type.unwrap_or(PriceType::Last), + alpha: 2.0 / (period as f64 + 1.0), + value: 0.0, + count: 0, + has_inputs: false, + is_initialized: false, + }) + } +} + +impl MovingAverage for ExponentialMovingAverage { + fn value(&self) -> f64 { + self.value + } + + fn count(&self) -> usize { + self.count + } + fn update_raw(&mut self, value: f64) { + if !self.has_inputs { + self.has_inputs = true; + self.value = value; + } + + self.value = self.alpha.mul_add(value, (1.0 - self.alpha) * self.value); + self.count += 1; + + // Initialization logic + if !self.is_initialized && self.count >= self.period { + self.is_initialized = true; + } + } +} + +#[cfg(feature = "python")] +#[pymethods] +impl ExponentialMovingAverage { + #[new] + fn py_new(period: usize, price_type: Option) -> PyResult { + Self::new(period, price_type).map_err(to_pyvalue_err) + } + + #[getter] + #[pyo3(name = "name")] + fn py_name(&self) -> String { + self.name() + } + + #[getter] + #[pyo3(name = "period")] + fn py_period(&self) -> usize { + self.period + } + + #[getter] + #[pyo3(name = "alpha")] + fn py_alpha(&self) -> f64 { + self.alpha + } + + #[getter] + #[pyo3(name = "count")] + fn py_count(&self) -> usize { + self.count + } + + #[getter] + #[pyo3(name = "value")] + fn py_value(&self) -> f64 { + self.value + } + + #[getter] + #[pyo3(name = "has_inputs")] + fn py_has_inputs(&self) -> bool { + self.has_inputs() + } + + #[getter] + #[pyo3(name = "initialized")] + fn py_initialized(&self) -> bool { + self.is_initialized + } + + #[pyo3(name = "handle_quote_tick")] + fn py_handle_quote_tick(&mut self, tick: &QuoteTick) { + self.py_update_raw(tick.extract_price(self.price_type).into()); + } + + #[pyo3(name = "handle_trade_tick")] + fn py_handle_trade_tick(&mut self, tick: &TradeTick) { + self.update_raw((&tick.price).into()); + } + + #[pyo3(name = "handle_bar")] + fn py_handle_bar(&mut self, bar: &Bar) { + self.update_raw((&bar.close).into()); + } + + #[pyo3(name = "reset")] + fn py_reset(&mut self) { + self.reset(); + } + + #[pyo3(name = "update_raw")] + fn py_update_raw(&mut self, value: f64) { + self.update_raw(value); + } + + fn __repr__(&self) -> String { + format!("ExponentialMovingAverage({})", self.period) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use nautilus_model::{ + data::{bar::Bar, quote::QuoteTick, trade::TradeTick}, + enums::PriceType, + }; + use rstest::rstest; + + use crate::{ + average::ema::ExponentialMovingAverage, + indicator::{Indicator, MovingAverage}, + stubs::*, + }; + + #[rstest] + fn test_ema_initialized(indicator_ema_10: ExponentialMovingAverage) { + let ema = indicator_ema_10; + let display_str = format!("{ema}"); + assert_eq!(display_str, "ExponentialMovingAverage(10)"); + assert_eq!(ema.period, 10); + assert_eq!(ema.price_type, PriceType::Mid); + assert_eq!(ema.alpha, 0.181_818_181_818_181_82); + assert!(!ema.is_initialized); + } + + #[rstest] + fn test_one_value_input(indicator_ema_10: ExponentialMovingAverage) { + let mut ema = indicator_ema_10; + ema.update_raw(1.0); + assert_eq!(ema.count, 1); + assert_eq!(ema.value, 1.0); + } + + #[rstest] + fn test_ema_update_raw(indicator_ema_10: ExponentialMovingAverage) { + let mut ema = indicator_ema_10; + ema.update_raw(1.0); + ema.update_raw(2.0); + ema.update_raw(3.0); + ema.update_raw(4.0); + ema.update_raw(5.0); + ema.update_raw(6.0); + ema.update_raw(7.0); + ema.update_raw(8.0); + ema.update_raw(9.0); + ema.update_raw(10.0); + + assert!(ema.has_inputs()); + assert!(ema.is_initialized()); + assert_eq!(ema.count, 10); + assert_eq!(ema.value, 6.239_368_480_121_215_5); + } + + #[rstest] + fn test_reset(indicator_ema_10: ExponentialMovingAverage) { + let mut ema = indicator_ema_10; + ema.update_raw(1.0); + assert_eq!(ema.count, 1); + ema.reset(); + assert_eq!(ema.count, 0); + assert_eq!(ema.value, 0.0); + assert!(!ema.is_initialized); + } + + #[rstest] + fn test_handle_quote_tick_single( + indicator_ema_10: ExponentialMovingAverage, + quote_tick: QuoteTick, + ) { + let mut ema = indicator_ema_10; + ema.handle_quote_tick("e_tick); + assert!(ema.has_inputs()); + assert_eq!(ema.value, 1501.0); + } + + #[rstest] + fn test_handle_quote_tick_multi(mut indicator_ema_10: ExponentialMovingAverage) { + let tick1 = quote_tick("1500.0", "1502.0"); + let tick2 = quote_tick("1502.0", "1504.0"); + + indicator_ema_10.handle_quote_tick(&tick1); + indicator_ema_10.handle_quote_tick(&tick2); + assert_eq!(indicator_ema_10.count, 2); + assert_eq!(indicator_ema_10.value, 1_501.363_636_363_636_3); + } + + #[rstest] + fn test_handle_trade_tick(indicator_ema_10: ExponentialMovingAverage, trade_tick: TradeTick) { + let mut ema = indicator_ema_10; + ema.handle_trade_tick(&trade_tick); + assert!(ema.has_inputs()); + assert_eq!(ema.value, 1500.0); + } + + #[rstest] + fn handle_handle_bar( + mut indicator_ema_10: ExponentialMovingAverage, + bar_ethusdt_binance_minute_bid: Bar, + ) { + indicator_ema_10.handle_bar(&bar_ethusdt_binance_minute_bid); + assert!(indicator_ema_10.has_inputs); + assert!(!indicator_ema_10.is_initialized); + assert_eq!(indicator_ema_10.value, 1522.0); + } +} diff --git a/nautilus_core/indicators/src/average/mod.rs b/nautilus_core/indicators/src/average/mod.rs new file mode 100644 index 000000000000..3acfda5648d7 --- /dev/null +++ b/nautilus_core/indicators/src/average/mod.rs @@ -0,0 +1,81 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- +use nautilus_model::enums::PriceType; +use pyo3::prelude::*; +use strum::{AsRefStr, Display, EnumIter, EnumString, FromRepr}; + +use crate::{ + average::{ + dema::DoubleExponentialMovingAverage, ema::ExponentialMovingAverage, + sma::SimpleMovingAverage, + }, + indicator::MovingAverage, +}; + +#[repr(C)] +#[derive( + Copy, + Clone, + Debug, + Display, + Hash, + PartialEq, + Eq, + PartialOrd, + Ord, + AsRefStr, + FromRepr, + EnumIter, + EnumString, +)] +#[strum(ascii_case_insensitive)] +#[strum(serialize_all = "SCREAMING_SNAKE_CASE")] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators") +)] +pub enum MovingAverageType { + Simple, + Exponential, + DoubleExponential, +} + +pub struct MovingAverageFactory; + +impl MovingAverageFactory { + pub fn create( + moving_average_type: MovingAverageType, + period: usize, + ) -> Box { + let price_type = Some(PriceType::Last); + + match moving_average_type { + MovingAverageType::Simple => { + Box::new(SimpleMovingAverage::new(period, price_type).unwrap()) + } + MovingAverageType::Exponential => { + Box::new(ExponentialMovingAverage::new(period, price_type).unwrap()) + } + MovingAverageType::DoubleExponential => { + Box::new(DoubleExponentialMovingAverage::new(period, price_type).unwrap()) + } + } + } +} + +pub mod ama; +pub mod dema; +pub mod ema; +pub mod sma; diff --git a/nautilus_core/indicators/src/average/sma.rs b/nautilus_core/indicators/src/average/sma.rs new file mode 100644 index 000000000000..b77d38fbf91d --- /dev/null +++ b/nautilus_core/indicators/src/average/sma.rs @@ -0,0 +1,256 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::fmt::Display; + +use anyhow::Result; +use nautilus_core::python::to_pyvalue_err; +use nautilus_model::{ + data::{bar::Bar, quote::QuoteTick, trade::TradeTick}, + enums::PriceType, +}; +use pyo3::prelude::*; + +use crate::indicator::{Indicator, MovingAverage}; + +#[repr(C)] +#[derive(Debug)] +#[pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")] +pub struct SimpleMovingAverage { + pub period: usize, + pub price_type: PriceType, + pub value: f64, + pub count: usize, + pub inputs: Vec, + is_initialized: bool, +} + +impl Display for SimpleMovingAverage { + fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result { + write!(f, "{}({})", self.name(), self.period,) + } +} + +impl Indicator for SimpleMovingAverage { + fn name(&self) -> String { + stringify!(SimpleMovingAverage).to_string() + } + + fn has_inputs(&self) -> bool { + !self.inputs.is_empty() + } + + fn is_initialized(&self) -> bool { + self.is_initialized + } + + fn handle_quote_tick(&mut self, tick: &QuoteTick) { + self.update_raw(tick.extract_price(self.price_type).into()); + } + + fn handle_trade_tick(&mut self, tick: &TradeTick) { + self.update_raw((&tick.price).into()); + } + + fn handle_bar(&mut self, bar: &Bar) { + self.update_raw((&bar.close).into()); + } + + fn reset(&mut self) { + self.value = 0.0; + self.count = 0; + self.inputs.clear(); + self.is_initialized = false; + } +} + +impl SimpleMovingAverage { + pub fn new(period: usize, price_type: Option) -> Result { + // Inputs don't require validation, however we return a `Result` + // to standardize with other indicators which do need validation. + Ok(Self { + period, + price_type: price_type.unwrap_or(PriceType::Last), + value: 0.0, + count: 0, + inputs: Vec::new(), + is_initialized: false, + }) + } +} + +impl MovingAverage for SimpleMovingAverage { + fn value(&self) -> f64 { + self.value + } + + fn count(&self) -> usize { + self.count + } + fn update_raw(&mut self, value: f64) { + if self.inputs.len() == self.period { + self.inputs.remove(0); + self.count -= 1; + } + self.inputs.push(value); + self.count += 1; + let sum = self.inputs.iter().sum::(); + self.value = sum / self.count as f64; + + if !self.is_initialized && self.count >= self.period { + self.is_initialized = true; + } + } +} + +#[cfg(feature = "python")] +#[pymethods] +impl SimpleMovingAverage { + #[new] + fn py_new(period: usize, price_type: Option) -> PyResult { + Self::new(period, price_type).map_err(to_pyvalue_err) + } + + #[getter] + #[pyo3(name = "name")] + fn py_name(&self) -> String { + self.name() + } + + #[getter] + #[pyo3(name = "period")] + fn py_period(&self) -> usize { + self.period + } + + #[getter] + #[pyo3(name = "count")] + fn py_count(&self) -> usize { + self.count + } + + #[getter] + #[pyo3(name = "value")] + fn py_value(&self) -> f64 { + self.value + } + + #[getter] + #[pyo3(name = "initialized")] + fn py_initialized(&self) -> bool { + self.is_initialized + } + + #[pyo3(name = "has_inputs")] + fn py_has_inputs(&self) -> bool { + self.has_inputs() + } + + #[pyo3(name = "update_raw")] + fn py_update_raw(&mut self, value: f64) { + self.update_raw(value); + } + + fn __repr__(&self) -> String { + format!("SimpleMovingAverage({})", self.period) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Test +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use nautilus_model::{ + data::{quote::QuoteTick, trade::TradeTick}, + enums::PriceType, + }; + use rstest::rstest; + + use crate::{ + average::sma::SimpleMovingAverage, + indicator::{Indicator, MovingAverage}, + stubs::*, + }; + + #[rstest] + fn test_sma_initialized(indicator_sma_10: SimpleMovingAverage) { + let display_str = format!("{indicator_sma_10}"); + assert_eq!(display_str, "SimpleMovingAverage(10)"); + assert_eq!(indicator_sma_10.period, 10); + assert_eq!(indicator_sma_10.price_type, PriceType::Mid); + assert_eq!(indicator_sma_10.value, 0.0); + assert_eq!(indicator_sma_10.count, 0); + } + + #[rstest] + fn test_sma_update_raw_exact_period(indicator_sma_10: SimpleMovingAverage) { + let mut sma = indicator_sma_10; + sma.update_raw(1.0); + sma.update_raw(2.0); + sma.update_raw(3.0); + sma.update_raw(4.0); + sma.update_raw(5.0); + sma.update_raw(6.0); + sma.update_raw(7.0); + sma.update_raw(8.0); + sma.update_raw(9.0); + sma.update_raw(10.0); + + assert!(sma.has_inputs()); + assert!(sma.is_initialized()); + assert_eq!(sma.count, 10); + assert_eq!(sma.value, 5.5); + } + + #[rstest] + fn test_reset(indicator_sma_10: SimpleMovingAverage) { + let mut sma = indicator_sma_10; + sma.update_raw(1.0); + assert_eq!(sma.count, 1); + sma.reset(); + assert_eq!(sma.count, 0); + assert_eq!(sma.value, 0.0); + assert!(!sma.is_initialized); + } + + #[rstest] + fn test_handle_quote_tick_single(indicator_sma_10: SimpleMovingAverage, quote_tick: QuoteTick) { + let mut sma = indicator_sma_10; + sma.handle_quote_tick("e_tick); + assert_eq!(sma.count, 1); + assert_eq!(sma.value, 1501.0); + } + + #[rstest] + fn test_handle_quote_tick_multi(indicator_sma_10: SimpleMovingAverage) { + let mut sma = indicator_sma_10; + let tick1 = quote_tick("1500.0", "1502.0"); + let tick2 = quote_tick("1502.0", "1504.0"); + + sma.handle_quote_tick(&tick1); + sma.handle_quote_tick(&tick2); + assert_eq!(sma.count, 2); + assert_eq!(sma.value, 1502.0); + } + + #[rstest] + fn test_handle_trade_tick(indicator_sma_10: SimpleMovingAverage, trade_tick: TradeTick) { + let mut sma = indicator_sma_10; + sma.handle_trade_tick(&trade_tick); + assert_eq!(sma.count, 1); + assert_eq!(sma.value, 1500.0); + } +} diff --git a/nautilus_core/indicators/src/ema.rs b/nautilus_core/indicators/src/ema.rs deleted file mode 100644 index bd2d72a54d2a..000000000000 --- a/nautilus_core/indicators/src/ema.rs +++ /dev/null @@ -1,188 +0,0 @@ -// ------------------------------------------------------------------------------------------------- -// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -// https://nautechsystems.io -// -// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -// You may not use this file except in compliance with the License. -// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -// -// Unless required by applicable law or agreed to in writing, software -// distributed under the License is distributed on an "AS IS" BASIS, -// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -// See the License for the specific language governing permissions and -// limitations under the License. -// ------------------------------------------------------------------------------------------------- - -use nautilus_model::{ - data::{bar::Bar, quote::QuoteTick, trade::TradeTick}, - enums::PriceType, -}; -use pyo3::prelude::*; - -use crate::Indicator; - -#[repr(C)] -#[derive(Debug)] -#[pyclass] -pub struct ExponentialMovingAverage { - pub period: usize, - pub price_type: PriceType, - pub alpha: f64, - pub value: f64, - pub count: usize, - has_inputs: bool, - is_initialized: bool, -} - -impl Indicator for ExponentialMovingAverage { - fn name(&self) -> String { - stringify!(ExponentialMovingAverage).to_string() - } - - fn has_inputs(&self) -> bool { - self.has_inputs - } - - fn is_initialized(&self) -> bool { - self.is_initialized - } - - fn handle_quote_tick(&mut self, tick: &QuoteTick) { - self.py_update_raw(tick.extract_price(self.price_type).into()) - } - - fn handle_trade_tick(&mut self, tick: &TradeTick) { - self.py_update_raw((&tick.price).into()) - } - - fn handle_bar(&mut self, bar: &Bar) { - self.py_update_raw((&bar.close).into()) - } - - fn reset(&mut self) { - self.value = 0.0; - self.count = 0; - self.has_inputs = false; - self.is_initialized = false; - } -} - -impl ExponentialMovingAverage { - fn update_raw(&mut self, value: f64) { - if !self.has_inputs { - self.has_inputs = true; - self.value = value; - } - - self.value = self.alpha.mul_add(value, (1.0 - self.alpha) * self.value); - self.count += 1; - - // Initialization logic - if !self.is_initialized && self.count >= self.period { - self.is_initialized = true; - } - } -} - -#[cfg(feature = "python")] -#[pymethods] -impl ExponentialMovingAverage { - #[new] - fn new(period: usize, price_type: Option) -> Self { - Self { - period, - price_type: price_type.unwrap_or(PriceType::Last), - alpha: 2.0 / (period as f64 + 1.0), - value: 0.0, - count: 0, - has_inputs: false, - is_initialized: false, - } - } - - #[getter] - #[pyo3(name = "name")] - fn py_name(&self) -> String { - self.name() - } - - #[pyo3(name = "has_inputs")] - fn py_has_inputs(&self) -> bool { - self.has_inputs() - } - - #[pyo3(name = "is_initialized")] - fn py_is_initialized(&self) -> bool { - self.is_initialized - } - - #[pyo3(name = "handle_quote_tick")] - fn py_handle_quote_tick(&mut self, tick: &QuoteTick) { - self.py_update_raw(tick.extract_price(self.price_type).into()) - } - - #[pyo3(name = "handle_trade_tick")] - fn py_handle_trade_tick(&mut self, tick: &TradeTick) { - self.update_raw((&tick.price).into()) - } - - #[pyo3(name = "handle_bar")] - fn py_handle_bar(&mut self, bar: &Bar) { - self.update_raw((&bar.close).into()) - } - - #[pyo3(name = "reset")] - fn py_reset(&mut self) { - self.reset() - } - - #[pyo3(name = "update_raw")] - fn py_update_raw(&mut self, value: f64) { - self.update_raw(value) - } -} - -//////////////////////////////////////////////////////////////////////////////// -// Tests -//////////////////////////////////////////////////////////////////////////////// -#[cfg(test)] -mod tests { - use rstest::rstest; - - use super::*; - - #[rstest] - fn test_ema_initialized() { - let ema = ExponentialMovingAverage::new(20, Some(PriceType::Mid)); - let display_str = format!("{ema:?}"); - assert_eq!(display_str, "ExponentialMovingAverage { period: 20, price_type: Mid, alpha: 0.09523809523809523, value: 0.0, count: 0, has_inputs: false, is_initialized: false }"); - } - - #[rstest] - fn test_ema_update_raw() { - let mut ema = ExponentialMovingAverage::new(3, Some(PriceType::Mid)); - ema.py_update_raw(1.0); - ema.py_update_raw(2.0); - ema.py_update_raw(3.0); - - assert!(ema.has_inputs()); - assert!(ema.is_initialized()); - assert_eq!(ema.count, 3); - assert_eq!(ema.value, 2.25); - } - - #[rstest] - fn test_ema_reset() { - let mut ema = ExponentialMovingAverage::new(3, Some(PriceType::Mid)); - ema.py_update_raw(1.0); - ema.py_update_raw(2.0); - ema.py_update_raw(3.0); - - ema.reset(); - - assert_eq!(ema.count, 0); - assert_eq!(ema.value, 0.0); - assert!(!ema.has_inputs()); - assert!(!ema.is_initialized()); - } -} diff --git a/nautilus_core/indicators/src/indicator.rs b/nautilus_core/indicators/src/indicator.rs new file mode 100644 index 000000000000..1222399ae89b --- /dev/null +++ b/nautilus_core/indicators/src/indicator.rs @@ -0,0 +1,49 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{fmt, fmt::Debug}; + +use nautilus_model::data::{bar::Bar, quote::QuoteTick, trade::TradeTick}; + +/// Indicator trait +pub trait Indicator { + fn name(&self) -> String; + fn has_inputs(&self) -> bool; + fn is_initialized(&self) -> bool; + fn handle_quote_tick(&mut self, tick: &QuoteTick); + fn handle_trade_tick(&mut self, tick: &TradeTick); + fn handle_bar(&mut self, bar: &Bar); + fn reset(&mut self); +} + +/// Moving average trait +pub trait MovingAverage: Indicator { + fn value(&self) -> f64; + fn count(&self) -> usize; + fn update_raw(&mut self, value: f64); +} + +impl Debug for dyn Indicator + Send { + fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result { + // Implement custom formatting for the Indicator trait object. + write!(f, "Indicator {{ ... }}") + } +} +impl Debug for dyn MovingAverage + Send { + fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result { + // Implement custom formatting for the Indicator trait object. + write!(f, "MovingAverage()") + } +} diff --git a/nautilus_core/indicators/src/lib.rs b/nautilus_core/indicators/src/lib.rs index c49c041a7f67..3044b4fcb80d 100644 --- a/nautilus_core/indicators/src/lib.rs +++ b/nautilus_core/indicators/src/lib.rs @@ -13,24 +13,27 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -pub mod ema; - -use nautilus_model::data::{bar::Bar, quote::QuoteTick, trade::TradeTick}; use pyo3::{prelude::*, types::PyModule, Python}; +pub mod average; +pub mod indicator; +pub mod momentum; +pub mod ratio; + +#[cfg(test)] +mod stubs; + /// Loaded as nautilus_pyo3.indicators #[pymodule] pub fn indicators(_: Python<'_>, m: &PyModule) -> PyResult<()> { - m.add_class::()?; + // average + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + // ratio + m.add_class::()?; + // momentum + m.add_class::()?; Ok(()) } - -pub trait Indicator { - fn name(&self) -> String; - fn has_inputs(&self) -> bool; - fn is_initialized(&self) -> bool; - fn handle_quote_tick(&mut self, tick: &QuoteTick); - fn handle_trade_tick(&mut self, tick: &TradeTick); - fn handle_bar(&mut self, bar: &Bar); - fn reset(&mut self); -} diff --git a/nautilus_core/indicators/src/momentum/mod.rs b/nautilus_core/indicators/src/momentum/mod.rs new file mode 100644 index 000000000000..fc49c3b4cf36 --- /dev/null +++ b/nautilus_core/indicators/src/momentum/mod.rs @@ -0,0 +1,16 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod rsi; diff --git a/nautilus_core/indicators/src/momentum/rsi.rs b/nautilus_core/indicators/src/momentum/rsi.rs new file mode 100644 index 000000000000..bcdc541aef1d --- /dev/null +++ b/nautilus_core/indicators/src/momentum/rsi.rs @@ -0,0 +1,312 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::fmt::{Debug, Display}; + +use anyhow::Result; +use nautilus_core::python::to_pyvalue_err; +use nautilus_model::{ + data::{bar::Bar, quote::QuoteTick, trade::TradeTick}, + enums::PriceType, +}; +use pyo3::prelude::*; + +use crate::{ + average::{MovingAverageFactory, MovingAverageType}, + indicator::{Indicator, MovingAverage}, +}; + +/// An indicator which calculates a relative strength index (RSI) across a rolling window. +#[repr(C)] +#[derive(Debug)] +#[pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")] +pub struct RelativeStrengthIndex { + pub period: usize, + pub ma_type: MovingAverageType, + pub value: f64, + pub count: usize, + // pub inputs: Vec, + _has_inputs: bool, + _last_value: f64, + _average_gain: Box, + _average_loss: Box, + _rsi_max: f64, + is_initialized: bool, +} + +impl Display for RelativeStrengthIndex { + fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result { + write!(f, "{}({},{})", self.name(), self.period, self.ma_type) + } +} + +impl Indicator for RelativeStrengthIndex { + fn name(&self) -> String { + stringify!(RelativeStrengthIndex).to_string() + } + + fn has_inputs(&self) -> bool { + self._has_inputs + } + + fn is_initialized(&self) -> bool { + self.is_initialized + } + + fn handle_quote_tick(&mut self, tick: &QuoteTick) { + self.update_raw(tick.extract_price(PriceType::Mid).into()); + } + + fn handle_trade_tick(&mut self, tick: &TradeTick) { + self.update_raw((tick.price).into()); + } + + fn handle_bar(&mut self, bar: &Bar) { + self.update_raw((&bar.close).into()); + } + + fn reset(&mut self) { + self.value = 0.0; + self._last_value = 0.0; + self.count = 0; + self._has_inputs = false; + self.is_initialized = false; + } +} + +impl RelativeStrengthIndex { + pub fn new(period: usize, ma_type: Option) -> Result { + Ok(Self { + period, + ma_type: ma_type.unwrap_or(MovingAverageType::Exponential), + value: 0.0, + _last_value: 0.0, + count: 0, + // inputs: Vec::new(), + _has_inputs: false, + _average_gain: MovingAverageFactory::create(MovingAverageType::Exponential, period), + _average_loss: MovingAverageFactory::create(MovingAverageType::Exponential, period), + _rsi_max: 1.0, + is_initialized: false, + }) + } + + pub fn update_raw(&mut self, value: f64) { + if !self._has_inputs { + self._last_value = value; + self._has_inputs = true + } + let gain = value - self._last_value; + if gain > 0.0 { + self._average_gain.update_raw(gain); + self._average_loss.update_raw(0.0); + } else if gain < 0.0 { + self._average_loss.update_raw(-gain); + self._average_gain.update_raw(0.0); + } else { + self._average_loss.update_raw(0.0); + self._average_gain.update_raw(0.0); + } + // init count from average gain MA + self.count = self._average_gain.count(); + if !self.is_initialized + && self._average_loss.is_initialized() + && self._average_gain.is_initialized() + { + self.is_initialized = true; + } + + if self._average_loss.value() == 0.0 { + self.value = self._rsi_max; + return; + } + + let rs = self._average_gain.value() / self._average_loss.value(); + self.value = self._rsi_max - (self._rsi_max / (1.0 + rs)); + self._last_value = value; + + if !self.is_initialized && self.count >= self.period { + self.is_initialized = true; + } + } +} + +#[cfg(feature = "python")] +#[pymethods] +impl RelativeStrengthIndex { + #[new] + pub fn py_new(period: usize, ma_type: Option) -> PyResult { + Self::new(period, ma_type).map_err(to_pyvalue_err) + } + + #[getter] + #[pyo3(name = "name")] + fn py_name(&self) -> String { + self.name() + } + + #[getter] + #[pyo3(name = "period")] + fn py_period(&self) -> usize { + self.period + } + + #[getter] + #[pyo3(name = "count")] + fn py_count(&self) -> usize { + self.count + } + + #[getter] + #[pyo3(name = "value")] + fn py_value(&self) -> f64 { + self.value + } + + #[getter] + #[pyo3(name = "initialized")] + fn py_initialized(&self) -> bool { + self.is_initialized + } + + #[pyo3(name = "update_raw")] + fn py_update_raw(&mut self, value: f64) { + self.update_raw(value); + } + + #[pyo3(name = "handle_quote_tick")] + fn py_handle_quote_tick(&mut self, tick: &QuoteTick) { + self.py_update_raw(tick.extract_price(PriceType::Mid).into()); + } + + #[pyo3(name = "handle_bar")] + fn py_handle_bar(&mut self, bar: &Bar) { + self.update_raw((&bar.close).into()); + } + + #[pyo3(name = "handle_trade_tick")] + fn py_handle_trade_tick(&mut self, tick: &TradeTick) { + self.update_raw((&tick.price).into()); + } + + fn __repr__(&self) -> String { + format!("ExponentialMovingAverage({})", self.period) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use nautilus_model::data::{bar::Bar, quote::QuoteTick, trade::TradeTick}; + use rstest::rstest; + + use crate::{indicator::Indicator, momentum::rsi::RelativeStrengthIndex, stubs::*}; + + #[rstest] + fn test_rsi_initialized(rsi_10: RelativeStrengthIndex) { + let display_str = format!("{}", rsi_10); + assert_eq!(display_str, "RelativeStrengthIndex(10,EXPONENTIAL)"); + assert_eq!(rsi_10.period, 10); + assert_eq!(rsi_10.is_initialized, false) + } + + #[rstest] + fn test_initialized_with_required_inputs_returns_true(mut rsi_10: RelativeStrengthIndex) { + for i in 0..12 { + rsi_10.update_raw(i as f64); + } + assert_eq!(rsi_10.is_initialized, true) + } + + #[rstest] + fn test_value_with_one_input_returns_expected_value(mut rsi_10: RelativeStrengthIndex) { + rsi_10.update_raw(1.0); + assert_eq!(rsi_10.value, 1.0) + } + + #[rstest] + fn test_value_all_higher_inputs_returns_expected_value(mut rsi_10: RelativeStrengthIndex) { + for i in 1..4 { + rsi_10.update_raw(i as f64); + } + assert_eq!(rsi_10.value, 1.0) + } + + #[rstest] + fn test_value_with_all_lower_inputs_returns_expected_value(mut rsi_10: RelativeStrengthIndex) { + for i in (1..4).rev() { + rsi_10.update_raw(i as f64); + } + assert_eq!(rsi_10.value, 0.0) + } + + #[rstest] + fn test_value_with_various_input_returns_expected_value(mut rsi_10: RelativeStrengthIndex) { + rsi_10.update_raw(3.0); + rsi_10.update_raw(2.0); + rsi_10.update_raw(5.0); + rsi_10.update_raw(6.0); + rsi_10.update_raw(7.0); + rsi_10.update_raw(6.0); + + assert_eq!(rsi_10.value, 0.6837363325825265) + } + + #[rstest] + fn test_value_at_returns_expected_value(mut rsi_10: RelativeStrengthIndex) { + rsi_10.update_raw(3.0); + rsi_10.update_raw(2.0); + rsi_10.update_raw(5.0); + rsi_10.update_raw(6.0); + rsi_10.update_raw(7.0); + rsi_10.update_raw(6.0); + rsi_10.update_raw(6.0); + rsi_10.update_raw(7.0); + + assert_eq!(rsi_10.value, 0.7615344667662725); + } + + #[rstest] + fn test_reset(mut rsi_10: RelativeStrengthIndex) { + rsi_10.update_raw(1.0); + rsi_10.update_raw(2.0); + rsi_10.reset(); + assert_eq!(rsi_10.is_initialized(), false); + assert_eq!(rsi_10.count, 0) + } + + #[rstest] + fn test_handle_quote_tick(mut rsi_10: RelativeStrengthIndex, quote_tick: QuoteTick) { + rsi_10.handle_quote_tick("e_tick); + assert_eq!(rsi_10.count, 1); + assert_eq!(rsi_10.value, 1.0) + } + + #[rstest] + fn test_handle_trade_tick(mut rsi_10: RelativeStrengthIndex, trade_tick: TradeTick) { + rsi_10.handle_trade_tick(&trade_tick); + assert_eq!(rsi_10.count, 1); + assert_eq!(rsi_10.value, 1.0) + } + + #[rstest] + fn test_handle_bar(mut rsi_10: RelativeStrengthIndex, bar_ethusdt_binance_minute_bid: Bar) { + rsi_10.handle_bar(&bar_ethusdt_binance_minute_bid); + assert_eq!(rsi_10.count, 1); + assert_eq!(rsi_10.value, 1.0) + } +} diff --git a/nautilus_core/indicators/src/ratio/efficiency_ratio.rs b/nautilus_core/indicators/src/ratio/efficiency_ratio.rs new file mode 100644 index 000000000000..c8345bb88b86 --- /dev/null +++ b/nautilus_core/indicators/src/ratio/efficiency_ratio.rs @@ -0,0 +1,279 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::fmt::Display; + +use anyhow::Result; +use nautilus_core::python::to_pyvalue_err; +use nautilus_model::{ + data::{bar::Bar, quote::QuoteTick, trade::TradeTick}, + enums::PriceType, +}; +use pyo3::prelude::*; + +use crate::indicator::Indicator; + +/// An indicator which calculates the efficiency ratio across a rolling window. +/// The Kaufman Efficiency measures the ratio of the relative market speed in +/// relation to the volatility, this could be thought of as a proxy for noise. +#[repr(C)] +#[derive(Debug)] +#[pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")] +pub struct EfficiencyRatio { + /// The rolling window period for the indicator (>= 2). + pub period: usize, + pub price_type: PriceType, + pub value: f64, + pub inputs: Vec, + _deltas: Vec, + is_initialized: bool, +} + +impl Display for EfficiencyRatio { + fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result { + write!(f, "{}({})", self.name(), self.period,) + } +} + +impl Indicator for EfficiencyRatio { + fn name(&self) -> String { + stringify!(EfficiencyRatio).to_string() + } + + fn has_inputs(&self) -> bool { + !self.inputs.is_empty() + } + fn is_initialized(&self) -> bool { + self.is_initialized + } + + fn handle_quote_tick(&mut self, tick: &QuoteTick) { + self.update_raw(tick.extract_price(self.price_type).into()); + } + + fn handle_trade_tick(&mut self, tick: &TradeTick) { + self.update_raw((&tick.price).into()); + } + + fn handle_bar(&mut self, bar: &Bar) { + self.update_raw((&bar.close).into()); + } + + fn reset(&mut self) { + self.value = 0.0; + self.inputs.clear(); + self.is_initialized = false; + } +} + +impl EfficiencyRatio { + pub fn new(period: usize, price_type: Option) -> Result { + Ok(Self { + period, + price_type: price_type.unwrap_or(PriceType::Last), + value: 0.0, + inputs: Vec::with_capacity(period), + _deltas: Vec::with_capacity(period), + is_initialized: false, + }) + } + + pub fn update_raw(&mut self, value: f64) { + self.inputs.push(value); + if self.inputs.len() < 2 { + self.value = 0.0; + return; + } else if !self.is_initialized && self.inputs.len() >= self.period { + self.is_initialized = true; + } + let last_diff = + (self.inputs[self.inputs.len() - 1] - self.inputs[self.inputs.len() - 2]).abs(); + self._deltas.push(last_diff); + let sum_deltas = self._deltas.iter().sum::().abs(); + let net_diff = (self.inputs[self.inputs.len() - 1] - self.inputs[0]).abs(); + self.value = if sum_deltas == 0.0 { + 0.0 + } else { + net_diff / sum_deltas + }; + } +} + +#[cfg(feature = "python")] +#[pymethods] +impl EfficiencyRatio { + #[new] + fn py_new(period: usize, price_type: Option) -> PyResult { + Self::new(period, price_type).map_err(to_pyvalue_err) + } + + #[getter] + #[pyo3(name = "name")] + fn py_name(&self) -> String { + self.name() + } + + #[getter] + #[pyo3(name = "period")] + fn py_period(&self) -> usize { + self.period + } + + #[getter] + #[pyo3(name = "value")] + fn py_value(&self) -> f64 { + self.value + } + + #[getter] + #[pyo3(name = "initialized")] + fn py_initialized(&self) -> bool { + self.is_initialized + } + + #[pyo3(name = "has_inputs")] + fn py_has_inputs(&self) -> bool { + self.has_inputs() + } + + #[pyo3(name = "update_raw")] + fn py_update_raw(&mut self, value: f64) { + self.update_raw(value); + } + + fn __repr__(&self) -> String { + format!("EfficiencyRatio({})", self.period) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + + use rstest::rstest; + + use crate::{indicator::Indicator, ratio::efficiency_ratio::EfficiencyRatio, stubs::*}; + + #[rstest] + fn test_efficiency_ratio_initialized(efficiency_ratio_10: EfficiencyRatio) { + let display_str = format!("{efficiency_ratio_10}"); + assert_eq!(display_str, "EfficiencyRatio(10)"); + assert_eq!(efficiency_ratio_10.period, 10); + assert!(!efficiency_ratio_10.is_initialized); + } + + #[rstest] + fn test_with_correct_number_of_required_inputs(mut efficiency_ratio_10: EfficiencyRatio) { + for i in 1..10 { + efficiency_ratio_10.update_raw(f64::from(i)); + } + assert_eq!(efficiency_ratio_10.inputs.len(), 9); + assert!(!efficiency_ratio_10.is_initialized); + efficiency_ratio_10.update_raw(1.0); + assert_eq!(efficiency_ratio_10.inputs.len(), 10); + assert!(efficiency_ratio_10.is_initialized); + } + + #[rstest] + fn test_value_with_one_input(mut efficiency_ratio_10: EfficiencyRatio) { + efficiency_ratio_10.update_raw(1.0); + assert_eq!(efficiency_ratio_10.value, 0.0); + } + + #[rstest] + fn test_value_with_efficient_higher_inputs(mut efficiency_ratio_10: EfficiencyRatio) { + let mut initial_price = 1.0; + for _ in 1..=10 { + initial_price += 0.0001; + efficiency_ratio_10.update_raw(initial_price); + } + assert_eq!(efficiency_ratio_10.value, 1.0); + } + + #[rstest] + fn test_value_with_efficient_lower_inputs(mut efficiency_ratio_10: EfficiencyRatio) { + let mut initial_price = 1.0; + for _ in 1..=10 { + initial_price -= 0.0001; + efficiency_ratio_10.update_raw(initial_price); + } + assert_eq!(efficiency_ratio_10.value, 1.0); + } + + #[rstest] + fn test_value_with_oscillating_inputs_returns_zero(mut efficiency_ratio_10: EfficiencyRatio) { + efficiency_ratio_10.update_raw(1.00000); + efficiency_ratio_10.update_raw(1.00010); + efficiency_ratio_10.update_raw(1.00000); + efficiency_ratio_10.update_raw(0.99990); + efficiency_ratio_10.update_raw(1.00000); + assert_eq!(efficiency_ratio_10.value, 0.0); + } + + #[rstest] + fn test_value_with_half_oscillating(mut efficiency_ratio_10: EfficiencyRatio) { + efficiency_ratio_10.update_raw(1.00000); + efficiency_ratio_10.update_raw(1.00020); + efficiency_ratio_10.update_raw(1.00010); + efficiency_ratio_10.update_raw(1.00030); + efficiency_ratio_10.update_raw(1.00020); + assert_eq!(efficiency_ratio_10.value, 0.333_333_333_333_333_3); + } + + #[rstest] + fn test_value_with_noisy_inputs(mut efficiency_ratio_10: EfficiencyRatio) { + efficiency_ratio_10.update_raw(1.00000); + efficiency_ratio_10.update_raw(1.00010); + efficiency_ratio_10.update_raw(1.00008); + efficiency_ratio_10.update_raw(1.00007); + efficiency_ratio_10.update_raw(1.00012); + efficiency_ratio_10.update_raw(1.00005); + efficiency_ratio_10.update_raw(1.00015); + assert_eq!(efficiency_ratio_10.value, 0.428_571_428_572_153_63); + } + + #[rstest] + fn test_reset(mut efficiency_ratio_10: EfficiencyRatio) { + for i in 1..=10 { + efficiency_ratio_10.update_raw(f64::from(i)); + } + assert!(efficiency_ratio_10.is_initialized); + efficiency_ratio_10.reset(); + assert!(!efficiency_ratio_10.is_initialized); + assert_eq!(efficiency_ratio_10.value, 0.0); + } + + #[rstest] + fn test_handle_quote_tick(mut efficiency_ratio_10: EfficiencyRatio) { + let quote_tick1 = quote_tick("1500.0", "1502.0"); + let quote_tick2 = quote_tick("1502.0", "1504.0"); + + efficiency_ratio_10.handle_quote_tick("e_tick1); + efficiency_ratio_10.handle_quote_tick("e_tick2); + assert_eq!(efficiency_ratio_10.value, 1.0); + } + + #[rstest] + fn test_handle_bar(mut efficiency_ratio_10: EfficiencyRatio) { + let bar1 = bar_ethusdt_binance_minute_bid("1500.0"); + let bar2 = bar_ethusdt_binance_minute_bid("1510.0"); + + efficiency_ratio_10.handle_bar(&bar1); + efficiency_ratio_10.handle_bar(&bar2); + assert_eq!(efficiency_ratio_10.value, 1.0); + } +} diff --git a/nautilus_core/indicators/src/ratio/mod.rs b/nautilus_core/indicators/src/ratio/mod.rs new file mode 100644 index 000000000000..1d3e5ababfb9 --- /dev/null +++ b/nautilus_core/indicators/src/ratio/mod.rs @@ -0,0 +1,16 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod efficiency_ratio; diff --git a/nautilus_core/indicators/src/stubs.rs b/nautilus_core/indicators/src/stubs.rs new file mode 100644 index 000000000000..d6ae2566938e --- /dev/null +++ b/nautilus_core/indicators/src/stubs.rs @@ -0,0 +1,135 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- +use nautilus_model::{ + data::{ + bar::{Bar, BarSpecification, BarType}, + quote::QuoteTick, + trade::TradeTick, + }, + enums::{AggregationSource, AggressorSide, BarAggregation, PriceType}, + identifiers::{instrument_id::InstrumentId, symbol::Symbol, trade_id::TradeId, venue::Venue}, + types::{price::Price, quantity::Quantity}, +}; +use rstest::*; + +use crate::{ + average::{ + ama::AdaptiveMovingAverage, dema::DoubleExponentialMovingAverage, + ema::ExponentialMovingAverage, sma::SimpleMovingAverage, MovingAverageType, + }, + momentum::rsi::RelativeStrengthIndex, + ratio::efficiency_ratio::EfficiencyRatio, +}; + +//////////////////////////////////////////////////////////////////////////////// +// Common +//////////////////////////////////////////////////////////////////////////////// +#[fixture] +pub fn quote_tick( + #[default("1500")] bid_price: &str, + #[default("1502")] ask_price: &str, +) -> QuoteTick { + QuoteTick { + instrument_id: InstrumentId::from("ETHUSDT-PERP.BINANCE"), + bid_price: Price::from(bid_price), + ask_price: Price::from(ask_price), + bid_size: Quantity::from("1.00000000"), + ask_size: Quantity::from("1.00000000"), + ts_event: 1, + ts_init: 0, + } +} + +#[fixture] +pub fn trade_tick() -> TradeTick { + TradeTick { + instrument_id: InstrumentId::from("ETHUSDT-PERP.BINANCE"), + price: Price::from("1500.0000"), + size: Quantity::from("1.00000000"), + aggressor_side: AggressorSide::Buyer, + trade_id: TradeId::from("123456789"), + ts_event: 1, + ts_init: 0, + } +} + +#[fixture] +pub fn bar_ethusdt_binance_minute_bid(#[default("1522")] close_price: &str) -> Bar { + let instrument_id = InstrumentId { + symbol: Symbol::new("ETHUSDT-PERP.BINANCE").unwrap(), + venue: Venue::new("BINANCE").unwrap(), + }; + let bar_spec = BarSpecification { + step: 1, + aggregation: BarAggregation::Minute, + price_type: PriceType::Bid, + }; + let bar_type = BarType { + instrument_id, + spec: bar_spec, + aggregation_source: AggregationSource::External, + }; + Bar { + bar_type, + open: Price::from("1500.0"), + high: Price::from("1550.0"), + low: Price::from("1495.0"), + close: Price::from(close_price), + volume: Quantity::from("100000"), + ts_event: 0, + ts_init: 1, + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Average +//////////////////////////////////////////////////////////////////////////////// + +#[fixture] +pub fn indicator_ama_10() -> AdaptiveMovingAverage { + AdaptiveMovingAverage::new(10, 2, 30, Some(PriceType::Mid)).unwrap() +} + +#[fixture] +pub fn indicator_sma_10() -> SimpleMovingAverage { + SimpleMovingAverage::new(10, Some(PriceType::Mid)).unwrap() +} + +#[fixture] +pub fn indicator_ema_10() -> ExponentialMovingAverage { + ExponentialMovingAverage::new(10, Some(PriceType::Mid)).unwrap() +} + +#[fixture] +pub fn indicator_dema_10() -> DoubleExponentialMovingAverage { + DoubleExponentialMovingAverage::new(10, Some(PriceType::Mid)).unwrap() +} + +//////////////////////////////////////////////////////////////////////////////// +// Ratios +//////////////////////////////////////////////////////////////////////////////// + +#[fixture] +pub fn efficiency_ratio_10() -> EfficiencyRatio { + EfficiencyRatio::new(10, Some(PriceType::Mid)).unwrap() +} + +//////////////////////////////////////////////////////////////////////////////// +// Momentum +//////////////////////////////////////////////////////////////////////////////// +#[fixture] +pub fn rsi_10() -> RelativeStrengthIndex { + RelativeStrengthIndex::new(10, Some(MovingAverageType::Exponential)).unwrap() +} diff --git a/nautilus_core/model/Cargo.toml b/nautilus_core/model/Cargo.toml index 8bf3d1b066db..ac655b32c86a 100644 --- a/nautilus_core/model/Cargo.toml +++ b/nautilus_core/model/Cargo.toml @@ -13,6 +13,7 @@ crate-type = ["rlib", "staticlib"] [dependencies] nautilus-core = { path = "../core" } anyhow = { workspace = true } +once_cell = { workspace = true } pyo3 = { workspace = true, optional = true } rmp-serde = { workspace = true } rust_decimal = { workspace = true } @@ -22,9 +23,10 @@ serde_json = { workspace = true } strum = { workspace = true } thiserror = { workspace = true } ustr = { workspace = true } +chrono = { workspace = true } derive_builder = "0.12.0" evalexpr = "11.1.0" -lazy_static = "1.4.0" +indexmap = "2.0.2" tabled = "0.12.2" thousands = "0.2.0" diff --git a/nautilus_core/model/benches/criterion_fixed_precision_benchmark.rs b/nautilus_core/model/benches/criterion_fixed_precision_benchmark.rs index d160d753ce56..0ab528a63f75 100644 --- a/nautilus_core/model/benches/criterion_fixed_precision_benchmark.rs +++ b/nautilus_core/model/benches/criterion_fixed_precision_benchmark.rs @@ -3,7 +3,7 @@ use nautilus_model::types::fixed::f64_to_fixed_i64; pub fn criterion_fixed_precision_benchmark(c: &mut Criterion) { c.bench_function("f64_to_fixed_i64", |b| { - b.iter(|| f64_to_fixed_i64(black_box(-1.0), black_box(1))) + b.iter(|| f64_to_fixed_i64(black_box(-1.0), black_box(1))); }); } diff --git a/nautilus_core/model/cbindgen.toml b/nautilus_core/model/cbindgen.toml index 482818d37f22..bab00f3e75d7 100644 --- a/nautilus_core/model/cbindgen.toml +++ b/nautilus_core/model/cbindgen.toml @@ -12,6 +12,7 @@ rename_variants = "ScreamingSnakeCase" [export] exclude = [ "BarAggregation", + "OrderId", ] [export.rename] @@ -31,6 +32,7 @@ exclude = [ "ExecAlgorithmId" = "ExecAlgorithmId_t" "InstrumentId" = "InstrumentId_t" "Money" = "Money_t" +"OrderId" = "uint64_t" "OrderBookDelta" = "OrderBookDelta_t" "OrderInitialized" = "OrderInitialized_t" "OrderDenied" = "OrderDenied_t" diff --git a/nautilus_core/model/cbindgen_cython.toml b/nautilus_core/model/cbindgen_cython.toml index 329c454e5c7e..4177323314f4 100644 --- a/nautilus_core/model/cbindgen_cython.toml +++ b/nautilus_core/model/cbindgen_cython.toml @@ -28,6 +28,7 @@ rename_variants = "ScreamingSnakeCase" [export] exclude = [ "BarAggregation", + "OrderId", ] [export.rename] @@ -47,6 +48,7 @@ exclude = [ "ExecAlgorithmId" = "ExecAlgorithmId_t" "InstrumentId" = "InstrumentId_t" "Money" = "Money_t" +"OrderId" = "uint64_t" "OrderBookDelta" = "OrderBookDelta_t" "OrderInitialized" = "OrderInitialized_t" "OrderDenied" = "OrderDenied_t" diff --git a/nautilus_core/model/src/currencies.rs b/nautilus_core/model/src/currencies.rs index 3c9cd3b3b012..7bc0012a34a1 100644 --- a/nautilus_core/model/src/currencies.rs +++ b/nautilus_core/model/src/currencies.rs @@ -13,581 +13,1043 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -//! Defines established currency constants and an internal currency map. - -use std::{collections::HashMap, sync::Mutex}; +use std::{ + collections::HashMap, + sync::{Mutex, OnceLock}, +}; +use once_cell::sync::Lazy; use ustr::Ustr; use crate::{enums::CurrencyType, types::currency::Currency}; -#[must_use] -pub fn currency_map() -> Mutex> { - Mutex::new( - [ - // Fiat currencies - (String::from("AUD"), *AUD), - (String::from("BRL"), *BRL), - (String::from("CAD"), *CAD), - (String::from("CHF"), *CHF), - (String::from("CNY"), *CNY), - (String::from("CNH"), *CNH), - (String::from("CZK"), *CZK), - (String::from("DKK"), *DKK), - (String::from("EUR"), *EUR), - (String::from("GBP"), *GBP), - (String::from("HKD"), *HKD), - (String::from("HUF"), *HUF), - (String::from("ILS"), *ILS), - (String::from("INR"), *INR), - (String::from("JPY"), *JPY), - (String::from("KRW"), *KRW), - (String::from("MXN"), *MXN), - (String::from("NOK"), *NOK), - (String::from("NZD"), *NZD), - (String::from("PLN"), *PLN), - (String::from("RUB"), *RUB), - (String::from("SAR"), *SAR), - (String::from("SEK"), *SEK), - (String::from("SGD"), *SGD), - (String::from("THB"), *THB), - (String::from("TRY"), *TRY), - (String::from("USD"), *USD), - (String::from("XAG"), *XAG), - (String::from("XAU"), *XAU), - (String::from("ZAR"), *ZAR), - // Crypto currencies - (String::from("1INCH"), *ONEINCH), - (String::from("AAVE"), *AAVE), - (String::from("ACA"), *ACA), - (String::from("ADA"), *ADA), - (String::from("AVAX"), *AVAX), - (String::from("BCH"), *BCH), - (String::from("BTTC"), *BTTC), - (String::from("BNB"), *BNB), - (String::from("BRZ"), *BRZ), - (String::from("BSV"), *BSV), - (String::from("BTC"), *BTC), - (String::from("BUSD"), *BUSD), - (String::from("DASH"), *DASH), - (String::from("DOGE"), *DOGE), - (String::from("DOT"), *DOT), - (String::from("EOS"), *EOS), - (String::from("ETH"), *ETH), - (String::from("ETHW"), *ETHW), - (String::from("JOE"), *JOE), - (String::from("LINK"), *LINK), - (String::from("LTC"), *LTC), - (String::from("LUNA"), *LUNA), - (String::from("NBT"), *NBT), - (String::from("SOL"), *SOL), - (String::from("TRX"), *TRX), - (String::from("TRYB"), *TRYB), - (String::from("TUSD"), *TUSD), - (String::from("VTC"), *VTC), - (String::from("WSB"), *WSB), - (String::from("XBT"), *XBT), - (String::from("XEC"), *XEC), - (String::from("XLM"), *XLM), - (String::from("XMR"), *XMR), - (String::from("XRP"), *XRP), - (String::from("XTZ"), *XTZ), - (String::from("USDC"), *USDC), - (String::from("USDP"), *USDP), - (String::from("USDT"), *USDT), - (String::from("ZEC"), *ZEC), - ] - .iter() - .cloned() - .collect(), - ) +// Fiat currency static locks +static AUD_LOCK: OnceLock = OnceLock::new(); +static BRL_LOCK: OnceLock = OnceLock::new(); +static CAD_LOCK: OnceLock = OnceLock::new(); +static CHF_LOCK: OnceLock = OnceLock::new(); +static CNY_LOCK: OnceLock = OnceLock::new(); +static CNH_LOCK: OnceLock = OnceLock::new(); +static CZK_LOCK: OnceLock = OnceLock::new(); +static DKK_LOCK: OnceLock = OnceLock::new(); +static EUR_LOCK: OnceLock = OnceLock::new(); +static GBP_LOCK: OnceLock = OnceLock::new(); +static HKD_LOCK: OnceLock = OnceLock::new(); +static HUF_LOCK: OnceLock = OnceLock::new(); +static ILS_LOCK: OnceLock = OnceLock::new(); +static INR_LOCK: OnceLock = OnceLock::new(); +static JPY_LOCK: OnceLock = OnceLock::new(); +static KRW_LOCK: OnceLock = OnceLock::new(); +static MXN_LOCK: OnceLock = OnceLock::new(); +static NOK_LOCK: OnceLock = OnceLock::new(); +static NZD_LOCK: OnceLock = OnceLock::new(); +static PLN_LOCK: OnceLock = OnceLock::new(); +static RUB_LOCK: OnceLock = OnceLock::new(); +static SAR_LOCK: OnceLock = OnceLock::new(); +static SEK_LOCK: OnceLock = OnceLock::new(); +static SGD_LOCK: OnceLock = OnceLock::new(); +static THB_LOCK: OnceLock = OnceLock::new(); +static TRY_LOCK: OnceLock = OnceLock::new(); +static TWD_LOCK: OnceLock = OnceLock::new(); +static USD_LOCK: OnceLock = OnceLock::new(); +static ZAR_LOCK: OnceLock = OnceLock::new(); + +// Commodity backed currency static locks +static XAG_LOCK: OnceLock = OnceLock::new(); +static XAU_LOCK: OnceLock = OnceLock::new(); +static XPT_LOCK: OnceLock = OnceLock::new(); + +// Crypto currency static locks +static ONEINCH_LOCK: OnceLock = OnceLock::new(); +static AAVE_LOCK: OnceLock = OnceLock::new(); +static ACA_LOCK: OnceLock = OnceLock::new(); +static ADA_LOCK: OnceLock = OnceLock::new(); +static AVAX_LOCK: OnceLock = OnceLock::new(); +static BCH_LOCK: OnceLock = OnceLock::new(); +static BTC_LOCK: OnceLock = OnceLock::new(); +static BTTC_LOCK: OnceLock = OnceLock::new(); +static BNB_LOCK: OnceLock = OnceLock::new(); +static BRZ_LOCK: OnceLock = OnceLock::new(); +static BSV_LOCK: OnceLock = OnceLock::new(); +static BUSD_LOCK: OnceLock = OnceLock::new(); +static CAKE_LOCK: OnceLock = OnceLock::new(); +static DASH_LOCK: OnceLock = OnceLock::new(); +static DOGE_LOCK: OnceLock = OnceLock::new(); +static DOT_LOCK: OnceLock = OnceLock::new(); +static EOS_LOCK: OnceLock = OnceLock::new(); +static ETH_LOCK: OnceLock = OnceLock::new(); +static ETHW_LOCK: OnceLock = OnceLock::new(); +static JOE_LOCK: OnceLock = OnceLock::new(); +static LINK_LOCK: OnceLock = OnceLock::new(); +static LTC_LOCK: OnceLock = OnceLock::new(); +static LUNA_LOCK: OnceLock = OnceLock::new(); +static NBT_LOCK: OnceLock = OnceLock::new(); +static SOL_LOCK: OnceLock = OnceLock::new(); +static TRX_LOCK: OnceLock = OnceLock::new(); +static TRYB_LOCK: OnceLock = OnceLock::new(); +static TUSD_LOCK: OnceLock = OnceLock::new(); +static SHIB_LOCK: OnceLock = OnceLock::new(); +static VTC_LOCK: OnceLock = OnceLock::new(); +static WSB_LOCK: OnceLock = OnceLock::new(); +static XBT_LOCK: OnceLock = OnceLock::new(); +static XEC_LOCK: OnceLock = OnceLock::new(); +static XLM_LOCK: OnceLock = OnceLock::new(); +static XMR_LOCK: OnceLock = OnceLock::new(); +static XRP_LOCK: OnceLock = OnceLock::new(); +static XTZ_LOCK: OnceLock = OnceLock::new(); +static USDC_LOCK: OnceLock = OnceLock::new(); +static USDP_LOCK: OnceLock = OnceLock::new(); +static USDT_LOCK: OnceLock = OnceLock::new(); +static ZEC_LOCK: OnceLock = OnceLock::new(); + +impl Currency { + // Crypto currencies + #[allow(non_snake_case)] + #[must_use] + pub fn AUD() -> Currency { + *AUD_LOCK.get_or_init(|| Currency { + code: Ustr::from("AUD"), + precision: 2, + iso4217: 36, + name: Ustr::from("Australian dollar"), + currency_type: CurrencyType::Fiat, + }) + } + #[allow(non_snake_case)] + #[must_use] + pub fn BRL() -> Currency { + *BRL_LOCK.get_or_init(|| Currency { + code: Ustr::from("BRL"), + precision: 2, + iso4217: 986, + name: Ustr::from("Brazilian real"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn CAD() -> Currency { + *CAD_LOCK.get_or_init(|| Currency { + code: Ustr::from("CAD"), + precision: 2, + iso4217: 124, + name: Ustr::from("Canadian dollar"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn CHF() -> Currency { + *CHF_LOCK.get_or_init(|| Currency { + code: Ustr::from("CHF"), + precision: 2, + iso4217: 756, + name: Ustr::from("Swiss franc"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn CNY() -> Currency { + *CNY_LOCK.get_or_init(|| Currency { + code: Ustr::from("CNY"), + precision: 2, + iso4217: 156, + name: Ustr::from("Chinese yuan"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn CNH() -> Currency { + *CNH_LOCK.get_or_init(|| Currency { + code: Ustr::from("CNH"), + precision: 2, + iso4217: 0, + name: Ustr::from("Chinese yuan (offshore)"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn CZK() -> Currency { + *CZK_LOCK.get_or_init(|| Currency { + code: Ustr::from("CZK"), + precision: 2, + iso4217: 203, + name: Ustr::from("Czech koruna"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn DKK() -> Currency { + *DKK_LOCK.get_or_init(|| Currency { + code: Ustr::from("DKK"), + precision: 2, + iso4217: 208, + name: Ustr::from("Danish krone"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn EUR() -> Currency { + *EUR_LOCK.get_or_init(|| Currency { + code: Ustr::from("EUR"), + precision: 2, + iso4217: 978, + name: Ustr::from("Euro"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn GBP() -> Currency { + *GBP_LOCK.get_or_init(|| Currency { + code: Ustr::from("GBP"), + precision: 2, + iso4217: 826, + name: Ustr::from("British Pound"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn HKD() -> Currency { + *HKD_LOCK.get_or_init(|| Currency { + code: Ustr::from("HKD"), + precision: 2, + iso4217: 344, + name: Ustr::from("Hong Kong dollar"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn HUF() -> Currency { + *HUF_LOCK.get_or_init(|| Currency { + code: Ustr::from("HUF"), + precision: 2, + iso4217: 348, + name: Ustr::from("Hungarian forint"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn ILS() -> Currency { + *ILS_LOCK.get_or_init(|| Currency { + code: Ustr::from("ILS"), + precision: 2, + iso4217: 376, + name: Ustr::from("Israeli new shekel"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn INR() -> Currency { + *INR_LOCK.get_or_init(|| Currency { + code: Ustr::from("INR"), + precision: 2, + iso4217: 356, + name: Ustr::from("Indian rupee"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn JPY() -> Currency { + *JPY_LOCK.get_or_init(|| Currency { + code: Ustr::from("JPY"), + precision: 0, + iso4217: 392, + name: Ustr::from("Japanese yen"), + currency_type: CurrencyType::Fiat, + }) + } + #[allow(non_snake_case)] + #[must_use] + pub fn KRW() -> Currency { + *KRW_LOCK.get_or_init(|| Currency { + code: Ustr::from("KRW"), + precision: 0, + iso4217: 410, + name: Ustr::from("South Korean won"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn MXN() -> Currency { + *MXN_LOCK.get_or_init(|| Currency { + code: Ustr::from("MXN"), + precision: 2, + iso4217: 484, + name: Ustr::from("Mexican peso"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn NOK() -> Currency { + *NOK_LOCK.get_or_init(|| Currency { + code: Ustr::from("NOK"), + precision: 2, + iso4217: 578, + name: Ustr::from("Norwegian krone"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn NZD() -> Currency { + *NZD_LOCK.get_or_init(|| Currency { + code: Ustr::from("NZD"), + precision: 2, + iso4217: 554, + name: Ustr::from("New Zealand dollar"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn PLN() -> Currency { + *PLN_LOCK.get_or_init(|| Currency { + code: Ustr::from("PLN"), + precision: 2, + iso4217: 985, + name: Ustr::from("Polish złoty"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn RUB() -> Currency { + *RUB_LOCK.get_or_init(|| Currency { + code: Ustr::from("RUB"), + precision: 2, + iso4217: 643, + name: Ustr::from("Russian ruble"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn SAR() -> Currency { + *SAR_LOCK.get_or_init(|| Currency { + code: Ustr::from("SAR"), + precision: 2, + iso4217: 682, + name: Ustr::from("Saudi riyal"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn SEK() -> Currency { + *SEK_LOCK.get_or_init(|| Currency { + code: Ustr::from("SEK"), + precision: 2, + iso4217: 752, + name: Ustr::from("Swedish krona"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn SGD() -> Currency { + *SGD_LOCK.get_or_init(|| Currency { + code: Ustr::from("SGD"), + precision: 2, + iso4217: 702, + name: Ustr::from("Singapore dollar"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn THB() -> Currency { + *THB_LOCK.get_or_init(|| Currency { + code: Ustr::from("THB"), + precision: 2, + iso4217: 764, + name: Ustr::from("Thai baht"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn TRY() -> Currency { + *TRY_LOCK.get_or_init(|| Currency { + code: Ustr::from("TRY"), + precision: 2, + iso4217: 949, + name: Ustr::from("Turkish lira"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn TWD() -> Currency { + *TWD_LOCK.get_or_init(|| Currency { + code: Ustr::from("TWD"), + precision: 2, + iso4217: 901, + name: Ustr::from("New Taiwan dollar"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn USD() -> Currency { + *USD_LOCK.get_or_init(|| Currency { + code: Ustr::from("USD"), + precision: 2, + iso4217: 840, + name: Ustr::from("United States dollar"), + currency_type: CurrencyType::Fiat, + }) + } + #[allow(non_snake_case)] + #[must_use] + pub fn ZAR() -> Currency { + *ZAR_LOCK.get_or_init(|| Currency { + code: Ustr::from("ZAR"), + precision: 2, + iso4217: 710, + name: Ustr::from("South African rand"), + currency_type: CurrencyType::Fiat, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn XAG() -> Currency { + *XAG_LOCK.get_or_init(|| Currency { + code: Ustr::from("XAG"), + precision: 2, + iso4217: 961, + name: Ustr::from("Silver (one troy ounce)"), + currency_type: CurrencyType::CommodityBacked, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn XAU() -> Currency { + *XAU_LOCK.get_or_init(|| Currency { + code: Ustr::from("XAU"), + precision: 2, + iso4217: 959, + name: Ustr::from("Gold (one troy ounce)"), + currency_type: CurrencyType::CommodityBacked, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn XPT() -> Currency { + *XPT_LOCK.get_or_init(|| Currency { + code: Ustr::from("XPT"), + precision: 2, + iso4217: 962, + name: Ustr::from("Platinum (one troy ounce)"), + currency_type: CurrencyType::CommodityBacked, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn ONEINCH() -> Currency { + *ONEINCH_LOCK.get_or_init(|| Currency { + code: Ustr::from("1INCH"), + precision: 8, + iso4217: 0, + name: Ustr::from("1inch Network"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn AAVE() -> Currency { + *AAVE_LOCK.get_or_init(|| Currency { + code: Ustr::from("AAVE"), + precision: 8, + iso4217: 0, + name: Ustr::from("Aave"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn ACA() -> Currency { + *ACA_LOCK.get_or_init(|| Currency { + code: Ustr::from("ACA"), + precision: 8, + iso4217: 0, + name: Ustr::from("Acala Token"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn ADA() -> Currency { + *ADA_LOCK.get_or_init(|| Currency { + code: Ustr::from("ADA"), + precision: 6, + iso4217: 0, + name: Ustr::from("Cardano"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn AVAX() -> Currency { + *AVAX_LOCK.get_or_init(|| Currency { + code: Ustr::from("AVAX"), + precision: 8, + iso4217: 0, + name: Ustr::from("Avalanche"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn BCH() -> Currency { + *BCH_LOCK.get_or_init(|| Currency { + code: Ustr::from("BCH"), + precision: 8, + iso4217: 0, + name: Ustr::from("Bitcoin Cash"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn BTC() -> Currency { + *BTC_LOCK.get_or_init(|| Currency { + code: Ustr::from("BTC"), + precision: 8, + iso4217: 0, + name: Ustr::from("Bitcoin"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn BTTC() -> Currency { + *BTTC_LOCK.get_or_init(|| Currency { + code: Ustr::from("BTTC"), + precision: 8, + iso4217: 0, + name: Ustr::from("BitTorrent"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn BNB() -> Currency { + *BNB_LOCK.get_or_init(|| Currency { + code: Ustr::from("BNB"), + precision: 8, + iso4217: 0, + name: Ustr::from("Binance Coin"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn BRZ() -> Currency { + *BRZ_LOCK.get_or_init(|| Currency { + code: Ustr::from("BRZ"), + precision: 6, + iso4217: 0, + name: Ustr::from("Brazilian Digital Token"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn BSV() -> Currency { + *BSV_LOCK.get_or_init(|| Currency { + code: Ustr::from("BSV"), + precision: 8, + iso4217: 0, + name: Ustr::from("Bitcoin SV"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn BUSD() -> Currency { + *BUSD_LOCK.get_or_init(|| Currency { + code: Ustr::from("BUSD"), + precision: 8, + iso4217: 0, + name: Ustr::from("Binance USD"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn CAKE() -> Currency { + *CAKE_LOCK.get_or_init(|| Currency { + code: Ustr::from("CAKE"), + precision: 8, + iso4217: 0, + name: Ustr::from("PancakeSwap"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn DASH() -> Currency { + *DASH_LOCK.get_or_init(|| Currency { + code: Ustr::from("DASH"), + precision: 8, + iso4217: 0, + name: Ustr::from("Dash"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn DOT() -> Currency { + *DOT_LOCK.get_or_init(|| Currency { + code: Ustr::from("DOT"), + precision: 8, + iso4217: 0, + name: Ustr::from("Polkadot"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn DOGE() -> Currency { + *DOGE_LOCK.get_or_init(|| Currency { + code: Ustr::from("DOGE"), + precision: 8, + iso4217: 0, + name: Ustr::from("Dogecoin"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn EOS() -> Currency { + *EOS_LOCK.get_or_init(|| Currency { + code: Ustr::from("EOS"), + precision: 8, + iso4217: 0, + name: Ustr::from("EOS"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn ETH() -> Currency { + *ETH_LOCK.get_or_init(|| Currency { + code: Ustr::from("ETH"), + precision: 8, + iso4217: 0, + name: Ustr::from("Ethereum"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn ETHW() -> Currency { + *ETHW_LOCK.get_or_init(|| Currency { + code: Ustr::from("ETHW"), + precision: 8, + iso4217: 0, + name: Ustr::from("EthereumPoW"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn JOE() -> Currency { + *JOE_LOCK.get_or_init(|| Currency { + code: Ustr::from("JOE"), + precision: 8, + iso4217: 0, + name: Ustr::from("JOE"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn LINK() -> Currency { + *LINK_LOCK.get_or_init(|| Currency { + code: Ustr::from("LINK"), + precision: 8, + iso4217: 0, + name: Ustr::from("Chainlink"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn LTC() -> Currency { + *LTC_LOCK.get_or_init(|| Currency { + code: Ustr::from("LTC"), + precision: 8, + iso4217: 0, + name: Ustr::from("Litecoin"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn LUNA() -> Currency { + *LUNA_LOCK.get_or_init(|| Currency { + code: Ustr::from("LUNA"), + precision: 8, + iso4217: 0, + name: Ustr::from("Terra"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn NBT() -> Currency { + *NBT_LOCK.get_or_init(|| Currency { + code: Ustr::from("NBT"), + precision: 8, + iso4217: 0, + name: Ustr::from("NanoByte Token"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn SOL() -> Currency { + *SOL_LOCK.get_or_init(|| Currency { + code: Ustr::from("SOL"), + precision: 8, + iso4217: 0, + name: Ustr::from("Solana"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn SHIB() -> Currency { + *SHIB_LOCK.get_or_init(|| Currency { + code: Ustr::from("SHIB"), + precision: 8, + iso4217: 0, + name: Ustr::from("Shiba Inu"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn TRX() -> Currency { + *TRX_LOCK.get_or_init(|| Currency { + code: Ustr::from("TRX"), + precision: 8, + iso4217: 0, + name: Ustr::from("TRON"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn TRYB() -> Currency { + *TRYB_LOCK.get_or_init(|| Currency { + code: Ustr::from("TRYB"), + precision: 8, + iso4217: 0, + name: Ustr::from("BiLibra"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn TUSD() -> Currency { + *TUSD_LOCK.get_or_init(|| Currency { + code: Ustr::from("TUSD"), + precision: 8, + iso4217: 0, + name: Ustr::from("TrueUSD"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn VTC() -> Currency { + *VTC_LOCK.get_or_init(|| Currency { + code: Ustr::from("VTC"), + precision: 8, + iso4217: 0, + name: Ustr::from("Vertcoin"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn WSB() -> Currency { + *WSB_LOCK.get_or_init(|| Currency { + code: Ustr::from("WSB"), + precision: 8, + iso4217: 0, + name: Ustr::from("WallStreetBets DApp"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn XBT() -> Currency { + *XBT_LOCK.get_or_init(|| Currency { + code: Ustr::from("XBT"), + precision: 8, + iso4217: 0, + name: Ustr::from("Bitcoin"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn XEC() -> Currency { + *XEC_LOCK.get_or_init(|| Currency { + code: Ustr::from("XEC"), + precision: 8, + iso4217: 0, + name: Ustr::from("eCash"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn XLM() -> Currency { + *XLM_LOCK.get_or_init(|| Currency { + code: Ustr::from("XLM"), + precision: 8, + iso4217: 0, + name: Ustr::from("Stellar Lumen"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn XMR() -> Currency { + *XMR_LOCK.get_or_init(|| Currency { + code: Ustr::from("XMR"), + precision: 8, + iso4217: 0, + name: Ustr::from("Monero"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn USDT() -> Currency { + *USDT_LOCK.get_or_init(|| Currency { + code: Ustr::from("USDT"), + precision: 8, + iso4217: 0, + name: Ustr::from("Tether"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn XRP() -> Currency { + *XRP_LOCK.get_or_init(|| Currency { + code: Ustr::from("XRP"), + precision: 6, + iso4217: 0, + name: Ustr::from("XRP"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn XTZ() -> Currency { + *XTZ_LOCK.get_or_init(|| Currency { + code: Ustr::from("XTZ"), + precision: 6, + iso4217: 0, + name: Ustr::from("Tezos"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn USDC() -> Currency { + *USDC_LOCK.get_or_init(|| Currency { + code: Ustr::from("USDC"), + precision: 8, + iso4217: 0, + name: Ustr::from("USD Coin"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn USDP() -> Currency { + *USDP_LOCK.get_or_init(|| Currency { + code: Ustr::from("USDP"), + precision: 4, + iso4217: 0, + name: Ustr::from("Pax Dollar"), + currency_type: CurrencyType::Crypto, + }) + } + + #[allow(non_snake_case)] + #[must_use] + pub fn ZEC() -> Currency { + *ZEC_LOCK.get_or_init(|| Currency { + code: Ustr::from("ZEC"), + precision: 8, + iso4217: 0, + name: Ustr::from("Zcash"), + currency_type: CurrencyType::Crypto, + }) + } } -lazy_static! { +pub static CURRENCY_MAP: Lazy>> = Lazy::new(|| { + let mut map = HashMap::new(); // Fiat currencies - pub static ref AUD: Currency = Currency { - code: Ustr::from("AUD"), - precision: 2, - iso4217: 36, - name: Ustr::from("Australian dollar"), - currency_type: CurrencyType::Fiat, - }; - pub static ref BRL: Currency = Currency { - code: Ustr::from("BRL"), - precision: 2, - iso4217: 986, - name: Ustr::from("Brazilian real"), - currency_type: CurrencyType::Fiat, - }; - pub static ref CAD: Currency = Currency { - code: Ustr::from("CAD"), - precision: 2, - iso4217: 124, - name: Ustr::from("Canadian dollar"), - currency_type: CurrencyType::Fiat, - }; - pub static ref CHF: Currency = Currency { - code: Ustr::from("CHF"), - precision: 2, - iso4217: 756, - name: Ustr::from("Swiss franc"), - currency_type: CurrencyType::Fiat, - }; - pub static ref CNY: Currency = Currency { - code: Ustr::from("CNY"), - precision: 2, - iso4217: 156, - name: Ustr::from("Chinese yuan"), - currency_type: CurrencyType::Fiat, - }; - pub static ref CNH: Currency = Currency { - code: Ustr::from("CNH"), - precision: 2, - iso4217: 0, - name: Ustr::from("Chinese yuan (offshore)"), - currency_type: CurrencyType::Fiat, - }; - pub static ref CZK: Currency = Currency { - code: Ustr::from("CZK"), - precision: 2, - iso4217: 203, - name: Ustr::from("Czech koruna"), - currency_type: CurrencyType::Fiat, - }; - pub static ref DKK: Currency = Currency { - code: Ustr::from("DKK"), - precision: 2, - iso4217: 208, - name: Ustr::from("Danish krone"), - currency_type: CurrencyType::Fiat, - }; - pub static ref EUR: Currency = Currency { - code: Ustr::from("EUR"), - precision: 2, - iso4217: 978, - name: Ustr::from("Euro"), - currency_type: CurrencyType::Fiat, - }; - pub static ref GBP: Currency = Currency { - code: Ustr::from("GBP"), - precision: 2, - iso4217: 826, - name: Ustr::from("British Pound"), - currency_type: CurrencyType::Fiat, - }; - pub static ref HKD: Currency = Currency { - code: Ustr::from("HKD"), - precision: 2, - iso4217: 344, - name: Ustr::from("Hong Kong dollar"), - currency_type: CurrencyType::Fiat, - }; - pub static ref HUF: Currency = Currency { - code: Ustr::from("HUF"), - precision: 2, - iso4217: 348, - name: Ustr::from("Hungarian forint"), - currency_type: CurrencyType::Fiat, - }; - pub static ref ILS: Currency = Currency { - code: Ustr::from("ILS"), - precision: 2, - iso4217: 376, - name: Ustr::from("Israeli new shekel"), - currency_type: CurrencyType::Fiat, - }; - pub static ref INR: Currency = Currency { - code: Ustr::from("INR"), - precision: 2, - iso4217: 356, - name: Ustr::from("Indian rupee"), - currency_type: CurrencyType::Fiat, - }; - pub static ref JPY: Currency = Currency { - code: Ustr::from("JPY"), - precision: 0, - iso4217: 392, - name: Ustr::from("Japanese yen"), - currency_type: CurrencyType::Fiat, - }; - pub static ref KRW: Currency = Currency { - code: Ustr::from("KRW"), - precision: 0, - iso4217: 410, - name: Ustr::from("South Korean won"), - currency_type: CurrencyType::Fiat, - }; - pub static ref MXN: Currency = Currency { - code: Ustr::from("MXN"), - precision: 2, - iso4217: 484, - name: Ustr::from("Mexican peso"), - currency_type: CurrencyType::Fiat, - }; - pub static ref NOK: Currency = Currency { - code: Ustr::from("NOK"), - precision: 2, - iso4217: 578, - name: Ustr::from("Norwegian krone"), - currency_type: CurrencyType::Fiat, - }; - pub static ref NZD: Currency = Currency { - code: Ustr::from("NZD"), - precision: 2, - iso4217: 554, - name: Ustr::from("New Zealand dollar"), - currency_type: CurrencyType::Fiat, - }; - pub static ref PLN: Currency = Currency { - code: Ustr::from("PLN"), - precision: 2, - iso4217: 985, - name: Ustr::from("Polish złoty"), - currency_type: CurrencyType::Fiat, - }; - pub static ref RUB: Currency = Currency { - code: Ustr::from("RUB"), - precision: 2, - iso4217: 643, - name: Ustr::from("Russian ruble"), - currency_type: CurrencyType::Fiat, - }; - pub static ref SAR: Currency = Currency { - code: Ustr::from("SAR"), - precision: 2, - iso4217: 682, - name: Ustr::from("Saudi riyal"), - currency_type: CurrencyType::Fiat, - }; - pub static ref SEK: Currency = Currency { - code: Ustr::from("SEK"), - precision: 2, - iso4217: 752, - name: Ustr::from("Swedish krona/kronor"), - currency_type: CurrencyType::Fiat, - }; - pub static ref SGD: Currency = Currency { - code: Ustr::from("SGD"), - precision: 2, - iso4217: 702, - name: Ustr::from("Singapore dollar"), - currency_type: CurrencyType::Fiat, - }; - pub static ref THB: Currency = Currency { - code: Ustr::from("THB"), - precision: 2, - iso4217: 764, - name: Ustr::from("Thai baht"), - currency_type: CurrencyType::Fiat, - }; - pub static ref TRY: Currency = Currency { - code: Ustr::from("TRY"), - precision: 2, - iso4217: 949, - name: Ustr::from("Turkish lira"), - currency_type: CurrencyType::Fiat, - }; - pub static ref USD: Currency = Currency { - code: Ustr::from("USD"), - precision: 2, - iso4217: 840, - name: Ustr::from("United States dollar"), - currency_type: CurrencyType::Fiat, - }; - pub static ref XAG: Currency = Currency { - code: Ustr::from("XAG"), - precision: 0, - iso4217: 961, - name: Ustr::from("Silver (one troy ounce)"), - currency_type: CurrencyType::Fiat, - }; - pub static ref XAU: Currency = Currency { - code: Ustr::from("XAU"), - precision: 0, - iso4217: 959, - name: Ustr::from("Gold (one troy ounce)"), - currency_type: CurrencyType::Fiat, - }; - pub static ref ZAR: Currency = Currency { - code: Ustr::from("ZAR"), - precision: 2, - iso4217: 710, - name: Ustr::from("South African rand"), - currency_type: CurrencyType::Fiat, - }; + map.insert(Currency::AUD().code.to_string(), Currency::AUD()); + map.insert(Currency::BRL().code.to_string(), Currency::BRL()); + map.insert(Currency::CAD().code.to_string(), Currency::CAD()); + map.insert(Currency::CHF().code.to_string(), Currency::CHF()); + map.insert(Currency::CNY().code.to_string(), Currency::CNY()); + map.insert(Currency::CNH().code.to_string(), Currency::CNH()); + map.insert(Currency::CZK().code.to_string(), Currency::CZK()); + map.insert(Currency::DKK().code.to_string(), Currency::DKK()); + map.insert(Currency::EUR().code.to_string(), Currency::EUR()); + map.insert(Currency::GBP().code.to_string(), Currency::GBP()); + map.insert(Currency::HKD().code.to_string(), Currency::HKD()); + map.insert(Currency::HUF().code.to_string(), Currency::HUF()); + map.insert(Currency::ILS().code.to_string(), Currency::ILS()); + map.insert(Currency::INR().code.to_string(), Currency::INR()); + map.insert(Currency::JPY().code.to_string(), Currency::JPY()); + map.insert(Currency::KRW().code.to_string(), Currency::KRW()); + map.insert(Currency::MXN().code.to_string(), Currency::MXN()); + map.insert(Currency::NOK().code.to_string(), Currency::NOK()); + map.insert(Currency::NZD().code.to_string(), Currency::NZD()); + map.insert(Currency::PLN().code.to_string(), Currency::PLN()); + map.insert(Currency::RUB().code.to_string(), Currency::RUB()); + map.insert(Currency::SAR().code.to_string(), Currency::SAR()); + map.insert(Currency::SEK().code.to_string(), Currency::SEK()); + map.insert(Currency::SGD().code.to_string(), Currency::SGD()); + map.insert(Currency::THB().code.to_string(), Currency::THB()); + map.insert(Currency::TRY().code.to_string(), Currency::TRY()); + map.insert(Currency::USD().code.to_string(), Currency::USD()); + map.insert(Currency::XAG().code.to_string(), Currency::XAG()); + map.insert(Currency::XAU().code.to_string(), Currency::XAU()); + map.insert(Currency::XPT().code.to_string(), Currency::XPT()); + map.insert(Currency::ZAR().code.to_string(), Currency::ZAR()); // Crypto currencies - pub static ref ONEINCH: Currency = Currency { - code: Ustr::from("1INCH"), - precision: 8, - iso4217: 0, - name: Ustr::from("1inch Network"), - currency_type: CurrencyType::Crypto, - }; - pub static ref AAVE: Currency = Currency { - code: Ustr::from("AAVE"), - precision: 8, - iso4217: 0, - name: Ustr::from("Aave"), - currency_type: CurrencyType::Crypto, - }; - pub static ref ACA: Currency = Currency { - code: Ustr::from("ACA"), - precision: 8, - iso4217: 0, - name: Ustr::from("Acala Token"), - currency_type: CurrencyType::Crypto, - }; - pub static ref ADA: Currency = Currency { - code: Ustr::from("ADA"), - precision: 6, - iso4217: 0, - name: Ustr::from("Cardano"), - currency_type: CurrencyType::Crypto, - }; - pub static ref AVAX: Currency = Currency { - code: Ustr::from("AVAX"), - precision: 8, - iso4217: 0, - name: Ustr::from("Avalanche"), - currency_type: CurrencyType::Crypto, - }; - pub static ref BCH: Currency = Currency { - code: Ustr::from("BCH"), - precision: 8, - iso4217: 0, - name: Ustr::from("Bitcoin Cash"), - currency_type: CurrencyType::Crypto, - }; - pub static ref BTC: Currency = Currency { - code: Ustr::from("BTC"), - precision: 8, - iso4217: 0, - name: Ustr::from("Bitcoin"), - currency_type: CurrencyType::Crypto, - }; - pub static ref BTTC: Currency = Currency { - code: Ustr::from("BTTC"), - precision: 8, - iso4217: 0, - name: Ustr::from("BitTorrent"), - currency_type: CurrencyType::Crypto, - }; - pub static ref BNB: Currency = Currency { - code: Ustr::from("BNB"), - precision: 8, - iso4217: 0, - name: Ustr::from("Binance Coin"), - currency_type: CurrencyType::Crypto, - }; - pub static ref BRZ: Currency = Currency { - code: Ustr::from("BRZ"), - precision: 8, - iso4217: 0, - name: Ustr::from("Brazilian Digital Token"), - currency_type: CurrencyType::Crypto, - }; - pub static ref BSV: Currency = Currency { - code: Ustr::from("BSV"), - precision: 8, - iso4217: 0, - name: Ustr::from("Bitcoin SV"), - currency_type: CurrencyType::Crypto, - }; - pub static ref BUSD: Currency = Currency { - code: Ustr::from("BUSD"), - precision: 8, - iso4217: 0, - name: Ustr::from("Binance USD"), - currency_type: CurrencyType::Crypto, - }; - pub static ref DASH: Currency = Currency { - code: Ustr::from("DASH"), - precision: 8, - iso4217: 0, - name: Ustr::from("Dash"), - currency_type: CurrencyType::Crypto, - }; - pub static ref DOGE: Currency = Currency { - code: Ustr::from("DOGE"), - precision: 8, - iso4217: 0, - name: Ustr::from("Dogecoin"), - currency_type: CurrencyType::Crypto, - }; - pub static ref DOT: Currency = Currency { - code: Ustr::from("DOT"), - precision: 8, - iso4217: 0, - name: Ustr::from("Polkadot"), - currency_type: CurrencyType::Crypto, - }; - pub static ref EOS: Currency = Currency { - code: Ustr::from("EOS"), - precision: 8, - iso4217: 0, - name: Ustr::from("EOS"), - currency_type: CurrencyType::Crypto, - }; - pub static ref ETH: Currency = Currency { - code: Ustr::from("ETH"), - precision: 8, - iso4217: 0, - name: Ustr::from("Ether"), - currency_type: CurrencyType::Crypto, - }; - pub static ref ETHW: Currency = Currency { - code: Ustr::from("ETHW"), - precision: 8, - iso4217: 0, - name: Ustr::from("EthereumPoW"), - currency_type: CurrencyType::Crypto, - }; - pub static ref JOE: Currency = Currency { - code: Ustr::from("JOE"), - precision: 8, - iso4217: 0, - name: Ustr::from("JOE"), - currency_type: CurrencyType::Crypto, - }; - pub static ref LINK: Currency = Currency { - code: Ustr::from("LINK"), - precision: 8, - iso4217: 0, - name: Ustr::from("Chainlink"), - currency_type: CurrencyType::Crypto, - }; - pub static ref LTC: Currency = Currency { - code: Ustr::from("LTC"), - precision: 8, - iso4217: 0, - name: Ustr::from("Litecoin"), - currency_type: CurrencyType::Crypto, - }; - pub static ref LUNA: Currency = Currency { - code: Ustr::from("LUNA"), - precision: 8, - iso4217: 0, - name: Ustr::from("Terra"), - currency_type: CurrencyType::Crypto, - }; - pub static ref NBT: Currency = Currency { - code: Ustr::from("NBT"), - precision: 8, - iso4217: 0, - name: Ustr::from("NanoByte Token"), - currency_type: CurrencyType::Crypto, - }; - pub static ref SOL: Currency = Currency { - code: Ustr::from("SOL"), - precision: 8, - iso4217: 0, - name: Ustr::from("Solana"), - currency_type: CurrencyType::Crypto, - }; - pub static ref TRX: Currency = Currency { - code: Ustr::from("TRX"), - precision: 8, - iso4217: 0, - name: Ustr::from("TRON"), - currency_type: CurrencyType::Crypto, - }; - pub static ref TRYB: Currency = Currency { - code: Ustr::from("TRYB"), - precision: 8, - iso4217: 0, - name: Ustr::from("BiLira"), - currency_type: CurrencyType::Crypto, - }; - pub static ref TUSD: Currency = Currency { - code: Ustr::from("TUSD"), - precision: 4, - iso4217: 0, - name: Ustr::from("TrueUSD"), - currency_type: CurrencyType::Crypto, - }; - pub static ref VTC: Currency = Currency { - code: Ustr::from("VTC"), - precision: 8, - iso4217: 0, - name: Ustr::from("Vertcoin"), - currency_type: CurrencyType::Crypto, - }; - pub static ref WSB: Currency = Currency { - code: Ustr::from("WSB"), - precision: 8, - iso4217: 0, - name: Ustr::from("WallStreetBets DApp"), - currency_type: CurrencyType::Crypto, - }; - pub static ref XBT: Currency = Currency { - code: Ustr::from("XBT"), - precision: 8, - iso4217: 0, - name: Ustr::from("Bitcoin"), - currency_type: CurrencyType::Crypto, - }; - pub static ref XEC: Currency = Currency { - code: Ustr::from("XEC"), - precision: 8, - iso4217: 0, - name: Ustr::from("eCash"), - currency_type: CurrencyType::Crypto, - }; - pub static ref XLM: Currency = Currency { - code: Ustr::from("XLM"), - precision: 8, - iso4217: 0, - name: Ustr::from("Stellar Lumen"), - currency_type: CurrencyType::Crypto, - }; - pub static ref XMR: Currency = Currency { - code: Ustr::from("XMR"), - precision: 8, - iso4217: 0, - name: Ustr::from("Monero"), - currency_type: CurrencyType::Crypto, - }; - pub static ref XRP: Currency = Currency { - code: Ustr::from("XRP"), - precision: 6, - iso4217: 0, - name: Ustr::from("Ripple"), - currency_type: CurrencyType::Crypto, - }; - pub static ref XTZ: Currency = Currency { - code: Ustr::from("XTZ"), - precision: 6, - iso4217: 0, - name: Ustr::from("Tezos"), - currency_type: CurrencyType::Crypto, - }; - pub static ref USDC: Currency = Currency { - code: Ustr::from("USDC"), - precision: 8, - iso4217: 0, - name: Ustr::from("USD Coin"), - currency_type: CurrencyType::Crypto, - }; - pub static ref USDP: Currency = Currency { - code: Ustr::from("USDP"), - precision: 4, - iso4217: 0, - name: Ustr::from("Pax Dollar"), - currency_type: CurrencyType::Crypto, - }; - pub static ref USDT: Currency = Currency { - code: Ustr::from("USDT"), - precision: 8, - iso4217: 0, - name: Ustr::from("Tether"), - currency_type: CurrencyType::Crypto, - }; - pub static ref ZEC: Currency = Currency { - code: Ustr::from("ZEC"), - precision: 8, - iso4217: 0, - name: Ustr::from("Zcash"), - currency_type: CurrencyType::Crypto, - }; - pub static ref CURRENCY_MAP: Mutex> = currency_map(); -} + map.insert(Currency::AAVE().code.to_string(), Currency::AAVE()); + map.insert(Currency::ACA().code.to_string(), Currency::ACA()); + map.insert(Currency::ADA().code.to_string(), Currency::ADA()); + map.insert(Currency::AVAX().code.to_string(), Currency::AVAX()); + map.insert(Currency::BCH().code.to_string(), Currency::BCH()); + map.insert(Currency::BTC().code.to_string(), Currency::BTC()); + map.insert(Currency::BTTC().code.to_string(), Currency::BTTC()); + map.insert(Currency::BNB().code.to_string(), Currency::BNB()); + map.insert(Currency::BRZ().code.to_string(), Currency::BRZ()); + map.insert(Currency::BSV().code.to_string(), Currency::BSV()); + map.insert(Currency::BUSD().code.to_string(), Currency::BUSD()); + map.insert(Currency::DASH().code.to_string(), Currency::DASH()); + map.insert(Currency::DOGE().code.to_string(), Currency::DOGE()); + map.insert(Currency::DOT().code.to_string(), Currency::DOT()); + map.insert(Currency::EOS().code.to_string(), Currency::EOS()); + map.insert(Currency::ETH().code.to_string(), Currency::ETH()); + map.insert(Currency::ETHW().code.to_string(), Currency::ETHW()); + map.insert(Currency::JOE().code.to_string(), Currency::JOE()); + map.insert(Currency::LINK().code.to_string(), Currency::LINK()); + map.insert(Currency::LTC().code.to_string(), Currency::LTC()); + map.insert(Currency::LUNA().code.to_string(), Currency::LUNA()); + map.insert(Currency::NBT().code.to_string(), Currency::NBT()); + map.insert(Currency::SOL().code.to_string(), Currency::SOL()); + map.insert(Currency::TRX().code.to_string(), Currency::TRX()); + map.insert(Currency::TRYB().code.to_string(), Currency::TRYB()); + map.insert(Currency::TUSD().code.to_string(), Currency::TUSD()); + map.insert(Currency::VTC().code.to_string(), Currency::VTC()); + map.insert(Currency::WSB().code.to_string(), Currency::WSB()); + map.insert(Currency::XBT().code.to_string(), Currency::XBT()); + map.insert(Currency::XEC().code.to_string(), Currency::XEC()); + map.insert(Currency::XLM().code.to_string(), Currency::XLM()); + map.insert(Currency::XMR().code.to_string(), Currency::XMR()); + map.insert(Currency::XRP().code.to_string(), Currency::XRP()); + map.insert(Currency::XTZ().code.to_string(), Currency::XTZ()); + map.insert(Currency::USDC().code.to_string(), Currency::USDC()); + map.insert(Currency::USDP().code.to_string(), Currency::USDP()); + map.insert(Currency::USDT().code.to_string(), Currency::USDT()); + map.insert(Currency::ZEC().code.to_string(), Currency::ZEC()); + Mutex::new(map) +}); diff --git a/nautilus_core/model/src/data/bar.rs b/nautilus_core/model/src/data/bar.rs index 1caf11260c37..946c139dbf0f 100644 --- a/nautilus_core/model/src/data/bar.rs +++ b/nautilus_core/model/src/data/bar.rs @@ -14,14 +14,15 @@ // ------------------------------------------------------------------------------------------------- use std::{ - collections::{hash_map::DefaultHasher, HashMap}, + collections::HashMap, fmt::{Debug, Display, Formatter}, - hash::{Hash, Hasher}, + hash::Hash, str::FromStr, }; -use nautilus_core::{python::to_pyvalue_err, serialization::Serializable, time::UnixNanos}; -use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict}; +use indexmap::IndexMap; +use nautilus_core::{serialization::Serializable, time::UnixNanos}; +use pyo3::prelude::*; use serde::{Deserialize, Deserializer, Serialize, Serializer}; use thiserror; @@ -35,7 +36,10 @@ use crate::{ /// method/rule and price type. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord, Debug, Serialize, Deserialize)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct BarSpecification { /// The step for binning samples for bar aggregation. pub step: usize, @@ -55,7 +59,10 @@ impl Display for BarSpecification { /// aggregation source. #[repr(C)] #[derive(Clone, Copy, Debug, PartialEq, Eq, PartialOrd, Ord, Hash)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct BarType { /// The bar types instrument ID. pub instrument_id: InstrumentId, @@ -131,6 +138,12 @@ impl FromStr for BarType { } } +impl From<&str> for BarType { + fn from(input: &str) -> Self { + Self::from_str(input).unwrap() + } +} + impl Display for BarType { fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result { write!( @@ -160,37 +173,14 @@ impl<'de> Deserialize<'de> for BarType { } } -#[cfg(feature = "python")] -#[pymethods] -impl BarType { - fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { - match op { - CompareOp::Eq => self.eq(other).into_py(py), - CompareOp::Ne => self.ne(other).into_py(py), - _ => py.NotImplemented(), - } - } - - fn __hash__(&self) -> isize { - let mut h = DefaultHasher::new(); - self.hash(&mut h); - h.finish() as isize - } - - fn __str__(&self) -> String { - self.to_string() - } - - fn __repr__(&self) -> String { - format!("{self:?}") - } -} - /// Represents an aggregated bar. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, Debug, Serialize, Deserialize)] #[serde(tag = "type")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct Bar { /// The bar type for this bar. pub bar_type: BarType, @@ -250,8 +240,24 @@ impl Bar { metadata } + /// Returns the field map for the type, for use with arrow schemas. + pub fn get_fields() -> IndexMap { + let mut metadata = IndexMap::new(); + metadata.insert("open".to_string(), "Int64".to_string()); + metadata.insert("high".to_string(), "Int64".to_string()); + metadata.insert("low".to_string(), "Int64".to_string()); + metadata.insert("close".to_string(), "Int64".to_string()); + metadata.insert("volume".to_string(), "UInt64".to_string()); + metadata.insert("ts_event".to_string(), "UInt64".to_string()); + metadata.insert("ts_init".to_string(), "UInt64".to_string()); + metadata + } + /// Create a new [`Bar`] extracted from the given [`PyAny`]. + #[cfg(feature = "python")] pub fn from_pyobject(obj: &PyAny) -> PyResult { + use nautilus_core::python::to_pyvalue_err; + let bar_type_obj: &PyAny = obj.getattr("bar_type")?.extract()?; let bar_type_str = bar_type_obj.call_method0("__str__")?.extract()?; let bar_type = BarType::from_str(bar_type_str) @@ -261,24 +267,24 @@ impl Bar { let open_py: &PyAny = obj.getattr("open")?; let price_prec: u8 = open_py.getattr("precision")?.extract()?; let open_raw: i64 = open_py.getattr("raw")?.extract()?; - let open = Price::from_raw(open_raw, price_prec); + let open = Price::from_raw(open_raw, price_prec).map_err(to_pyvalue_err)?; let high_py: &PyAny = obj.getattr("high")?; let high_raw: i64 = high_py.getattr("raw")?.extract()?; - let high = Price::from_raw(high_raw, price_prec); + let high = Price::from_raw(high_raw, price_prec).map_err(to_pyvalue_err)?; let low_py: &PyAny = obj.getattr("low")?; let low_raw: i64 = low_py.getattr("raw")?.extract()?; - let low = Price::from_raw(low_raw, price_prec); + let low = Price::from_raw(low_raw, price_prec).map_err(to_pyvalue_err)?; let close_py: &PyAny = obj.getattr("close")?; let close_raw: i64 = close_py.getattr("raw")?.extract()?; - let close = Price::from_raw(close_raw, price_prec); + let close = Price::from_raw(close_raw, price_prec).map_err(to_pyvalue_err)?; let volume_py: &PyAny = obj.getattr("volume")?; let volume_raw: u64 = volume_py.getattr("raw")?.extract()?; let volume_prec: u8 = volume_py.getattr("precision")?.extract()?; - let volume = Quantity::from_raw(volume_raw, volume_prec); + let volume = Quantity::from_raw(volume_raw, volume_prec).map_err(to_pyvalue_err)?; let ts_event: UnixNanos = obj.getattr("ts_event")?.extract()?; let ts_init: UnixNanos = obj.getattr("ts_init")?.extract()?; @@ -301,147 +307,22 @@ impl Display for Bar { } } -#[cfg(feature = "python")] -#[pymethods] -#[allow(clippy::too_many_arguments)] -impl Bar { - #[new] - fn py_new( - bar_type: BarType, - open: Price, - high: Price, - low: Price, - close: Price, - volume: Quantity, - ts_event: UnixNanos, - ts_init: UnixNanos, - ) -> Self { - Self::new(bar_type, open, high, low, close, volume, ts_event, ts_init) - } - - fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { - match op { - CompareOp::Eq => self.eq(other).into_py(py), - CompareOp::Ne => self.ne(other).into_py(py), - _ => py.NotImplemented(), - } - } - - fn __hash__(&self) -> isize { - let mut h = DefaultHasher::new(); - self.hash(&mut h); - h.finish() as isize - } - - fn __str__(&self) -> String { - self.to_string() - } - - fn __repr__(&self) -> String { - format!("{self:?}") - } - - #[getter] - fn bar_type(&self) -> BarType { - self.bar_type - } - - #[getter] - fn open(&self) -> Price { - self.open - } - - #[getter] - fn high(&self) -> Price { - self.high - } - - #[getter] - fn low(&self) -> Price { - self.low - } - - #[getter] - fn close(&self) -> Price { - self.close - } - - #[getter] - fn volume(&self) -> Quantity { - self.volume - } - - #[getter] - fn ts_event(&self) -> UnixNanos { - self.ts_event - } - - #[getter] - fn ts_init(&self) -> UnixNanos { - self.ts_init - } - - /// Return a dictionary representation of the object. - pub fn as_dict(&self, py: Python<'_>) -> PyResult> { - // Serialize object to JSON bytes - let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; - // Parse JSON into a Python dictionary - let py_dict: Py = PyModule::import(py, "json")? - .call_method("loads", (json_str,), None)? - .extract()?; - Ok(py_dict) - } - - /// Return a new object from the given dictionary representation. - #[staticmethod] - pub fn from_dict(py: Python<'_>, values: Py) -> PyResult { - // Extract to JSON string - let json_str: String = PyModule::import(py, "json")? - .call_method("dumps", (values,), None)? - .extract()?; - - // Deserialize to object - let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?; - Ok(instance) - } - - #[staticmethod] - fn from_json(data: Vec) -> PyResult { - Self::from_json_bytes(data).map_err(to_pyvalue_err) - } - - #[staticmethod] - fn from_msgpack(data: Vec) -> PyResult { - Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) - } - - /// Return JSON encoded bytes representation of the object. - fn as_json(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_json_bytes().unwrap().into_py(py) - } - - /// Return MsgPack encoded bytes representation of the object. - fn as_msgpack(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_msgpack_bytes().unwrap().into_py(py) - } -} - //////////////////////////////////////////////////////////////////////////////// -// Tests +// Stubs //////////////////////////////////////////////////////////////////////////////// #[cfg(test)] -mod tests { - use rstest::rstest; +pub mod stubs { + use rstest::fixture; - use super::*; use crate::{ - enums::BarAggregation, - identifiers::{symbol::Symbol, venue::Venue}, + data::bar::{Bar, BarSpecification, BarType}, + enums::{AggregationSource, BarAggregation, PriceType}, + identifiers::{instrument_id::InstrumentId, symbol::Symbol, venue::Venue}, + types::{price::Price, quantity::Quantity}, }; - fn create_stub_bar() -> Bar { + #[fixture] + pub fn bar_audusd_sim_minute_bid() -> Bar { let instrument_id = InstrumentId { symbol: Symbol::new("AUDUSD").unwrap(), venue: Venue::new("SIM").unwrap(), @@ -457,7 +338,7 @@ mod tests { aggregation_source: AggregationSource::External, }; Bar { - bar_type: bar_type.clone(), + bar_type, open: Price::from("1.00001"), high: Price::from("1.00004"), low: Price::from("1.00002"), @@ -467,6 +348,20 @@ mod tests { ts_init: 1, } } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use rstest::rstest; + + use super::{stubs::*, *}; + use crate::{ + enums::BarAggregation, + identifiers::{symbol::Symbol, venue::Venue}, + }; #[rstest] fn test_bar_spec_string_reprs() { @@ -497,6 +392,7 @@ mod tests { } ); assert_eq!(bar_type.aggregation_source, AggregationSource::External); + assert_eq!(bar_type, BarType::from(input)); } #[rstest] @@ -579,13 +475,13 @@ mod tests { price_type: PriceType::Bid, }; let bar_type1 = BarType { - instrument_id: instrument_id1.clone(), - spec: bar_spec.clone(), + instrument_id: instrument_id1, + spec: bar_spec, aggregation_source: AggregationSource::External, }; let bar_type2 = BarType { instrument_id: instrument_id1, - spec: bar_spec.clone(), + spec: bar_spec, aggregation_source: AggregationSource::External, }; let bar_type3 = BarType { @@ -615,13 +511,13 @@ mod tests { price_type: PriceType::Bid, }; let bar_type1 = BarType { - instrument_id: instrument_id1.clone(), - spec: bar_spec.clone(), + instrument_id: instrument_id1, + spec: bar_spec, aggregation_source: AggregationSource::External, }; let bar_type2 = BarType { instrument_id: instrument_id1, - spec: bar_spec.clone(), + spec: bar_spec, aggregation_source: AggregationSource::External, }; let bar_type3 = BarType { @@ -653,7 +549,7 @@ mod tests { aggregation_source: AggregationSource::External, }; let bar1 = Bar { - bar_type: bar_type.clone(), + bar_type, open: Price::from("1.00001"), high: Price::from("1.00004"), low: Price::from("1.00002"), @@ -678,54 +574,16 @@ mod tests { } #[rstest] - fn test_as_dict() { - pyo3::prepare_freethreaded_python(); - - let bar = create_stub_bar(); - - Python::with_gil(|py| { - let dict_string = bar.as_dict(py).unwrap().to_string(); - let expected_string = r#"{'type': 'Bar', 'bar_type': 'AUDUSD.SIM-1-MINUTE-BID-EXTERNAL', 'open': '1.00001', 'high': '1.00004', 'low': '1.00002', 'close': '1.00003', 'volume': '100000', 'ts_event': 0, 'ts_init': 1}"#; - assert_eq!(dict_string, expected_string); - }); - } - - #[rstest] - fn test_as_from_dict() { - pyo3::prepare_freethreaded_python(); - - let bar = create_stub_bar(); - - Python::with_gil(|py| { - let dict = bar.as_dict(py).unwrap(); - let parsed = Bar::from_dict(py, dict).unwrap(); - assert_eq!(parsed, bar); - }); - } - - #[rstest] - fn test_from_pyobject() { - pyo3::prepare_freethreaded_python(); - let bar = create_stub_bar(); - - Python::with_gil(|py| { - let bar_pyobject = bar.into_py(py); - let parsed_bar = Bar::from_pyobject(bar_pyobject.as_ref(py)).unwrap(); - assert_eq!(parsed_bar, bar); - }); - } - - #[rstest] - fn test_json_serialization() { - let bar = create_stub_bar(); + fn test_json_serialization(bar_audusd_sim_minute_bid: Bar) { + let bar = bar_audusd_sim_minute_bid; let serialized = bar.as_json_bytes().unwrap(); let deserialized = Bar::from_json_bytes(serialized).unwrap(); assert_eq!(deserialized, bar); } #[rstest] - fn test_msgpack_serialization() { - let bar = create_stub_bar(); + fn test_msgpack_serialization(bar_audusd_sim_minute_bid: Bar) { + let bar = bar_audusd_sim_minute_bid; let serialized = bar.as_msgpack_bytes().unwrap(); let deserialized = Bar::from_msgpack_bytes(serialized).unwrap(); assert_eq!(deserialized, bar); diff --git a/nautilus_core/model/src/data/delta.rs b/nautilus_core/model/src/data/delta.rs index 527c05ff7cc3..b87ec0ed72ae 100644 --- a/nautilus_core/model/src/data/delta.rs +++ b/nautilus_core/model/src/data/delta.rs @@ -14,17 +14,18 @@ // ------------------------------------------------------------------------------------------------- use std::{ - collections::{hash_map::DefaultHasher, HashMap}, + collections::HashMap, fmt::{Display, Formatter}, - hash::{Hash, Hasher}, + hash::Hash, str::FromStr, }; +use indexmap::IndexMap; use nautilus_core::{python::to_pyvalue_err, serialization::Serializable, time::UnixNanos}; -use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict}; +use pyo3::prelude::*; use serde::{Deserialize, Serialize}; -use super::order::{BookOrder, NULL_ORDER}; +use super::order::{BookOrder, OrderId, NULL_ORDER}; use crate::{ enums::{BookAction, FromU8, OrderSide}, identifiers::instrument_id::InstrumentId, @@ -35,7 +36,10 @@ use crate::{ #[repr(C)] #[derive(Clone, Copy, Debug, PartialEq, Eq, Hash, Serialize, Deserialize)] #[serde(tag = "type")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct OrderBookDelta { /// The instrument ID for the book. pub instrument_id: InstrumentId, @@ -89,6 +93,21 @@ impl OrderBookDelta { metadata } + /// Returns the field map for the type, for use with arrow schemas. + pub fn get_fields() -> IndexMap { + let mut metadata = IndexMap::new(); + metadata.insert("action".to_string(), "UInt8".to_string()); + metadata.insert("side".to_string(), "UInt8".to_string()); + metadata.insert("price".to_string(), "Int64".to_string()); + metadata.insert("size".to_string(), "UInt64".to_string()); + metadata.insert("order_id".to_string(), "UInt64".to_string()); + metadata.insert("flags".to_string(), "UInt8".to_string()); + metadata.insert("sequence".to_string(), "UInt64".to_string()); + metadata.insert("ts_event".to_string(), "UInt64".to_string()); + metadata.insert("ts_init".to_string(), "UInt64".to_string()); + metadata + } + /// Create a new [`OrderBookDelta`] extracted from the given [`PyAny`]. pub fn from_pyobject(obj: &PyAny) -> PyResult { let instrument_id_obj: &PyAny = obj.getattr("instrument_id")?.extract()?; @@ -117,14 +136,14 @@ impl OrderBookDelta { let price_py: &PyAny = order_pyobject.getattr("price")?; let price_raw: i64 = price_py.getattr("raw")?.extract()?; let price_prec: u8 = price_py.getattr("precision")?.extract()?; - let price = Price::from_raw(price_raw, price_prec); + let price = Price::from_raw(price_raw, price_prec).map_err(to_pyvalue_err)?; let size_py: &PyAny = order_pyobject.getattr("size")?; let size_raw: u64 = size_py.getattr("raw")?.extract()?; let size_prec: u8 = size_py.getattr("precision")?.extract()?; - let size = Quantity::from_raw(size_raw, size_prec); + let size = Quantity::from_raw(size_raw, size_prec).map_err(to_pyvalue_err)?; - let order_id: u64 = order_pyobject.getattr("order_id")?.extract()?; + let order_id: OrderId = order_pyobject.getattr("order_id")?.extract()?; BookOrder { side, price, @@ -163,149 +182,21 @@ impl Display for OrderBookDelta { } } -#[cfg(feature = "python")] -#[pymethods] -impl OrderBookDelta { - #[new] - fn py_new( - instrument_id: InstrumentId, - action: BookAction, - order: BookOrder, - flags: u8, - sequence: u64, - ts_event: UnixNanos, - ts_init: UnixNanos, - ) -> Self { - Self::new( - instrument_id, - action, - order, - flags, - sequence, - ts_event, - ts_init, - ) - } - - fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { - match op { - CompareOp::Eq => self.eq(other).into_py(py), - CompareOp::Ne => self.ne(other).into_py(py), - _ => py.NotImplemented(), - } - } - - fn __hash__(&self) -> isize { - let mut h = DefaultHasher::new(); - self.hash(&mut h); - h.finish() as isize - } - - fn __str__(&self) -> String { - self.to_string() - } - - fn __repr__(&self) -> String { - format!("{self:?}") - } - - #[getter] - fn instrument_id(&self) -> InstrumentId { - self.instrument_id - } - - #[getter] - fn action(&self) -> BookAction { - self.action - } - - #[getter] - fn order(&self) -> BookOrder { - self.order - } - - #[getter] - fn flags(&self) -> u8 { - self.flags - } - - #[getter] - fn sequence(&self) -> u64 { - self.sequence - } - - #[getter] - fn ts_event(&self) -> UnixNanos { - self.ts_event - } - - #[getter] - fn ts_init(&self) -> UnixNanos { - self.ts_init - } - - /// Return a dictionary representation of the object. - pub fn as_dict(&self, py: Python<'_>) -> PyResult> { - // Serialize object to JSON bytes - let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; - // Parse JSON into a Python dictionary - let py_dict: Py = PyModule::import(py, "json")? - .call_method("loads", (json_str,), None)? - .extract()?; - Ok(py_dict) - } - - /// Return a new object from the given dictionary representation. - #[staticmethod] - pub fn from_dict(py: Python<'_>, values: Py) -> PyResult { - // Extract to JSON string - let json_str: String = PyModule::import(py, "json")? - .call_method("dumps", (values,), None)? - .extract()?; - - // Deserialize to object - let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?; - Ok(instance) - } - - #[staticmethod] - fn from_json(data: Vec) -> PyResult { - Self::from_json_bytes(data).map_err(to_pyvalue_err) - } - - #[staticmethod] - fn from_msgpack(data: Vec) -> PyResult { - Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) - } - - /// Return JSON encoded bytes representation of the object. - fn as_json(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_json_bytes().unwrap().into_py(py) - } - - /// Return MsgPack encoded bytes representation of the object. - fn as_msgpack(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_msgpack_bytes().unwrap().into_py(py) - } -} - //////////////////////////////////////////////////////////////////////////////// -// Tests +// Stubs //////////////////////////////////////////////////////////////////////////////// - #[cfg(test)] -mod tests { - use rstest::rstest; +pub mod stubs { + use rstest::fixture; use super::*; use crate::{ - enums::OrderSide, + identifiers::instrument_id::InstrumentId, types::{price::Price, quantity::Quantity}, }; - fn create_stub_delta() -> OrderBookDelta { + #[fixture] + pub fn stub_delta() -> OrderBookDelta { let instrument_id = InstrumentId::from("AAPL.NASDAQ"); let action = BookAction::Add; let price = Price::from("100.00"); @@ -317,9 +208,9 @@ mod tests { let ts_event = 1; let ts_init = 2; - let order = BookOrder::new(side, price.clone(), size.clone(), order_id); + let order = BookOrder::new(side, price, size, order_id); OrderBookDelta::new( - instrument_id.clone(), + instrument_id, action, order, flags, @@ -328,6 +219,20 @@ mod tests { ts_init, ) } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use rstest::rstest; + + use super::{stubs::*, *}; + use crate::{ + enums::OrderSide, + types::{price::Price, quantity::Quantity}, + }; #[rstest] fn test_new() { @@ -342,12 +247,12 @@ mod tests { let ts_event = 1; let ts_init = 2; - let order = BookOrder::new(side, price.clone(), size.clone(), order_id); + let order = BookOrder::new(side, price, size, order_id); let delta = OrderBookDelta::new( - instrument_id.clone(), + instrument_id, action, - order.clone(), + order, flags, sequence, ts_event, @@ -367,8 +272,8 @@ mod tests { } #[rstest] - fn test_display() { - let delta = create_stub_delta(); + fn test_display(stub_delta: OrderBookDelta) { + let delta = stub_delta; assert_eq!( format!("{}", delta), "AAPL.NASDAQ,ADD,100.00,10,BUY,123456,0,1,1,2".to_string() @@ -376,54 +281,16 @@ mod tests { } #[rstest] - fn test_as_dict() { - pyo3::prepare_freethreaded_python(); - - let delta = create_stub_delta(); - - Python::with_gil(|py| { - let dict_string = delta.as_dict(py).unwrap().to_string(); - let expected_string = r#"{'type': 'OrderBookDelta', 'instrument_id': 'AAPL.NASDAQ', 'action': 'ADD', 'order': {'side': 'BUY', 'price': '100.00', 'size': '10', 'order_id': 123456}, 'flags': 0, 'sequence': 1, 'ts_event': 1, 'ts_init': 2}"#; - assert_eq!(dict_string, expected_string); - }); - } - - #[rstest] - fn test_from_dict() { - pyo3::prepare_freethreaded_python(); - - let delta = create_stub_delta(); - - Python::with_gil(|py| { - let dict = delta.as_dict(py).unwrap(); - let parsed = OrderBookDelta::from_dict(py, dict).unwrap(); - assert_eq!(parsed, delta); - }); - } - - #[rstest] - fn test_from_pyobject() { - pyo3::prepare_freethreaded_python(); - let delta = create_stub_delta(); - - Python::with_gil(|py| { - let delta_pyobject = delta.into_py(py); - let parsed_delta = OrderBookDelta::from_pyobject(delta_pyobject.as_ref(py)).unwrap(); - assert_eq!(parsed_delta, delta); - }); - } - - #[rstest] - fn test_json_serialization() { - let delta = create_stub_delta(); + fn test_json_serialization(stub_delta: OrderBookDelta) { + let delta = stub_delta; let serialized = delta.as_json_bytes().unwrap(); let deserialized = OrderBookDelta::from_json_bytes(serialized).unwrap(); assert_eq!(deserialized, delta); } #[rstest] - fn test_msgpack_serialization() { - let delta = create_stub_delta(); + fn test_msgpack_serialization(stub_delta: OrderBookDelta) { + let delta = stub_delta; let serialized = delta.as_msgpack_bytes().unwrap(); let deserialized = OrderBookDelta::from_msgpack_bytes(serialized).unwrap(); assert_eq!(deserialized, delta); diff --git a/nautilus_core/model/src/data/mod.rs b/nautilus_core/model/src/data/mod.rs index e84bf2fc7918..2e454e7cba91 100644 --- a/nautilus_core/model/src/data/mod.rs +++ b/nautilus_core/model/src/data/mod.rs @@ -14,23 +14,11 @@ // ------------------------------------------------------------------------------------------------- pub mod bar; -#[cfg(feature = "ffi")] -pub mod bar_api; pub mod delta; -#[cfg(feature = "ffi")] -pub mod delta_api; pub mod order; -#[cfg(feature = "ffi")] -pub mod order_api; pub mod quote; -#[cfg(feature = "ffi")] -pub mod quote_api; pub mod ticker; -#[cfg(feature = "ffi")] -pub mod ticker_api; pub mod trade; -#[cfg(feature = "ffi")] -pub mod trade_api; use nautilus_core::time::UnixNanos; @@ -45,18 +33,50 @@ pub enum Data { Bar(Bar), } -impl Data { - #[must_use] - pub fn get_ts_init(&self) -> UnixNanos { +pub trait HasTsInit { + fn get_ts_init(&self) -> UnixNanos; +} + +impl HasTsInit for Data { + fn get_ts_init(&self) -> UnixNanos { match self { - Self::Delta(d) => d.ts_init, - Self::Quote(q) => q.ts_init, - Self::Trade(t) => t.ts_init, - Self::Bar(b) => b.ts_init, + Data::Delta(d) => d.ts_init, + Data::Quote(q) => q.ts_init, + Data::Trade(t) => t.ts_init, + Data::Bar(b) => b.ts_init, } } } +impl HasTsInit for OrderBookDelta { + fn get_ts_init(&self) -> UnixNanos { + self.ts_init + } +} + +impl HasTsInit for QuoteTick { + fn get_ts_init(&self) -> UnixNanos { + self.ts_init + } +} + +impl HasTsInit for TradeTick { + fn get_ts_init(&self) -> UnixNanos { + self.ts_init + } +} + +impl HasTsInit for Bar { + fn get_ts_init(&self) -> UnixNanos { + self.ts_init + } +} + +pub fn is_monotonically_increasing_by_init(data: &[T]) -> bool { + data.windows(2) + .all(|window| window[0].get_ts_init() <= window[1].get_ts_init()) +} + impl From for Data { fn from(value: OrderBookDelta) -> Self { Self::Delta(value) diff --git a/nautilus_core/model/src/data/order.rs b/nautilus_core/model/src/data/order.rs index b8555271db66..db0114a03a9e 100644 --- a/nautilus_core/model/src/data/order.rs +++ b/nautilus_core/model/src/data/order.rs @@ -14,13 +14,12 @@ // ------------------------------------------------------------------------------------------------- use std::{ - collections::hash_map::DefaultHasher, fmt::{Display, Formatter}, hash::{Hash, Hasher}, }; -use nautilus_core::{python::to_pyvalue_err, serialization::Serializable}; -use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict}; +use nautilus_core::serialization::Serializable; +use pyo3::prelude::*; use serde::{Deserialize, Serialize}; use super::{quote::QuoteTick, trade::TradeTick}; @@ -30,6 +29,8 @@ use crate::{ types::{price::Price, quantity::Quantity}, }; +pub type OrderId = u64; + pub const NULL_ORDER: BookOrder = BookOrder { side: OrderSide::NoOrderSide, price: Price { @@ -46,7 +47,10 @@ pub const NULL_ORDER: BookOrder = BookOrder { /// Represents an order in a book. #[repr(C)] #[derive(Copy, Clone, Eq, Debug, Serialize, Deserialize)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct BookOrder { /// The order side. pub side: OrderSide, @@ -55,7 +59,7 @@ pub struct BookOrder { /// The order size. pub size: Quantity, /// The order ID. - pub order_id: u64, + pub order_id: OrderId, } impl BookOrder { @@ -148,136 +152,40 @@ impl Display for BookOrder { } } -#[cfg(feature = "python")] -#[pymethods] -impl BookOrder { - #[new] - fn py_new(side: OrderSide, price: Price, size: Quantity, order_id: u64) -> Self { - Self::new(side, price, size, order_id) - } - - fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { - match op { - CompareOp::Eq => self.eq(other).into_py(py), - CompareOp::Ne => self.ne(other).into_py(py), - _ => py.NotImplemented(), - } - } - - fn __hash__(&self) -> isize { - let mut h = DefaultHasher::new(); - self.hash(&mut h); - h.finish() as isize - } - - fn __str__(&self) -> String { - self.to_string() - } - - fn __repr__(&self) -> String { - format!("{self:?}") - } - - #[getter] - fn side(&self) -> OrderSide { - self.side - } - - #[getter] - fn price(&self) -> Price { - self.price - } - - #[getter] - fn size(&self) -> Quantity { - self.size - } - - #[getter] - fn order_id(&self) -> u64 { - self.order_id - } - - #[pyo3(name = "exposure")] - fn py_exposure(&self) -> f64 { - self.exposure() - } - - #[pyo3(name = "signed_size")] - fn py_signed_size(&self) -> f64 { - self.signed_size() - } - - /// Return a dictionary representation of the object. - pub fn as_dict(&self, py: Python<'_>) -> PyResult> { - // Serialize object to JSON bytes - let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; - // Parse JSON into a Python dictionary - let py_dict: Py = PyModule::import(py, "json")? - .call_method("loads", (json_str,), None)? - .extract()?; - Ok(py_dict) - } - - /// Return a new object from the given dictionary representation. - #[staticmethod] - pub fn from_dict(py: Python<'_>, values: Py) -> PyResult { - // Extract to JSON string - let json_str: String = PyModule::import(py, "json")? - .call_method("dumps", (values,), None)? - .extract()?; - - // Deserialize to object - let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?; - Ok(instance) - } - - #[staticmethod] - fn from_json(data: Vec) -> PyResult { - Self::from_json_bytes(data).map_err(to_pyvalue_err) - } +//////////////////////////////////////////////////////////////////////////////// +// Stubs +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +pub mod stubs { + use rstest::fixture; - #[staticmethod] - fn from_msgpack(data: Vec) -> PyResult { - Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) - } + use super::*; + use crate::types::{price::Price, quantity::Quantity}; - /// Return JSON encoded bytes representation of the object. - fn as_json(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_json_bytes().unwrap().into_py(py) - } + #[fixture] + pub fn stub_book_order() -> BookOrder { + let price = Price::from("100.00"); + let size = Quantity::from("10"); + let side = OrderSide::Buy; + let order_id = 123456; - /// Return MsgPack encoded bytes representation of the object. - fn as_msgpack(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_msgpack_bytes().unwrap().into_py(py) + BookOrder::new(side, price, size, order_id) } } //////////////////////////////////////////////////////////////////////////////// // Tests //////////////////////////////////////////////////////////////////////////////// - #[cfg(test)] mod tests { use rstest::rstest; - use super::*; + use super::{stubs::*, *}; use crate::{ enums::AggressorSide, identifiers::{instrument_id::InstrumentId, trade_id::TradeId}, }; - fn create_stub_book_order() -> BookOrder { - let price = Price::from("100.00"); - let size = Quantity::from("10"); - let side = OrderSide::Buy; - let order_id = 123456; - - BookOrder::new(side, price, size, order_id) - } - #[rstest] fn test_new() { let price = Price::from("100.00"); @@ -285,7 +193,7 @@ mod tests { let side = OrderSide::Buy; let order_id = 123456; - let order = BookOrder::new(side, price.clone(), size.clone(), order_id); + let order = BookOrder::new(side, price, size, order_id); assert_eq!(order.price, price); assert_eq!(order.size, size); @@ -300,7 +208,7 @@ mod tests { let side = OrderSide::Buy; let order_id = 123456; - let order = BookOrder::new(side, price.clone(), size.clone(), order_id); + let order = BookOrder::new(side, price, size, order_id); let book_price = order.to_book_price(); assert_eq!(book_price.value, price); @@ -314,7 +222,7 @@ mod tests { let side = OrderSide::Buy; let order_id = 123456; - let order = BookOrder::new(side, price.clone(), size.clone(), order_id); + let order = BookOrder::new(side, price, size, order_id); let exposure = order.exposure(); assert_eq!(exposure, price.as_f64() * size.as_f64()); @@ -326,11 +234,11 @@ mod tests { let size = Quantity::from("10"); let order_id = 123456; - let order_buy = BookOrder::new(OrderSide::Buy, price.clone(), size.clone(), order_id); + let order_buy = BookOrder::new(OrderSide::Buy, price, size, order_id); let signed_size_buy = order_buy.signed_size(); assert_eq!(signed_size_buy, size.as_f64()); - let order_sell = BookOrder::new(OrderSide::Sell, price.clone(), size.clone(), order_id); + let order_sell = BookOrder::new(OrderSide::Sell, price, size, order_id); let signed_size_sell = order_sell.signed_size(); assert_eq!(signed_size_sell, -(size.as_f64())); } @@ -342,7 +250,7 @@ mod tests { let side = OrderSide::Buy; let order_id = 123456; - let order = BookOrder::new(side, price.clone(), size.clone(), order_id); + let order = BookOrder::new(side, price, size, order_id); let display = format!("{}", order); let expected = format!("{},{},{},{}", price, size, side, order_id); @@ -364,7 +272,7 @@ mod tests { ) .unwrap(); - let book_order = BookOrder::from_quote_tick(&tick, side.clone()); + let book_order = BookOrder::from_quote_tick(&tick, side); assert_eq!(book_order.side, side); assert_eq!( @@ -416,43 +324,16 @@ mod tests { } #[rstest] - fn test_as_dict() { - pyo3::prepare_freethreaded_python(); - - let delta = create_stub_book_order(); - - Python::with_gil(|py| { - let dict_string = delta.as_dict(py).unwrap().to_string(); - let expected_string = - r#"{'side': 'BUY', 'price': '100.00', 'size': '10', 'order_id': 123456}"#; - assert_eq!(dict_string, expected_string); - }); - } - - #[rstest] - fn test_from_dict() { - pyo3::prepare_freethreaded_python(); - - let order = create_stub_book_order(); - - Python::with_gil(|py| { - let dict = order.as_dict(py).unwrap(); - let parsed = BookOrder::from_dict(py, dict).unwrap(); - assert_eq!(parsed, order); - }); - } - - #[rstest] - fn test_json_serialization() { - let order = create_stub_book_order(); + fn test_json_serialization(stub_book_order: BookOrder) { + let order = stub_book_order; let serialized = order.as_json_bytes().unwrap(); let deserialized = BookOrder::from_json_bytes(serialized).unwrap(); assert_eq!(deserialized, order); } #[rstest] - fn test_msgpack_serialization() { - let order = create_stub_book_order(); + fn test_msgpack_serialization(stub_book_order: BookOrder) { + let order = stub_book_order; let serialized = order.as_msgpack_bytes().unwrap(); let deserialized = BookOrder::from_msgpack_bytes(serialized).unwrap(); assert_eq!(deserialized, order); diff --git a/nautilus_core/model/src/data/quote.rs b/nautilus_core/model/src/data/quote.rs index fc969daefd3e..793f72973b59 100644 --- a/nautilus_core/model/src/data/quote.rs +++ b/nautilus_core/model/src/data/quote.rs @@ -15,18 +15,19 @@ use std::{ cmp, - collections::{hash_map::DefaultHasher, HashMap}, + collections::HashMap, fmt::{Display, Formatter}, - hash::{Hash, Hasher}, + hash::Hash, str::FromStr, }; use anyhow::Result; +use indexmap::IndexMap; use nautilus_core::{ correctness::check_u8_equal, python::to_pyvalue_err, serialization::Serializable, time::UnixNanos, }; -use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict}; +use pyo3::prelude::*; use serde::{Deserialize, Serialize}; use crate::{ @@ -38,7 +39,11 @@ use crate::{ /// Represents a single quote tick in a financial market. #[repr(C)] #[derive(Clone, Copy, Debug, PartialEq, Eq, Hash, Serialize, Deserialize)] -#[pyclass] +#[serde(tag = "type")] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct QuoteTick { /// The quotes instrument ID. pub instrument_id: InstrumentId, @@ -102,33 +107,43 @@ impl QuoteTick { metadata } - /// Create a new [`Bar`] extracted from the given [`PyAny`]. + /// Returns the field map for the type, for use with arrow schemas. + pub fn get_fields() -> IndexMap { + let mut metadata = IndexMap::new(); + metadata.insert("bid_price".to_string(), "Int64".to_string()); + metadata.insert("ask_price".to_string(), "Int64".to_string()); + metadata.insert("bid_size".to_string(), "UInt64".to_string()); + metadata.insert("ask_size".to_string(), "UInt64".to_string()); + metadata.insert("ts_event".to_string(), "UInt64".to_string()); + metadata.insert("ts_init".to_string(), "UInt64".to_string()); + metadata + } + + /// Create a new [`QuoteTick`] extracted from the given [`PyAny`]. pub fn from_pyobject(obj: &PyAny) -> PyResult { let instrument_id_obj: &PyAny = obj.getattr("instrument_id")?.extract()?; let instrument_id_str = instrument_id_obj.getattr("value")?.extract()?; - let instrument_id = InstrumentId::from_str(instrument_id_str) - .map_err(to_pyvalue_err) - .unwrap(); + let instrument_id = InstrumentId::from_str(instrument_id_str).map_err(to_pyvalue_err)?; let bid_price_py: &PyAny = obj.getattr("bid_price")?; let bid_price_raw: i64 = bid_price_py.getattr("raw")?.extract()?; let bid_price_prec: u8 = bid_price_py.getattr("precision")?.extract()?; - let bid_price = Price::from_raw(bid_price_raw, bid_price_prec); + let bid_price = Price::from_raw(bid_price_raw, bid_price_prec).map_err(to_pyvalue_err)?; let ask_price_py: &PyAny = obj.getattr("ask_price")?; let ask_price_raw: i64 = ask_price_py.getattr("raw")?.extract()?; let ask_price_prec: u8 = ask_price_py.getattr("precision")?.extract()?; - let ask_price = Price::from_raw(ask_price_raw, ask_price_prec); + let ask_price = Price::from_raw(ask_price_raw, ask_price_prec).map_err(to_pyvalue_err)?; let bid_size_py: &PyAny = obj.getattr("bid_size")?; let bid_size_raw: u64 = bid_size_py.getattr("raw")?.extract()?; let bid_size_prec: u8 = bid_size_py.getattr("precision")?.extract()?; - let bid_size = Quantity::from_raw(bid_size_raw, bid_size_prec); + let bid_size = Quantity::from_raw(bid_size_raw, bid_size_prec).map_err(to_pyvalue_err)?; let ask_size_py: &PyAny = obj.getattr("ask_size")?; let ask_size_raw: u64 = ask_size_py.getattr("raw")?.extract()?; let ask_size_prec: u8 = ask_size_py.getattr("precision")?.extract()?; - let ask_size = Quantity::from_raw(ask_size_raw, ask_size_prec); + let ask_size = Quantity::from_raw(ask_size_raw, ask_size_prec).map_err(to_pyvalue_err)?; let ts_event: UnixNanos = obj.getattr("ts_event")?.extract()?; let ts_init: UnixNanos = obj.getattr("ts_init")?.extract()?; @@ -153,7 +168,22 @@ impl QuoteTick { PriceType::Mid => Price::from_raw( (self.bid_price.raw + self.ask_price.raw) / 2, cmp::min(self.bid_price.precision + 1, FIXED_PRECISION), - ), + ) + .unwrap(), // Already a valid `Price` + _ => panic!("Cannot extract with price type {price_type}"), + } + } + + #[must_use] + pub fn extract_volume(&self, price_type: PriceType) -> Quantity { + match price_type { + PriceType::Bid => self.bid_size, + PriceType::Ask => self.ask_size, + PriceType::Mid => Quantity::from_raw( + (self.bid_size.raw + self.ask_size.raw) / 2, + cmp::min(self.bid_size.precision + 1, FIXED_PRECISION), + ) + .unwrap(), // Already a valid `Quantity` _ => panic!("Cannot extract with price type {price_type}"), } } @@ -176,173 +206,51 @@ impl Display for QuoteTick { } } -#[cfg(feature = "python")] -#[pymethods] -impl QuoteTick { - #[new] - fn py_new( - instrument_id: InstrumentId, - bid_price: Price, - ask_price: Price, - bid_size: Quantity, - ask_size: Quantity, - ts_event: UnixNanos, - ts_init: UnixNanos, - ) -> PyResult { - Self::new( - instrument_id, - bid_price, - ask_price, - bid_size, - ask_size, - ts_event, - ts_init, - ) - .map_err(to_pyvalue_err) - } - - fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { - match op { - CompareOp::Eq => self.eq(other).into_py(py), - CompareOp::Ne => self.ne(other).into_py(py), - _ => py.NotImplemented(), - } - } - - fn __hash__(&self) -> isize { - let mut h = DefaultHasher::new(); - self.hash(&mut h); - h.finish() as isize - } - - fn __str__(&self) -> String { - self.to_string() - } - - fn __repr__(&self) -> String { - format!("{self:?}") - } - - #[getter] - fn instrument_id(&self) -> InstrumentId { - self.instrument_id - } - - #[getter] - fn bid_price(&self) -> Price { - self.bid_price - } - - #[getter] - fn ask_price(&self) -> Price { - self.ask_price - } - - #[getter] - fn bid_size(&self) -> Quantity { - self.bid_size - } - - #[getter] - fn ask_size(&self) -> Quantity { - self.ask_size - } - - #[getter] - fn ts_event(&self) -> UnixNanos { - self.ts_event - } - - #[getter] - fn ts_init(&self) -> UnixNanos { - self.ts_init - } - - fn extract_price_py(&self, price_type: PriceType) -> PyResult { - Ok(self.extract_price(price_type)) - } - - /// Return a dictionary representation of the object. - pub fn as_dict(&self, py: Python<'_>) -> PyResult> { - // Serialize object to JSON bytes - let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; - // Parse JSON into a Python dictionary - let py_dict: Py = PyModule::import(py, "json")? - .call_method("loads", (json_str,), None)? - .extract()?; - Ok(py_dict) - } - - /// Return a new object from the given dictionary representation. - #[staticmethod] - pub fn from_dict(py: Python<'_>, values: Py) -> PyResult { - // Extract to JSON string - let json_str: String = PyModule::import(py, "json")? - .call_method("dumps", (values,), None)? - .extract()?; - - // Deserialize to object - let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?; - Ok(instance) - } - - #[staticmethod] - fn from_json(data: Vec) -> PyResult { - Self::from_json_bytes(data).map_err(to_pyvalue_err) - } - - #[staticmethod] - fn from_msgpack(data: Vec) -> PyResult { - Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) - } - - /// Return JSON encoded bytes representation of the object. - fn as_json(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_json_bytes().unwrap().into_py(py) - } - - /// Return MsgPack encoded bytes representation of the object. - fn as_msgpack(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_msgpack_bytes().unwrap().into_py(py) - } -} - //////////////////////////////////////////////////////////////////////////////// -// Tests +// Stubs //////////////////////////////////////////////////////////////////////////////// #[cfg(test)] -mod tests { - use nautilus_core::serialization::Serializable; - use pyo3::{IntoPy, Python}; - use rstest::rstest; +pub mod stubs { + use rstest::fixture; use crate::{ data::quote::QuoteTick, - enums::PriceType, identifiers::instrument_id::InstrumentId, types::{price::Price, quantity::Quantity}, }; - fn create_stub_quote_tick() -> QuoteTick { + #[fixture] + pub fn quote_tick_ethusdt_binance() -> QuoteTick { QuoteTick { instrument_id: InstrumentId::from("ETHUSDT-PERP.BINANCE"), bid_price: Price::from("10000.0000"), ask_price: Price::from("10001.0000"), bid_size: Quantity::from("1.00000000"), ask_size: Quantity::from("1.00000000"), - ts_event: 1, - ts_init: 0, + ts_event: 0, + ts_init: 1, } } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use nautilus_core::serialization::Serializable; + use pyo3::{IntoPy, Python}; + use rstest::rstest; + + use super::stubs::*; + use crate::{data::quote::QuoteTick, enums::PriceType}; #[rstest] - fn test_to_string() { - let tick = create_stub_quote_tick(); + fn test_to_string(quote_tick_ethusdt_binance: QuoteTick) { + let tick = quote_tick_ethusdt_binance; assert_eq!( tick.to_string(), - "ETHUSDT-PERP.BINANCE,10000.0000,10001.0000,1.00000000,1.00000000,1" + "ETHUSDT-PERP.BINANCE,10000.0000,10001.0000,1.00000000,1.00000000,0" ); } @@ -350,42 +258,20 @@ mod tests { #[case(PriceType::Bid, 10_000_000_000_000)] #[case(PriceType::Ask, 10_001_000_000_000)] #[case(PriceType::Mid, 10_000_500_000_000)] - fn test_extract_price(#[case] input: PriceType, #[case] expected: i64) { - let tick = create_stub_quote_tick(); + fn test_extract_price( + #[case] input: PriceType, + #[case] expected: i64, + quote_tick_ethusdt_binance: QuoteTick, + ) { + let tick = quote_tick_ethusdt_binance; let result = tick.extract_price(input).raw; assert_eq!(result, expected); } #[rstest] - fn test_as_dict() { - pyo3::prepare_freethreaded_python(); - - let tick = create_stub_quote_tick(); - - Python::with_gil(|py| { - let dict_string = tick.as_dict(py).unwrap().to_string(); - let expected_string = r#"{'instrument_id': 'ETHUSDT-PERP.BINANCE', 'bid_price': '10000.0000', 'ask_price': '10001.0000', 'bid_size': '1.00000000', 'ask_size': '1.00000000', 'ts_event': 1, 'ts_init': 0}"#; - assert_eq!(dict_string, expected_string); - }); - } - - #[rstest] - fn test_from_dict() { - pyo3::prepare_freethreaded_python(); - - let tick = create_stub_quote_tick(); - - Python::with_gil(|py| { - let dict = tick.as_dict(py).unwrap(); - let parsed = QuoteTick::from_dict(py, dict).unwrap(); - assert_eq!(parsed, tick); - }); - } - - #[rstest] - fn test_from_pyobject() { + fn test_from_pyobject(quote_tick_ethusdt_binance: QuoteTick) { pyo3::prepare_freethreaded_python(); - let tick = create_stub_quote_tick(); + let tick = quote_tick_ethusdt_binance; Python::with_gil(|py| { let tick_pyobject = tick.into_py(py); @@ -395,16 +281,16 @@ mod tests { } #[rstest] - fn test_json_serialization() { - let tick = create_stub_quote_tick(); + fn test_json_serialization(quote_tick_ethusdt_binance: QuoteTick) { + let tick = quote_tick_ethusdt_binance; let serialized = tick.as_json_bytes().unwrap(); let deserialized = QuoteTick::from_json_bytes(serialized).unwrap(); assert_eq!(deserialized, tick); } #[rstest] - fn test_msgpack_serialization() { - let tick = create_stub_quote_tick(); + fn test_msgpack_serialization(quote_tick_ethusdt_binance: QuoteTick) { + let tick = quote_tick_ethusdt_binance; let serialized = tick.as_msgpack_bytes().unwrap(); let deserialized = QuoteTick::from_msgpack_bytes(serialized).unwrap(); assert_eq!(deserialized, tick); diff --git a/nautilus_core/model/src/data/ticker.rs b/nautilus_core/model/src/data/ticker.rs index 2eda8648f8b5..18df9a905e8e 100644 --- a/nautilus_core/model/src/data/ticker.rs +++ b/nautilus_core/model/src/data/ticker.rs @@ -14,13 +14,12 @@ // ------------------------------------------------------------------------------------------------- use std::{ - collections::hash_map::DefaultHasher, fmt::{Display, Formatter}, - hash::{Hash, Hasher}, + hash::Hash, }; -use nautilus_core::{python::to_pyvalue_err, serialization::Serializable, time::UnixNanos}; -use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict}; +use nautilus_core::{serialization::Serializable, time::UnixNanos}; +use pyo3::prelude::*; use serde::{Deserialize, Serialize}; use crate::identifiers::instrument_id::InstrumentId; @@ -29,7 +28,10 @@ use crate::identifiers::instrument_id::InstrumentId; #[repr(C)] #[derive(Clone, Debug, PartialEq, Eq, Hash, Serialize, Deserialize)] #[serde(tag = "type")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct Ticker { /// The quotes instrument ID. pub instrument_id: InstrumentId, @@ -61,95 +63,3 @@ impl Display for Ticker { ) } } - -#[cfg(feature = "python")] -#[pymethods] -impl Ticker { - #[new] - fn py_new(instrument_id: InstrumentId, ts_event: UnixNanos, ts_init: UnixNanos) -> Self { - Self::new(instrument_id, ts_event, ts_init) - } - - fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { - match op { - CompareOp::Eq => self.eq(other).into_py(py), - CompareOp::Ne => self.ne(other).into_py(py), - _ => py.NotImplemented(), - } - } - - fn __hash__(&self) -> isize { - let mut h = DefaultHasher::new(); - self.hash(&mut h); - h.finish() as isize - } - - fn __str__(&self) -> String { - self.to_string() - } - - fn __repr__(&self) -> String { - format!("{self:?}") - } - - #[getter] - fn instrument_id(&self) -> InstrumentId { - self.instrument_id - } - - #[getter] - fn ts_event(&self) -> UnixNanos { - self.ts_event - } - - #[getter] - fn ts_init(&self) -> UnixNanos { - self.ts_init - } - - /// Return a dictionary representation of the object. - pub fn as_dict(&self, py: Python<'_>) -> PyResult> { - // Serialize object to JSON bytes - let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; - // Parse JSON into a Python dictionary - let py_dict: Py = PyModule::import(py, "json")? - .call_method("loads", (json_str,), None)? - .extract()?; - Ok(py_dict) - } - - /// Return a new object from the given dictionary representation. - #[staticmethod] - pub fn from_dict(py: Python<'_>, values: Py) -> PyResult { - // Extract to JSON string - let json_str: String = PyModule::import(py, "json")? - .call_method("dumps", (values,), None)? - .extract()?; - - // Deserialize to object - let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?; - Ok(instance) - } - - #[staticmethod] - fn from_json(data: Vec) -> PyResult { - Self::from_json_bytes(data).map_err(to_pyvalue_err) - } - - #[staticmethod] - fn from_msgpack(data: Vec) -> PyResult { - Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) - } - - /// Return JSON encoded bytes representation of the object. - fn as_json(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_json_bytes().unwrap().into_py(py) - } - - /// Return MsgPack encoded bytes representation of the object. - fn as_msgpack(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_msgpack_bytes().unwrap().into_py(py) - } -} diff --git a/nautilus_core/model/src/data/trade.rs b/nautilus_core/model/src/data/trade.rs index 729bb7982cc5..b89bd5cbee8e 100644 --- a/nautilus_core/model/src/data/trade.rs +++ b/nautilus_core/model/src/data/trade.rs @@ -14,14 +14,15 @@ // ------------------------------------------------------------------------------------------------- use std::{ - collections::{hash_map::DefaultHasher, HashMap}, + collections::HashMap, fmt::{Display, Formatter}, - hash::{Hash, Hasher}, + hash::Hash, str::FromStr, }; +use indexmap::IndexMap; use nautilus_core::{python::to_pyvalue_err, serialization::Serializable, time::UnixNanos}; -use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict}; +use pyo3::prelude::*; use serde::{Deserialize, Serialize}; use crate::{ @@ -34,7 +35,10 @@ use crate::{ #[repr(C)] #[derive(Clone, Copy, Debug, PartialEq, Eq, Hash, Serialize, Deserialize)] #[serde(tag = "type")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct TradeTick { /// The trade instrument ID. pub instrument_id: InstrumentId, @@ -87,23 +91,33 @@ impl TradeTick { metadata } + /// Returns the field map for the type, for use with arrow schemas. + pub fn get_fields() -> IndexMap { + let mut metadata = IndexMap::new(); + metadata.insert("price".to_string(), "Int64".to_string()); + metadata.insert("size".to_string(), "UInt64".to_string()); + metadata.insert("aggressor_side".to_string(), "UInt8".to_string()); + metadata.insert("trade_id".to_string(), "Utf8".to_string()); + metadata.insert("ts_event".to_string(), "UInt64".to_string()); + metadata.insert("ts_init".to_string(), "UInt64".to_string()); + metadata + } + /// Create a new [`TradeTick`] extracted from the given [`PyAny`]. pub fn from_pyobject(obj: &PyAny) -> PyResult { let instrument_id_obj: &PyAny = obj.getattr("instrument_id")?.extract()?; let instrument_id_str = instrument_id_obj.getattr("value")?.extract()?; - let instrument_id = InstrumentId::from_str(instrument_id_str) - .map_err(to_pyvalue_err) - .unwrap(); + let instrument_id = InstrumentId::from_str(instrument_id_str).map_err(to_pyvalue_err)?; let price_py: &PyAny = obj.getattr("price")?; let price_raw: i64 = price_py.getattr("raw")?.extract()?; let price_prec: u8 = price_py.getattr("precision")?.extract()?; - let price = Price::from_raw(price_raw, price_prec); + let price = Price::from_raw(price_raw, price_prec).map_err(to_pyvalue_err)?; let size_py: &PyAny = obj.getattr("size")?; let size_raw: u64 = size_py.getattr("raw")?.extract()?; let size_prec: u8 = size_py.getattr("precision")?.extract()?; - let size = Quantity::from_raw(size_raw, size_prec); + let size = Quantity::from_raw(size_raw, size_prec).map_err(to_pyvalue_err)?; let aggressor_side_obj: &PyAny = obj.getattr("aggressor_side")?.extract()?; let aggressor_side_u8 = aggressor_side_obj.getattr("value")?.extract()?; @@ -111,9 +125,7 @@ impl TradeTick { let trade_id_obj: &PyAny = obj.getattr("trade_id")?.extract()?; let trade_id_str = trade_id_obj.getattr("value")?.extract()?; - let trade_id = TradeId::from_str(trade_id_str) - .map_err(to_pyvalue_err) - .unwrap(); + let trade_id = TradeId::from_str(trade_id_str).map_err(to_pyvalue_err)?; let ts_event: UnixNanos = obj.getattr("ts_event")?.extract()?; let ts_init: UnixNanos = obj.getattr("ts_init")?.extract()?; @@ -147,142 +159,12 @@ impl Display for TradeTick { } } -#[cfg(feature = "python")] -#[pymethods] -impl TradeTick { - #[new] - fn py_new( - instrument_id: InstrumentId, - price: Price, - size: Quantity, - aggressor_side: AggressorSide, - trade_id: TradeId, - ts_event: UnixNanos, - ts_init: UnixNanos, - ) -> Self { - Self::new( - instrument_id, - price, - size, - aggressor_side, - trade_id, - ts_event, - ts_init, - ) - } - - fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { - match op { - CompareOp::Eq => self.eq(other).into_py(py), - CompareOp::Ne => self.ne(other).into_py(py), - _ => py.NotImplemented(), - } - } - - fn __hash__(&self) -> isize { - let mut h = DefaultHasher::new(); - self.hash(&mut h); - h.finish() as isize - } - - fn __str__(&self) -> String { - self.to_string() - } - - fn __repr__(&self) -> String { - format!("{self:?}") - } - - #[getter] - fn instrument_id(&self) -> InstrumentId { - self.instrument_id - } - - #[getter] - fn price(&self) -> Price { - self.price - } - - #[getter] - fn size(&self) -> Quantity { - self.size - } - - #[getter] - fn aggressor_side(&self) -> AggressorSide { - self.aggressor_side - } - - #[getter] - fn trade_id(&self) -> TradeId { - self.trade_id - } - - #[getter] - fn ts_event(&self) -> UnixNanos { - self.ts_event - } - - #[getter] - fn ts_init(&self) -> UnixNanos { - self.ts_init - } - - /// Return a dictionary representation of the object. - pub fn as_dict(&self, py: Python<'_>) -> PyResult> { - // Serialize object to JSON bytes - let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; - // Parse JSON into a Python dictionary - let py_dict: Py = PyModule::import(py, "json")? - .call_method("loads", (json_str,), None)? - .extract()?; - Ok(py_dict) - } - - /// Return a new object from the given dictionary representation. - #[staticmethod] - pub fn from_dict(py: Python<'_>, values: Py) -> PyResult { - // Extract to JSON string - let json_str: String = PyModule::import(py, "json")? - .call_method("dumps", (values,), None)? - .extract()?; - - // Deserialize to object - let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?; - Ok(instance) - } - - #[staticmethod] - fn from_json(data: Vec) -> PyResult { - Self::from_json_bytes(data).map_err(to_pyvalue_err) - } - - #[staticmethod] - fn from_msgpack(data: Vec) -> PyResult { - Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) - } - - /// Return JSON encoded bytes representation of the object. - fn as_json(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_json_bytes().unwrap().into_py(py) - } - - /// Return MsgPack encoded bytes representation of the object. - fn as_msgpack(&self, py: Python<'_>) -> Py { - // Unwrapping is safe when serializing a valid object - self.as_msgpack_bytes().unwrap().into_py(py) - } -} - //////////////////////////////////////////////////////////////////////////////// -// Tests +// Stubs //////////////////////////////////////////////////////////////////////////////// #[cfg(test)] -mod tests { - use nautilus_core::serialization::Serializable; - use pyo3::{IntoPy, Python}; - use rstest::rstest; +pub mod stubs { + use rstest::fixture; use crate::{ data::trade::TradeTick, @@ -291,24 +173,38 @@ mod tests { types::{price::Price, quantity::Quantity}, }; - fn create_stub_trade_tick() -> TradeTick { + #[fixture] + pub fn trade_tick_ethusdt_buyer() -> TradeTick { TradeTick { instrument_id: InstrumentId::from("ETHUSDT-PERP.BINANCE"), price: Price::from("10000.0000"), size: Quantity::from("1.00000000"), aggressor_side: AggressorSide::Buyer, trade_id: TradeId::new("123456789").unwrap(), - ts_event: 1, - ts_init: 0, + ts_event: 0, + ts_init: 1, } } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use nautilus_core::serialization::Serializable; + use pyo3::{IntoPy, Python}; + use rstest::rstest; + + use super::stubs::*; + use crate::{data::trade::TradeTick, enums::AggressorSide}; #[rstest] - fn test_to_string() { - let tick = create_stub_trade_tick(); + fn test_to_string(trade_tick_ethusdt_buyer: TradeTick) { + let tick = trade_tick_ethusdt_buyer; assert_eq!( tick.to_string(), - "ETHUSDT-PERP.BINANCE,10000.0000,1.00000000,BUYER,123456789,1" + "ETHUSDT-PERP.BINANCE,10000.0000,1.00000000,BUYER,123456789,0" ); } @@ -321,8 +217,8 @@ mod tests { "size": "1.00000000", "aggressor_side": "BUYER", "trade_id": "123456789", - "ts_event": 1, - "ts_init": 0 + "ts_event": 0, + "ts_init": 1 }"#; let tick: TradeTick = serde_json::from_str(raw_string).unwrap(); @@ -331,35 +227,9 @@ mod tests { } #[rstest] - fn test_as_dict() { - pyo3::prepare_freethreaded_python(); - - let tick = create_stub_trade_tick(); - - Python::with_gil(|py| { - let dict_string = tick.as_dict(py).unwrap().to_string(); - 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': 1, 'ts_init': 0}"#; - assert_eq!(dict_string, expected_string); - }); - } - - #[rstest] - fn test_from_dict() { - pyo3::prepare_freethreaded_python(); - - let tick = create_stub_trade_tick(); - - Python::with_gil(|py| { - let dict = tick.as_dict(py).unwrap(); - let parsed = TradeTick::from_dict(py, dict).unwrap(); - assert_eq!(parsed, tick); - }); - } - - #[rstest] - fn test_from_pyobject() { + fn test_from_pyobject(trade_tick_ethusdt_buyer: TradeTick) { pyo3::prepare_freethreaded_python(); - let tick = create_stub_trade_tick(); + let tick = trade_tick_ethusdt_buyer; Python::with_gil(|py| { let tick_pyobject = tick.into_py(py); @@ -369,16 +239,16 @@ mod tests { } #[rstest] - fn test_json_serialization() { - let tick = create_stub_trade_tick(); + fn test_json_serialization(trade_tick_ethusdt_buyer: TradeTick) { + let tick = trade_tick_ethusdt_buyer; let serialized = tick.as_json_bytes().unwrap(); let deserialized = TradeTick::from_json_bytes(serialized).unwrap(); assert_eq!(deserialized, tick); } #[rstest] - fn test_msgpack_serialization() { - let tick = create_stub_trade_tick(); + fn test_msgpack_serialization(trade_tick_ethusdt_buyer: TradeTick) { + let tick = trade_tick_ethusdt_buyer; let serialized = tick.as_msgpack_bytes().unwrap(); let deserialized = TradeTick::from_msgpack_bytes(serialized).unwrap(); assert_eq!(deserialized, tick); diff --git a/nautilus_core/model/src/enums.rs b/nautilus_core/model/src/enums.rs index 715a30eb4859..f8c63ce8b787 100644 --- a/nautilus_core/model/src/enums.rs +++ b/nautilus_core/model/src/enums.rs @@ -17,7 +17,7 @@ use std::{ffi::c_char, str::FromStr}; -use nautilus_core::string::{cstr_to_string, str_to_cstr}; +use nautilus_core::ffi::string::{cstr_to_str, str_to_cstr}; use pyo3::{exceptions::PyValueError, prelude::*, types::PyType, PyTypeInfo}; use serde::{Deserialize, Deserializer, Serialize, Serializer}; use strum::{AsRefStr, Display, EnumIter, EnumString, FromRepr}; @@ -49,7 +49,10 @@ pub trait FromU8 { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum AccountType { /// An account with unleveraged cash assets only. #[pyo3(name = "CASH")] @@ -81,7 +84,10 @@ pub enum AccountType { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum AggregationSource { /// The data is externally aggregated (outside the Nautilus system boundary). #[pyo3(name = "EXTERNAL")] @@ -110,7 +116,10 @@ pub enum AggregationSource { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum AggressorSide { /// There was no specific aggressor for the trade. NoAggressor = 0, // Will be replaced by `Option` @@ -152,7 +161,10 @@ impl FromU8 for AggressorSide { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] #[allow(non_camel_case_types)] pub enum AssetClass { /// Foreign exchange (FOREX) assets. @@ -202,7 +214,10 @@ pub enum AssetClass { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum AssetType { /// A spot market asset type. The current market price of an asset that is bought or sold for immediate delivery and payment. #[pyo3(name = "SPOT")] @@ -246,7 +261,10 @@ pub enum AssetType { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum BarAggregation { /// Based on a number of ticks. #[pyo3(name = "TICK")] @@ -317,7 +335,10 @@ pub enum BarAggregation { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum BookAction { /// An order is added to the book. #[pyo3(name = "ADD")] @@ -365,10 +386,13 @@ impl FromU8 for BookAction { #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] #[allow(non_camel_case_types)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum BookType { /// Top-of-book best bid/offer, one level per side. - L1_TBBO = 1, + L1_MBP = 1, /// Market by price, one order per level (aggregated). L2_MBP = 2, /// Market by order, multiple orders per level (full granularity). @@ -378,7 +402,7 @@ pub enum BookType { impl FromU8 for BookType { fn from_u8(value: u8) -> Option { match value { - 1 => Some(BookType::L1_TBBO), + 1 => Some(BookType::L1_MBP), 2 => Some(BookType::L2_MBP), 3 => Some(BookType::L3_MBO), _ => None, @@ -407,7 +431,10 @@ impl FromU8 for BookType { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum ContingencyType { /// Not a contingent order. NoContingency = 0, // Will be replaced by `Option` @@ -441,7 +468,10 @@ pub enum ContingencyType { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum CurrencyType { /// A type of cryptocurrency or crypto token. #[pyo3(name = "CRYPTO")] @@ -449,6 +479,9 @@ pub enum CurrencyType { /// A type of currency issued by governments which is not backed by a commodity. #[pyo3(name = "FIAT")] Fiat = 2, + /// A type of currency that is based on the value of an underlying commodity. + #[pyo3(name = "COMMODITY_BACKED")] + CommodityBacked = 3, } /// The type of event for an instrument close. @@ -470,7 +503,10 @@ pub enum CurrencyType { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum InstrumentCloseType { /// When the market session ended. #[pyo3(name = "END_OF_SESSION")] @@ -499,8 +535,11 @@ pub enum InstrumentCloseType { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] #[allow(clippy::enum_variant_names)] -#[pyclass] pub enum LiquiditySide { /// No specific liqudity side. NoLiquiditySide = 0, // Will be replaced by `Option` @@ -531,23 +570,67 @@ pub enum LiquiditySide { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum MarketStatus { - /// The market is closed. - #[pyo3(name = "CLOSED")] - Closed = 1, - /// The market is in the pre-open session. + /// The market session is in the pre-open. #[pyo3(name = "PRE_OPEN")] - PreOpen = 2, - /// The market is open for the normal session. + PreOpen = 1, + /// The market session is open. #[pyo3(name = "OPEN")] - Open = 3, + Open = 2, /// The market session is paused. #[pyo3(name = "PAUSE")] - Pause = 4, - /// The market is in the pre-close session. + Pause = 3, + /// The market session is halted. + #[pyo3(name = "HALT")] + Halt = 4, + /// The market session has reopened after a pause or halt. + #[pyo3(name = "REOPEN")] + Reopen = 5, + /// The market session is in the pre-close. #[pyo3(name = "PRE_CLOSE")] - PreClose = 5, + PreClose = 6, + /// The market session is closed. + #[pyo3(name = "CLOSED")] + Closed = 7, +} + +/// The reason for a venue or market halt. +#[repr(C)] +#[derive( + Copy, + Clone, + Debug, + Display, + Hash, + PartialEq, + Eq, + PartialOrd, + Ord, + AsRefStr, + FromRepr, + EnumIter, + EnumString, +)] +#[strum(ascii_case_insensitive)] +#[strum(serialize_all = "SCREAMING_SNAKE_CASE")] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] +pub enum HaltReason { + /// The venue or market session is not halted. + #[pyo3(name = "NOT_HALTED")] + NotHalted = 1, + /// Trading halt is imposed for purely regulatory reasons with/without volatility halt. + #[pyo3(name = "GENERAL")] + General = 2, + /// Trading halt is imposed by the venue to protect against extreme volatility. + #[pyo3(name = "VOLATILITY")] + Volatility = 3, } /// The order management system (OMS) type for a trading venue or trading strategy. @@ -569,7 +652,10 @@ pub enum MarketStatus { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum OmsType { /// There is no specific type of order management specified (will defer to the venue). Unspecified = 0, // Will be replaced by `Option` @@ -602,7 +688,10 @@ pub enum OmsType { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum OptionKind { /// A Call option gives the holder the right, but not the obligation, to buy an underlying asset at a specified strike price within a specified period of time. #[pyo3(name = "CALL")] @@ -632,7 +721,10 @@ pub enum OptionKind { #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] #[allow(clippy::enum_variant_names)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum OrderSide { /// No order side is specified (only valid in the context of a filter for actions involving orders). NoOrderSide = 0, // Will be replaced by `Option` @@ -694,7 +786,10 @@ impl FromU8 for OrderSide { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum OrderStatus { /// The order is initialized (instantiated) within the Nautilus system. #[pyo3(name = "INITIALIZED")] @@ -759,7 +854,10 @@ pub enum OrderStatus { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum OrderType { /// A market order to buy or sell at the best available price in the current market. #[pyo3(name = "MARKET")] @@ -810,7 +908,10 @@ pub enum OrderType { #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] #[allow(clippy::enum_variant_names)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum PositionSide { /// No position side is specified (only valid in the context of a filter for actions involving positions). NoPositionSide = 0, // Will be replaced by `Option` @@ -844,7 +945,10 @@ pub enum PositionSide { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum PriceType { /// A quoted order price where a buyer is willing to buy a quantity of an instrument. #[pyo3(name = "BID")] @@ -879,7 +983,10 @@ pub enum PriceType { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum TimeInForce { /// Good Till Canceled (GTC) - the order remains active until canceled. #[pyo3(name = "GTD")] @@ -923,7 +1030,10 @@ pub enum TimeInForce { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum TradingState { /// Normal trading operations. #[pyo3(name = "ACTIVE")] @@ -955,7 +1065,10 @@ pub enum TradingState { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum TrailingOffsetType { /// No trailing offset type is specified (invalid for trailing type orders). NoTrailingOffset = 0, // Will be replaced by `Option` @@ -992,7 +1105,10 @@ pub enum TrailingOffsetType { )] #[strum(ascii_case_insensitive)] #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums") +)] pub enum TriggerType { /// No trigger type is specified (invalid for orders with a trigger). NoTrigger = 0, // Will be replaced by `Option` @@ -1087,8 +1203,8 @@ pub extern "C" fn account_type_to_cstr(value: AccountType) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn account_type_from_cstr(ptr: *const c_char) -> AccountType { - let value = cstr_to_string(ptr); - AccountType::from_str(&value) + let value = cstr_to_str(ptr); + AccountType::from_str(value) .unwrap_or_else(|_| panic!("invalid `AccountType` enum string value, was '{value}'")) } @@ -1105,8 +1221,8 @@ pub extern "C" fn aggregation_source_to_cstr(value: AggregationSource) -> *const #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn aggregation_source_from_cstr(ptr: *const c_char) -> AggregationSource { - let value = cstr_to_string(ptr); - AggregationSource::from_str(&value) + let value = cstr_to_str(ptr); + AggregationSource::from_str(value) .unwrap_or_else(|_| panic!("invalid `AggregationSource` enum string value, was '{value}'")) } @@ -1123,8 +1239,8 @@ pub extern "C" fn aggressor_side_to_cstr(value: AggressorSide) -> *const c_char #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn aggressor_side_from_cstr(ptr: *const c_char) -> AggressorSide { - let value = cstr_to_string(ptr); - AggressorSide::from_str(&value) + let value = cstr_to_str(ptr); + AggressorSide::from_str(value) .unwrap_or_else(|_| panic!("invalid `AggressorSide` enum string value, was '{value}'")) } @@ -1141,8 +1257,8 @@ pub extern "C" fn asset_class_to_cstr(value: AssetClass) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn asset_class_from_cstr(ptr: *const c_char) -> AssetClass { - let value = cstr_to_string(ptr); - AssetClass::from_str(&value) + let value = cstr_to_str(ptr); + AssetClass::from_str(value) .unwrap_or_else(|_| panic!("invalid `AssetClass` enum string value, was '{value}'")) } @@ -1159,8 +1275,8 @@ pub extern "C" fn asset_type_to_cstr(value: AssetType) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn asset_type_from_cstr(ptr: *const c_char) -> AssetType { - let value = cstr_to_string(ptr); - AssetType::from_str(&value) + let value = cstr_to_str(ptr); + AssetType::from_str(value) .unwrap_or_else(|_| panic!("invalid `AssetType` enum string value, was '{value}'")) } @@ -1177,8 +1293,8 @@ pub extern "C" fn bar_aggregation_to_cstr(value: BarAggregation) -> *const c_cha #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn bar_aggregation_from_cstr(ptr: *const c_char) -> BarAggregation { - let value = cstr_to_string(ptr); - BarAggregation::from_str(&value) + let value = cstr_to_str(ptr); + BarAggregation::from_str(value) .unwrap_or_else(|_| panic!("invalid `BarAggregation` enum string value, was '{value}'")) } @@ -1195,8 +1311,8 @@ pub extern "C" fn book_action_to_cstr(value: BookAction) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn book_action_from_cstr(ptr: *const c_char) -> BookAction { - let value = cstr_to_string(ptr); - BookAction::from_str(&value) + let value = cstr_to_str(ptr); + BookAction::from_str(value) .unwrap_or_else(|_| panic!("invalid `BookAction` enum string value, was '{value}'")) } @@ -1213,8 +1329,8 @@ pub extern "C" fn book_type_to_cstr(value: BookType) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn book_type_from_cstr(ptr: *const c_char) -> BookType { - let value = cstr_to_string(ptr); - BookType::from_str(&value) + let value = cstr_to_str(ptr); + BookType::from_str(value) .unwrap_or_else(|_| panic!("invalid `BookType` enum string value, was '{value}'")) } @@ -1231,8 +1347,8 @@ pub extern "C" fn contingency_type_to_cstr(value: ContingencyType) -> *const c_c #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn contingency_type_from_cstr(ptr: *const c_char) -> ContingencyType { - let value = cstr_to_string(ptr); - ContingencyType::from_str(&value) + let value = cstr_to_str(ptr); + ContingencyType::from_str(value) .unwrap_or_else(|_| panic!("invalid `ContingencyType` enum string value, was '{value}'")) } @@ -1249,8 +1365,8 @@ pub extern "C" fn currency_type_to_cstr(value: CurrencyType) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn currency_type_from_cstr(ptr: *const c_char) -> CurrencyType { - let value = cstr_to_string(ptr); - CurrencyType::from_str(&value) + let value = cstr_to_str(ptr); + CurrencyType::from_str(value) .unwrap_or_else(|_| panic!("invalid `CurrencyType` enum string value, was '{value}'")) } @@ -1263,8 +1379,8 @@ pub unsafe extern "C" fn currency_type_from_cstr(ptr: *const c_char) -> Currency pub unsafe extern "C" fn instrument_close_type_from_cstr( ptr: *const c_char, ) -> InstrumentCloseType { - let value = cstr_to_string(ptr); - InstrumentCloseType::from_str(&value).unwrap_or_else(|_| { + let value = cstr_to_str(ptr); + InstrumentCloseType::from_str(value).unwrap_or_else(|_| { panic!("invalid `InstrumentCloseType` enum string value, was '{value}'") }) } @@ -1288,8 +1404,8 @@ pub extern "C" fn liquidity_side_to_cstr(value: LiquiditySide) -> *const c_char #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn liquidity_side_from_cstr(ptr: *const c_char) -> LiquiditySide { - let value = cstr_to_string(ptr); - LiquiditySide::from_str(&value) + let value = cstr_to_str(ptr); + LiquiditySide::from_str(value) .unwrap_or_else(|_| panic!("invalid `LiquiditySide` enum string value, was '{value}'")) } @@ -1306,11 +1422,29 @@ pub extern "C" fn market_status_to_cstr(value: MarketStatus) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn market_status_from_cstr(ptr: *const c_char) -> MarketStatus { - let value = cstr_to_string(ptr); - MarketStatus::from_str(&value) + let value = cstr_to_str(ptr); + MarketStatus::from_str(value) .unwrap_or_else(|_| panic!("invalid `MarketStatus` enum string value, was '{value}'")) } +#[cfg(feature = "ffi")] +#[no_mangle] +pub extern "C" fn halt_reason_to_cstr(value: HaltReason) -> *const c_char { + str_to_cstr(value.as_ref()) +} + +/// Returns an enum from a Python string. +/// +/// # Safety +/// - Assumes `ptr` is a valid C string pointer. +#[cfg(feature = "ffi")] +#[no_mangle] +pub unsafe extern "C" fn halt_reason_from_cstr(ptr: *const c_char) -> HaltReason { + let value = cstr_to_str(ptr); + HaltReason::from_str(value) + .unwrap_or_else(|_| panic!("invalid `HaltReason` enum string value, was '{value}'")) +} + #[cfg(feature = "ffi")] #[no_mangle] pub extern "C" fn oms_type_to_cstr(value: OmsType) -> *const c_char { @@ -1324,8 +1458,8 @@ pub extern "C" fn oms_type_to_cstr(value: OmsType) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn oms_type_from_cstr(ptr: *const c_char) -> OmsType { - let value = cstr_to_string(ptr); - OmsType::from_str(&value) + let value = cstr_to_str(ptr); + OmsType::from_str(value) .unwrap_or_else(|_| panic!("invalid `OmsType` enum string value, was '{value}'")) } @@ -1342,8 +1476,8 @@ pub extern "C" fn option_kind_to_cstr(value: OptionKind) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn option_kind_from_cstr(ptr: *const c_char) -> OptionKind { - let value = cstr_to_string(ptr); - OptionKind::from_str(&value) + let value = cstr_to_str(ptr); + OptionKind::from_str(value) .unwrap_or_else(|_| panic!("invalid `OptionKind` enum string value, was '{value}'")) } @@ -1360,8 +1494,8 @@ pub extern "C" fn order_side_to_cstr(value: OrderSide) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn order_side_from_cstr(ptr: *const c_char) -> OrderSide { - let value = cstr_to_string(ptr); - OrderSide::from_str(&value) + let value = cstr_to_str(ptr); + OrderSide::from_str(value) .unwrap_or_else(|_| panic!("invalid `OrderSide` enum string value, was '{value}'")) } @@ -1378,8 +1512,8 @@ pub extern "C" fn order_status_to_cstr(value: OrderStatus) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn order_status_from_cstr(ptr: *const c_char) -> OrderStatus { - let value = cstr_to_string(ptr); - OrderStatus::from_str(&value) + let value = cstr_to_str(ptr); + OrderStatus::from_str(value) .unwrap_or_else(|_| panic!("invalid `OrderStatus` enum string value, was '{value}'")) } @@ -1396,8 +1530,8 @@ pub extern "C" fn order_type_to_cstr(value: OrderType) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn order_type_from_cstr(ptr: *const c_char) -> OrderType { - let value = cstr_to_string(ptr); - OrderType::from_str(&value) + let value = cstr_to_str(ptr); + OrderType::from_str(value) .unwrap_or_else(|_| panic!("invalid `OrderType` enum string value, was '{value}'")) } @@ -1414,8 +1548,8 @@ pub extern "C" fn position_side_to_cstr(value: PositionSide) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn position_side_from_cstr(ptr: *const c_char) -> PositionSide { - let value = cstr_to_string(ptr); - PositionSide::from_str(&value) + let value = cstr_to_str(ptr); + PositionSide::from_str(value) .unwrap_or_else(|_| panic!("invalid `PositionSide` enum string value, was '{value}'")) } @@ -1432,8 +1566,8 @@ pub extern "C" fn price_type_to_cstr(value: PriceType) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn price_type_from_cstr(ptr: *const c_char) -> PriceType { - let value = cstr_to_string(ptr); - PriceType::from_str(&value) + let value = cstr_to_str(ptr); + PriceType::from_str(value) .unwrap_or_else(|_| panic!("invalid `PriceType` enum string value, was '{value}'")) } @@ -1450,8 +1584,8 @@ pub extern "C" fn time_in_force_to_cstr(value: TimeInForce) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn time_in_force_from_cstr(ptr: *const c_char) -> TimeInForce { - let value = cstr_to_string(ptr); - TimeInForce::from_str(&value) + let value = cstr_to_str(ptr); + TimeInForce::from_str(value) .unwrap_or_else(|_| panic!("invalid `TimeInForce` enum string value, was '{value}'")) } @@ -1468,8 +1602,8 @@ pub extern "C" fn trading_state_to_cstr(value: TradingState) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn trading_state_from_cstr(ptr: *const c_char) -> TradingState { - let value = cstr_to_string(ptr); - TradingState::from_str(&value) + let value = cstr_to_str(ptr); + TradingState::from_str(value) .unwrap_or_else(|_| panic!("invalid `TradingState` enum string value, was '{value}'")) } @@ -1486,8 +1620,8 @@ pub extern "C" fn trailing_offset_type_to_cstr(value: TrailingOffsetType) -> *co #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn trailing_offset_type_from_cstr(ptr: *const c_char) -> TrailingOffsetType { - let value = cstr_to_string(ptr); - TrailingOffsetType::from_str(&value) + let value = cstr_to_str(ptr); + TrailingOffsetType::from_str(value) .unwrap_or_else(|_| panic!("invalid `TrailingOffsetType` enum string value, was '{value}'")) } @@ -1504,8 +1638,8 @@ pub extern "C" fn trigger_type_to_cstr(value: TriggerType) -> *const c_char { #[cfg(feature = "ffi")] #[no_mangle] pub unsafe extern "C" fn trigger_type_from_cstr(ptr: *const c_char) -> TriggerType { - let value = cstr_to_string(ptr); - TriggerType::from_str(&value) + let value = cstr_to_str(ptr); + TriggerType::from_str(value) .unwrap_or_else(|_| panic!("invalid `TriggerType` enum string value, was '{value}'")) } diff --git a/nautilus_core/model/src/events/mod.rs b/nautilus_core/model/src/events/mod.rs index fc455697e38b..284051f2a60e 100644 --- a/nautilus_core/model/src/events/mod.rs +++ b/nautilus_core/model/src/events/mod.rs @@ -14,6 +14,4 @@ // ------------------------------------------------------------------------------------------------- pub mod order; -#[cfg(feature = "ffi")] -pub mod order_api; pub mod position; diff --git a/nautilus_core/model/src/events/order.rs b/nautilus_core/model/src/events/order.rs index 7f57542f2d1f..4589a5b1de18 100644 --- a/nautilus_core/model/src/events/order.rs +++ b/nautilus_core/model/src/events/order.rs @@ -21,7 +21,6 @@ use serde::{Deserialize, Serialize}; use ustr::Ustr; use crate::{ - currencies::USD, enums::{ ContingencyType, LiquiditySide, OrderSide, OrderType, TimeInForce, TrailingOffsetType, TriggerType, @@ -482,7 +481,7 @@ impl Default for OrderFilled { order_type: OrderType::Market, last_qty: Quantity::new(100_000.0, 0).unwrap(), last_px: Price::from("1.00000"), - currency: *USD, + currency: Currency::USD(), commission: None, liquidity_side: LiquiditySide::Taker, event_id: Default::default(), diff --git a/nautilus_core/model/src/data/bar_api.rs b/nautilus_core/model/src/ffi/data/bar.rs similarity index 81% rename from nautilus_core/model/src/data/bar_api.rs rename to nautilus_core/model/src/ffi/data/bar.rs index 5291849433cb..70a3a90db102 100644 --- a/nautilus_core/model/src/data/bar_api.rs +++ b/nautilus_core/model/src/ffi/data/bar.rs @@ -17,12 +17,16 @@ use std::{ collections::hash_map::DefaultHasher, ffi::c_char, hash::{Hash, Hasher}, + str::FromStr, }; -use nautilus_core::{string::str_to_cstr, time::UnixNanos}; +use nautilus_core::{ + ffi::string::{cstr_to_str, str_to_cstr}, + time::UnixNanos, +}; -use super::bar::{Bar, BarSpecification, BarType}; use crate::{ + data::bar::{Bar, BarSpecification, BarType}, enums::{AggregationSource, BarAggregation, PriceType}, identifiers::instrument_id::InstrumentId, types::{price::Price, quantity::Quantity}, @@ -97,6 +101,29 @@ pub extern "C" fn bar_type_new( } } +/// Returns any [`BarType`] parsing error from the provided C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn bar_type_check_parsing(ptr: *const c_char) -> *const c_char { + match BarType::from_str(cstr_to_str(ptr)) { + Ok(_) => str_to_cstr(""), + Err(e) => str_to_cstr(&e.to_string()), + } +} + +/// Returns a [`BarType`] from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn bar_type_from_cstr(ptr: *const c_char) -> BarType { + BarType::from(cstr_to_str(ptr)) +} + #[no_mangle] pub extern "C" fn bar_type_eq(lhs: &BarType, rhs: &BarType) -> u8 { u8::from(lhs == rhs) @@ -173,11 +200,11 @@ pub extern "C" fn bar_new_from_raw( ) -> Bar { Bar { bar_type, - open: Price::from_raw(open, price_prec), - high: Price::from_raw(high, price_prec), - low: Price::from_raw(low, price_prec), - close: Price::from_raw(close, price_prec), - volume: Quantity::from_raw(volume, size_prec), + open: Price::from_raw(open, price_prec).unwrap(), + high: Price::from_raw(high, price_prec).unwrap(), + low: Price::from_raw(low, price_prec).unwrap(), + close: Price::from_raw(close, price_prec).unwrap(), + volume: Quantity::from_raw(volume, size_prec).unwrap(), ts_event, ts_init, } diff --git a/nautilus_core/model/src/data/delta_api.rs b/nautilus_core/model/src/ffi/data/delta.rs similarity index 92% rename from nautilus_core/model/src/data/delta_api.rs rename to nautilus_core/model/src/ffi/data/delta.rs index 9686986d89ae..6b6b000ea398 100644 --- a/nautilus_core/model/src/data/delta_api.rs +++ b/nautilus_core/model/src/ffi/data/delta.rs @@ -20,8 +20,11 @@ use std::{ use nautilus_core::time::UnixNanos; -use super::{delta::OrderBookDelta, order::BookOrder}; -use crate::{enums::BookAction, identifiers::instrument_id::InstrumentId}; +use crate::{ + data::{delta::OrderBookDelta, order::BookOrder}, + enums::BookAction, + identifiers::instrument_id::InstrumentId, +}; #[no_mangle] pub extern "C" fn orderbook_delta_new( diff --git a/nautilus_core/model/src/ffi/data/mod.rs b/nautilus_core/model/src/ffi/data/mod.rs new file mode 100644 index 000000000000..39541658833a --- /dev/null +++ b/nautilus_core/model/src/ffi/data/mod.rs @@ -0,0 +1,21 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod bar; +pub mod delta; +pub mod order; +pub mod quote; +pub mod ticker; +pub mod trade; diff --git a/nautilus_core/model/src/data/order_api.rs b/nautilus_core/model/src/ffi/data/order.rs similarity index 92% rename from nautilus_core/model/src/data/order_api.rs rename to nautilus_core/model/src/ffi/data/order.rs index 68e0484f093d..16488ca0ddbe 100644 --- a/nautilus_core/model/src/data/order_api.rs +++ b/nautilus_core/model/src/ffi/data/order.rs @@ -19,10 +19,10 @@ use std::{ hash::{Hash, Hasher}, }; -use nautilus_core::string::str_to_cstr; +use nautilus_core::ffi::string::str_to_cstr; -use super::order::BookOrder; use crate::{ + data::order::BookOrder, enums::OrderSide, types::{price::Price, quantity::Quantity}, }; @@ -38,8 +38,8 @@ pub extern "C" fn book_order_from_raw( ) -> BookOrder { BookOrder::new( order_side, - Price::from_raw(price_raw, price_prec), - Quantity::from_raw(size_raw, size_prec), + Price::from_raw(price_raw, price_prec).unwrap(), + Quantity::from_raw(size_raw, size_prec).unwrap(), order_id, ) } diff --git a/nautilus_core/model/src/data/quote_api.rs b/nautilus_core/model/src/ffi/data/quote.rs similarity index 87% rename from nautilus_core/model/src/data/quote_api.rs rename to nautilus_core/model/src/ffi/data/quote.rs index d7fa0f354cc0..6440b6945510 100644 --- a/nautilus_core/model/src/data/quote_api.rs +++ b/nautilus_core/model/src/ffi/data/quote.rs @@ -19,10 +19,10 @@ use std::{ hash::{Hash, Hasher}, }; -use nautilus_core::{string::str_to_cstr, time::UnixNanos}; +use nautilus_core::{ffi::string::str_to_cstr, time::UnixNanos}; -use super::quote::QuoteTick; use crate::{ + data::quote::QuoteTick, identifiers::instrument_id::InstrumentId, types::{price::Price, quantity::Quantity}, }; @@ -43,10 +43,10 @@ pub extern "C" fn quote_tick_new( ) -> QuoteTick { QuoteTick::new( instrument_id, - Price::from_raw(bid_price_raw, bid_price_prec), - Price::from_raw(ask_price_raw, ask_price_prec), - Quantity::from_raw(bid_size_raw, bid_size_prec), - Quantity::from_raw(ask_size_raw, ask_size_prec), + Price::from_raw(bid_price_raw, bid_price_prec).unwrap(), + Price::from_raw(ask_price_raw, ask_price_prec).unwrap(), + Quantity::from_raw(bid_size_raw, bid_size_prec).unwrap(), + Quantity::from_raw(ask_size_raw, ask_size_prec).unwrap(), ts_event, ts_init, ) diff --git a/nautilus_core/model/src/data/ticker_api.rs b/nautilus_core/model/src/ffi/data/ticker.rs similarity index 90% rename from nautilus_core/model/src/data/ticker_api.rs rename to nautilus_core/model/src/ffi/data/ticker.rs index d39479e8e996..e2c23d9f935d 100644 --- a/nautilus_core/model/src/data/ticker_api.rs +++ b/nautilus_core/model/src/ffi/data/ticker.rs @@ -15,10 +15,9 @@ use std::ffi::c_char; -use nautilus_core::{string::str_to_cstr, time::UnixNanos}; +use nautilus_core::{ffi::string::str_to_cstr, time::UnixNanos}; -use super::ticker::Ticker; -use crate::identifiers::instrument_id::InstrumentId; +use crate::{data::ticker::Ticker, identifiers::instrument_id::InstrumentId}; #[no_mangle] pub extern "C" fn ticker_new( diff --git a/nautilus_core/model/src/data/trade_api.rs b/nautilus_core/model/src/ffi/data/trade.rs similarity index 91% rename from nautilus_core/model/src/data/trade_api.rs rename to nautilus_core/model/src/ffi/data/trade.rs index 3af8b6fe692b..2809b8159c95 100644 --- a/nautilus_core/model/src/data/trade_api.rs +++ b/nautilus_core/model/src/ffi/data/trade.rs @@ -19,10 +19,10 @@ use std::{ hash::{Hash, Hasher}, }; -use nautilus_core::string::str_to_cstr; +use nautilus_core::ffi::string::str_to_cstr; -use super::trade::TradeTick; use crate::{ + data::trade::TradeTick, enums::AggressorSide, identifiers::{instrument_id::InstrumentId, trade_id::TradeId}, types::{price::Price, quantity::Quantity}, @@ -42,8 +42,8 @@ pub extern "C" fn trade_tick_new( ) -> TradeTick { TradeTick::new( instrument_id, - Price::from_raw(price_raw, price_prec), - Quantity::from_raw(size_raw, size_prec), + Price::from_raw(price_raw, price_prec).unwrap(), + Quantity::from_raw(size_raw, size_prec).unwrap(), aggressor_side, trade_id, ts_event, diff --git a/nautilus_core/model/src/ffi/events/mod.rs b/nautilus_core/model/src/ffi/events/mod.rs new file mode 100644 index 000000000000..ce9d7f22d783 --- /dev/null +++ b/nautilus_core/model/src/ffi/events/mod.rs @@ -0,0 +1,16 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod order; diff --git a/nautilus_core/model/src/events/order_api.rs b/nautilus_core/model/src/ffi/events/order.rs similarity index 97% rename from nautilus_core/model/src/events/order_api.rs rename to nautilus_core/model/src/ffi/events/order.rs index 67f07153c451..2633c16cc948 100644 --- a/nautilus_core/model/src/events/order_api.rs +++ b/nautilus_core/model/src/ffi/events/order.rs @@ -15,12 +15,12 @@ use std::ffi::c_char; -use nautilus_core::{string::cstr_to_ustr, time::UnixNanos, uuid::UUID4}; +use nautilus_core::{ffi::string::cstr_to_ustr, time::UnixNanos, uuid::UUID4}; -use super::order::{ - OrderAccepted, OrderDenied, OrderEmulated, OrderRejected, OrderReleased, OrderSubmitted, -}; use crate::{ + events::order::{ + OrderAccepted, OrderDenied, OrderEmulated, OrderRejected, OrderReleased, OrderSubmitted, + }, identifiers::{ account_id::AccountId, client_order_id::ClientOrderId, instrument_id::InstrumentId, strategy_id::StrategyId, trader_id::TraderId, venue_order_id::VenueOrderId, diff --git a/nautilus_core/model/src/ffi/identifiers/account_id.rs b/nautilus_core/model/src/ffi/identifiers/account_id.rs new file mode 100644 index 000000000000..5faa000875d8 --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/account_id.rs @@ -0,0 +1,94 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::account_id::AccountId; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn account_id_new(ptr: *const c_char) -> AccountId { + AccountId::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn account_id_hash(id: &AccountId) -> u64 { + id.value.precomputed_hash() +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use std::ffi::{CStr, CString}; + + use rstest::rstest; + + use super::*; + + #[rstest] + fn test_account_id_round_trip() { + let s = "IB-U123456789"; + let c_string = CString::new(s).unwrap(); + let ptr = c_string.as_ptr(); + let account_id = unsafe { account_id_new(ptr) }; + let char_ptr = account_id.value.as_char_ptr(); + let account_id_2 = unsafe { account_id_new(char_ptr) }; + assert_eq!(account_id, account_id_2); + } + + #[rstest] + fn test_account_id_to_cstr_and_back() { + let s = "IB-U123456789"; + let c_string = CString::new(s).unwrap(); + let ptr = c_string.as_ptr(); + let account_id = unsafe { account_id_new(ptr) }; + let cstr_ptr = account_id.value.as_char_ptr(); + let c_str = unsafe { CStr::from_ptr(cstr_ptr) }; + assert_eq!(c_str.to_str().unwrap(), s); + } + + #[rstest] + fn test_account_id_hash_c() { + let s1 = "IB-U123456789"; + let c_string1 = CString::new(s1).unwrap(); + let ptr1 = c_string1.as_ptr(); + let account_id1 = unsafe { account_id_new(ptr1) }; + + let s2 = "IB-U123456789"; + let c_string2 = CString::new(s2).unwrap(); + let ptr2 = c_string2.as_ptr(); + let account_id2 = unsafe { account_id_new(ptr2) }; + + let hash1 = account_id_hash(&account_id1); + let hash2 = account_id_hash(&account_id2); + + let s3 = "IB-U987456789"; + let c_string3 = CString::new(s3).unwrap(); + let ptr3 = c_string3.as_ptr(); + let account_id3 = unsafe { account_id_new(ptr3) }; + + let hash3 = account_id_hash(&account_id3); + assert_eq!(hash1, hash2); + assert_ne!(hash1, hash3); + } +} diff --git a/nautilus_core/model/src/ffi/identifiers/client_id.rs b/nautilus_core/model/src/ffi/identifiers/client_id.rs new file mode 100644 index 000000000000..952caabf8876 --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/client_id.rs @@ -0,0 +1,65 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::client_id::ClientId; + +/// Returns a Nautilus identifier from C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn client_id_new(ptr: *const c_char) -> ClientId { + ClientId::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn client_id_hash(id: &ClientId) -> u64 { + id.value.precomputed_hash() +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use std::ffi::CStr; + + use rstest::rstest; + + use super::*; + use crate::identifiers::client_id::stubs::{client_id_binance, client_id_dydx}; + + #[rstest] + fn test_client_id_to_cstr_c() { + let id = ClientId::from("BINANCE"); + let c_string = id.value.as_char_ptr(); + let rust_string = unsafe { CStr::from_ptr(c_string) }.to_str().unwrap(); + assert_eq!(rust_string, "BINANCE"); + } + + #[rstest] + fn test_client_id_hash_c() { + let id1 = client_id_binance(); + let id2 = client_id_binance(); + let id3 = client_id_dydx(); + assert_eq!(client_id_hash(&id1), client_id_hash(&id2)); + assert_ne!(client_id_hash(&id1), client_id_hash(&id3)); + } +} diff --git a/nautilus_core/model/src/ffi/identifiers/client_order_id.rs b/nautilus_core/model/src/ffi/identifiers/client_order_id.rs new file mode 100644 index 000000000000..9be5371890e5 --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/client_order_id.rs @@ -0,0 +1,35 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::client_order_id::ClientOrderId; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn client_order_id_new(ptr: *const c_char) -> ClientOrderId { + ClientOrderId::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn client_order_id_hash(id: &ClientOrderId) -> u64 { + id.value.precomputed_hash() +} diff --git a/nautilus_core/model/src/ffi/identifiers/component_id.rs b/nautilus_core/model/src/ffi/identifiers/component_id.rs new file mode 100644 index 000000000000..df65d316c25a --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/component_id.rs @@ -0,0 +1,35 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::component_id::ComponentId; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn component_id_new(ptr: *const c_char) -> ComponentId { + ComponentId::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn component_id_hash(id: &ComponentId) -> u64 { + id.value.precomputed_hash() +} diff --git a/nautilus_core/model/src/ffi/identifiers/exec_algorithm_id.rs b/nautilus_core/model/src/ffi/identifiers/exec_algorithm_id.rs new file mode 100644 index 000000000000..f9af6b499e46 --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/exec_algorithm_id.rs @@ -0,0 +1,35 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::exec_algorithm_id::ExecAlgorithmId; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn exec_algorithm_id_new(ptr: *const c_char) -> ExecAlgorithmId { + ExecAlgorithmId::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn exec_algorithm_id_hash(id: &ExecAlgorithmId) -> u64 { + id.value.precomputed_hash() +} diff --git a/nautilus_core/model/src/ffi/identifiers/instrument_id.rs b/nautilus_core/model/src/ffi/identifiers/instrument_id.rs new file mode 100644 index 000000000000..4b0042c964b0 --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/instrument_id.rs @@ -0,0 +1,139 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::hash_map::DefaultHasher, + ffi::c_char, + hash::{Hash, Hasher}, + str::FromStr, +}; + +use nautilus_core::ffi::string::{cstr_to_str, str_to_cstr}; + +use crate::identifiers::{instrument_id::InstrumentId, symbol::Symbol, venue::Venue}; + +#[no_mangle] +pub extern "C" fn instrument_id_new(symbol: Symbol, venue: Venue) -> InstrumentId { + InstrumentId::new(symbol, venue) +} + +/// Returns any [`InstrumentId`] parsing error from the provided C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn instrument_id_check_parsing(ptr: *const c_char) -> *const c_char { + match InstrumentId::from_str(cstr_to_str(ptr)) { + Ok(_) => str_to_cstr(""), + Err(e) => str_to_cstr(&e.to_string()), + } +} + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn instrument_id_from_cstr(ptr: *const c_char) -> InstrumentId { + InstrumentId::from(cstr_to_str(ptr)) +} + +/// Returns an [`InstrumentId`] as a C string pointer. +#[no_mangle] +pub extern "C" fn instrument_id_to_cstr(instrument_id: &InstrumentId) -> *const c_char { + str_to_cstr(&instrument_id.to_string()) +} + +#[no_mangle] +pub extern "C" fn instrument_id_hash(instrument_id: &InstrumentId) -> u64 { + let mut h = DefaultHasher::new(); + instrument_id.hash(&mut h); + h.finish() +} + +#[no_mangle] +pub extern "C" fn instrument_id_is_synthetic(instrument_id: &InstrumentId) -> u8 { + u8::from(instrument_id.is_synthetic()) +} + +#[cfg(test)] +pub mod stubs { + use std::str::FromStr; + + use rstest::fixture; + + use crate::identifiers::{ + instrument_id::InstrumentId, + symbol::{stubs::*, Symbol}, + venue::{stubs::*, Venue}, + }; + + #[fixture] + pub fn btc_usdt_perp_binance() -> InstrumentId { + InstrumentId::from_str("BTCUSDT-PERP.BINANCE").unwrap() + } + + #[fixture] + pub fn audusd_sim(aud_usd: Symbol, sim: Venue) -> InstrumentId { + InstrumentId { + symbol: aud_usd, + venue: sim, + } + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use std::ffi::CStr; + + use rstest::rstest; + + use super::{InstrumentId, *}; + use crate::identifiers::{symbol::Symbol, venue::Venue}; + + #[rstest] + fn test_to_cstr() { + unsafe { + let id = InstrumentId::from("ETH/USDT.BINANCE"); + let result = instrument_id_to_cstr(&id); + assert_eq!(CStr::from_ptr(result).to_str().unwrap(), "ETH/USDT.BINANCE"); + } + } + + #[rstest] + fn test_to_cstr_and_back() { + unsafe { + let id = InstrumentId::from("ETH/USDT.BINANCE"); + let result = instrument_id_to_cstr(&id); + let id2 = instrument_id_from_cstr(result); + assert_eq!(id, id2); + } + } + + #[rstest] + fn test_from_symbol_and_back() { + unsafe { + let id = InstrumentId::new(Symbol::from("ETH/USDT"), Venue::from("BINANCE")); + let result = instrument_id_to_cstr(&id); + let id2 = instrument_id_from_cstr(result); + assert_eq!(id, id2); + } + } +} diff --git a/nautilus_core/model/src/ffi/identifiers/mod.rs b/nautilus_core/model/src/ffi/identifiers/mod.rs new file mode 100644 index 000000000000..6c3963d56203 --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/mod.rs @@ -0,0 +1,29 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod account_id; +pub mod client_id; +pub mod client_order_id; +pub mod component_id; +pub mod exec_algorithm_id; +pub mod instrument_id; +pub mod order_list_id; +pub mod position_id; +pub mod strategy_id; +pub mod symbol; +pub mod trade_id; +pub mod trader_id; +pub mod venue; +pub mod venue_order_id; diff --git a/nautilus_core/model/src/ffi/identifiers/order_list_id.rs b/nautilus_core/model/src/ffi/identifiers/order_list_id.rs new file mode 100644 index 000000000000..b2dca18973ac --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/order_list_id.rs @@ -0,0 +1,35 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::order_list_id::OrderListId; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn order_list_id_new(ptr: *const c_char) -> OrderListId { + OrderListId::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn order_list_id_hash(id: &OrderListId) -> u64 { + id.value.precomputed_hash() +} diff --git a/nautilus_core/model/src/ffi/identifiers/position_id.rs b/nautilus_core/model/src/ffi/identifiers/position_id.rs new file mode 100644 index 000000000000..6d99ef357bae --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/position_id.rs @@ -0,0 +1,35 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::position_id::PositionId; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn position_id_new(ptr: *const c_char) -> PositionId { + PositionId::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn position_id_hash(id: &PositionId) -> u64 { + id.value.precomputed_hash() +} diff --git a/nautilus_core/model/src/ffi/identifiers/strategy_id.rs b/nautilus_core/model/src/ffi/identifiers/strategy_id.rs new file mode 100644 index 000000000000..458b2d7fcaca --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/strategy_id.rs @@ -0,0 +1,35 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::strategy_id::StrategyId; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn strategy_id_new(ptr: *const c_char) -> StrategyId { + StrategyId::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn strategy_id_hash(id: &StrategyId) -> u64 { + id.value.precomputed_hash() +} diff --git a/nautilus_core/model/src/ffi/identifiers/symbol.rs b/nautilus_core/model/src/ffi/identifiers/symbol.rs new file mode 100644 index 000000000000..142f450119c8 --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/symbol.rs @@ -0,0 +1,35 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::symbol::Symbol; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn symbol_new(ptr: *const c_char) -> Symbol { + Symbol::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn symbol_hash(id: &Symbol) -> u64 { + id.value.precomputed_hash() +} diff --git a/nautilus_core/model/src/ffi/identifiers/trade_id.rs b/nautilus_core/model/src/ffi/identifiers/trade_id.rs new file mode 100644 index 000000000000..c6c9574da84e --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/trade_id.rs @@ -0,0 +1,35 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::trade_id::TradeId; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn trade_id_new(ptr: *const c_char) -> TradeId { + TradeId::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn trade_id_hash(id: &TradeId) -> u64 { + id.value.precomputed_hash() +} diff --git a/nautilus_core/model/src/ffi/identifiers/trader_id.rs b/nautilus_core/model/src/ffi/identifiers/trader_id.rs new file mode 100644 index 000000000000..581cee52ec66 --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/trader_id.rs @@ -0,0 +1,35 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::trader_id::TraderId; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn trader_id_new(ptr: *const c_char) -> TraderId { + TraderId::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn trader_id_hash(id: &TraderId) -> u64 { + id.value.precomputed_hash() +} diff --git a/nautilus_core/core/src/python.rs b/nautilus_core/model/src/ffi/identifiers/venue.rs similarity index 59% rename from nautilus_core/core/src/python.rs rename to nautilus_core/model/src/ffi/identifiers/venue.rs index 0c31fa4e1a09..1cedb0155dc6 100644 --- a/nautilus_core/core/src/python.rs +++ b/nautilus_core/model/src/ffi/identifiers/venue.rs @@ -13,24 +13,28 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -use std::fmt; +use std::ffi::c_char; -use pyo3::{ - exceptions::{PyTypeError, PyValueError}, - prelude::*, -}; +use nautilus_core::ffi::string::cstr_to_str; -/// Gets the type name for the given Python `obj`. -pub fn get_pytype_name<'p>(obj: &'p PyObject, py: Python<'p>) -> PyResult<&'p str> { - obj.as_ref(py).get_type().name() +use crate::identifiers::venue::Venue; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn venue_new(ptr: *const c_char) -> Venue { + Venue::from(cstr_to_str(ptr)) } -/// Converts any type that implements `Debug` to a Python `ValueError`. -pub fn to_pyvalue_err(e: impl fmt::Debug) -> PyErr { - PyValueError::new_err(format!("{e:?}")) +#[no_mangle] +pub extern "C" fn venue_hash(id: &Venue) -> u64 { + id.value.precomputed_hash() } -/// Converts any type that implements `Debug` to a Python `TypeError`. -pub fn to_pytype_err(e: impl fmt::Debug) -> PyErr { - PyTypeError::new_err(format!("{e:?}")) +#[no_mangle] +pub extern "C" fn venue_is_synthetic(venue: &Venue) -> u8 { + u8::from(venue.is_synthetic()) } diff --git a/nautilus_core/model/src/ffi/identifiers/venue_order_id.rs b/nautilus_core/model/src/ffi/identifiers/venue_order_id.rs new file mode 100644 index 000000000000..14083582da30 --- /dev/null +++ b/nautilus_core/model/src/ffi/identifiers/venue_order_id.rs @@ -0,0 +1,35 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ffi::c_char; + +use nautilus_core::ffi::string::cstr_to_str; + +use crate::identifiers::venue_order_id::VenueOrderId; + +/// Returns a Nautilus identifier from a C string pointer. +/// +/// # Safety +/// +/// - Assumes `ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn venue_order_id_new(ptr: *const c_char) -> VenueOrderId { + VenueOrderId::from(cstr_to_str(ptr)) +} + +#[no_mangle] +pub extern "C" fn venue_order_id_hash(id: &VenueOrderId) -> u64 { + id.value.precomputed_hash() +} diff --git a/nautilus_core/model/src/ffi/mod.rs b/nautilus_core/model/src/ffi/mod.rs new file mode 100644 index 000000000000..7a1517dd2664 --- /dev/null +++ b/nautilus_core/model/src/ffi/mod.rs @@ -0,0 +1,20 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod data; +pub mod events; +pub mod identifiers; +pub mod orderbook; +pub mod types; diff --git a/nautilus_core/model/src/orderbook/book_api.rs b/nautilus_core/model/src/ffi/orderbook/book.rs similarity index 95% rename from nautilus_core/model/src/orderbook/book_api.rs rename to nautilus_core/model/src/ffi/orderbook/book.rs index a5681c9d2962..44ff6a47b156 100644 --- a/nautilus_core/model/src/orderbook/book_api.rs +++ b/nautilus_core/model/src/ffi/orderbook/book.rs @@ -18,13 +18,14 @@ use std::{ ops::{Deref, DerefMut}, }; -use nautilus_core::{cvec::CVec, string::str_to_cstr}; +use nautilus_core::ffi::{cvec::CVec, string::str_to_cstr}; -use super::{book::OrderBook, level_api::Level_API}; +use super::level::Level_API; use crate::{ data::{delta::OrderBookDelta, order::BookOrder, quote::QuoteTick, trade::TradeTick}, enums::{BookType, OrderSide}, identifiers::instrument_id::InstrumentId, + orderbook::book::OrderBook, types::{price::Price, quantity::Quantity}, }; @@ -217,6 +218,15 @@ pub extern "C" fn orderbook_get_avg_px_for_quantity( book.get_avg_px_for_quantity(qty, order_side) } +#[no_mangle] +pub extern "C" fn orderbook_get_quantity_for_price( + book: &mut OrderBook_API, + price: Price, + order_side: OrderSide, +) -> f64 { + book.get_quantity_for_price(price, order_side) +} + #[no_mangle] pub extern "C" fn orderbook_update_quote_tick(book: &mut OrderBook_API, tick: &QuoteTick) { book.update_quote_tick(tick); diff --git a/nautilus_core/model/src/orderbook/level_api.rs b/nautilus_core/model/src/ffi/orderbook/level.rs similarity index 87% rename from nautilus_core/model/src/orderbook/level_api.rs rename to nautilus_core/model/src/ffi/orderbook/level.rs index cbf9fdb00d01..4eecb0214aef 100644 --- a/nautilus_core/model/src/orderbook/level_api.rs +++ b/nautilus_core/model/src/ffi/orderbook/level.rs @@ -15,10 +15,14 @@ use std::ops::{Deref, DerefMut}; -use nautilus_core::cvec::CVec; +use nautilus_core::ffi::cvec::CVec; -use super::{ladder::BookPrice, level::Level}; -use crate::{data::order::BookOrder, enums::OrderSide, types::price::Price}; +use crate::{ + data::order::BookOrder, + enums::OrderSide, + orderbook::{ladder::BookPrice, level::Level}, + types::price::Price, +}; /// Provides a C compatible Foreign Function Interface (FFI) for an underlying order book[`Level`]. /// @@ -61,7 +65,9 @@ pub extern "C" fn level_new(order_side: OrderSide, price: Price, orders: CVec) - value: price, side: order_side, }; - Level_API::new(Level { price, orders }) + let mut level = Level::new(price); + level.add_bulk(orders); + Level_API::new(level) } #[no_mangle] @@ -81,12 +87,13 @@ pub extern "C" fn level_price(level: &Level_API) -> Price { #[no_mangle] pub extern "C" fn level_orders(level: &Level_API) -> CVec { - level.orders.to_vec().into() + let orders_vec: Vec = level.orders.values().cloned().collect(); + orders_vec.into() } #[no_mangle] -pub extern "C" fn level_volume(level: &Level_API) -> f64 { - level.volume() +pub extern "C" fn level_size(level: &Level_API) -> f64 { + level.size() } #[no_mangle] diff --git a/nautilus_core/model/src/ffi/orderbook/mod.rs b/nautilus_core/model/src/ffi/orderbook/mod.rs new file mode 100644 index 000000000000..56ca69d417e8 --- /dev/null +++ b/nautilus_core/model/src/ffi/orderbook/mod.rs @@ -0,0 +1,17 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod book; +pub mod level; diff --git a/nautilus_core/model/src/ffi/types/currency.rs b/nautilus_core/model/src/ffi/types/currency.rs new file mode 100644 index 000000000000..59b123dcfd80 --- /dev/null +++ b/nautilus_core/model/src/ffi/types/currency.rs @@ -0,0 +1,188 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + ffi::{c_char, CStr}, + str::FromStr, +}; + +use nautilus_core::ffi::string::{cstr_to_string, str_to_cstr}; + +use crate::{currencies::CURRENCY_MAP, enums::CurrencyType, types::currency::Currency}; + +/// Returns a [`Currency`] from pointers and primitives. +/// +/// # Safety +/// +/// - Assumes `code_ptr` is a valid C string pointer. +/// - Assumes `name_ptr` is a valid C string pointer. +#[no_mangle] +pub unsafe extern "C" fn currency_from_py( + code_ptr: *const c_char, + precision: u8, + iso4217: u16, + name_ptr: *const c_char, + currency_type: CurrencyType, +) -> Currency { + assert!(!code_ptr.is_null(), "`code_ptr` was NULL"); + assert!(!name_ptr.is_null(), "`name_ptr` was NULL"); + + Currency::new( + CStr::from_ptr(code_ptr) + .to_str() + .expect("CStr::from_ptr failed for `code_ptr`"), + precision, + iso4217, + CStr::from_ptr(name_ptr) + .to_str() + .expect("CStr::from_ptr failed for `name_ptr`"), + currency_type, + ) + .unwrap() +} + +#[no_mangle] +pub extern "C" fn currency_to_cstr(currency: &Currency) -> *const c_char { + str_to_cstr(format!("{currency:?}").as_str()) +} + +#[no_mangle] +pub extern "C" fn currency_code_to_cstr(currency: &Currency) -> *const c_char { + str_to_cstr(¤cy.code) +} + +#[no_mangle] +pub extern "C" fn currency_name_to_cstr(currency: &Currency) -> *const c_char { + str_to_cstr(¤cy.name) +} + +#[no_mangle] +pub extern "C" fn currency_hash(currency: &Currency) -> u64 { + currency.code.precomputed_hash() +} + +#[no_mangle] +pub extern "C" fn currency_register(currency: Currency) { + CURRENCY_MAP + .lock() + .unwrap() + .insert(currency.code.to_string(), currency); +} + +/// # Safety +/// +/// - Assumes `code_ptr` is borrowed from a valid Python UTF-8 `str`. +#[no_mangle] +pub unsafe extern "C" fn currency_exists(code_ptr: *const c_char) -> u8 { + let code = cstr_to_string(code_ptr); + u8::from(CURRENCY_MAP.lock().unwrap().contains_key(&code)) +} + +/// # Safety +/// +/// - Assumes `code_ptr` is borrowed from a valid Python UTF-8 `str`. +#[no_mangle] +pub unsafe extern "C" fn currency_from_cstr(code_ptr: *const c_char) -> Currency { + let code = cstr_to_string(code_ptr); + Currency::from_str(&code).unwrap() +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use std::ffi::{CStr, CString}; + + use rstest::rstest; + + use super::*; + use crate::{enums::CurrencyType, types::currency::Currency}; + + #[rstest] + fn test_registration() { + let currency = Currency::new("MYC", 4, 0, "My Currency", CurrencyType::Crypto).unwrap(); + currency_register(currency); + unsafe { + assert_eq!(currency_exists(str_to_cstr("MYC")), 1); + } + } + + #[rstest] + fn test_currency_from_py() { + let code = CString::new("MYC").unwrap(); + let name = CString::new("My Currency").unwrap(); + let currency = unsafe { + super::currency_from_py(code.as_ptr(), 4, 0, name.as_ptr(), CurrencyType::Crypto) + }; + assert_eq!(currency.code.as_str(), "MYC"); + assert_eq!(currency.name.as_str(), "My Currency"); + assert_eq!(currency.currency_type, CurrencyType::Crypto); + } + + #[rstest] + fn test_currency_to_cstr() { + let currency = Currency::USD(); + let cstr = unsafe { CStr::from_ptr(currency_to_cstr(¤cy)) }; + let expected_output = format!("{:?}", currency); + assert_eq!(cstr.to_str().unwrap(), expected_output); + } + + #[rstest] + fn test_currency_code_to_cstr() { + let currency = Currency::USD(); + let cstr = unsafe { CStr::from_ptr(currency_code_to_cstr(¤cy)) }; + assert_eq!(cstr.to_str().unwrap(), "USD"); + } + + #[rstest] + fn test_currency_name_to_cstr() { + let currency = Currency::USD(); + let cstr = unsafe { CStr::from_ptr(currency_name_to_cstr(¤cy)) }; + assert_eq!(cstr.to_str().unwrap(), "United States dollar"); + } + + #[rstest] + fn test_currency_hash() { + let currency = Currency::USD(); + let hash = super::currency_hash(¤cy); + assert_eq!(hash, currency.code.precomputed_hash()); + } + + #[rstest] + fn test_currency_from_cstr() { + let code = CString::new("USD").unwrap(); + let currency = unsafe { currency_from_cstr(code.as_ptr()) }; + assert_eq!(currency, Currency::USD()); + } + + #[rstest] + #[should_panic(expected = "`code_ptr` was NULL")] + fn test_currency_from_py_null_code_ptr() { + let name = CString::new("My Currency").unwrap(); + let _ = unsafe { + currency_from_py(std::ptr::null(), 4, 0, name.as_ptr(), CurrencyType::Crypto) + }; + } + + #[rstest] + #[should_panic(expected = "`name_ptr` was NULL")] + fn test_currency_from_py_null_name_ptr() { + let code = CString::new("MYC").unwrap(); + let _ = unsafe { + currency_from_py(code.as_ptr(), 4, 0, std::ptr::null(), CurrencyType::Crypto) + }; + } +} diff --git a/nautilus_core/model/src/ffi/types/mod.rs b/nautilus_core/model/src/ffi/types/mod.rs new file mode 100644 index 000000000000..3390a2bbb91b --- /dev/null +++ b/nautilus_core/model/src/ffi/types/mod.rs @@ -0,0 +1,19 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod currency; +pub mod money; +pub mod price; +pub mod quantity; diff --git a/nautilus_core/model/src/ffi/types/money.rs b/nautilus_core/model/src/ffi/types/money.rs new file mode 100644 index 000000000000..d7b57e289990 --- /dev/null +++ b/nautilus_core/model/src/ffi/types/money.rs @@ -0,0 +1,45 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ops::{AddAssign, SubAssign}; + +use crate::types::{currency::Currency, money::Money}; + +// TODO: Document panic +#[no_mangle] +pub extern "C" fn money_new(amount: f64, currency: Currency) -> Money { + // SAFETY: Assumes `amount` is properly validated + Money::new(amount, currency).unwrap() +} + +#[no_mangle] +pub extern "C" fn money_from_raw(raw: i64, currency: Currency) -> Money { + Money::from_raw(raw, currency) +} + +#[no_mangle] +pub extern "C" fn money_as_f64(money: &Money) -> f64 { + money.as_f64() +} + +#[no_mangle] +pub extern "C" fn money_add_assign(mut a: Money, b: Money) { + a.add_assign(b); +} + +#[no_mangle] +pub extern "C" fn money_sub_assign(mut a: Money, b: Money) { + a.sub_assign(b); +} diff --git a/nautilus_core/model/src/ffi/types/price.rs b/nautilus_core/model/src/ffi/types/price.rs new file mode 100644 index 000000000000..8e81ac29e8dd --- /dev/null +++ b/nautilus_core/model/src/ffi/types/price.rs @@ -0,0 +1,45 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ops::{AddAssign, SubAssign}; + +use crate::types::price::Price; + +// TODO: Document panic +#[no_mangle] +pub extern "C" fn price_new(value: f64, precision: u8) -> Price { + // SAFETY: Assumes `value` and `precision` are properly validated + Price::new(value, precision).unwrap() +} + +#[no_mangle] +pub extern "C" fn price_from_raw(raw: i64, precision: u8) -> Price { + Price::from_raw(raw, precision).unwrap() +} + +#[no_mangle] +pub extern "C" fn price_as_f64(price: &Price) -> f64 { + price.as_f64() +} + +#[no_mangle] +pub extern "C" fn price_add_assign(mut a: Price, b: Price) { + a.add_assign(b); +} + +#[no_mangle] +pub extern "C" fn price_sub_assign(mut a: Price, b: Price) { + a.sub_assign(b); +} diff --git a/nautilus_core/model/src/ffi/types/quantity.rs b/nautilus_core/model/src/ffi/types/quantity.rs new file mode 100644 index 000000000000..e8ae33ba6abd --- /dev/null +++ b/nautilus_core/model/src/ffi/types/quantity.rs @@ -0,0 +1,55 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::ops::{AddAssign, SubAssign}; + +use crate::types::quantity::Quantity; + +// TODO: Document panic +#[no_mangle] +pub extern "C" fn quantity_new(value: f64, precision: u8) -> Quantity { + // SAFETY: Assumes `value` and `precision` are properly validated + Quantity::new(value, precision).unwrap() +} + +#[no_mangle] +pub extern "C" fn quantity_from_raw(raw: u64, precision: u8) -> Quantity { + Quantity::from_raw(raw, precision).unwrap() +} + +#[no_mangle] +pub extern "C" fn quantity_as_f64(qty: &Quantity) -> f64 { + qty.as_f64() +} + +#[no_mangle] +pub extern "C" fn quantity_add_assign(mut a: Quantity, b: Quantity) { + a.add_assign(b); +} + +#[no_mangle] +pub extern "C" fn quantity_add_assign_u64(mut a: Quantity, b: u64) { + a.add_assign(b); +} + +#[no_mangle] +pub extern "C" fn quantity_sub_assign(mut a: Quantity, b: Quantity) { + a.sub_assign(b); +} + +#[no_mangle] +pub extern "C" fn quantity_sub_assign_u64(mut a: Quantity, b: u64) { + a.sub_assign(b); +} diff --git a/nautilus_core/model/src/identifiers/account_id.rs b/nautilus_core/model/src/identifiers/account_id.rs index 20eb90c58375..d76ad3f41342 100644 --- a/nautilus_core/model/src/identifiers/account_id.rs +++ b/nautilus_core/model/src/identifiers/account_id.rs @@ -14,20 +14,29 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, fmt::{Debug, Display, Formatter}, hash::Hash, }; use anyhow::Result; use nautilus_core::correctness::{check_string_contains, check_valid_string}; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a valid account ID. +/// +/// Must be correctly formatted with two valid strings either side of a hyphen '-'. +/// It is expected an account ID is the name of the issuer with an account number +/// separated by a hyphen. +/// +/// Example: "IB-D02851908". #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct AccountId { + /// The account ID value. pub value: Ustr, } @@ -68,27 +77,6 @@ impl From<&str> for AccountId { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn account_id_new(ptr: *const c_char) -> AccountId { - assert!(!ptr.is_null(), "`ptr` was NULL"); - AccountId::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn account_id_hash(id: &AccountId) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// @@ -114,8 +102,6 @@ pub mod stubs { //////////////////////////////////////////////////////////////////////////////// #[cfg(test)] mod tests { - use std::ffi::CString; - use rstest::rstest; use super::{stubs::*, *}; @@ -146,51 +132,4 @@ mod tests { fn test_string_reprs(account_ib: AccountId) { assert_eq!(account_ib.to_string(), "IB-1234567890"); } - - #[rstest] - fn test_account_id_round_trip() { - let s = "IB-U123456789"; - let c_string = CString::new(s).unwrap(); - let ptr = c_string.as_ptr(); - let account_id = unsafe { account_id_new(ptr) }; - let char_ptr = account_id.value.as_char_ptr(); - let account_id_2 = unsafe { account_id_new(char_ptr) }; - assert_eq!(account_id, account_id_2); - } - - #[rstest] - fn test_account_id_to_cstr_and_back() { - let s = "IB-U123456789"; - let c_string = CString::new(s).unwrap(); - let ptr = c_string.as_ptr(); - let account_id = unsafe { account_id_new(ptr) }; - let cstr_ptr = account_id.value.as_char_ptr(); - let c_str = unsafe { CStr::from_ptr(cstr_ptr) }; - assert_eq!(c_str.to_str().unwrap(), s); - } - - #[rstest] - fn test_account_id_hash_c() { - let s1 = "IB-U123456789"; - let c_string1 = CString::new(s1).unwrap(); - let ptr1 = c_string1.as_ptr(); - let account_id1 = unsafe { account_id_new(ptr1) }; - - let s2 = "IB-U123456789"; - let c_string2 = CString::new(s2).unwrap(); - let ptr2 = c_string2.as_ptr(); - let account_id2 = unsafe { account_id_new(ptr2) }; - - let hash1 = account_id_hash(&account_id1); - let hash2 = account_id_hash(&account_id2); - - let s3 = "IB-U987456789"; - let c_string3 = CString::new(s3).unwrap(); - let ptr3 = c_string3.as_ptr(); - let account_id3 = unsafe { account_id_new(ptr3) }; - - let hash3 = account_id_hash(&account_id3); - assert_eq!(hash1, hash2); - assert_ne!(hash1, hash3); - } } diff --git a/nautilus_core/model/src/identifiers/client_id.rs b/nautilus_core/model/src/identifiers/client_id.rs index a8bdd6a11a9b..3fbb12877351 100644 --- a/nautilus_core/model/src/identifiers/client_id.rs +++ b/nautilus_core/model/src/identifiers/client_id.rs @@ -14,20 +14,23 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, fmt::{Debug, Display, Formatter}, hash::Hash, }; use anyhow::Result; use nautilus_core::correctness::check_valid_string; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a system client ID. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct ClientId { + /// The client ID value. pub value: Ustr, } @@ -59,27 +62,6 @@ impl From<&str> for ClientId { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn client_id_new(ptr: *const c_char) -> ClientId { - assert!(!ptr.is_null(), "`ptr` was NULL"); - ClientId::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn client_id_hash(id: &ClientId) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// @@ -90,12 +72,12 @@ pub mod stubs { use crate::identifiers::client_id::ClientId; #[fixture] - pub fn client_binance() -> ClientId { + pub fn client_id_binance() -> ClientId { ClientId::from("BINANCE") } #[fixture] - pub fn client_dydx() -> ClientId { + pub fn client_id_dydx() -> ClientId { ClientId::from("COINBASE") } } @@ -110,25 +92,8 @@ mod tests { use super::{stubs::*, *}; #[rstest] - fn test_string_reprs(client_binance: ClientId) { - assert_eq!(client_binance.to_string(), "BINANCE"); - assert_eq!(format!("{client_binance}"), "BINANCE"); - } - - #[rstest] - fn test_client_id_to_cstr_c() { - let id = ClientId::from("BINANCE"); - let c_string = id.value.as_char_ptr(); - let rust_string = unsafe { CStr::from_ptr(c_string) }.to_str().unwrap(); - assert_eq!(rust_string, "BINANCE"); - } - - #[rstest] - fn test_client_id_hash_c() { - let id1 = client_binance(); - let id2 = client_binance(); - let id3 = client_dydx(); - assert_eq!(client_id_hash(&id1), client_id_hash(&id2)); - assert_ne!(client_id_hash(&id1), client_id_hash(&id3)); + fn test_string_reprs(client_id_binance: ClientId) { + assert_eq!(client_id_binance.to_string(), "BINANCE"); + assert_eq!(format!("{client_id_binance}"), "BINANCE"); } } diff --git a/nautilus_core/model/src/identifiers/client_order_id.rs b/nautilus_core/model/src/identifiers/client_order_id.rs index 862497b63a50..6c574cbc701a 100644 --- a/nautilus_core/model/src/identifiers/client_order_id.rs +++ b/nautilus_core/model/src/identifiers/client_order_id.rs @@ -14,20 +14,23 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, fmt::{Debug, Display, Formatter}, hash::Hash, }; use anyhow::Result; use nautilus_core::correctness::check_valid_string; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a valid client order ID (assigned by the Nautilus system). #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct ClientOrderId { + /// The client order ID value. pub value: Ustr, } @@ -88,27 +91,6 @@ impl From<&str> for ClientOrderId { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn client_order_id_new(ptr: *const c_char) -> ClientOrderId { - assert!(!ptr.is_null(), "`ptr` was NULL"); - ClientOrderId::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn client_order_id_hash(id: &ClientOrderId) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// @@ -167,7 +149,7 @@ mod tests { ClientOrderId::from("id2"), ClientOrderId::from("id3"), ]; - let ustr = optional_vec_client_order_ids_to_ustr(Some(client_order_ids.into())).unwrap(); + let ustr = optional_vec_client_order_ids_to_ustr(Some(client_order_ids)).unwrap(); assert_eq!(ustr.to_string(), "id1,id2,id3"); } } diff --git a/nautilus_core/model/src/identifiers/component_id.rs b/nautilus_core/model/src/identifiers/component_id.rs index f3b3872e8805..4c045c59e2ea 100644 --- a/nautilus_core/model/src/identifiers/component_id.rs +++ b/nautilus_core/model/src/identifiers/component_id.rs @@ -14,20 +14,23 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, fmt::{Debug, Display, Formatter}, hash::Hash, }; use anyhow::Result; use nautilus_core::correctness::check_valid_string; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a valid component ID. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct ComponentId { + /// The component ID value. pub value: Ustr, } @@ -59,27 +62,6 @@ impl From<&str> for ComponentId { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn component_id_new(ptr: *const c_char) -> ComponentId { - assert!(!ptr.is_null(), "`ptr` was NULL"); - ComponentId::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn component_id_hash(id: &ComponentId) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// diff --git a/nautilus_core/model/src/identifiers/exec_algorithm_id.rs b/nautilus_core/model/src/identifiers/exec_algorithm_id.rs index 37b9bc842d8d..5764f59823aa 100644 --- a/nautilus_core/model/src/identifiers/exec_algorithm_id.rs +++ b/nautilus_core/model/src/identifiers/exec_algorithm_id.rs @@ -14,20 +14,23 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, fmt::{Debug, Display, Formatter}, hash::Hash, }; use anyhow::Result; use nautilus_core::correctness::check_valid_string; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a valid execution algorithm ID. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct ExecAlgorithmId { + /// The execution algorithm ID value. pub value: Ustr, } @@ -59,27 +62,6 @@ impl From<&str> for ExecAlgorithmId { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn exec_algorithm_id_new(ptr: *const c_char) -> ExecAlgorithmId { - assert!(!ptr.is_null(), "`ptr` was NULL"); - ExecAlgorithmId::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn exec_algorithm_id_hash(id: &ExecAlgorithmId) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// diff --git a/nautilus_core/model/src/identifiers/instrument_id.rs b/nautilus_core/model/src/identifiers/instrument_id.rs index a67b47255b4e..395ae56e42f4 100644 --- a/nautilus_core/model/src/identifiers/instrument_id.rs +++ b/nautilus_core/model/src/identifiers/instrument_id.rs @@ -14,35 +14,32 @@ // ------------------------------------------------------------------------------------------------- use std::{ - collections::hash_map::DefaultHasher, - ffi::c_char, fmt::{Debug, Display, Formatter}, - hash::{Hash, Hasher}, + hash::Hash, str::FromStr, }; -use anyhow::Result; -use nautilus_core::string::{cstr_to_string, str_to_cstr}; -use pyo3::prelude::*; +use anyhow::{anyhow, bail, Result}; use serde::{Deserialize, Deserializer, Serialize}; -use thiserror; use crate::identifiers::{symbol::Symbol, venue::Venue}; +/// Represents a valid instrument ID. +/// +/// The symbol and venue combination should uniquely identify the instrument. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord, Default)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct InstrumentId { + /// The instruments ticker symbol. pub symbol: Symbol, + /// The instruments trading venue. pub venue: Venue, } -#[derive(thiserror::Error, Debug)] -#[error("Error parsing `InstrumentId` from '{input}'")] -pub struct InstrumentIdParseError { - input: String, -} - impl InstrumentId { pub fn new(symbol: Symbol, venue: Venue) -> Self { Self { symbol, venue } @@ -54,17 +51,22 @@ impl InstrumentId { } impl FromStr for InstrumentId { - type Err = InstrumentIdParseError; + type Err = anyhow::Error; - fn from_str(s: &str) -> Result { + fn from_str(s: &str) -> Result { match s.rsplit_once('.') { Some((symbol_part, venue_part)) => Ok(Self { - symbol: Symbol::new(symbol_part).unwrap(), // Implement error handling - venue: Venue::new(venue_part).unwrap(), // Implement error handling - }), - None => Err(InstrumentIdParseError { - input: s.to_string(), + symbol: Symbol::new(symbol_part) + .map_err(|e| anyhow!(err_message(s, e.to_string())))?, + venue: Venue::new(venue_part) + .map_err(|e| anyhow!(err_message(s, e.to_string())))?, }), + None => { + bail!(err_message( + s, + "Missing '.' separator between symbol and venue components".to_string() + )) + } } } } @@ -107,79 +109,8 @@ impl<'de> Deserialize<'de> for InstrumentId { } } -#[pymethods] -impl InstrumentId { - #[getter] - fn value(&self) -> String { - self.to_string() - } -} - -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn instrument_id_new(symbol: Symbol, venue: Venue) -> InstrumentId { - InstrumentId::new(symbol, venue) -} - -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn instrument_id_new_from_cstr(ptr: *const c_char) -> InstrumentId { - InstrumentId::from(cstr_to_string(ptr).as_str()) -} - -/// Returns an [`InstrumentId`] as a C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn instrument_id_to_cstr(instrument_id: &InstrumentId) -> *const c_char { - str_to_cstr(&instrument_id.to_string()) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn instrument_id_hash(instrument_id: &InstrumentId) -> u64 { - let mut h = DefaultHasher::new(); - instrument_id.hash(&mut h); - h.finish() -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn instrument_id_is_synthetic(instrument_id: &InstrumentId) -> u8 { - u8::from(instrument_id.is_synthetic()) -} - -#[cfg(test)] -pub mod stubs { - use std::str::FromStr; - - use rstest::fixture; - - use crate::identifiers::{ - instrument_id::InstrumentId, - symbol::{stubs::*, Symbol}, - venue::{stubs::*, Venue}, - }; - - #[fixture] - pub fn btc_usdt_perp_binance() -> InstrumentId { - InstrumentId::from_str("BTCUSDT-PERP.BINANCE").unwrap() - } - - #[fixture] - pub fn audusd_sim(aud_usd: Symbol, simulation: Venue) -> InstrumentId { - InstrumentId { - symbol: aud_usd, - venue: simulation, - } - } +fn err_message(s: &str, e: String) -> String { + format!("Error parsing `InstrumentId` from '{s}': {e}") } //////////////////////////////////////////////////////////////////////////////// @@ -187,18 +118,11 @@ pub mod stubs { //////////////////////////////////////////////////////////////////////////////// #[cfg(test)] mod tests { - use std::{ffi::CStr, str::FromStr}; + use std::str::FromStr; use rstest::rstest; use super::InstrumentId; - use crate::identifiers::{ - instrument_id::{ - instrument_id_new_from_cstr, instrument_id_to_cstr, InstrumentIdParseError, - }, - symbol::Symbol, - venue::Venue, - }; #[rstest] fn test_instrument_id_parse_success() { @@ -213,24 +137,9 @@ mod tests { assert!(result.is_err()); let error = result.unwrap_err(); - assert!(matches!(error, InstrumentIdParseError { .. })); - assert_eq!( - error.to_string(), - "Error parsing `InstrumentId` from 'ETHUSDT-BINANCE'" - ); - } - - #[ignore] // Cannot implement yet due Betfair instrument IDs - #[rstest] - fn test_instrument_id_parse_failure_multiple_dots() { - let result = InstrumentId::from_str("ETH.USDT.BINANCE"); - assert!(result.is_err()); - - let error = result.unwrap_err(); - assert!(matches!(error, InstrumentIdParseError { .. })); assert_eq!( error.to_string(), - "Error parsing `InstrumentId` from 'ETH.USDT.BINANCE'" + "Error parsing `InstrumentId` from 'ETHUSDT-BINANCE': Missing '.' separator between symbol and venue components" ); } @@ -240,33 +149,4 @@ mod tests { assert_eq!(id.to_string(), "ETH/USDT.BINANCE"); assert_eq!(format!("{id}"), "ETH/USDT.BINANCE"); } - - #[rstest] - fn test_to_cstr() { - unsafe { - let id = InstrumentId::from("ETH/USDT.BINANCE"); - let result = instrument_id_to_cstr(&id); - assert_eq!(CStr::from_ptr(result).to_str().unwrap(), "ETH/USDT.BINANCE"); - } - } - - #[rstest] - fn test_to_cstr_and_back() { - unsafe { - let id = InstrumentId::from("ETH/USDT.BINANCE"); - let result = instrument_id_to_cstr(&id); - let id2 = instrument_id_new_from_cstr(result); - assert_eq!(id, id2); - } - } - - #[rstest] - fn test_from_symbol_and_back() { - unsafe { - let id = InstrumentId::new(Symbol::from("ETH/USDT"), Venue::from("BINANCE")); - let result = instrument_id_to_cstr(&id); - let id2 = instrument_id_new_from_cstr(result); - assert_eq!(id, id2); - } - } } diff --git a/nautilus_core/model/src/identifiers/macros.rs b/nautilus_core/model/src/identifiers/macros.rs index 98a9cf66d31d..5c2bf6fdc076 100644 --- a/nautilus_core/model/src/identifiers/macros.rs +++ b/nautilus_core/model/src/identifiers/macros.rs @@ -13,8 +13,6 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -#[macro_export] - macro_rules! impl_serialization_for_identifier { ($ty:ty) => { impl Serialize for $ty { @@ -50,45 +48,3 @@ macro_rules! impl_from_str_for_identifier { } }; } - -#[cfg(feature = "python")] -macro_rules! identifier_for_python { - ($ty:ty) => { - #[pymethods] - impl $ty { - #[new] - fn py_new(value: &str) -> PyResult { - match <$ty>::new(value) { - Ok(instance) => Ok(instance), - Err(e) => Err(to_pyvalue_err(e)), - } - } - - fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { - match op { - CompareOp::Eq => self.eq(other).into_py(py), - CompareOp::Ne => self.ne(other).into_py(py), - _ => py.NotImplemented(), - } - } - - fn __hash__(&self) -> isize { - self.value.precomputed_hash() as isize - } - - fn __str__(&self) -> &'static str { - self.value.as_str() - } - - fn __repr__(&self) -> String { - format!("{}('{}')", stringify!($ty), self.value) - } - - #[getter] - #[pyo3(name = "value")] - fn py_value(&self) -> String { - self.value.to_string() - } - } - }; -} diff --git a/nautilus_core/model/src/identifiers/mod.rs b/nautilus_core/model/src/identifiers/mod.rs index 4d95f7422007..b82c59e08950 100644 --- a/nautilus_core/model/src/identifiers/mod.rs +++ b/nautilus_core/model/src/identifiers/mod.rs @@ -16,8 +16,15 @@ use std::str::FromStr; use nautilus_core::python::to_pyvalue_err; -use pyo3::{prelude::*, pyclass::CompareOp}; +use pyo3::{ + prelude::*, + pyclass::CompareOp, + types::{PyString, PyTuple}, +}; use serde::{Deserialize, Deserializer, Serialize, Serializer}; +use ustr::Ustr; + +use crate::identifier_for_python; #[macro_use] mod macros; diff --git a/nautilus_core/model/src/identifiers/order_list_id.rs b/nautilus_core/model/src/identifiers/order_list_id.rs index 71b41c3d0acc..44d805508bf6 100644 --- a/nautilus_core/model/src/identifiers/order_list_id.rs +++ b/nautilus_core/model/src/identifiers/order_list_id.rs @@ -14,20 +14,23 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, fmt::{Debug, Display, Formatter}, hash::Hash, }; use anyhow::Result; use nautilus_core::correctness::check_valid_string; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a valid order list ID (assigned by the Nautilus system). #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct OrderListId { + /// The order list ID value. pub value: Ustr, } @@ -59,27 +62,6 @@ impl From<&str> for OrderListId { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn order_list_id_new(ptr: *const c_char) -> OrderListId { - assert!(!ptr.is_null(), "`ptr` was NULL"); - OrderListId::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn order_list_id_hash(id: &OrderListId) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// diff --git a/nautilus_core/model/src/identifiers/position_id.rs b/nautilus_core/model/src/identifiers/position_id.rs index b21cede4aba0..1afb30db4588 100644 --- a/nautilus_core/model/src/identifiers/position_id.rs +++ b/nautilus_core/model/src/identifiers/position_id.rs @@ -14,20 +14,23 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, fmt::{Debug, Display, Formatter}, hash::Hash, }; use anyhow::Result; use nautilus_core::correctness::check_valid_string; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a valid position ID. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct PositionId { + /// The position ID value. pub value: Ustr, } @@ -66,27 +69,6 @@ impl From<&str> for PositionId { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn position_id_new(ptr: *const c_char) -> PositionId { - assert!(!ptr.is_null(), "`ptr` was NULL"); - PositionId::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn position_id_hash(id: &PositionId) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// diff --git a/nautilus_core/model/src/identifiers/strategy_id.rs b/nautilus_core/model/src/identifiers/strategy_id.rs index 22b778c659d8..c339eb0b4936 100644 --- a/nautilus_core/model/src/identifiers/strategy_id.rs +++ b/nautilus_core/model/src/identifiers/strategy_id.rs @@ -13,20 +13,30 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -use std::{ - ffi::{c_char, CStr}, - fmt::{Debug, Display, Formatter}, -}; +use std::fmt::{Debug, Display, Formatter}; use anyhow::Result; use nautilus_core::correctness::{check_string_contains, check_valid_string}; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a valid strategy ID. +/// +/// Must be correctly formatted with two valid strings either side of a hyphen. +/// It is expected a strategy ID is the class name of the strategy, +/// with an order ID tag number separated by a hyphen. +/// +/// Example: "EMACross-001". +/// +/// The reason for the numerical component of the ID is so that order and position IDs +/// do not collide with those from another strategy within the node instance. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct StrategyId { + /// The strategy ID value. pub value: Ustr, } @@ -69,28 +79,6 @@ impl From<&str> for StrategyId { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// - -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn strategy_id_new(ptr: *const c_char) -> StrategyId { - assert!(!ptr.is_null(), "`ptr` was NULL"); - StrategyId::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn strategy_id_hash(id: &StrategyId) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// diff --git a/nautilus_core/model/src/identifiers/symbol.rs b/nautilus_core/model/src/identifiers/symbol.rs index 1e9e06f7e500..5ba64e7282a3 100644 --- a/nautilus_core/model/src/identifiers/symbol.rs +++ b/nautilus_core/model/src/identifiers/symbol.rs @@ -14,20 +14,23 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, fmt::{Debug, Display, Formatter}, hash::Hash, }; use anyhow::Result; use nautilus_core::correctness::check_valid_string; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a valid ticker symbol ID for a tradable financial market instrument. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct Symbol { + /// The ticker symbol ID value. pub value: Ustr, } @@ -67,27 +70,6 @@ impl From<&str> for Symbol { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn symbol_new(ptr: *const c_char) -> Symbol { - assert!(!ptr.is_null(), "`ptr` was NULL"); - Symbol::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn symbol_hash(id: &Symbol) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// diff --git a/nautilus_core/model/src/identifiers/trade_id.rs b/nautilus_core/model/src/identifiers/trade_id.rs index 7376d84593cf..3db7c89e64dd 100644 --- a/nautilus_core/model/src/identifiers/trade_id.rs +++ b/nautilus_core/model/src/identifiers/trade_id.rs @@ -14,20 +14,28 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, fmt::{Debug, Display, Formatter}, hash::Hash, }; use anyhow::Result; use nautilus_core::correctness::check_valid_string; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a valid trade match ID (assigned by a trading venue). +/// +/// Can correspond to the `TradeID <1003> field` of the FIX protocol. +/// +/// The unique ID assigned to the trade entity once it is received or matched by +/// the exchange or central counterparty. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct TradeId { + /// The trade match ID value. pub value: Ustr, } @@ -67,27 +75,6 @@ impl From<&str> for TradeId { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn trade_id_new(ptr: *const c_char) -> TradeId { - assert!(!ptr.is_null(), "`ptr` was NULL"); - TradeId::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn trade_id_hash(id: &TradeId) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// diff --git a/nautilus_core/model/src/identifiers/trader_id.rs b/nautilus_core/model/src/identifiers/trader_id.rs index a7559e3facdd..1a201078a8d1 100644 --- a/nautilus_core/model/src/identifiers/trader_id.rs +++ b/nautilus_core/model/src/identifiers/trader_id.rs @@ -13,20 +13,30 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -use std::{ - ffi::{c_char, CStr}, - fmt::{Debug, Display, Formatter}, -}; +use std::fmt::{Debug, Display, Formatter}; use anyhow::Result; use nautilus_core::correctness::{check_string_contains, check_valid_string}; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a valid trader ID. +/// +/// Must be correctly formatted with two valid strings either side of a hyphen. +/// It is expected a trader ID is the abbreviated name of the trader +/// with an order ID tag number separated by a hyphen. +/// +/// Example: "TESTER-001". + +/// The reason for the numerical component of the ID is so that order and position IDs +/// do not collide with those from another node instance. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct TraderId { + /// The trader ID value. pub value: Ustr, } @@ -67,27 +77,6 @@ impl From<&str> for TraderId { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn trader_id_new(ptr: *const c_char) -> TraderId { - assert!(!ptr.is_null(), "`ptr` was NULL"); - TraderId::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn trader_id_hash(id: &TraderId) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// diff --git a/nautilus_core/model/src/identifiers/venue.rs b/nautilus_core/model/src/identifiers/venue.rs index 12a81ba50d65..ba1b54c79ea0 100644 --- a/nautilus_core/model/src/identifiers/venue.rs +++ b/nautilus_core/model/src/identifiers/venue.rs @@ -14,22 +14,25 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, fmt::{Debug, Display, Formatter}, hash::Hash, }; use anyhow::Result; use nautilus_core::correctness::check_valid_string; -use pyo3::prelude::*; use ustr::Ustr; pub const SYNTHETIC_VENUE: &str = "SYNTH"; +/// Represents a valid trading venue ID. #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct Venue { + /// The venue ID value. pub value: Ustr, } @@ -44,7 +47,7 @@ impl Venue { #[must_use] pub fn synthetic() -> Self { - // Safety: using synethtic venue constant + // SAFETY: using synethtic venue constant Self::new(SYNTHETIC_VENUE).unwrap() } @@ -79,33 +82,6 @@ impl From<&str> for Venue { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn venue_new(ptr: *const c_char) -> Venue { - assert!(!ptr.is_null(), "`ptr` was NULL"); - Venue::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn venue_hash(id: &Venue) -> u64 { - id.value.precomputed_hash() -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn venue_is_synthetic(venue: &Venue) -> u8 { - u8::from(venue.is_synthetic()) -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// @@ -120,7 +96,7 @@ pub mod stubs { Venue::from("BINANCE") } #[fixture] - pub fn simulation() -> Venue { + pub fn sim() -> Venue { Venue::from("SIM") } } diff --git a/nautilus_core/model/src/identifiers/venue_order_id.rs b/nautilus_core/model/src/identifiers/venue_order_id.rs index d139fd513895..18900fdf031b 100644 --- a/nautilus_core/model/src/identifiers/venue_order_id.rs +++ b/nautilus_core/model/src/identifiers/venue_order_id.rs @@ -14,20 +14,23 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, fmt::{Debug, Display, Formatter}, hash::Hash, }; use anyhow::Result; use nautilus_core::correctness::check_valid_string; -use pyo3::prelude::*; use ustr::Ustr; +/// Represents a valid venue order ID (assigned by a trading venue). #[repr(C)] #[derive(Clone, Copy, Hash, PartialEq, Eq, PartialOrd, Ord)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct VenueOrderId { + /// The venue assigned order ID value. pub value: Ustr, } @@ -67,27 +70,6 @@ impl From<&str> for VenueOrderId { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a Nautilus identifier from a C string pointer. -/// -/// # Safety -/// -/// - Assumes `ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn venue_order_id_new(ptr: *const c_char) -> VenueOrderId { - assert!(!ptr.is_null(), "`ptr` was NULL"); - VenueOrderId::from(CStr::from_ptr(ptr).to_str().expect("CStr::from_ptr failed")) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn venue_order_id_hash(id: &VenueOrderId) -> u64 { - id.value.precomputed_hash() -} - //////////////////////////////////////////////////////////////////////////////// // Stubs //////////////////////////////////////////////////////////////////////////////// diff --git a/nautilus_core/model/src/instruments/crypto_future.rs b/nautilus_core/model/src/instruments/crypto_future.rs index 79c0ee719e22..d989e11f38f9 100644 --- a/nautilus_core/model/src/instruments/crypto_future.rs +++ b/nautilus_core/model/src/instruments/crypto_future.rs @@ -17,6 +17,7 @@ use std::hash::{Hash, Hasher}; +use anyhow::Result; use nautilus_core::time::UnixNanos; use pyo3::prelude::*; use rust_decimal::Decimal; @@ -26,76 +27,87 @@ use super::Instrument; use crate::{ enums::{AssetClass, AssetType}, identifiers::{instrument_id::InstrumentId, symbol::Symbol}, - types::{currency::Currency, price::Price, quantity::Quantity}, + types::{currency::Currency, money::Money, price::Price, quantity::Quantity}, }; #[repr(C)] #[derive(Clone, Debug, Serialize, Deserialize)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct CryptoFuture { pub id: InstrumentId, pub raw_symbol: Symbol, - pub underlying: String, + pub underlying: Currency, + pub quote_currency: Currency, + pub settlement_currency: Currency, pub expiration: UnixNanos, - pub currency: Currency, pub price_precision: u8, pub size_precision: u8, pub price_increment: Price, pub size_increment: Quantity, + pub margin_init: Decimal, + pub margin_maint: Decimal, + pub maker_fee: Decimal, + pub taker_fee: Decimal, pub lot_size: Option, pub max_quantity: Option, pub min_quantity: Option, + pub max_notional: Option, + pub min_notional: Option, pub max_price: Option, pub min_price: Option, - pub margin_init: Decimal, - pub margin_maint: Decimal, - pub maker_fee: Decimal, - pub taker_fee: Decimal, } impl CryptoFuture { - #[must_use] #[allow(clippy::too_many_arguments)] pub fn new( id: InstrumentId, raw_symbol: Symbol, - underlying: String, + underlying: Currency, + quote_currency: Currency, + settlement_currency: Currency, expiration: UnixNanos, - currency: Currency, price_precision: u8, size_precision: u8, price_increment: Price, size_increment: Quantity, + margin_init: Decimal, + margin_maint: Decimal, + maker_fee: Decimal, + taker_fee: Decimal, lot_size: Option, max_quantity: Option, min_quantity: Option, + max_notional: Option, + min_notional: Option, max_price: Option, min_price: Option, - margin_init: Decimal, - margin_maint: Decimal, - maker_fee: Decimal, - taker_fee: Decimal, - ) -> Self { - Self { + ) -> Result { + Ok(Self { id, raw_symbol, underlying, + quote_currency, + settlement_currency, expiration, - currency, price_precision, size_precision, price_increment, size_increment, + margin_init, + margin_maint, + maker_fee, + taker_fee, lot_size, max_quantity, min_quantity, + max_notional, + min_notional, max_price, min_price, - margin_init, - margin_maint, - maker_fee, - taker_fee, - } + }) } } @@ -131,7 +143,7 @@ impl Instrument for CryptoFuture { } fn quote_currency(&self) -> &Currency { - &self.currency + &self.quote_currency } fn base_currency(&self) -> Option<&Currency> { @@ -139,7 +151,7 @@ impl Instrument for CryptoFuture { } fn settlement_currency(&self) -> &Currency { - &self.currency + &self.settlement_currency } fn is_inverse(&self) -> bool { @@ -203,3 +215,68 @@ impl Instrument for CryptoFuture { self.taker_fee } } + +//////////////////////////////////////////////////////////////////////////////// +// Stubs +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +pub mod stubs { + use std::str::FromStr; + + use chrono::{TimeZone, Utc}; + use nautilus_core::time::UnixNanos; + use rstest::fixture; + use rust_decimal::Decimal; + + use crate::{ + identifiers::{instrument_id::InstrumentId, symbol::Symbol}, + instruments::crypto_future::CryptoFuture, + types::{currency::Currency, money::Money, price::Price, quantity::Quantity}, + }; + + #[fixture] + pub fn crypto_future_btcusdt() -> CryptoFuture { + let expiration = Utc.with_ymd_and_hms(2014, 7, 8, 0, 0, 0).unwrap(); + CryptoFuture::new( + InstrumentId::from("ETHUSDT-123.BINANCE"), + Symbol::from("BTCUSDT"), + Currency::from("BTC"), + Currency::from("USDT"), + Currency::from("USDT"), + expiration.timestamp_nanos_opt().unwrap() as UnixNanos, + 2, + 6, + Price::from("0.01"), + Quantity::from("0.000001"), + Decimal::from_str("0.0").unwrap(), + Decimal::from_str("0.0").unwrap(), + Decimal::from_str("0.001").unwrap(), + Decimal::from_str("0.001").unwrap(), + None, + Some(Quantity::from("9000.0")), + Some(Quantity::from("0.000001")), + None, + Some(Money::new(10.00, Currency::from("USDT")).unwrap()), + Some(Price::from("1000000.00")), + Some(Price::from("0.01")), + ) + .unwrap() + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use rstest::rstest; + + use super::stubs::*; + use crate::instruments::crypto_future::CryptoFuture; + + #[rstest] + fn test_equality(crypto_future_btcusdt: CryptoFuture) { + let cloned = crypto_future_btcusdt.clone(); + assert_eq!(crypto_future_btcusdt, cloned); + } +} diff --git a/nautilus_core/model/src/instruments/crypto_perpetual.rs b/nautilus_core/model/src/instruments/crypto_perpetual.rs index d926e3437942..ad258f565ba1 100644 --- a/nautilus_core/model/src/instruments/crypto_perpetual.rs +++ b/nautilus_core/model/src/instruments/crypto_perpetual.rs @@ -17,43 +17,48 @@ use std::hash::{Hash, Hasher}; +use anyhow::Result; use pyo3::prelude::*; use rust_decimal::Decimal; use serde::{Deserialize, Serialize}; -use super::Instrument; use crate::{ enums::{AssetClass, AssetType}, identifiers::{instrument_id::InstrumentId, symbol::Symbol}, - types::{currency::Currency, price::Price, quantity::Quantity}, + instruments::Instrument, + types::{currency::Currency, money::Money, price::Price, quantity::Quantity}, }; #[repr(C)] #[derive(Clone, Debug, Serialize, Deserialize)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct CryptoPerpetual { pub id: InstrumentId, pub raw_symbol: Symbol, - pub quote_currency: Currency, pub base_currency: Currency, + pub quote_currency: Currency, pub settlement_currency: Currency, pub price_precision: u8, pub size_precision: u8, pub price_increment: Price, pub size_increment: Quantity, + pub margin_init: Decimal, + pub margin_maint: Decimal, + pub maker_fee: Decimal, + pub taker_fee: Decimal, pub lot_size: Option, pub max_quantity: Option, pub min_quantity: Option, + pub max_notional: Option, + pub min_notional: Option, pub max_price: Option, pub min_price: Option, - pub margin_init: Decimal, - pub margin_maint: Decimal, - pub maker_fee: Decimal, - pub taker_fee: Decimal, } impl CryptoPerpetual { - #[must_use] #[allow(clippy::too_many_arguments)] pub fn new( id: InstrumentId, @@ -65,17 +70,19 @@ impl CryptoPerpetual { size_precision: u8, price_increment: Price, size_increment: Quantity, + margin_init: Decimal, + margin_maint: Decimal, + maker_fee: Decimal, + taker_fee: Decimal, lot_size: Option, max_quantity: Option, min_quantity: Option, + max_notional: Option, + min_notional: Option, max_price: Option, min_price: Option, - margin_init: Decimal, - margin_maint: Decimal, - maker_fee: Decimal, - taker_fee: Decimal, - ) -> Self { - Self { + ) -> Result { + Ok(Self { id, raw_symbol, base_currency, @@ -85,16 +92,18 @@ impl CryptoPerpetual { size_precision, price_increment, size_increment, + margin_init, + margin_maint, + maker_fee, + taker_fee, lot_size, max_quantity, min_quantity, + max_notional, + min_notional, max_price, min_price, - margin_init, - margin_maint, - maker_fee, - taker_fee, - } + }) } } @@ -201,3 +210,64 @@ impl Instrument for CryptoPerpetual { self.taker_fee } } + +//////////////////////////////////////////////////////////////////////////////// +// Stubs +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +pub mod stubs { + use std::str::FromStr; + + use rstest::fixture; + use rust_decimal::Decimal; + + use crate::{ + identifiers::{instrument_id::InstrumentId, symbol::Symbol}, + instruments::crypto_perpetual::CryptoPerpetual, + types::{currency::Currency, money::Money, price::Price, quantity::Quantity}, + }; + + #[fixture] + pub fn crypto_perpetual_ethusdt() -> CryptoPerpetual { + CryptoPerpetual::new( + InstrumentId::from("ETHUSDT-PERP.BINANCE"), + Symbol::from("ETHUSDT"), + Currency::from("ETH"), + Currency::from("USDT"), + Currency::from("USDT"), + 2, + 0, + Price::from("0.01"), + Quantity::from("0.001"), + Decimal::from_str("0.0").unwrap(), + Decimal::from_str("0.0").unwrap(), + Decimal::from_str("0.001").unwrap(), + Decimal::from_str("0.001").unwrap(), + None, + Some(Quantity::from("10000.0")), + Some(Quantity::from("0.001")), + None, + Some(Money::new(10.00, Currency::from("USDT")).unwrap()), + Some(Price::from("15000.00")), + Some(Price::from("1.0")), + ) + .unwrap() + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use rstest::rstest; + + use super::stubs::*; + use crate::instruments::crypto_perpetual::CryptoPerpetual; + + #[rstest] + fn test_equality(crypto_perpetual_ethusdt: CryptoPerpetual) { + let cloned = crypto_perpetual_ethusdt.clone(); + assert_eq!(crypto_perpetual_ethusdt, cloned) + } +} diff --git a/nautilus_core/model/src/instruments/currency_pair.rs b/nautilus_core/model/src/instruments/currency_pair.rs index 66c71727676d..00f93f0346ee 100644 --- a/nautilus_core/model/src/instruments/currency_pair.rs +++ b/nautilus_core/model/src/instruments/currency_pair.rs @@ -30,7 +30,10 @@ use crate::{ #[repr(C)] #[derive(Clone, Debug, Serialize, Deserialize)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct CurrencyPair { pub id: InstrumentId, pub raw_symbol: Symbol, diff --git a/nautilus_core/model/src/instruments/equity.rs b/nautilus_core/model/src/instruments/equity.rs index 73f16b55a73f..8f3dc000d74e 100644 --- a/nautilus_core/model/src/instruments/equity.rs +++ b/nautilus_core/model/src/instruments/equity.rs @@ -30,7 +30,10 @@ use crate::{ #[repr(C)] #[derive(Clone, Debug, Serialize, Deserialize)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct Equity { pub id: InstrumentId, pub raw_symbol: Symbol, diff --git a/nautilus_core/model/src/instruments/futures_contract.rs b/nautilus_core/model/src/instruments/futures_contract.rs index 5106344d9bf2..f8e6839f7226 100644 --- a/nautilus_core/model/src/instruments/futures_contract.rs +++ b/nautilus_core/model/src/instruments/futures_contract.rs @@ -31,7 +31,10 @@ use crate::{ #[repr(C)] #[derive(Clone, Debug, Serialize, Deserialize)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct FuturesContract { pub id: InstrumentId, pub raw_symbol: Symbol, diff --git a/nautilus_core/model/src/instruments/mod.rs b/nautilus_core/model/src/instruments/mod.rs index ed6090178dcc..51055e7a1e03 100644 --- a/nautilus_core/model/src/instruments/mod.rs +++ b/nautilus_core/model/src/instruments/mod.rs @@ -13,14 +13,14 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -mod crypto_future; -mod crypto_perpetual; -mod currency_pair; -mod equity; -mod futures_contract; -mod options_contract; -mod synthetic; -mod synthetic_api; +pub mod crypto_future; +pub mod crypto_perpetual; +pub mod currency_pair; +pub mod equity; +pub mod futures_contract; +pub mod options_contract; +pub mod synthetic; +pub mod synthetic_api; use anyhow::Result; use rust_decimal::Decimal; diff --git a/nautilus_core/model/src/instruments/options_contract.rs b/nautilus_core/model/src/instruments/options_contract.rs index 9c4669865498..0769bae68b15 100644 --- a/nautilus_core/model/src/instruments/options_contract.rs +++ b/nautilus_core/model/src/instruments/options_contract.rs @@ -31,7 +31,10 @@ use crate::{ #[repr(C)] #[derive(Clone, Debug, Serialize, Deserialize)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct OptionsContract { pub id: InstrumentId, pub raw_symbol: Symbol, diff --git a/nautilus_core/model/src/instruments/synthetic.rs b/nautilus_core/model/src/instruments/synthetic.rs index 22bf3e512da1..26b028d58c9f 100644 --- a/nautilus_core/model/src/instruments/synthetic.rs +++ b/nautilus_core/model/src/instruments/synthetic.rs @@ -31,7 +31,10 @@ use crate::{ /// Represents a synthetic instrument with prices derived from component instruments using a /// formula. #[derive(Clone, Debug)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct SyntheticInstrument { pub id: InstrumentId, pub price_precision: u8, @@ -160,7 +163,7 @@ mod tests { let mut synth = SyntheticInstrument::new( Symbol::new("BTC-LTC").unwrap(), 2, - vec![btc_binance.clone(), ltc_binance], + vec![btc_binance, ltc_binance], formula.clone(), 0, 0, @@ -185,7 +188,7 @@ mod tests { let mut synth = SyntheticInstrument::new( Symbol::new("BTC-LTC").unwrap(), 2, - vec![btc_binance.clone(), ltc_binance], + vec![btc_binance, ltc_binance], formula.clone(), 0, 0, diff --git a/nautilus_core/model/src/instruments/synthetic_api.rs b/nautilus_core/model/src/instruments/synthetic_api.rs index 5a4638ecf76f..2e5d866e7788 100644 --- a/nautilus_core/model/src/instruments/synthetic_api.rs +++ b/nautilus_core/model/src/instruments/synthetic_api.rs @@ -19,9 +19,11 @@ use std::{ }; use nautilus_core::{ - cvec::CVec, - parsing::{bytes_to_string_vec, string_vec_to_bytes}, - string::{cstr_to_string, str_to_cstr}, + ffi::{ + cvec::CVec, + parsing::{bytes_to_string_vec, string_vec_to_bytes}, + string::{cstr_to_string, str_to_cstr}, + }, time::UnixNanos, }; diff --git a/nautilus_core/model/src/lib.rs b/nautilus_core/model/src/lib.rs index 3eb4314769bb..079e402c170e 100644 --- a/nautilus_core/model/src/lib.rs +++ b/nautilus_core/model/src/lib.rs @@ -13,12 +13,6 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -#![recursion_limit = "256"] -#[macro_use] -extern crate lazy_static; - -use pyo3::{prelude::*, PyResult, Python}; - pub mod currencies; pub mod data; pub mod enums; @@ -29,50 +23,9 @@ pub mod macros; pub mod orderbook; pub mod orders; pub mod position; -pub mod python; pub mod types; -/// Loaded as nautilus_pyo3.model -#[pymodule] -pub fn model(_: Python<'_>, m: &PyModule) -> PyResult<()> { - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - Ok(()) -} +#[cfg(feature = "ffi")] +pub mod ffi; +#[cfg(feature = "python")] +pub mod python; diff --git a/nautilus_core/model/src/macros.rs b/nautilus_core/model/src/macros.rs index 2e435a444c79..aff0ab18af3b 100644 --- a/nautilus_core/model/src/macros.rs +++ b/nautilus_core/model/src/macros.rs @@ -36,58 +36,3 @@ macro_rules! enum_strum_serde { } }; } - -#[cfg(feature = "python")] -#[macro_export] -macro_rules! enum_for_python { - ($type:ty) => { - #[pymethods] - impl $type { - #[new] - fn py_new(py: Python<'_>, value: &PyAny) -> PyResult { - let t = Self::type_object(py); - Self::py_from_str(t, value) - } - - fn __hash__(&self) -> isize { - *self as isize - } - - fn __str__(&self) -> String { - self.to_string() - } - - fn __repr__(&self) -> String { - format!( - "<{}.{}: '{}'>", - stringify!($type), - self.name(), - self.value(), - ) - } - - #[getter] - pub fn name(&self) -> String { - self.to_string() - } - - #[getter] - pub fn value(&self) -> u8 { - *self as u8 - } - - #[classmethod] - fn variants(_: &PyType, py: Python<'_>) -> EnumIterator { - EnumIterator::new::(py) - } - - #[classmethod] - #[pyo3(name = "from_str")] - fn py_from_str(_: &PyType, data: &PyAny) -> PyResult { - let data_str: &str = data.str().and_then(|s| s.extract())?; - let tokenized = data_str.to_uppercase(); - Self::from_str(&tokenized).map_err(|e| PyValueError::new_err(format!("{e:?}"))) - } - } - }; -} diff --git a/nautilus_core/model/src/orderbook/book.rs b/nautilus_core/model/src/orderbook/book.rs index 77d7c901ae6e..7140bc8ffeab 100644 --- a/nautilus_core/model/src/orderbook/book.rs +++ b/nautilus_core/model/src/orderbook/book.rs @@ -13,6 +13,7 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- +use nautilus_core::time::UnixNanos; use tabled::{settings::Style, Table, Tabled}; use thiserror::Error; @@ -25,16 +26,6 @@ use crate::{ types::{price::Price, quantity::Quantity}, }; -pub struct OrderBook { - bids: Ladder, - asks: Ladder, - pub instrument_id: InstrumentId, - pub book_type: BookType, - pub sequence: u64, - pub ts_last: u64, - pub count: u64, -} - #[derive(thiserror::Error, Debug)] pub enum InvalidBookOperation { #[error("Invalid book operation: cannot pre-process order for {0} book")] @@ -53,7 +44,7 @@ pub enum BookIntegrityError { OrdersCrossed(BookPrice, BookPrice), #[error("Integrity error: number of {0} orders at level > 1 for L2_MBP book, was {1}")] TooManyOrders(OrderSide, usize), - #[error("Integrity error: number of {0} levels > 1 for L1_TBBO book, was {1}")] + #[error("Integrity error: number of {0} levels > 1 for L1_MBP book, was {1}")] TooManyLevels(OrderSide, usize), } @@ -64,6 +55,17 @@ struct OrderLevelDisplay { asks: String, } +/// Provides an order book which can handle L1/L2/L3 granularity data. +pub struct OrderBook { + bids: Ladder, + asks: Ladder, + pub instrument_id: InstrumentId, + pub book_type: BookType, + pub sequence: u64, + pub ts_last: UnixNanos, + pub count: u64, +} + impl OrderBook { #[must_use] pub fn new(instrument_id: InstrumentId, book_type: BookType) -> Self { @@ -90,7 +92,7 @@ impl OrderBook { let order = match self.book_type { BookType::L3_MBO => order, // No order pre-processing BookType::L2_MBP => self.pre_process_order(order), - BookType::L1_TBBO => panic!("{}", InvalidBookOperation::Add(self.book_type)), + BookType::L1_MBP => panic!("{}", InvalidBookOperation::Add(self.book_type)), }; match order.side { @@ -106,7 +108,7 @@ impl OrderBook { let order = match self.book_type { BookType::L3_MBO => order, // No order pre-processing BookType::L2_MBP => self.pre_process_order(order), - BookType::L1_TBBO => { + BookType::L1_MBP => { self.update_l1(order, ts_event, sequence); self.pre_process_order(order) } @@ -125,7 +127,7 @@ impl OrderBook { let order = match self.book_type { BookType::L3_MBO => order, // No order pre-processing BookType::L2_MBP => self.pre_process_order(order), - BookType::L1_TBBO => self.pre_process_order(order), + BookType::L1_MBP => self.pre_process_order(order), }; match order.side { @@ -194,14 +196,14 @@ impl OrderBook { pub fn best_bid_size(&self) -> Option { match self.bids.top() { - Some(top) => top.orders.first().map(|order| order.size), + Some(top) => top.first().map(|order| order.size), None => None, } } pub fn best_ask_size(&self) -> Option { match self.asks.top() { - Some(top) => top.orders.first().map(|order| order.size), + Some(top) => top.first().map(|order| order.size), None => None, } } @@ -222,30 +224,59 @@ impl OrderBook { pub fn get_avg_px_for_quantity(&self, qty: Quantity, order_side: OrderSide) -> f64 { let levels = match order_side { - OrderSide::Buy => &self.asks.levels, - OrderSide::Sell => &self.bids.levels, + OrderSide::Buy => self.asks.levels.iter(), + OrderSide::Sell => self.bids.levels.iter(), _ => panic!("Invalid `OrderSide` {}", order_side), }; - let mut cumulative_volume_raw = 0u64; + let mut cumulative_size_raw = 0u64; let mut cumulative_value = 0.0; for (book_price, level) in levels { - let volume_this_level = level.volume_raw().min(qty.raw - cumulative_volume_raw); - cumulative_volume_raw += volume_this_level; - cumulative_value += book_price.value.as_f64() * volume_this_level as f64; + let size_this_level = level.size_raw().min(qty.raw - cumulative_size_raw); + cumulative_size_raw += size_this_level; + cumulative_value += book_price.value.as_f64() * size_this_level as f64; - if cumulative_volume_raw >= qty.raw { + if cumulative_size_raw >= qty.raw { break; } } - if cumulative_volume_raw == 0 { + if cumulative_size_raw == 0 { 0.0 } else { - cumulative_value / cumulative_volume_raw as f64 + cumulative_value / cumulative_size_raw as f64 } } + pub fn get_quantity_for_price(&self, price: Price, order_side: OrderSide) -> f64 { + let levels = match order_side { + OrderSide::Buy => self.asks.levels.iter(), + OrderSide::Sell => self.bids.levels.iter(), + _ => panic!("Invalid `OrderSide` {}", order_side), + }; + + let mut matched_size: f64 = 0.0; + + for (book_price, level) in levels { + match order_side { + OrderSide::Buy => { + if book_price.value > price { + break; + } + } + OrderSide::Sell => { + if book_price.value < price { + break; + } + } + _ => panic!("Invalid `OrderSide` {}", order_side), + } + matched_size += level.size(); + } + + matched_size + } + pub fn update_quote_tick(&mut self, tick: &QuoteTick) { self.update_bid(BookOrder::from_quote_tick(tick, OrderSide::Buy)); self.update_ask(BookOrder::from_quote_tick(tick, OrderSide::Sell)); @@ -264,32 +295,32 @@ impl OrderBook { } } + /// Return a [`String`] representation of the order book in a human-readable table format. pub fn pprint(&self, num_levels: usize) -> String { - let mut ask_levels: Vec<(&BookPrice, &Level)> = - self.asks.levels.iter().take(num_levels).collect(); - + let ask_levels: Vec<(&BookPrice, &Level)> = + self.asks.levels.iter().take(num_levels).rev().collect(); let bid_levels: Vec<(&BookPrice, &Level)> = self.bids.levels.iter().take(num_levels).collect(); - - ask_levels.reverse(); - let levels: Vec<(&BookPrice, &Level)> = ask_levels.into_iter().chain(bid_levels).collect(); let data: Vec = levels .iter() - .map(|(_, level)| { + .map(|(book_price, level)| { + let is_bid_level = self.bids.levels.contains_key(book_price); + let is_ask_level = self.asks.levels.contains_key(book_price); + let bid_sizes: Vec = level .orders .iter() - .filter(|order| self.bids.levels.contains_key(&order.to_book_price())) - .map(|order| format!("{}", order.size)) + .filter(|_| is_bid_level) + .map(|order| format!("{}", order.1.size)) .collect(); let ask_sizes: Vec = level .orders .iter() - .filter(|order| self.asks.levels.contains_key(&order.to_book_price())) - .map(|order| format!("{}", order.size)) + .filter(|_| is_ask_level) + .map(|order| format!("{}", order.1.size)) .collect(); OrderLevelDisplay { @@ -315,7 +346,7 @@ impl OrderBook { match self.book_type { BookType::L3_MBO => self.check_integrity_l3(), BookType::L2_MBP => self.check_integrity_l2(), - BookType::L1_TBBO => self.check_integrity_l1(), + BookType::L1_MBP => self.check_integrity_l1(), } } @@ -385,7 +416,7 @@ impl OrderBook { } fn update_l1(&mut self, order: BookOrder, ts_event: u64, sequence: u64) { - // Because of the way we typically get updates from a L1_TBBO order book (bid + // Because of the way we typically get updates from a L1_MBP order book (bid // and ask updates at the same time), its quite probable that the last // bid is now the ask price we are trying to insert (or vice versa). We // just need to add some extra protection against this if we aren't calling @@ -411,7 +442,7 @@ impl OrderBook { fn update_bid(&mut self, order: BookOrder) { match self.bids.top() { - Some(top_bids) => match top_bids.orders.first() { + Some(top_bids) => match top_bids.first() { Some(top_bid) => { let order_id = top_bid.order_id; self.bids.remove(order_id); @@ -429,7 +460,7 @@ impl OrderBook { fn update_ask(&mut self, order: BookOrder) { match self.asks.top() { - Some(top_asks) => match top_asks.orders.first() { + Some(top_asks) => match top_asks.first() { Some(top_ask) => { let order_id = top_ask.order_id; self.asks.remove(order_id); @@ -447,10 +478,10 @@ impl OrderBook { fn pre_process_order(&self, mut order: BookOrder) -> BookOrder { match self.book_type { - // Because a L1_TBBO only has one level per side, we replace the + // Because a L1_MBP only has one level per side, we replace the // `order.order_id` with the enum value of the side, which will let us easily process // the order. - BookType::L1_TBBO => order.order_id = order.side as u64, + BookType::L1_MBP => order.order_id = order.side as u64, // Because a L2_MBP only has one order per level, we replace the // `order.order_id` with a raw price value, which will let us easily process the order. BookType::L2_MBP => order.order_id = order.price.raw as u64, @@ -484,7 +515,7 @@ mod tests { #[rstest] fn test_orderbook_creation() { let instrument_id = InstrumentId::from("ETHUSDT-PERP.BINANCE"); - let book = OrderBook::new(instrument_id.clone(), BookType::L2_MBP); + let book = OrderBook::new(instrument_id, BookType::L2_MBP); assert_eq!(book.instrument_id, instrument_id); assert_eq!(book.book_type, BookType::L2_MBP); @@ -515,8 +546,8 @@ mod tests { assert_eq!(book.best_ask_price(), None); assert_eq!(book.best_bid_size(), None); assert_eq!(book.best_ask_size(), None); - assert_eq!(book.has_bid(), false); - assert_eq!(book.has_ask(), false); + assert!(!book.has_bid()); + assert!(!book.has_ask()); } #[rstest] @@ -532,7 +563,7 @@ mod tests { assert_eq!(book.best_bid_price(), Some(Price::from("1.000"))); assert_eq!(book.best_bid_size(), Some(Quantity::from("1.0"))); - assert_eq!(book.has_bid(), true); + assert!(book.has_bid()); } #[rstest] @@ -548,7 +579,7 @@ mod tests { assert_eq!(book.best_ask_price(), Some(Price::from("2.000"))); assert_eq!(book.best_ask_size(), Some(Quantity::from("2.0"))); - assert_eq!(book.has_ask(), true); + assert!(book.has_ask()); } #[rstest] fn test_spread_with_no_bids_or_asks() { @@ -571,8 +602,8 @@ mod tests { Quantity::from("2.0"), 2, ); - book.add(bid1.clone(), 100, 1); - book.add(ask1.clone(), 200, 2); + book.add(bid1, 100, 1); + book.add(ask1, 200, 2); assert_eq!(book.spread(), Some(1.0)); } @@ -600,8 +631,8 @@ mod tests { Quantity::from("2.0"), 2, ); - book.add(bid1.clone(), 100, 1); - book.add(ask1.clone(), 200, 2); + book.add(bid1, 100, 1); + book.add(ask1, 200, 2); assert_eq!(book.midpoint(), Some(1.5)); } @@ -615,6 +646,15 @@ mod tests { assert_eq!(book.get_avg_px_for_quantity(qty, OrderSide::Sell), 0.0); } + #[rstest] + fn test_get_quantity_for_price_no_market() { + let book = create_stub_book(BookType::L2_MBP); + let price = Price::from("1.0"); + + assert_eq!(book.get_quantity_for_price(price, OrderSide::Buy), 0.0); + assert_eq!(book.get_quantity_for_price(price, OrderSide::Sell), 0.0); + } + #[rstest] fn test_get_price_for_quantity() { let instrument_id = InstrumentId::from("ETHUSDT-PERP.BINANCE"); @@ -644,10 +684,10 @@ mod tests { Quantity::from("2.0"), 0, // order_id not applicable ); - book.add(bid1.clone(), 0, 1); - book.add(bid2.clone(), 0, 1); - book.add(ask1.clone(), 0, 1); - book.add(ask2.clone(), 0, 1); + book.add(bid1, 0, 1); + book.add(bid2, 0, 1); + book.add(ask1, 0, 1); + book.add(ask2, 0, 1); let qty = Quantity::from("1.5"); @@ -661,10 +701,68 @@ mod tests { ); } + #[rstest] + fn test_get_quantity_for_price() { + let instrument_id = InstrumentId::from("ETHUSDT-PERP.BINANCE"); + let mut book = OrderBook::new(instrument_id, BookType::L2_MBP); + + let ask3 = BookOrder::new( + OrderSide::Sell, + Price::from("2.011"), + Quantity::from("3.0"), + 0, // order_id not applicable + ); + let ask2 = BookOrder::new( + OrderSide::Sell, + Price::from("2.010"), + Quantity::from("2.0"), + 0, // order_id not applicable + ); + let ask1 = BookOrder::new( + OrderSide::Sell, + Price::from("2.000"), + Quantity::from("1.0"), + 0, // order_id not applicable + ); + let bid1 = BookOrder::new( + OrderSide::Buy, + Price::from("1.000"), + Quantity::from("1.0"), + 0, // order_id not applicable + ); + let bid2 = BookOrder::new( + OrderSide::Buy, + Price::from("0.990"), + Quantity::from("2.0"), + 0, // order_id not applicable + ); + let bid3 = BookOrder::new( + OrderSide::Buy, + Price::from("0.989"), + Quantity::from("3.0"), + 0, // order_id not applicable + ); + book.add(bid1, 0, 1); + book.add(bid2, 0, 1); + book.add(bid3, 0, 1); + book.add(ask1, 0, 1); + book.add(ask2, 0, 1); + book.add(ask3, 0, 1); + + assert_eq!( + book.get_quantity_for_price(Price::from("2.010"), OrderSide::Buy), + 3.0 + ); + assert_eq!( + book.get_quantity_for_price(Price::from("0.990"), OrderSide::Sell), + 3.0 + ); + } + #[rstest] fn test_update_quote_tick_l1() { let instrument_id = InstrumentId::from("ETHUSDT-PERP.BINANCE"); - let mut book = OrderBook::new(instrument_id.clone(), BookType::L1_TBBO); + let mut book = OrderBook::new(instrument_id, BookType::L1_MBP); let tick = QuoteTick::new( InstrumentId::from("ETHUSDT-PERP.BINANCE"), Price::from("5000.000"), @@ -679,8 +777,8 @@ mod tests { book.update_quote_tick(&tick); // Check if the top bid order in order_book is the same as the one created from tick - let top_bid_order = book.bids.top().unwrap().orders.first().unwrap(); - let top_ask_order = book.asks.top().unwrap().orders.first().unwrap(); + let top_bid_order = book.bids.top().unwrap().first().unwrap(); + let top_ask_order = book.asks.top().unwrap().first().unwrap(); let expected_bid_order = BookOrder::from_quote_tick(&tick, OrderSide::Buy); let expected_ask_order = BookOrder::from_quote_tick(&tick, OrderSide::Sell); assert_eq!(*top_bid_order, expected_bid_order); @@ -690,7 +788,7 @@ mod tests { #[rstest] fn test_update_trade_tick_l1() { let instrument_id = InstrumentId::from("ETHUSDT-PERP.BINANCE"); - let mut book = OrderBook::new(instrument_id.clone(), BookType::L1_TBBO); + let mut book = OrderBook::new(instrument_id, BookType::L1_MBP); let price = Price::from("15000.000"); let size = Quantity::from("10.00000000"); diff --git a/nautilus_core/model/src/orderbook/ladder.rs b/nautilus_core/model/src/orderbook/ladder.rs index 8aadcc4340f7..ddedc186b31b 100644 --- a/nautilus_core/model/src/orderbook/ladder.rs +++ b/nautilus_core/model/src/orderbook/ladder.rs @@ -21,12 +21,13 @@ use std::{ use super::book::BookIntegrityError; use crate::{ - data::order::BookOrder, + data::order::{BookOrder, OrderId}, enums::OrderSide, orderbook::level::Level, types::{price::Price, quantity::Quantity}, }; +/// Represents a price level with a specified side in an order books ladder. #[derive(Copy, Clone, Debug, Eq)] pub struct BookPrice { pub value: Price, @@ -68,6 +69,7 @@ impl Display for BookPrice { } } +/// Represents one side of an order book as a ladder of price levels. pub struct Ladder { pub side: OrderSide, pub levels: BTreeMap, @@ -122,33 +124,32 @@ impl Ladder { pub fn update(&mut self, order: BookOrder) { if let Some(price) = self.cache.get(&order.order_id) { - let level = self.levels.get_mut(price).unwrap(); - if order.price == level.price.value { - // Size update for this level - level.update(order); - } else { - // Price update, delete and insert at new level + if let Some(level) = self.levels.get_mut(price) { + if order.price == level.price.value { + // Update at current price level + level.update(order); + return; + } + + // Price update: delete and insert at new level level.delete(&order); if level.is_empty() { self.levels.remove(price); } - self.add(order); } - } else { - // TODO(cs): Reinstate this with strict mode - // None => panic!("No order with ID {}", &order.order_id), - self.add(order); } + + self.add(order); } pub fn delete(&mut self, order: BookOrder) { self.remove(order.order_id); } - pub fn remove(&mut self, order_id: u64) { + pub fn remove(&mut self, order_id: OrderId) { if let Some(price) = self.cache.remove(&order_id) { let level = self.levels.get_mut(&price).unwrap(); - level.remove(order_id); + level.remove_by_id(order_id); if level.is_empty() { self.levels.remove(&price); } @@ -156,8 +157,8 @@ impl Ladder { } #[must_use] - pub fn volumes(&self) -> f64 { - return self.levels.values().map(|l| l.volume()).sum(); + pub fn sizes(&self) -> f64 { + return self.levels.values().map(|l| l.size()).sum(); } #[must_use] @@ -187,7 +188,7 @@ impl Ladder { break; } - for book_order in &level.orders { + for book_order in level.orders.values() { let current = book_order.size; if cumulative_denominator + current >= target { // This order has filled us, add fill and return @@ -219,15 +220,12 @@ mod tests { data::order::BookOrder, enums::OrderSide, orderbook::ladder::{BookPrice, Ladder}, - types::{ - price::{Price, PRICE_MAX, PRICE_MIN}, - quantity::Quantity, - }, + types::{price::Price, quantity::Quantity}, }; #[rstest] fn test_book_price_bid_sorting() { - let mut bid_prices = vec![ + let mut bid_prices = [ BookPrice::new(Price::from("2.0"), OrderSide::Buy), BookPrice::new(Price::from("4.0"), OrderSide::Buy), BookPrice::new(Price::from("1.0"), OrderSide::Buy), @@ -239,7 +237,7 @@ mod tests { #[rstest] fn test_book_price_ask_sorting() { - let mut ask_prices = vec![ + let mut ask_prices = [ BookPrice::new(Price::from("2.0"), OrderSide::Sell), BookPrice::new(Price::from("4.0"), OrderSide::Sell), BookPrice::new(Price::from("1.0"), OrderSide::Sell), @@ -257,7 +255,7 @@ mod tests { ladder.add(order); assert_eq!(ladder.len(), 1); - assert_eq!(ladder.volumes(), 20.0); + assert_eq!(ladder.sizes(), 20.0); assert_eq!(ladder.exposures(), 200.0); assert_eq!(ladder.top().unwrap().price.value.as_f64(), 10.0) } @@ -266,13 +264,13 @@ mod tests { fn test_add_multiple_buy_orders() { let mut ladder = Ladder::new(OrderSide::Buy); let order1 = BookOrder::new(OrderSide::Buy, Price::from("10.00"), Quantity::from(20), 0); - let order2 = BookOrder::new(OrderSide::Buy, Price::from("9.00"), Quantity::from(30), 0); - let order3 = BookOrder::new(OrderSide::Buy, Price::from("9.00"), Quantity::from(50), 0); - let order4 = BookOrder::new(OrderSide::Buy, Price::from("8.00"), Quantity::from(200), 0); + let order2 = BookOrder::new(OrderSide::Buy, Price::from("9.00"), Quantity::from(30), 1); + let order3 = BookOrder::new(OrderSide::Buy, Price::from("9.00"), Quantity::from(50), 2); + let order4 = BookOrder::new(OrderSide::Buy, Price::from("8.00"), Quantity::from(200), 3); ladder.add_bulk(vec![order1, order2, order3, order4]); assert_eq!(ladder.len(), 3); - assert_eq!(ladder.volumes(), 300.0); + assert_eq!(ladder.sizes(), 300.0); assert_eq!(ladder.exposures(), 2520.0); assert_eq!(ladder.top().unwrap().price.value.as_f64(), 10.0) } @@ -281,8 +279,8 @@ mod tests { fn test_add_multiple_sell_orders() { let mut ladder = Ladder::new(OrderSide::Sell); let order1 = BookOrder::new(OrderSide::Sell, Price::from("11.00"), Quantity::from(20), 0); - let order2 = BookOrder::new(OrderSide::Sell, Price::from("12.00"), Quantity::from(30), 0); - let order3 = BookOrder::new(OrderSide::Sell, Price::from("12.00"), Quantity::from(50), 0); + let order2 = BookOrder::new(OrderSide::Sell, Price::from("12.00"), Quantity::from(30), 1); + let order3 = BookOrder::new(OrderSide::Sell, Price::from("12.00"), Quantity::from(50), 2); let order4 = BookOrder::new( OrderSide::Sell, Price::from("13.00"), @@ -292,23 +290,60 @@ mod tests { ladder.add_bulk(vec![order1, order2, order3, order4]); assert_eq!(ladder.len(), 3); - assert_eq!(ladder.volumes(), 300.0); + assert_eq!(ladder.sizes(), 300.0); assert_eq!(ladder.exposures(), 3780.0); assert_eq!(ladder.top().unwrap().price.value.as_f64(), 11.0) } + #[rstest] + fn test_add_to_same_price_level() { + let mut ladder = Ladder::new(OrderSide::Buy); + let order1 = BookOrder::new(OrderSide::Buy, Price::from("10.00"), Quantity::from(20), 1); + let order2 = BookOrder::new(OrderSide::Buy, Price::from("10.00"), Quantity::from(30), 2); + + ladder.add(order1); + ladder.add(order2); + + assert_eq!(ladder.len(), 1); + assert_eq!(ladder.sizes(), 50.0); + assert_eq!(ladder.exposures(), 500.00000000000006); + } + + #[rstest] + fn test_add_descending_buy_orders() { + let mut ladder = Ladder::new(OrderSide::Buy); + let order1 = BookOrder::new(OrderSide::Buy, Price::from("9.00"), Quantity::from(20), 1); + let order2 = BookOrder::new(OrderSide::Buy, Price::from("8.00"), Quantity::from(30), 2); + + ladder.add(order1); + ladder.add(order2); + + assert_eq!(ladder.top().unwrap().price.value, Price::from("9.00")); + } + + #[rstest] + fn test_add_ascending_sell_orders() { + let mut ladder = Ladder::new(OrderSide::Sell); + let order1 = BookOrder::new(OrderSide::Sell, Price::from("8.00"), Quantity::from(20), 1); + let order2 = BookOrder::new(OrderSide::Sell, Price::from("9.00"), Quantity::from(30), 2); + + ladder.add(order1); + ladder.add(order2); + + assert_eq!(ladder.top().unwrap().price.value, Price::from("8.00")); + } + #[rstest] fn test_update_buy_order_price() { let mut ladder = Ladder::new(OrderSide::Buy); let order = BookOrder::new(OrderSide::Buy, Price::from("11.00"), Quantity::from(20), 1); ladder.add(order); - let order = BookOrder::new(OrderSide::Buy, Price::from("11.10"), Quantity::from(20), 1); ladder.update(order); assert_eq!(ladder.len(), 1); - assert_eq!(ladder.volumes(), 20.0); + assert_eq!(ladder.sizes(), 20.0); assert_eq!(ladder.exposures(), 222.000_000_000_000_03); assert_eq!( ladder.top().unwrap().price.value.as_f64(), @@ -327,7 +362,7 @@ mod tests { ladder.update(order); assert_eq!(ladder.len(), 1); - assert_eq!(ladder.volumes(), 20.0); + assert_eq!(ladder.sizes(), 20.0); assert_eq!(ladder.exposures(), 222.000_000_000_000_03); assert_eq!( ladder.top().unwrap().price.value.as_f64(), @@ -346,7 +381,7 @@ mod tests { ladder.update(order); assert_eq!(ladder.len(), 1); - assert_eq!(ladder.volumes(), 10.0); + assert_eq!(ladder.sizes(), 10.0); assert_eq!(ladder.exposures(), 110.0); assert_eq!(ladder.top().unwrap().price.value.as_f64(), 11.0) } @@ -362,11 +397,21 @@ mod tests { ladder.update(order); assert_eq!(ladder.len(), 1); - assert_eq!(ladder.volumes(), 10.0); + assert_eq!(ladder.sizes(), 10.0); assert_eq!(ladder.exposures(), 110.0); assert_eq!(ladder.top().unwrap().price.value.as_f64(), 11.0) } + #[rstest] + fn test_delete_non_existing_order() { + let mut ladder = Ladder::new(OrderSide::Buy); + let order = BookOrder::new(OrderSide::Buy, Price::from("10.00"), Quantity::from(20), 1); + + ladder.delete(order); + + assert_eq!(ladder.len(), 0); + } + #[rstest] fn test_delete_buy_order() { let mut ladder = Ladder::new(OrderSide::Buy); @@ -378,7 +423,7 @@ mod tests { ladder.delete(order); assert_eq!(ladder.len(), 0); - assert_eq!(ladder.volumes(), 0.0); + assert_eq!(ladder.sizes(), 0.0); assert_eq!(ladder.exposures(), 0.0); assert_eq!(ladder.top(), None) } @@ -394,11 +439,21 @@ mod tests { ladder.delete(order); assert_eq!(ladder.len(), 0); - assert_eq!(ladder.volumes(), 0.0); + assert_eq!(ladder.sizes(), 0.0); assert_eq!(ladder.exposures(), 0.0); assert_eq!(ladder.top(), None) } + #[rstest] + fn test_simulate_fills_with_empty_book() { + let ladder = Ladder::new(OrderSide::Buy); + let order = BookOrder::new(OrderSide::Buy, Price::max(2), Quantity::from(500), 1); + + let fills = ladder.simulate_fills(&order); + + assert!(fills.is_empty()); + } + #[rstest] #[case(OrderSide::Buy, Price::max(2), OrderSide::Sell)] #[case(OrderSide::Sell, Price::min(2), OrderSide::Buy)] @@ -473,7 +528,7 @@ mod tests { } #[rstest] - fn test_simulate_order_fills_buy_with_volume_depth_type() { + fn test_simulate_order_fills_buy() { let mut ladder = Ladder::new(OrderSide::Sell); ladder.add_bulk(vec![ @@ -498,7 +553,7 @@ mod tests { ]); let order = BookOrder { - price: Price::new(PRICE_MAX, 2).unwrap(), // <-- Simulate a MARKET order + price: Price::max(2), // <-- Simulate a MARKET order size: Quantity::from(500), side: OrderSide::Buy, order_id: 4, @@ -508,21 +563,21 @@ mod tests { assert_eq!(fills.len(), 3); - let (price1, size1) = &fills[0]; - assert_eq!(price1, &Price::from("100.00")); - assert_eq!(size1, &Quantity::from(100)); + let (price1, size1) = fills[0]; + assert_eq!(price1, Price::from("100.00")); + assert_eq!(size1, Quantity::from(100)); - let (price2, size2) = &fills[1]; - assert_eq!(price2, &Price::from("101.00")); - assert_eq!(size2, &Quantity::from(200)); + let (price2, size2) = fills[1]; + assert_eq!(price2, Price::from("101.00")); + assert_eq!(size2, Quantity::from(200)); - let (price3, size3) = &fills[2]; - assert_eq!(price3, &Price::from("102.00")); - assert_eq!(size3, &Quantity::from(200)); + let (price3, size3) = fills[2]; + assert_eq!(price3, Price::from("102.00")); + assert_eq!(size3, Quantity::from(200)); } #[rstest] - fn test_simulate_order_fills_sell_with_volume_depth_type() { + fn test_simulate_order_fills_sell() { let mut ladder = Ladder::new(OrderSide::Buy); ladder.add_bulk(vec![ @@ -547,7 +602,7 @@ mod tests { ]); let order = BookOrder { - price: Price::new(PRICE_MIN, 2).unwrap(), // <-- Simulate a MARKET order + price: Price::min(2), // <-- Simulate a MARKET order size: Quantity::from(500), side: OrderSide::Sell, order_id: 4, @@ -557,21 +612,21 @@ mod tests { assert_eq!(fills.len(), 3); - let (price1, size1) = &fills[0]; - assert_eq!(price1, &Price::from("102.00")); - assert_eq!(size1, &Quantity::from(100)); + let (price1, size1) = fills[0]; + assert_eq!(price1, Price::from("102.00")); + assert_eq!(size1, Quantity::from(100)); - let (price2, size2) = &fills[1]; - assert_eq!(price2, &Price::from("101.00")); - assert_eq!(size2, &Quantity::from(200)); + let (price2, size2) = fills[1]; + assert_eq!(price2, Price::from("101.00")); + assert_eq!(size2, Quantity::from(200)); - let (price3, size3) = &fills[2]; - assert_eq!(price3, &Price::from("100.00")); - assert_eq!(size3, &Quantity::from(200)); + let (price3, size3) = fills[2]; + assert_eq!(price3, Price::from("100.00")); + assert_eq!(size3, Quantity::from(200)); } #[rstest] - fn test_simulate_order_fills_sell_with_volume_at_limit_of_precision() { + fn test_simulate_order_fills_sell_with_size_at_limit_of_precision() { let mut ladder = Ladder::new(OrderSide::Buy); ladder.add_bulk(vec![ @@ -596,7 +651,7 @@ mod tests { ]); let order = BookOrder { - price: Price::new(PRICE_MIN, 2).unwrap(), // <-- Simulate a MARKET order + price: Price::min(2), // <-- Simulate a MARKET order size: Quantity::from("699.999999999"), // <-- Size slightly less than total size in ladder side: OrderSide::Sell, order_id: 4, @@ -606,16 +661,34 @@ mod tests { assert_eq!(fills.len(), 3); - let (price1, size1) = &fills[0]; - assert_eq!(price1, &Price::from("102.00")); - assert_eq!(size1, &Quantity::from("100.000000000")); + let (price1, size1) = fills[0]; + assert_eq!(price1, Price::from("102.00")); + assert_eq!(size1, Quantity::from("100.000000000")); + + let (price2, size2) = fills[1]; + assert_eq!(price2, Price::from("101.00")); + assert_eq!(size2, Quantity::from("200.000000000")); + + let (price3, size3) = fills[2]; + assert_eq!(price3, Price::from("100.00")); + assert_eq!(size3, Quantity::from("399.999999999")); + } + + #[rstest] + fn test_boundary_prices() { + let max_price = Price::max(1); + let min_price = Price::min(1); + + let mut ladder_buy = Ladder::new(OrderSide::Buy); + let mut ladder_sell = Ladder::new(OrderSide::Sell); + + let order_buy = BookOrder::new(OrderSide::Buy, min_price, Quantity::from(1), 1); + let order_sell = BookOrder::new(OrderSide::Sell, max_price, Quantity::from(1), 1); - let (price2, size2) = &fills[1]; - assert_eq!(price2, &Price::from("101.00")); - assert_eq!(size2, &Quantity::from("200.000000000")); + ladder_buy.add(order_buy); + ladder_sell.add(order_sell); - let (price3, size3) = &fills[2]; - assert_eq!(price3, &Price::from("100.00")); - assert_eq!(size3, &Quantity::from("399.999999999")); + assert_eq!(ladder_buy.top().unwrap().price.value, min_price); + assert_eq!(ladder_sell.top().unwrap().price.value, max_price); } } diff --git a/nautilus_core/model/src/orderbook/level.rs b/nautilus_core/model/src/orderbook/level.rs index f2615eba17b6..db871438c550 100644 --- a/nautilus_core/model/src/orderbook/level.rs +++ b/nautilus_core/model/src/orderbook/level.rs @@ -13,10 +13,10 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -use std::cmp::Ordering; +use std::{cmp::Ordering, collections::BTreeMap}; use crate::{ - data::order::BookOrder, + data::order::{BookOrder, OrderId}, orderbook::{book::BookIntegrityError, ladder::BookPrice}, types::fixed::FIXED_SCALAR, }; @@ -24,7 +24,8 @@ use crate::{ #[derive(Clone, Debug, Eq)] pub struct Level { pub price: BookPrice, - pub orders: Vec, + pub orders: BTreeMap, + insertion_order: Vec, } impl Level { @@ -32,7 +33,8 @@ impl Level { pub fn new(price: BookPrice) -> Self { Self { price, - orders: Vec::new(), + orders: BTreeMap::new(), + insertion_order: Vec::new(), } } @@ -40,7 +42,8 @@ impl Level { pub fn from_order(order: BookOrder) -> Self { let mut level = Self { price: order.to_book_price(), - orders: Vec::new(), + orders: BTreeMap::new(), + insertion_order: Vec::new(), }; level.add(order); level @@ -56,82 +59,86 @@ impl Level { self.orders.is_empty() } + #[must_use] + pub fn first(&self) -> Option<&BookOrder> { + self.insertion_order + .first() + .and_then(|&id| self.orders.get(&id)) + } + pub fn add_bulk(&mut self, orders: Vec) { + self.insertion_order + .extend(orders.iter().map(|o| o.order_id)); + for order in orders { - self.add(order) + self.check_order_for_this_level(&order); + self.orders.insert(order.order_id, order); } } pub fn add(&mut self, order: BookOrder) { - assert_eq!(order.price, self.price.value); // Confirm order for this level + self.check_order_for_this_level(&order); - self.orders.push(order); + self.orders.insert(order.order_id, order); + self.insertion_order.push(order.order_id); } pub fn update(&mut self, order: BookOrder) { - assert_eq!(order.price, self.price.value); // Confirm order for this level + self.check_order_for_this_level(&order); if order.size.raw == 0 { - self.delete(&order) + self.orders.remove(&order.order_id); + self.update_insertion_order(); } else { - let idx = self - .orders - .iter() - .position(|o| o.order_id == order.order_id) - .unwrap_or_else(|| { - panic!("{}", &BookIntegrityError::OrderNotFound(order.order_id)) - }); - self.orders[idx] = order; + self.orders.insert(order.order_id, order); } } pub fn delete(&mut self, order: &BookOrder) { - self.remove(order.order_id); + self.orders.remove(&order.order_id); + self.update_insertion_order(); } - pub fn remove(&mut self, order_id: u64) { - let index = self - .orders - .iter() - .position(|o| o.order_id == order_id) - .unwrap_or_else(|| panic!("{}", &BookIntegrityError::OrderNotFound(order_id))); - self.orders.remove(index); + pub fn remove_by_id(&mut self, order_id: OrderId) { + if self.orders.remove(&order_id).is_none() { + panic!("{}", &BookIntegrityError::OrderNotFound(order_id)); + } + self.update_insertion_order(); } #[must_use] - pub fn volume(&self) -> f64 { - let mut sum: f64 = 0.0; - for o in self.orders.iter() { - sum += o.size.as_f64() - } - sum + pub fn size(&self) -> f64 { + self.orders.values().map(|o| o.size.as_f64()).sum() } #[must_use] - pub fn volume_raw(&self) -> u64 { - let mut sum = 0u64; - for o in self.orders.iter() { - sum += o.size.raw - } - sum + pub fn size_raw(&self) -> u64 { + self.orders.values().map(|o| o.size.raw).sum() } #[must_use] pub fn exposure(&self) -> f64 { - let mut sum: f64 = 0.0; - for o in self.orders.iter() { - sum += o.price.as_f64() * o.size.as_f64() - } - sum + self.orders + .values() + .map(|o| o.price.as_f64() * o.size.as_f64()) + .sum() } #[must_use] pub fn exposure_raw(&self) -> u64 { - let mut sum = 0u64; - for o in self.orders.iter() { - sum += ((o.price.as_f64() * o.size.as_f64()) * FIXED_SCALAR) as u64 - } - sum + self.orders + .values() + .map(|o| ((o.price.as_f64() * o.size.as_f64()) * FIXED_SCALAR) as u64) + .sum() + } + + fn check_order_for_this_level(&self, order: &BookOrder) { + assert_eq!(order.price, self.price.value); + } + + fn update_insertion_order(&mut self) { + self.insertion_order + .retain(|&id| self.orders.contains_key(&id)); } } @@ -183,6 +190,12 @@ mod tests { types::{price::Price, quantity::Quantity}, }; + #[rstest] + fn test_empty_level() { + let level = Level::new(BookPrice::new(Price::from("1.00"), OrderSide::Buy)); + assert!(level.first().is_none()); + } + #[rstest] fn test_comparisons_bid_side() { let level0 = Level::new(BookPrice::new(Price::from("1.00"), OrderSide::Buy)); @@ -207,7 +220,8 @@ mod tests { level.add(order); assert!(!level.is_empty()); assert_eq!(level.len(), 1); - assert_eq!(level.volume(), 10.0); + assert_eq!(level.size(), 10.0); + assert_eq!(level.first().unwrap(), &order); } #[rstest] @@ -219,8 +233,9 @@ mod tests { level.add(order1); level.add(order2); assert_eq!(level.len(), 2); - assert_eq!(level.volume(), 30.0); + assert_eq!(level.size(), 30.0); assert_eq!(level.exposure(), 60.0); + assert_eq!(level.first().unwrap(), &order1); } #[rstest] @@ -232,7 +247,7 @@ mod tests { level.add(order1); level.update(order2); assert_eq!(level.len(), 1); - assert_eq!(level.volume(), 20.0); + assert_eq!(level.size(), 20.0); assert_eq!(level.exposure(), 20.0); } @@ -245,7 +260,7 @@ mod tests { level.add(order1); level.update(order2); assert_eq!(level.len(), 0); - assert_eq!(level.volume(), 0.0); + assert_eq!(level.size(), 0.0); assert_eq!(level.exposure(), 0.0); } @@ -259,7 +274,7 @@ mod tests { Quantity::from(10), order1_id, ); - let order2_id = 0; + let order2_id = 1; let order2 = BookOrder::new( OrderSide::Buy, Price::from("1.00"), @@ -271,8 +286,8 @@ mod tests { level.add(order2); level.delete(&order1); assert_eq!(level.len(), 1); - assert_eq!(level.orders.first().unwrap().order_id, order2_id); - assert_eq!(level.volume(), 20.0); + assert_eq!(level.size(), 20.0); + assert!(level.orders.contains_key(&order2_id)); assert_eq!(level.exposure(), 20.0); } @@ -296,10 +311,10 @@ mod tests { level.add(order1); level.add(order2); - level.remove(order2_id); + level.remove_by_id(order2_id); assert_eq!(level.len(), 1); - assert_eq!(level.orders.first().unwrap().order_id, order1_id); - assert_eq!(level.volume(), 10.0); + assert!(level.orders.contains_key(&order1_id)); + assert_eq!(level.size(), 10.0); assert_eq!(level.exposure(), 10.0); } @@ -324,7 +339,7 @@ mod tests { let orders = vec![order1, order2]; level.add_bulk(orders); assert_eq!(level.len(), 2); - assert_eq!(level.volume(), 30.0); + assert_eq!(level.size(), 30.0); assert_eq!(level.exposure(), 60.0); } @@ -332,29 +347,29 @@ mod tests { #[should_panic(expected = "Invalid book operation: order ID 1 not found")] fn test_remove_nonexistent_order() { let mut level = Level::new(BookPrice::new(Price::from("1.00"), OrderSide::Buy)); - level.remove(1); + level.remove_by_id(1); } #[rstest] - fn test_volume() { + fn test_size() { let mut level = Level::new(BookPrice::new(Price::from("1.00"), OrderSide::Buy)); let order1 = BookOrder::new(OrderSide::Buy, Price::from("1.00"), Quantity::from(10), 0); let order2 = BookOrder::new(OrderSide::Buy, Price::from("1.00"), Quantity::from(15), 1); level.add(order1); level.add(order2); - assert_eq!(level.volume(), 25.0); + assert_eq!(level.size(), 25.0); } #[rstest] - fn test_volume_raw() { + fn test_size_raw() { let mut level = Level::new(BookPrice::new(Price::from("2.00"), OrderSide::Buy)); let order1 = BookOrder::new(OrderSide::Buy, Price::from("2.00"), Quantity::from(10), 0); let order2 = BookOrder::new(OrderSide::Buy, Price::from("2.00"), Quantity::from(20), 1); level.add(order1); level.add(order2); - assert_eq!(level.volume_raw(), 30_000_000_000); + assert_eq!(level.size_raw(), 30_000_000_000); } #[rstest] diff --git a/nautilus_core/model/src/orderbook/mod.rs b/nautilus_core/model/src/orderbook/mod.rs index d2ce1d53e161..dcf47c80eb1f 100644 --- a/nautilus_core/model/src/orderbook/mod.rs +++ b/nautilus_core/model/src/orderbook/mod.rs @@ -14,9 +14,5 @@ // ------------------------------------------------------------------------------------------------- pub mod book; -#[cfg(feature = "ffi")] -pub mod book_api; pub mod ladder; pub mod level; -#[cfg(feature = "ffi")] -pub mod level_api; diff --git a/nautilus_core/model/src/orders/base.rs b/nautilus_core/model/src/orders/base.rs index 34245c8372b7..6fda5466dcdf 100644 --- a/nautilus_core/model/src/orders/base.rs +++ b/nautilus_core/model/src/orders/base.rs @@ -201,7 +201,7 @@ pub trait Order { fn events(&self) -> Vec<&OrderEvent>; fn last_event(&self) -> &OrderEvent { - // Safety: `Order` specification guarantees at least one event (`OrderInitialized`) + // SAFETY: `Order` specification guarantees at least one event (`OrderInitialized`) self.events().last().unwrap() } @@ -594,7 +594,7 @@ impl OrderCore { }) } - fn opposite_side(&self, side: OrderSide) -> OrderSide { + pub fn opposite_side(side: OrderSide) -> OrderSide { match side { OrderSide::Buy => OrderSide::Sell, OrderSide::Sell => OrderSide::Buy, @@ -602,7 +602,7 @@ impl OrderCore { } } - fn closing_side(&self, side: PositionSide) -> OrderSide { + pub fn closing_side(side: PositionSide) -> OrderSide { match side { PositionSide::Long => OrderSide::Sell, PositionSide::Short => OrderSide::Buy, @@ -611,7 +611,7 @@ impl OrderCore { } } - fn signed_decimal_qty(&self) -> Decimal { + pub fn signed_decimal_qty(&self) -> Decimal { match self.side { OrderSide::Buy => self.quantity.as_decimal(), OrderSide::Sell => -self.quantity.as_decimal(), @@ -619,7 +619,7 @@ impl OrderCore { } } - fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool { + pub fn would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool { if side == PositionSide::Flat { return false; } @@ -633,11 +633,11 @@ impl OrderCore { } } - fn commission(&self, currency: &Currency) -> Option { + pub fn commission(&self, currency: &Currency) -> Option { self.commissions.get(currency).copied() } - fn commissions(&self) -> HashMap { + pub fn commissions(&self) -> HashMap { self.commissions.clone() } } @@ -652,7 +652,6 @@ mod tests { use super::*; use crate::{ - currencies::USD, enums::{OrderSide, OrderStatus, PositionSide}, events::order::{ OrderAcceptedBuilder, OrderDeniedBuilder, OrderEvent, OrderFilledBuilder, @@ -675,8 +674,7 @@ mod tests { #[case(OrderSide::Sell, OrderSide::Buy)] #[case(OrderSide::NoOrderSide, OrderSide::NoOrderSide)] fn test_order_opposite_side(#[case] order_side: OrderSide, #[case] expected_side: OrderSide) { - let order = MarketOrder::default(); - let result = order.opposite_side(order_side); + let result = OrderCore::opposite_side(order_side); assert_eq!(result, expected_side) } @@ -685,8 +683,7 @@ mod tests { #[case(PositionSide::Short, OrderSide::Buy)] #[case(PositionSide::NoPositionSide, OrderSide::NoOrderSide)] fn test_closing_side(#[case] position_side: PositionSide, #[case] expected_side: OrderSide) { - let order = MarketOrder::default(); - let result = order.closing_side(position_side); + let result = OrderCore::closing_side(position_side); assert_eq!(result, expected_side) } @@ -769,7 +766,7 @@ mod tests { assert_eq!(order.avg_px(), Some(1.0)); assert!(!order.is_open()); assert!(order.is_closed()); - assert_eq!(order.commission(&*USD), None); + assert_eq!(order.commission(&Currency::USD()), None); assert_eq!(order.commissions(), HashMap::new()); } } diff --git a/nautilus_core/model/src/orders/limit.rs b/nautilus_core/model/src/orders/limit.rs index d12107e4bf3b..73f616655b23 100644 --- a/nautilus_core/model/src/orders/limit.rs +++ b/nautilus_core/model/src/orders/limit.rs @@ -39,7 +39,10 @@ use crate::{ types::{price::Price, quantity::Quantity}, }; -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct LimitOrder { core: OrderCore, pub price: Price, diff --git a/nautilus_core/model/src/orders/limit_if_touched.rs b/nautilus_core/model/src/orders/limit_if_touched.rs index a86466694f28..3166ad5f554e 100644 --- a/nautilus_core/model/src/orders/limit_if_touched.rs +++ b/nautilus_core/model/src/orders/limit_if_touched.rs @@ -38,7 +38,10 @@ use crate::{ types::{price::Price, quantity::Quantity}, }; -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct LimitIfTouchedOrder { core: OrderCore, pub price: Price, diff --git a/nautilus_core/model/src/orders/market.rs b/nautilus_core/model/src/orders/market.rs index b6e315a4886d..f87a45d8834c 100644 --- a/nautilus_core/model/src/orders/market.rs +++ b/nautilus_core/model/src/orders/market.rs @@ -22,7 +22,7 @@ use nautilus_core::{time::UnixNanos, uuid::UUID4}; use pyo3::prelude::*; use ustr::Ustr; -use super::base::{str_hashmap_to_ustr, Order, OrderCore}; +use super::base::{Order, OrderCore}; use crate::{ enums::{ ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, TimeInForce, @@ -39,7 +39,10 @@ use crate::{ types::{price::Price, quantity::Quantity}, }; -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct MarketOrder { core: OrderCore, } @@ -347,73 +350,3 @@ impl From for MarketOrder { ) } } - -#[cfg(feature = "python")] -#[pymethods] -impl MarketOrder { - #[new] - #[pyo3(signature = ( - trader_id, strategy_id, - instrument_id, - client_order_id, - order_side, - quantity, - time_in_force, - init_id, - ts_init, - reduce_only=false, - quote_quantity=false, - contingency_type=None, - order_list_id=None, - linked_order_ids=None, - parent_order_id=None, - exec_algorithm_id=None, - exec_algorithm_params=None, - exec_spawn_id=None, - tags=None, - ))] - #[allow(clippy::too_many_arguments)] - pub fn py_new( - trader_id: TraderId, - strategy_id: StrategyId, - instrument_id: InstrumentId, - client_order_id: ClientOrderId, - order_side: OrderSide, - quantity: Quantity, - time_in_force: TimeInForce, - init_id: UUID4, - ts_init: UnixNanos, - reduce_only: bool, - quote_quantity: bool, - contingency_type: Option, - order_list_id: Option, - linked_order_ids: Option>, - parent_order_id: Option, - exec_algorithm_id: Option, - exec_algorithm_params: Option>, - exec_spawn_id: Option, - tags: Option, - ) -> Self { - MarketOrder::new( - trader_id, - strategy_id, - instrument_id, - client_order_id, - order_side, - quantity, - time_in_force, - reduce_only, - quote_quantity, - contingency_type, - order_list_id, - linked_order_ids, - parent_order_id, - exec_algorithm_id, - exec_algorithm_params.map(str_hashmap_to_ustr), - exec_spawn_id, - tags.map(|s| Ustr::from(&s)), - init_id, - ts_init, - ) - } -} diff --git a/nautilus_core/model/src/orders/market_if_touched.rs b/nautilus_core/model/src/orders/market_if_touched.rs index fd16ef5e6bab..443c5b9dde5a 100644 --- a/nautilus_core/model/src/orders/market_if_touched.rs +++ b/nautilus_core/model/src/orders/market_if_touched.rs @@ -38,7 +38,10 @@ use crate::{ types::{price::Price, quantity::Quantity}, }; -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct MarketIfTouchedOrder { core: OrderCore, pub trigger_price: Price, diff --git a/nautilus_core/model/src/orders/market_to_limit.rs b/nautilus_core/model/src/orders/market_to_limit.rs index f41e7b060652..d37b758fd457 100644 --- a/nautilus_core/model/src/orders/market_to_limit.rs +++ b/nautilus_core/model/src/orders/market_to_limit.rs @@ -39,7 +39,10 @@ use crate::{ types::{price::Price, quantity::Quantity}, }; -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct MarketToLimitOrder { core: OrderCore, pub price: Option, diff --git a/nautilus_core/model/src/orders/stop_limit.rs b/nautilus_core/model/src/orders/stop_limit.rs index 3bf331282351..e03713c6e421 100644 --- a/nautilus_core/model/src/orders/stop_limit.rs +++ b/nautilus_core/model/src/orders/stop_limit.rs @@ -38,7 +38,10 @@ use crate::{ types::{price::Price, quantity::Quantity}, }; -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct StopLimitOrder { core: OrderCore, pub price: Price, diff --git a/nautilus_core/model/src/orders/stop_market.rs b/nautilus_core/model/src/orders/stop_market.rs index a7cf89892951..613c0c9b921d 100644 --- a/nautilus_core/model/src/orders/stop_market.rs +++ b/nautilus_core/model/src/orders/stop_market.rs @@ -39,7 +39,10 @@ use crate::{ types::{price::Price, quantity::Quantity}, }; -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct StopMarketOrder { core: OrderCore, pub trigger_price: Price, diff --git a/nautilus_core/model/src/orders/trailing_stop_limit.rs b/nautilus_core/model/src/orders/trailing_stop_limit.rs index 8ecd9a800b2d..1a75005cd0f4 100644 --- a/nautilus_core/model/src/orders/trailing_stop_limit.rs +++ b/nautilus_core/model/src/orders/trailing_stop_limit.rs @@ -38,7 +38,10 @@ use crate::{ types::{price::Price, quantity::Quantity}, }; -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct TrailingStopLimitOrder { core: OrderCore, pub price: Price, diff --git a/nautilus_core/model/src/orders/trailing_stop_market.rs b/nautilus_core/model/src/orders/trailing_stop_market.rs index e38f0d9a73c8..df18b71bb968 100644 --- a/nautilus_core/model/src/orders/trailing_stop_market.rs +++ b/nautilus_core/model/src/orders/trailing_stop_market.rs @@ -39,7 +39,10 @@ use crate::{ types::{price::Price, quantity::Quantity}, }; -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct TrailingStopMarketOrder { core: OrderCore, pub trigger_price: Price, diff --git a/nautilus_core/model/src/python.rs b/nautilus_core/model/src/python.rs deleted file mode 100644 index b138e35e4494..000000000000 --- a/nautilus_core/model/src/python.rs +++ /dev/null @@ -1,94 +0,0 @@ -use pyo3::{ - exceptions::PyValueError, - prelude::*, - types::{PyDict, PyList}, -}; -use serde_json::Value; -use strum::IntoEnumIterator; - -/// Python iterator over the variants of an enum. -#[cfg(feature = "python")] -#[pyclass] -pub struct EnumIterator { - // Type erasure for code reuse. Generic types can't be exposed to Python. - iter: Box + Send>, -} - -#[cfg(feature = "python")] -#[pymethods] -impl EnumIterator { - fn __iter__(slf: PyRef<'_, Self>) -> PyRef<'_, Self> { - slf - } - - fn __next__(mut slf: PyRefMut<'_, Self>) -> Option { - slf.iter.next() - } -} - -#[cfg(feature = "python")] -impl EnumIterator { - pub fn new(py: Python<'_>) -> Self - where - E: strum::IntoEnumIterator + IntoPy>, - ::Iterator: Send, - { - Self { - iter: Box::new( - E::iter() - .map(|var| var.into_py(py)) - // Force eager evaluation because `py` isn't `Send` - .collect::>() - .into_iter(), - ), - } - } -} - -#[cfg(feature = "python")] -pub fn value_to_pydict(py: Python<'_>, val: &Value) -> PyResult> { - let dict = PyDict::new(py); - - match val { - Value::Object(map) => { - for (key, value) in map.iter() { - let py_value = value_to_pyobject(py, value)?; - dict.set_item(key, py_value)?; - } - } - // This shouldn't be reached in this function, but we include it for completeness - _ => return Err(PyValueError::new_err("Expected JSON object")), - } - - Ok(dict.into_py(py)) -} - -#[cfg(feature = "python")] -pub fn value_to_pyobject(py: Python<'_>, val: &Value) -> PyResult { - match val { - Value::Null => Ok(py.None()), - Value::Bool(b) => Ok(b.into_py(py)), - Value::String(s) => Ok(s.into_py(py)), - Value::Number(n) => { - if n.is_i64() { - Ok(n.as_i64().unwrap().into_py(py)) - } else if n.is_f64() { - Ok(n.as_f64().unwrap().into_py(py)) - } else { - Err(PyValueError::new_err("Unsupported JSON number type")) - } - } - Value::Array(arr) => { - let py_list = PyList::new(py, &[] as &[PyObject]); - for item in arr.iter() { - let py_item = value_to_pyobject(py, item)?; - py_list.append(py_item)?; - } - Ok(py_list.into()) - } - Value::Object(_) => { - let py_dict = value_to_pydict(py, val)?; - Ok(py_dict.into()) - } - } -} diff --git a/nautilus_core/model/src/python/data/bar.rs b/nautilus_core/model/src/python/data/bar.rs new file mode 100644 index 000000000000..398fddb69b4b --- /dev/null +++ b/nautilus_core/model/src/python/data/bar.rs @@ -0,0 +1,322 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::{hash_map::DefaultHasher, HashMap}, + hash::{Hash, Hasher}, +}; + +use nautilus_core::{ + python::{serialization::from_dict_pyo3, to_pyvalue_err}, + serialization::Serializable, + time::UnixNanos, +}; +use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict}; + +use crate::{ + data::bar::{Bar, BarSpecification, BarType}, + enums::{AggregationSource, BarAggregation, PriceType}, + identifiers::instrument_id::InstrumentId, + python::PY_MODULE_MODEL, + types::{price::Price, quantity::Quantity}, +}; + +#[pymethods] +impl BarSpecification { + #[new] + fn py_new(step: usize, aggregation: BarAggregation, price_type: PriceType) -> Self { + Self { + step, + aggregation, + price_type, + } + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("{self:?}") + } + + #[staticmethod] + #[pyo3(name = "fully_qualified_name")] + fn py_fully_qualified_name() -> String { + format!("{}:{}", PY_MODULE_MODEL, stringify!(BarSpecification)) + } +} + +#[pymethods] +impl BarType { + #[new] + #[pyo3(signature = (instrument_id, spec, aggregation_source = AggregationSource::External))] + fn py_new( + instrument_id: InstrumentId, + spec: BarSpecification, + aggregation_source: AggregationSource, + ) -> Self { + Self { + instrument_id, + spec, + aggregation_source, + } + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("{self:?}") + } + + #[staticmethod] + #[pyo3(name = "fully_qualified_name")] + fn py_fully_qualified_name() -> String { + format!("{}:{}", PY_MODULE_MODEL, stringify!(BarType)) + } +} + +#[pymethods] +#[allow(clippy::too_many_arguments)] +impl Bar { + #[new] + fn py_new( + bar_type: BarType, + open: Price, + high: Price, + low: Price, + close: Price, + volume: Quantity, + ts_event: UnixNanos, + ts_init: UnixNanos, + ) -> Self { + Self::new(bar_type, open, high, low, close, volume, ts_event, ts_init) + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("{self:?}") + } + + #[getter] + fn bar_type(&self) -> BarType { + self.bar_type + } + + #[getter] + fn open(&self) -> Price { + self.open + } + + #[getter] + fn high(&self) -> Price { + self.high + } + + #[getter] + fn low(&self) -> Price { + self.low + } + + #[getter] + fn close(&self) -> Price { + self.close + } + + #[getter] + fn volume(&self) -> Quantity { + self.volume + } + + #[getter] + fn ts_event(&self) -> UnixNanos { + self.ts_event + } + + #[getter] + fn ts_init(&self) -> UnixNanos { + self.ts_init + } + + #[staticmethod] + #[pyo3(name = "fully_qualified_name")] + fn py_fully_qualified_name() -> String { + format!("{}:{}", PY_MODULE_MODEL, stringify!(Bar)) + } + + /// Return a dictionary representation of the object. + #[pyo3(name = "as_dict")] + fn py_as_dict(&self, py: Python<'_>) -> PyResult> { + // Serialize object to JSON bytes + let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; + // Parse JSON into a Python dictionary + let py_dict: Py = PyModule::import(py, "json")? + .call_method("loads", (json_str,), None)? + .extract()?; + Ok(py_dict) + } + + /// Return a new object from the given dictionary representation. + #[staticmethod] + #[pyo3(name = "from_dict")] + fn py_from_dict(py: Python<'_>, values: Py) -> PyResult { + from_dict_pyo3(py, values) + } + + #[staticmethod] + #[pyo3(name = "get_metadata")] + fn py_get_metadata( + bar_type: &BarType, + price_precision: u8, + size_precision: u8, + ) -> PyResult> { + Ok(Self::get_metadata( + bar_type, + price_precision, + size_precision, + )) + } + + #[staticmethod] + #[pyo3(name = "get_fields")] + fn py_get_fields(py: Python<'_>) -> PyResult<&PyDict> { + let py_dict = PyDict::new(py); + for (k, v) in Self::get_fields() { + py_dict.set_item(k, v)?; + } + + Ok(py_dict) + } + + #[staticmethod] + #[pyo3(name = "from_json")] + fn py_from_json(data: Vec) -> PyResult { + Self::from_json_bytes(data).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_msgpack")] + fn py_from_msgpack(data: Vec) -> PyResult { + Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) + } + + /// Return JSON encoded bytes representation of the object. + #[pyo3(name = "as_json")] + fn py_as_json(&self, py: Python<'_>) -> Py { + // Unwrapping is safe when serializing a valid object + self.as_json_bytes().unwrap().into_py(py) + } + + /// Return MsgPack encoded bytes representation of the object. + #[pyo3(name = "as_msgpack")] + fn py_as_msgpack(&self, py: Python<'_>) -> Py { + // Unwrapping is safe when serializing a valid object + self.as_msgpack_bytes().unwrap().into_py(py) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use pyo3::{IntoPy, Python}; + use rstest::rstest; + + use crate::data::bar::{stubs::bar_audusd_sim_minute_bid, Bar}; + + #[rstest] + fn test_as_dict(bar_audusd_sim_minute_bid: Bar) { + pyo3::prepare_freethreaded_python(); + let bar = bar_audusd_sim_minute_bid; + + Python::with_gil(|py| { + let dict_string = bar.py_as_dict(py).unwrap().to_string(); + let expected_string = r#"{'type': 'Bar', 'bar_type': 'AUDUSD.SIM-1-MINUTE-BID-EXTERNAL', 'open': '1.00001', 'high': '1.00004', 'low': '1.00002', 'close': '1.00003', 'volume': '100000', 'ts_event': 0, 'ts_init': 1}"#; + assert_eq!(dict_string, expected_string); + }); + } + + #[rstest] + fn test_as_from_dict(bar_audusd_sim_minute_bid: Bar) { + pyo3::prepare_freethreaded_python(); + let bar = bar_audusd_sim_minute_bid; + + Python::with_gil(|py| { + let dict = bar.py_as_dict(py).unwrap(); + let parsed = Bar::py_from_dict(py, dict).unwrap(); + assert_eq!(parsed, bar); + }); + } + + #[rstest] + fn test_from_pyobject(bar_audusd_sim_minute_bid: Bar) { + pyo3::prepare_freethreaded_python(); + let bar = bar_audusd_sim_minute_bid; + + Python::with_gil(|py| { + let bar_pyobject = bar.into_py(py); + let parsed_bar = Bar::from_pyobject(bar_pyobject.as_ref(py)).unwrap(); + assert_eq!(parsed_bar, bar); + }); + } +} diff --git a/nautilus_core/model/src/python/data/delta.rs b/nautilus_core/model/src/python/data/delta.rs new file mode 100644 index 000000000000..c524ab494945 --- /dev/null +++ b/nautilus_core/model/src/python/data/delta.rs @@ -0,0 +1,237 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::{hash_map::DefaultHasher, HashMap}, + hash::{Hash, Hasher}, +}; + +use nautilus_core::{ + python::{serialization::from_dict_pyo3, to_pyvalue_err}, + serialization::Serializable, + time::UnixNanos, +}; +use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict}; + +use crate::{ + data::{delta::OrderBookDelta, order::BookOrder}, + enums::BookAction, + identifiers::instrument_id::InstrumentId, + python::PY_MODULE_MODEL, +}; + +#[pymethods] +impl OrderBookDelta { + #[new] + fn py_new( + instrument_id: InstrumentId, + action: BookAction, + order: BookOrder, + flags: u8, + sequence: u64, + ts_event: UnixNanos, + ts_init: UnixNanos, + ) -> Self { + Self::new( + instrument_id, + action, + order, + flags, + sequence, + ts_event, + ts_init, + ) + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("{self:?}") + } + + #[getter] + fn instrument_id(&self) -> InstrumentId { + self.instrument_id + } + + #[getter] + fn action(&self) -> BookAction { + self.action + } + + #[getter] + fn order(&self) -> BookOrder { + self.order + } + + #[getter] + fn flags(&self) -> u8 { + self.flags + } + + #[getter] + fn sequence(&self) -> u64 { + self.sequence + } + + #[getter] + fn ts_event(&self) -> UnixNanos { + self.ts_event + } + + #[getter] + fn ts_init(&self) -> UnixNanos { + self.ts_init + } + + #[staticmethod] + #[pyo3(name = "fully_qualified_name")] + fn py_fully_qualified_name() -> String { + format!("{}:{}", PY_MODULE_MODEL, stringify!(OrderBookDelta)) + } + + /// Return a dictionary representation of the object. + #[pyo3(name = "as_dict")] + fn py_as_dict(&self, py: Python<'_>) -> PyResult> { + // Serialize object to JSON bytes + let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; + // Parse JSON into a Python dictionary + let py_dict: Py = PyModule::import(py, "json")? + .call_method("loads", (json_str,), None)? + .extract()?; + Ok(py_dict) + } + + /// Return a new object from the given dictionary representation. + #[staticmethod] + #[pyo3(name = "from_dict")] + fn py_from_dict(py: Python<'_>, values: Py) -> PyResult { + from_dict_pyo3(py, values) + } + + #[staticmethod] + #[pyo3(name = "get_metadata")] + fn py_get_metadata( + instrument_id: &InstrumentId, + price_precision: u8, + size_precision: u8, + ) -> PyResult> { + Ok(Self::get_metadata( + instrument_id, + price_precision, + size_precision, + )) + } + + #[staticmethod] + #[pyo3(name = "get_fields")] + fn py_get_fields(py: Python<'_>) -> PyResult<&PyDict> { + let py_dict = PyDict::new(py); + for (k, v) in Self::get_fields() { + py_dict.set_item(k, v)?; + } + + Ok(py_dict) + } + + #[staticmethod] + #[pyo3(name = "from_json")] + fn py_from_json(data: Vec) -> PyResult { + Self::from_json_bytes(data).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_msgpack")] + fn py_from_msgpack(data: Vec) -> PyResult { + Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) + } + + /// Return JSON encoded bytes representation of the object. + #[pyo3(name = "as_json")] + fn py_as_json(&self, py: Python<'_>) -> Py { + // Unwrapping is safe when serializing a valid object + self.as_json_bytes().unwrap().into_py(py) + } + + /// Return MsgPack encoded bytes representation of the object. + #[pyo3(name = "as_msgpack")] + fn py_as_msgpack(&self, py: Python<'_>) -> Py { + // Unwrapping is safe when serializing a valid object + self.as_msgpack_bytes().unwrap().into_py(py) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use rstest::rstest; + + use super::*; + use crate::data::delta::stubs::stub_delta; + + #[rstest] + fn test_as_dict(stub_delta: OrderBookDelta) { + pyo3::prepare_freethreaded_python(); + let delta = stub_delta; + + Python::with_gil(|py| { + let dict_string = delta.py_as_dict(py).unwrap().to_string(); + let expected_string = r#"{'type': 'OrderBookDelta', 'instrument_id': 'AAPL.NASDAQ', 'action': 'ADD', 'order': {'side': 'BUY', 'price': '100.00', 'size': '10', 'order_id': 123456}, 'flags': 0, 'sequence': 1, 'ts_event': 1, 'ts_init': 2}"#; + assert_eq!(dict_string, expected_string); + }); + } + + #[rstest] + fn test_from_dict(stub_delta: OrderBookDelta) { + pyo3::prepare_freethreaded_python(); + let delta = stub_delta; + + Python::with_gil(|py| { + let dict = delta.py_as_dict(py).unwrap(); + let parsed = OrderBookDelta::py_from_dict(py, dict).unwrap(); + assert_eq!(parsed, delta); + }); + } + + #[rstest] + fn test_from_pyobject(stub_delta: OrderBookDelta) { + pyo3::prepare_freethreaded_python(); + let delta = stub_delta; + + Python::with_gil(|py| { + let delta_pyobject = delta.into_py(py); + let parsed_delta = OrderBookDelta::from_pyobject(delta_pyobject.as_ref(py)).unwrap(); + assert_eq!(parsed_delta, delta); + }); + } +} diff --git a/nautilus_core/model/src/python/data/mod.rs b/nautilus_core/model/src/python/data/mod.rs new file mode 100644 index 000000000000..39541658833a --- /dev/null +++ b/nautilus_core/model/src/python/data/mod.rs @@ -0,0 +1,21 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod bar; +pub mod delta; +pub mod order; +pub mod quote; +pub mod ticker; +pub mod trade; diff --git a/nautilus_core/model/src/python/data/order.rs b/nautilus_core/model/src/python/data/order.rs new file mode 100644 index 000000000000..9d60151a066f --- /dev/null +++ b/nautilus_core/model/src/python/data/order.rs @@ -0,0 +1,179 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::hash_map::DefaultHasher, + hash::{Hash, Hasher}, +}; + +use nautilus_core::{ + python::{serialization::from_dict_pyo3, to_pyvalue_err}, + serialization::Serializable, +}; +use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict}; + +use crate::{ + data::order::{BookOrder, OrderId}, + enums::OrderSide, + python::PY_MODULE_MODEL, + types::{price::Price, quantity::Quantity}, +}; + +#[pymethods] +impl BookOrder { + #[new] + fn py_new(side: OrderSide, price: Price, size: Quantity, order_id: OrderId) -> Self { + Self::new(side, price, size, order_id) + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("{self:?}") + } + + #[getter] + fn side(&self) -> OrderSide { + self.side + } + + #[getter] + fn price(&self) -> Price { + self.price + } + + #[getter] + fn size(&self) -> Quantity { + self.size + } + + #[getter] + fn order_id(&self) -> u64 { + self.order_id + } + + #[staticmethod] + #[pyo3(name = "fully_qualified_name")] + fn py_fully_qualified_name() -> String { + format!("{}:{}", PY_MODULE_MODEL, stringify!(BookOrder)) + } + + #[pyo3(name = "exposure")] + fn py_exposure(&self) -> f64 { + self.exposure() + } + + #[pyo3(name = "signed_size")] + fn py_signed_size(&self) -> f64 { + self.signed_size() + } + + /// Return a dictionary representation of the object. + #[pyo3(name = "as_dict")] + pub fn py_as_dict(&self, py: Python<'_>) -> PyResult> { + // Serialize object to JSON bytes + let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; + // Parse JSON into a Python dictionary + let py_dict: Py = PyModule::import(py, "json")? + .call_method("loads", (json_str,), None)? + .extract()?; + Ok(py_dict) + } + + /// Return a new object from the given dictionary representation. + #[staticmethod] + #[pyo3(name = "from_dict")] + pub fn py_from_dict(py: Python<'_>, values: Py) -> PyResult { + from_dict_pyo3(py, values) + } + + #[staticmethod] + #[pyo3(name = "from_json")] + fn py_from_json(data: Vec) -> PyResult { + Self::from_json_bytes(data).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_msgpack")] + fn py_from_msgpack(data: Vec) -> PyResult { + Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) + } + + /// Return JSON encoded bytes representation of the object. + #[pyo3(name = "as_json")] + fn py_as_json(&self, py: Python<'_>) -> Py { + // Unwrapping is safe when serializing a valid object + self.as_json_bytes().unwrap().into_py(py) + } + + /// Return MsgPack encoded bytes representation of the object. + #[pyo3(name = "as_msgpack")] + fn py_as_msgpack(&self, py: Python<'_>) -> Py { + // Unwrapping is safe when serializing a valid object + self.as_msgpack_bytes().unwrap().into_py(py) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use rstest::rstest; + + use super::*; + use crate::data::order::stubs::stub_book_order; + + #[rstest] + fn test_as_dict(stub_book_order: BookOrder) { + pyo3::prepare_freethreaded_python(); + let book_order = stub_book_order; + + Python::with_gil(|py| { + let dict_string = book_order.py_as_dict(py).unwrap().to_string(); + let expected_string = + r#"{'side': 'BUY', 'price': '100.00', 'size': '10', 'order_id': 123456}"#; + assert_eq!(dict_string, expected_string); + }); + } + + #[rstest] + fn test_from_dict(stub_book_order: BookOrder) { + pyo3::prepare_freethreaded_python(); + let book_order = stub_book_order; + + Python::with_gil(|py| { + let dict = book_order.py_as_dict(py).unwrap(); + let parsed = BookOrder::py_from_dict(py, dict).unwrap(); + assert_eq!(parsed, book_order); + }); + } +} diff --git a/nautilus_core/model/src/python/data/quote.rs b/nautilus_core/model/src/python/data/quote.rs new file mode 100644 index 000000000000..1b2f970e5837 --- /dev/null +++ b/nautilus_core/model/src/python/data/quote.rs @@ -0,0 +1,356 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::{hash_map::DefaultHasher, HashMap}, + hash::{Hash, Hasher}, + str::FromStr, +}; + +use nautilus_core::{ + python::{serialization::from_dict_pyo3, to_pyvalue_err}, + serialization::Serializable, + time::UnixNanos, +}; +use pyo3::{ + prelude::*, + pyclass::CompareOp, + types::{PyDict, PyLong, PyString, PyTuple}, +}; + +use crate::{ + data::quote::QuoteTick, + enums::PriceType, + identifiers::instrument_id::InstrumentId, + python::PY_MODULE_MODEL, + types::{price::Price, quantity::Quantity}, +}; + +#[pymethods] +impl QuoteTick { + #[new] + fn py_new( + instrument_id: InstrumentId, + bid_price: Price, + ask_price: Price, + bid_size: Quantity, + ask_size: Quantity, + ts_event: UnixNanos, + ts_init: UnixNanos, + ) -> PyResult { + Self::new( + instrument_id, + bid_price, + ask_price, + bid_size, + ask_size, + ts_event, + ts_init, + ) + .map_err(to_pyvalue_err) + } + + fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { + let tuple: ( + &PyString, + &PyLong, + &PyLong, + &PyLong, + &PyLong, + &PyLong, + &PyLong, + &PyLong, + &PyLong, + &PyLong, + &PyLong, + ) = state.extract(py)?; + let instrument_id_str: &str = tuple.0.extract()?; + let bid_price_raw = tuple.1.extract()?; + let ask_price_raw = tuple.2.extract()?; + let bid_price_prec = tuple.3.extract()?; + let ask_price_prec = tuple.4.extract()?; + + let bid_size_raw = tuple.5.extract()?; + let ask_size_raw = tuple.6.extract()?; + let bid_size_prec = tuple.7.extract()?; + let ask_size_prec = tuple.8.extract()?; + + self.instrument_id = InstrumentId::from_str(instrument_id_str).map_err(to_pyvalue_err)?; + self.bid_price = Price::from_raw(bid_price_raw, bid_price_prec).map_err(to_pyvalue_err)?; + self.ask_price = Price::from_raw(ask_price_raw, ask_price_prec).map_err(to_pyvalue_err)?; + self.bid_size = Quantity::from_raw(bid_size_raw, bid_size_prec).map_err(to_pyvalue_err)?; + self.ask_size = Quantity::from_raw(ask_size_raw, ask_size_prec).map_err(to_pyvalue_err)?; + self.ts_event = tuple.9.extract()?; + self.ts_init = tuple.10.extract()?; + + Ok(()) + } + + fn __getstate__(&self, _py: Python) -> PyResult { + Ok(( + self.instrument_id.to_string(), + self.bid_price.raw, + self.ask_price.raw, + self.bid_price.precision, + self.ask_price.precision, + self.bid_size.raw, + self.ask_size.raw, + self.bid_size.precision, + self.ask_size.precision, + self.ts_event, + self.ts_init, + ) + .to_object(_py)) + } + + fn __reduce__(&self, py: Python) -> PyResult { + let safe_constructor = py.get_type::().getattr("_safe_constructor")?; + let state = self.__getstate__(py)?; + Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) + } + + #[staticmethod] + fn _safe_constructor() -> PyResult { + Ok(Self::new( + InstrumentId::from("NULL.NULL"), + Price::zero(0), + Price::zero(0), + Quantity::zero(0), + Quantity::zero(0), + 0, + 0, + ) + .unwrap()) // Safe default + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("{}({})", stringify!(QuoteTick), self) + } + + #[getter] + fn instrument_id(&self) -> InstrumentId { + self.instrument_id + } + + #[getter] + fn bid_price(&self) -> Price { + self.bid_price + } + + #[getter] + fn ask_price(&self) -> Price { + self.ask_price + } + + #[getter] + fn bid_size(&self) -> Quantity { + self.bid_size + } + + #[getter] + fn ask_size(&self) -> Quantity { + self.ask_size + } + + #[getter] + fn ts_event(&self) -> UnixNanos { + self.ts_event + } + + #[getter] + fn ts_init(&self) -> UnixNanos { + self.ts_init + } + + #[staticmethod] + #[pyo3(name = "fully_qualified_name")] + fn py_fully_qualified_name() -> String { + format!("{}:{}", PY_MODULE_MODEL, stringify!(QuoteTick)) + } + + #[pyo3(name = "extract_price")] + fn py_extract_price(&self, price_type: PriceType) -> PyResult { + Ok(self.extract_price(price_type)) + } + + #[pyo3(name = "extract_volume")] + fn py_extract_volume(&self, price_type: PriceType) -> PyResult { + Ok(self.extract_volume(price_type)) + } + + /// Return a dictionary representation of the object. + #[pyo3(name = "as_dict")] + fn py_as_dict(&self, py: Python<'_>) -> PyResult> { + // Serialize object to JSON bytes + let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; + // Parse JSON into a Python dictionary + let py_dict: Py = PyModule::import(py, "json")? + .call_method("loads", (json_str,), None)? + .extract()?; + Ok(py_dict) + } + + #[staticmethod] + #[pyo3(name = "from_raw")] + #[allow(clippy::too_many_arguments)] + fn py_from_raw( + _py: Python<'_>, + instrument_id: InstrumentId, + bid_price_raw: i64, + ask_price_raw: i64, + bid_price_prec: u8, + ask_price_prec: u8, + bid_size_raw: u64, + ask_size_raw: u64, + bid_size_prec: u8, + ask_size_prec: u8, + ts_event: UnixNanos, + ts_init: UnixNanos, + ) -> PyResult { + QuoteTick::new( + instrument_id, + Price::from_raw(bid_price_raw, bid_price_prec).map_err(to_pyvalue_err)?, + Price::from_raw(ask_price_raw, ask_price_prec).map_err(to_pyvalue_err)?, + Quantity::from_raw(bid_size_raw, bid_size_prec).map_err(to_pyvalue_err)?, + Quantity::from_raw(ask_size_raw, ask_size_prec).map_err(to_pyvalue_err)?, + ts_event, + ts_init, + ) + .map_err(to_pyvalue_err) + } + + /// Return a new object from the given dictionary representation. + #[staticmethod] + #[pyo3(name = "from_dict")] + fn py_from_dict(py: Python<'_>, values: Py) -> PyResult { + from_dict_pyo3(py, values) + } + + #[staticmethod] + #[pyo3(name = "get_metadata")] + fn py_get_metadata( + instrument_id: &InstrumentId, + price_precision: u8, + size_precision: u8, + ) -> PyResult> { + Ok(Self::get_metadata( + instrument_id, + price_precision, + size_precision, + )) + } + + #[staticmethod] + #[pyo3(name = "get_fields")] + fn py_get_fields(py: Python<'_>) -> PyResult<&PyDict> { + let py_dict = PyDict::new(py); + for (k, v) in Self::get_fields() { + py_dict.set_item(k, v)?; + } + + Ok(py_dict) + } + + #[staticmethod] + #[pyo3(name = "from_json")] + fn py_from_json(data: Vec) -> PyResult { + Self::from_json_bytes(data).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_msgpack")] + fn py_from_msgpack(data: Vec) -> PyResult { + Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) + } + + /// Return JSON encoded bytes representation of the object. + #[pyo3(name = "as_json")] + fn py_as_json(&self, py: Python<'_>) -> Py { + // Unwrapping is safe when serializing a valid object + self.as_json_bytes().unwrap().into_py(py) + } + + /// Return MsgPack encoded bytes representation of the object. + #[pyo3(name = "as_msgpack")] + fn py_as_msgpack(&self, py: Python<'_>) -> Py { + // Unwrapping is safe when serializing a valid object + self.as_msgpack_bytes().unwrap().into_py(py) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use pyo3::{IntoPy, Python}; + use rstest::rstest; + + use crate::data::quote::{stubs::*, QuoteTick}; + + #[rstest] + fn test_as_dict(quote_tick_ethusdt_binance: QuoteTick) { + pyo3::prepare_freethreaded_python(); + let tick = quote_tick_ethusdt_binance; + + Python::with_gil(|py| { + let dict_string = tick.py_as_dict(py).unwrap().to_string(); + let expected_string = r#"{'type': 'QuoteTick', 'instrument_id': 'ETHUSDT-PERP.BINANCE', 'bid_price': '10000.0000', 'ask_price': '10001.0000', 'bid_size': '1.00000000', 'ask_size': '1.00000000', 'ts_event': 0, 'ts_init': 1}"#; + assert_eq!(dict_string, expected_string); + }); + } + + #[rstest] + fn test_from_dict(quote_tick_ethusdt_binance: QuoteTick) { + pyo3::prepare_freethreaded_python(); + let tick = quote_tick_ethusdt_binance; + + Python::with_gil(|py| { + let dict = tick.py_as_dict(py).unwrap(); + let parsed = QuoteTick::py_from_dict(py, dict).unwrap(); + assert_eq!(parsed, tick); + }); + } + + #[rstest] + fn test_from_pyobject(quote_tick_ethusdt_binance: QuoteTick) { + pyo3::prepare_freethreaded_python(); + let tick = quote_tick_ethusdt_binance; + + Python::with_gil(|py| { + let tick_pyobject = tick.into_py(py); + let parsed_tick = QuoteTick::from_pyobject(tick_pyobject.as_ref(py)).unwrap(); + assert_eq!(parsed_tick, tick); + }); + } +} diff --git a/nautilus_core/model/src/python/data/ticker.rs b/nautilus_core/model/src/python/data/ticker.rs new file mode 100644 index 000000000000..4fdd4ad5f5ea --- /dev/null +++ b/nautilus_core/model/src/python/data/ticker.rs @@ -0,0 +1,126 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::hash_map::DefaultHasher, + hash::{Hash, Hasher}, +}; + +use nautilus_core::{ + python::{serialization::from_dict_pyo3, to_pyvalue_err}, + serialization::Serializable, + time::UnixNanos, +}; +use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict}; + +use crate::{ + data::ticker::Ticker, identifiers::instrument_id::InstrumentId, python::PY_MODULE_MODEL, +}; + +#[pymethods] +impl Ticker { + #[new] + fn py_new(instrument_id: InstrumentId, ts_event: UnixNanos, ts_init: UnixNanos) -> Self { + Self::new(instrument_id, ts_event, ts_init) + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("{self:?}") + } + + #[getter] + fn instrument_id(&self) -> InstrumentId { + self.instrument_id + } + + #[getter] + fn ts_event(&self) -> UnixNanos { + self.ts_event + } + + #[getter] + fn ts_init(&self) -> UnixNanos { + self.ts_init + } + + #[staticmethod] + #[pyo3(name = "fully_qualified_name")] + fn py_fully_qualified_name() -> String { + format!("{}:{}", PY_MODULE_MODEL, stringify!(Ticker)) + } + + /// Return a dictionary representation of the object. + #[pyo3(name = "as_dict")] + pub fn py_as_dict(&self, py: Python<'_>) -> PyResult> { + // Serialize object to JSON bytes + let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; + // Parse JSON into a Python dictionary + let py_dict: Py = PyModule::import(py, "json")? + .call_method("loads", (json_str,), None)? + .extract()?; + Ok(py_dict) + } + + /// Return a new object from the given dictionary representation. + #[staticmethod] + #[pyo3(name = "from_dict")] + pub fn py_from_dict(py: Python<'_>, values: Py) -> PyResult { + from_dict_pyo3(py, values) + } + + #[staticmethod] + #[pyo3(name = "from_json")] + fn py_from_json(data: Vec) -> PyResult { + Self::from_json_bytes(data).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_msgpack")] + fn py_from_msgpack(data: Vec) -> PyResult { + Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) + } + + /// Return JSON encoded bytes representation of the object. + #[pyo3(name = "as_json")] + fn py_as_json(&self, py: Python<'_>) -> Py { + // Unwrapping is safe when serializing a valid object + self.as_json_bytes().unwrap().into_py(py) + } + + /// Return MsgPack encoded bytes representation of the object. + #[pyo3(name = "as_msgpack")] + fn py_as_msgpack(&self, py: Python<'_>) -> Py { + // Unwrapping is safe when serializing a valid object + self.as_msgpack_bytes().unwrap().into_py(py) + } +} diff --git a/nautilus_core/model/src/python/data/trade.rs b/nautilus_core/model/src/python/data/trade.rs new file mode 100644 index 000000000000..d52477d3f6c3 --- /dev/null +++ b/nautilus_core/model/src/python/data/trade.rs @@ -0,0 +1,308 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::{hash_map::DefaultHasher, HashMap}, + hash::{Hash, Hasher}, + str::FromStr, +}; + +use nautilus_core::{ + python::{serialization::from_dict_pyo3, to_pyvalue_err}, + serialization::Serializable, + time::UnixNanos, +}; +use pyo3::{ + prelude::*, + pyclass::CompareOp, + types::{PyDict, PyLong, PyString, PyTuple}, +}; + +use crate::{ + data::trade::TradeTick, + enums::{AggressorSide, FromU8}, + identifiers::{instrument_id::InstrumentId, trade_id::TradeId}, + python::PY_MODULE_MODEL, + types::{price::Price, quantity::Quantity}, +}; + +#[pymethods] +impl TradeTick { + #[new] + fn py_new( + instrument_id: InstrumentId, + price: Price, + size: Quantity, + aggressor_side: AggressorSide, + trade_id: TradeId, + ts_event: UnixNanos, + ts_init: UnixNanos, + ) -> Self { + Self::new( + instrument_id, + price, + size, + aggressor_side, + trade_id, + ts_event, + ts_init, + ) + } + + fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { + let tuple: ( + &PyString, + &PyLong, + &PyLong, + &PyLong, + &PyLong, + &PyLong, + &PyString, + &PyLong, + &PyLong, + ) = state.extract(py)?; + let instrument_id_str: &str = tuple.0.extract()?; + let price_raw = tuple.1.extract()?; + let price_prec = tuple.2.extract()?; + let size_raw = tuple.3.extract()?; + let size_prec = tuple.4.extract()?; + let aggressor_side_u8 = tuple.5.extract()?; + let trade_id_str = tuple.6.extract()?; + + self.instrument_id = InstrumentId::from_str(instrument_id_str).map_err(to_pyvalue_err)?; + self.price = Price::from_raw(price_raw, price_prec).map_err(to_pyvalue_err)?; + self.size = Quantity::from_raw(size_raw, size_prec).map_err(to_pyvalue_err)?; + self.aggressor_side = AggressorSide::from_u8(aggressor_side_u8).unwrap(); + self.trade_id = TradeId::from_str(trade_id_str).map_err(to_pyvalue_err)?; + self.ts_event = tuple.7.extract()?; + self.ts_init = tuple.8.extract()?; + + Ok(()) + } + + fn __getstate__(&self, _py: Python) -> PyResult { + Ok(( + self.instrument_id.to_string(), + self.price.raw, + self.price.precision, + self.size.raw, + self.size.precision, + self.aggressor_side as u8, + self.trade_id.to_string(), + self.ts_event, + self.ts_init, + ) + .to_object(_py)) + } + + fn __reduce__(&self, py: Python) -> PyResult { + let safe_constructor = py.get_type::().getattr("_safe_constructor")?; + let state = self.__getstate__(py)?; + Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) + } + + #[staticmethod] + fn _safe_constructor() -> PyResult { + Ok(Self::new( + InstrumentId::from("NULL.NULL"), + Price::zero(0), + Quantity::zero(0), + AggressorSide::NoAggressor, + TradeId::from("NULL"), + 0, + 0, + )) + // Safe default + } + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("{}({})", stringify!(TradeTick), self) + } + + #[getter] + fn instrument_id(&self) -> InstrumentId { + self.instrument_id + } + + #[getter] + fn price(&self) -> Price { + self.price + } + + #[getter] + fn size(&self) -> Quantity { + self.size + } + + #[getter] + fn aggressor_side(&self) -> AggressorSide { + self.aggressor_side + } + + #[getter] + fn trade_id(&self) -> TradeId { + self.trade_id + } + + #[getter] + fn ts_event(&self) -> UnixNanos { + self.ts_event + } + + #[getter] + fn ts_init(&self) -> UnixNanos { + self.ts_init + } + + #[staticmethod] + #[pyo3(name = "fully_qualified_name")] + fn py_fully_qualified_name() -> String { + format!("{}:{}", PY_MODULE_MODEL, stringify!(TradeTick)) + } + + /// Return a dictionary representation of the object. + #[pyo3(name = "as_dict")] + fn py_as_dict(&self, py: Python<'_>) -> PyResult> { + // Serialize object to JSON bytes + let json_str = serde_json::to_string(self).map_err(to_pyvalue_err)?; + // Parse JSON into a Python dictionary + let py_dict: Py = PyModule::import(py, "json")? + .call_method("loads", (json_str,), None)? + .extract()?; + Ok(py_dict) + } + + /// Return a new object from the given dictionary representation. + #[staticmethod] + #[pyo3(name = "from_dict")] + fn py_from_dict(py: Python<'_>, values: Py) -> PyResult { + from_dict_pyo3(py, values) + } + + #[staticmethod] + #[pyo3(name = "get_metadata")] + fn py_get_metadata( + instrument_id: &InstrumentId, + price_precision: u8, + size_precision: u8, + ) -> PyResult> { + Ok(Self::get_metadata( + instrument_id, + price_precision, + size_precision, + )) + } + + #[staticmethod] + #[pyo3(name = "get_fields")] + fn py_get_fields(py: Python<'_>) -> PyResult<&PyDict> { + let py_dict = PyDict::new(py); + for (k, v) in Self::get_fields() { + py_dict.set_item(k, v)?; + } + + Ok(py_dict) + } + + #[staticmethod] + #[pyo3(name = "from_json")] + fn py_from_json(data: Vec) -> PyResult { + Self::from_json_bytes(data).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_msgpack")] + fn py_from_msgpack(data: Vec) -> PyResult { + Self::from_msgpack_bytes(data).map_err(to_pyvalue_err) + } + + /// Return JSON encoded bytes representation of the object. + #[pyo3(name = "as_json")] + fn py_as_json(&self, py: Python<'_>) -> Py { + // SAFETY: Unwrapping is safe when serializing a valid object + self.as_json_bytes().unwrap().into_py(py) + } + + /// Return MsgPack encoded bytes representation of the object. + #[pyo3(name = "as_msgpack")] + fn py_as_msgpack(&self, py: Python<'_>) -> Py { + // SAFETY: Unwrapping is safe when serializing a valid object + self.as_msgpack_bytes().unwrap().into_py(py) + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use pyo3::{IntoPy, Python}; + use rstest::rstest; + + use crate::data::trade::{stubs::*, TradeTick}; + + #[rstest] + fn test_as_dict(trade_tick_ethusdt_buyer: TradeTick) { + pyo3::prepare_freethreaded_python(); + let tick = trade_tick_ethusdt_buyer; + + Python::with_gil(|py| { + let dict_string = tick.py_as_dict(py).unwrap().to_string(); + 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}"#; + assert_eq!(dict_string, expected_string); + }); + } + + #[rstest] + fn test_from_dict(trade_tick_ethusdt_buyer: TradeTick) { + pyo3::prepare_freethreaded_python(); + let tick = trade_tick_ethusdt_buyer; + + Python::with_gil(|py| { + let dict = tick.py_as_dict(py).unwrap(); + let parsed = TradeTick::py_from_dict(py, dict).unwrap(); + assert_eq!(parsed, tick); + }); + } + + #[rstest] + fn test_from_pyobject(trade_tick_ethusdt_buyer: TradeTick) { + pyo3::prepare_freethreaded_python(); + let tick = trade_tick_ethusdt_buyer; + + Python::with_gil(|py| { + let tick_pyobject = tick.into_py(py); + let parsed_tick = TradeTick::from_pyobject(tick_pyobject.as_ref(py)).unwrap(); + assert_eq!(parsed_tick, tick); + }); + } +} diff --git a/nautilus_core/model/src/python/identifiers/instrument_id.rs b/nautilus_core/model/src/python/identifiers/instrument_id.rs new file mode 100644 index 000000000000..d886f061c136 --- /dev/null +++ b/nautilus_core/model/src/python/identifiers/instrument_id.rs @@ -0,0 +1,113 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::hash_map::DefaultHasher, + hash::{Hash, Hasher}, + str::FromStr, +}; + +use nautilus_core::python::to_pyvalue_err; +use pyo3::{ + prelude::*, + pyclass::CompareOp, + types::{PyString, PyTuple}, +}; + +use crate::identifiers::{instrument_id::InstrumentId, symbol::Symbol, venue::Venue}; + +#[pymethods] +impl InstrumentId { + #[new] + fn py_new(symbol: Symbol, venue: Venue) -> PyResult { + Ok(InstrumentId::new(symbol, venue)) + } + + fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { + let tuple: (&PyString, &PyString) = state.extract(py)?; + self.symbol = Symbol::new(tuple.0.extract()?).map_err(to_pyvalue_err)?; + self.venue = Venue::new(tuple.1.extract()?).map_err(to_pyvalue_err)?; + Ok(()) + } + + fn __getstate__(&self, py: Python) -> PyResult { + Ok((self.symbol.to_string(), self.venue.to_string()).to_object(py)) + } + + fn __reduce__(&self, py: Python) -> PyResult { + let safe_constructor = py.get_type::().getattr("_safe_constructor")?; + let state = self.__getstate__(py)?; + Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) + } + + #[staticmethod] + fn _safe_constructor() -> PyResult { + Ok(InstrumentId::from_str("NULL.NULL").unwrap()) // Safe default + } + + fn __richcmp__(&self, other: PyObject, op: CompareOp, py: Python<'_>) -> Py { + if let Ok(other) = other.extract::(py) { + match op { + CompareOp::Eq => self.eq(&other).into_py(py), + CompareOp::Ne => self.ne(&other).into_py(py), + _ => py.NotImplemented(), + } + } else { + py.NotImplemented() + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("{}('{}')", stringify!(InstrumentId), self) + } + + #[getter] + #[pyo3(name = "symbol")] + fn py_symbol(&self) -> Symbol { + self.symbol + } + + #[getter] + #[pyo3(name = "venue")] + fn py_venue(&self) -> Venue { + self.venue + } + + #[getter] + fn value(&self) -> String { + self.to_string() + } + + #[staticmethod] + #[pyo3(name = "from_str")] + fn py_from_str(value: &str) -> PyResult { + InstrumentId::from_str(value).map_err(to_pyvalue_err) + } + + #[pyo3(name = "is_synthetic")] + fn py_is_synthetic(&self) -> bool { + self.is_synthetic() + } +} diff --git a/nautilus_core/model/src/python/identifiers/mod.rs b/nautilus_core/model/src/python/identifiers/mod.rs new file mode 100644 index 000000000000..039f096dcac1 --- /dev/null +++ b/nautilus_core/model/src/python/identifiers/mod.rs @@ -0,0 +1,16 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod instrument_id; diff --git a/nautilus_core/model/src/python/instruments/crypto_future.rs b/nautilus_core/model/src/python/instruments/crypto_future.rs new file mode 100644 index 000000000000..feec9d6a119a --- /dev/null +++ b/nautilus_core/model/src/python/instruments/crypto_future.rs @@ -0,0 +1,156 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::hash_map::DefaultHasher, + hash::{Hash, Hasher}, +}; + +use nautilus_core::{ + python::{serialization::from_dict_pyo3, to_pyvalue_err}, + time::UnixNanos, +}; +use pyo3::{basic::CompareOp, prelude::*, types::PyDict}; +use rust_decimal::{prelude::ToPrimitive, Decimal}; + +use crate::{ + identifiers::{instrument_id::InstrumentId, symbol::Symbol}, + instruments::crypto_future::CryptoFuture, + types::{currency::Currency, money::Money, price::Price, quantity::Quantity}, +}; + +#[pymethods] +impl CryptoFuture { + #[allow(clippy::too_many_arguments)] + #[new] + fn py_new( + id: InstrumentId, + raw_symbol: Symbol, + underlying: Currency, + quote_currency: Currency, + settlement_currency: Currency, + expiration: UnixNanos, + price_precision: u8, + size_precision: u8, + price_increment: Price, + size_increment: Quantity, + margin_init: Decimal, + margin_maint: Decimal, + maker_fee: Decimal, + taker_fee: Decimal, + lot_size: Option, + max_quantity: Option, + min_quantity: Option, + max_notional: Option, + min_notional: Option, + max_price: Option, + min_price: Option, + ) -> PyResult { + Self::new( + id, + raw_symbol, + underlying, + quote_currency, + settlement_currency, + expiration, + price_precision, + size_precision, + price_increment, + size_increment, + margin_init, + margin_maint, + maker_fee, + taker_fee, + lot_size, + max_quantity, + min_quantity, + max_notional, + min_notional, + max_price, + min_price, + ) + .map_err(to_pyvalue_err) + } + + fn __hash__(&self) -> isize { + let mut hasher = DefaultHasher::new(); + self.hash(&mut hasher); + hasher.finish() as isize + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + _ => panic!("Not implemented"), + } + } + + #[staticmethod] + #[pyo3(name = "from_dict")] + fn py_from_dict(py: Python<'_>, values: Py) -> PyResult { + from_dict_pyo3(py, values) + } + #[pyo3(name = "to_dict")] + fn py_to_dict(&self, py: Python<'_>) -> PyResult { + let dict = PyDict::new(py); + dict.set_item("type", stringify!(CryptoPerpetual))?; + dict.set_item("id", self.id.to_string())?; + dict.set_item("raw_symbol", self.raw_symbol.to_string())?; + dict.set_item("underlying", self.underlying.code.to_string())?; + dict.set_item("quote_currency", self.quote_currency.code.to_string())?; + dict.set_item( + "settlement_currency", + self.settlement_currency.code.to_string(), + )?; + dict.set_item("expiration", self.expiration.to_i64())?; + dict.set_item("price_precision", self.price_precision)?; + dict.set_item("size_precision", self.size_precision)?; + dict.set_item("price_increment", self.price_increment.to_string())?; + dict.set_item("size_increment", self.size_increment.to_string())?; + dict.set_item("margin_init", self.margin_init.to_f64())?; + dict.set_item("margin_maint", self.margin_maint.to_f64())?; + dict.set_item("maker_fee", self.margin_init.to_f64())?; + dict.set_item("taker_fee", self.margin_init.to_f64())?; + match self.lot_size { + Some(value) => dict.set_item("lot_size", value.to_string())?, + None => dict.set_item("lot_size", py.None())?, + } + match self.max_quantity { + Some(value) => dict.set_item("max_quantity", value.to_string())?, + None => dict.set_item("max_quantity", py.None())?, + } + match self.min_quantity { + Some(value) => dict.set_item("min_quantity", value.to_string())?, + None => dict.set_item("min_quantity", py.None())?, + } + match self.max_notional { + Some(value) => dict.set_item("max_notional", value.to_string())?, + None => dict.set_item("max_notional", py.None())?, + } + match self.min_notional { + Some(value) => dict.set_item("min_notional", value.to_string())?, + None => dict.set_item("min_notional", py.None())?, + } + match self.max_price { + Some(value) => dict.set_item("max_price", value.to_string())?, + None => dict.set_item("max_price", py.None())?, + } + match self.min_price { + Some(value) => dict.set_item("min_price", value.to_string())?, + None => dict.set_item("min_price", py.None())?, + } + Ok(dict.into()) + } +} diff --git a/nautilus_core/model/src/python/instruments/crypto_perpetual.rs b/nautilus_core/model/src/python/instruments/crypto_perpetual.rs new file mode 100644 index 000000000000..8387ae95719d --- /dev/null +++ b/nautilus_core/model/src/python/instruments/crypto_perpetual.rs @@ -0,0 +1,151 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::hash_map::DefaultHasher, + hash::{Hash, Hasher}, +}; + +use nautilus_core::python::{serialization::from_dict_pyo3, to_pyvalue_err}; +use pyo3::{basic::CompareOp, prelude::*, types::PyDict}; +use rust_decimal::{prelude::ToPrimitive, Decimal}; + +use crate::{ + identifiers::{instrument_id::InstrumentId, symbol::Symbol}, + instruments::crypto_perpetual::CryptoPerpetual, + types::{currency::Currency, money::Money, price::Price, quantity::Quantity}, +}; + +#[pymethods] +impl CryptoPerpetual { + #[allow(clippy::too_many_arguments)] + #[new] + fn py_new( + id: InstrumentId, + symbol: Symbol, + base_currency: Currency, + quote_currency: Currency, + settlement_currency: Currency, + price_precision: u8, + size_precision: u8, + price_increment: Price, + size_increment: Quantity, + margin_init: Decimal, + margin_maint: Decimal, + maker_fee: Decimal, + taker_fee: Decimal, + lot_size: Option, + max_quantity: Option, + min_quantity: Option, + max_notional: Option, + min_notional: Option, + max_price: Option, + min_price: Option, + ) -> PyResult { + Self::new( + id, + symbol, + base_currency, + quote_currency, + settlement_currency, + price_precision, + size_precision, + price_increment, + size_increment, + margin_init, + margin_maint, + maker_fee, + taker_fee, + lot_size, + max_quantity, + min_quantity, + max_notional, + min_notional, + max_price, + min_price, + ) + .map_err(to_pyvalue_err) + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + _ => panic!("Not implemented"), + } + } + + fn __hash__(&self) -> isize { + let mut hasher = DefaultHasher::new(); + self.hash(&mut hasher); + hasher.finish() as isize + } + + #[staticmethod] + #[pyo3(name = "from_dict")] + fn py_from_dict(py: Python<'_>, values: Py) -> PyResult { + from_dict_pyo3(py, values) + } + + #[pyo3(name = "to_dict")] + fn py_to_dict(&self, py: Python<'_>) -> PyResult { + let dict = PyDict::new(py); + dict.set_item("type", stringify!(CryptoPerpetual))?; + dict.set_item("id", self.id.to_string())?; + dict.set_item("raw_symbol", self.raw_symbol.to_string())?; + dict.set_item("base_currency", self.base_currency.code.to_string())?; + dict.set_item("quote_currency", self.quote_currency.code.to_string())?; + dict.set_item( + "settlement_currency", + self.settlement_currency.code.to_string(), + )?; + dict.set_item("price_precision", self.price_precision)?; + dict.set_item("size_precision", self.size_precision)?; + dict.set_item("price_increment", self.price_increment.to_string())?; + dict.set_item("size_increment", self.size_increment.to_string())?; + dict.set_item("margin_init", self.margin_init.to_f64())?; + dict.set_item("margin_maint", self.margin_maint.to_f64())?; + dict.set_item("maker_fee", self.margin_init.to_f64())?; + dict.set_item("taker_fee", self.margin_init.to_f64())?; + match self.lot_size { + Some(value) => dict.set_item("lot_size", value.to_string())?, + None => dict.set_item("lot_size", py.None())?, + } + match self.max_quantity { + Some(value) => dict.set_item("max_quantity", value.to_string())?, + None => dict.set_item("max_quantity", py.None())?, + } + match self.min_quantity { + Some(value) => dict.set_item("min_quantity", value.to_string())?, + None => dict.set_item("min_quantity", py.None())?, + } + match self.max_notional { + Some(value) => dict.set_item("max_notional", value.to_string())?, + None => dict.set_item("max_notional", py.None())?, + } + match self.min_notional { + Some(value) => dict.set_item("min_notional", value.to_string())?, + None => dict.set_item("min_notional", py.None())?, + } + match self.max_price { + Some(value) => dict.set_item("max_price", value.to_string())?, + None => dict.set_item("max_price", py.None())?, + } + match self.min_price { + Some(value) => dict.set_item("min_price", value.to_string())?, + None => dict.set_item("min_price", py.None())?, + } + Ok(dict.into()) + } +} diff --git a/nautilus_core/model/src/python/instruments/mod.rs b/nautilus_core/model/src/python/instruments/mod.rs new file mode 100644 index 000000000000..02118ec9c5b5 --- /dev/null +++ b/nautilus_core/model/src/python/instruments/mod.rs @@ -0,0 +1,17 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod crypto_future; +pub mod crypto_perpetual; diff --git a/nautilus_core/model/src/python/macros.rs b/nautilus_core/model/src/python/macros.rs new file mode 100644 index 000000000000..c34c82eb9685 --- /dev/null +++ b/nautilus_core/model/src/python/macros.rs @@ -0,0 +1,139 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +#[macro_export] +macro_rules! enum_for_python { + ($type:ty) => { + #[pymethods] + impl $type { + #[new] + fn py_new(py: Python<'_>, value: &PyAny) -> PyResult { + let t = Self::type_object(py); + Self::py_from_str(t, value) + } + + fn __hash__(&self) -> isize { + *self as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!( + "<{}.{}: '{}'>", + stringify!($type), + self.name(), + self.value(), + ) + } + + #[getter] + pub fn name(&self) -> String { + self.to_string() + } + + #[getter] + pub fn value(&self) -> u8 { + *self as u8 + } + + #[classmethod] + fn variants(_: &PyType, py: Python<'_>) -> EnumIterator { + EnumIterator::new::(py) + } + + #[classmethod] + #[pyo3(name = "from_str")] + fn py_from_str(_: &PyType, data: &PyAny) -> PyResult { + let data_str: &str = data.str().and_then(|s| s.extract())?; + let tokenized = data_str.to_uppercase(); + Self::from_str(&tokenized).map_err(|e| PyValueError::new_err(format!("{e:?}"))) + } + } + }; +} + +#[macro_export] +macro_rules! identifier_for_python { + ($ty:ty) => { + #[pymethods] + impl $ty { + #[new] + fn py_new(value: &str) -> PyResult { + match <$ty>::new(value) { + Ok(instance) => Ok(instance), + Err(e) => Err(to_pyvalue_err(e)), + } + } + + fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { + let value: (&PyString,) = state.extract(py)?; + let value_str: String = value.0.extract()?; + self.value = Ustr::from_str(&value_str).map_err(to_pyvalue_err)?; + Ok(()) + } + + fn __getstate__(&self, py: Python) -> PyResult { + Ok((self.value.to_string(),).to_object(py)) + } + + fn __reduce__(&self, py: Python) -> PyResult { + let safe_constructor = py.get_type::().getattr("_safe_constructor")?; + let state = self.__getstate__(py)?; + Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) + } + + #[staticmethod] + fn _safe_constructor() -> PyResult { + Ok(<$ty>::from_str("NULL").unwrap()) // Safe default + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + CompareOp::Ge => self.ge(other).into_py(py), + CompareOp::Gt => self.gt(other).into_py(py), + CompareOp::Le => self.le(other).into_py(py), + CompareOp::Lt => self.lt(other).into_py(py), + } + } + + fn __hash__(&self) -> isize { + self.value.precomputed_hash() as isize + } + + fn __str__(&self) -> &'static str { + self.value.as_str() + } + + fn __repr__(&self) -> String { + format!( + "{}('{}')", + stringify!($ty).split("::").last().unwrap_or(""), + self.value + ) + } + + #[getter] + #[pyo3(name = "value")] + fn py_value(&self) -> String { + self.value.to_string() + } + } + }; +} diff --git a/nautilus_core/model/src/python/mod.rs b/nautilus_core/model/src/python/mod.rs new file mode 100644 index 000000000000..bd7fb0552284 --- /dev/null +++ b/nautilus_core/model/src/python/mod.rs @@ -0,0 +1,292 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use pyo3::{ + exceptions::PyValueError, + prelude::*, + types::{PyDict, PyList}, + PyResult, Python, +}; +use serde_json::Value; +use strum::IntoEnumIterator; + +use crate::enums; + +pub mod data; +pub mod identifiers; +pub mod instruments; +pub mod macros; +pub mod orders; +pub mod types; + +pub const PY_MODULE_MODEL: &str = "nautilus_trader.core.nautilus_pyo3.model"; + +/// Python iterator over the variants of an enum. +#[pyclass] +pub struct EnumIterator { + // Type erasure for code reuse. Generic types can't be exposed to Python. + iter: Box + Send>, +} + +#[pymethods] +impl EnumIterator { + fn __iter__(slf: PyRef<'_, Self>) -> PyRef<'_, Self> { + slf + } + + fn __next__(mut slf: PyRefMut<'_, Self>) -> Option { + slf.iter.next() + } +} + +impl EnumIterator { + pub fn new(py: Python<'_>) -> Self + where + E: strum::IntoEnumIterator + IntoPy>, + ::Iterator: Send, + { + Self { + iter: Box::new( + E::iter() + .map(|var| var.into_py(py)) + // Force eager evaluation because `py` isn't `Send` + .collect::>() + .into_iter(), + ), + } + } +} + +pub fn value_to_pydict(py: Python<'_>, val: &Value) -> PyResult> { + let dict = PyDict::new(py); + + match val { + Value::Object(map) => { + for (key, value) in map.iter() { + let py_value = value_to_pyobject(py, value)?; + dict.set_item(key, py_value)?; + } + } + // This shouldn't be reached in this function, but we include it for completeness + _ => return Err(PyValueError::new_err("Expected JSON object")), + } + + Ok(dict.into_py(py)) +} + +pub fn value_to_pyobject(py: Python<'_>, val: &Value) -> PyResult { + match val { + Value::Null => Ok(py.None()), + Value::Bool(b) => Ok(b.into_py(py)), + Value::String(s) => Ok(s.into_py(py)), + Value::Number(n) => { + if n.is_i64() { + Ok(n.as_i64().unwrap().into_py(py)) + } else if n.is_f64() { + Ok(n.as_f64().unwrap().into_py(py)) + } else { + Err(PyValueError::new_err("Unsupported JSON number type")) + } + } + Value::Array(arr) => { + let py_list = PyList::new(py, &[] as &[PyObject]); + for item in arr.iter() { + let py_item = value_to_pyobject(py, item)?; + py_list.append(py_item)?; + } + Ok(py_list.into()) + } + Value::Object(_) => { + let py_dict = value_to_pydict(py, val)?; + Ok(py_dict.into()) + } + } +} + +#[cfg(test)] +mod tests { + use pyo3::{ + prelude::*, + types::{PyBool, PyInt, PyList, PyString}, + }; + use rstest::rstest; + use serde_json::Value; + + use super::*; + + #[rstest] + fn test_value_to_pydict() { + Python::with_gil(|py| { + let json_str = r#" + { + "type": "OrderAccepted", + "ts_event": 42, + "is_reconciliation": false + } + "#; + + let val: Value = serde_json::from_str(json_str).unwrap(); + let py_dict_ref = value_to_pydict(py, &val).unwrap(); + let py_dict = py_dict_ref.as_ref(py); + + assert_eq!( + py_dict + .get_item("type") + .unwrap() + .downcast::() + .unwrap() + .to_str() + .unwrap(), + "OrderAccepted" + ); + assert_eq!( + py_dict + .get_item("ts_event") + .unwrap() + .downcast::() + .unwrap() + .extract::() + .unwrap(), + 42 + ); + assert_eq!( + py_dict + .get_item("is_reconciliation") + .unwrap() + .downcast::() + .unwrap() + .is_true(), + false + ); + }); + } + + #[rstest] + fn test_value_to_pyobject_string() { + Python::with_gil(|py| { + let val = Value::String("Hello, world!".to_string()); + let py_obj = value_to_pyobject(py, &val).unwrap(); + + assert_eq!(py_obj.extract::<&str>(py).unwrap(), "Hello, world!"); + }); + } + + #[rstest] + fn test_value_to_pyobject_bool() { + Python::with_gil(|py| { + let val = Value::Bool(true); + let py_obj = value_to_pyobject(py, &val).unwrap(); + + assert_eq!(py_obj.extract::(py).unwrap(), true); + }); + } + + #[rstest] + fn test_value_to_pyobject_array() { + Python::with_gil(|py| { + let val = Value::Array(vec![ + Value::String("item1".to_string()), + Value::String("item2".to_string()), + ]); + let binding = value_to_pyobject(py, &val).unwrap(); + let py_list = binding.downcast::(py).unwrap(); + + assert_eq!(py_list.len(), 2); + assert_eq!( + py_list.get_item(0).unwrap().extract::<&str>().unwrap(), + "item1" + ); + assert_eq!( + py_list.get_item(1).unwrap().extract::<&str>().unwrap(), + "item2" + ); + }); + } +} + +/// Loaded as nautilus_pyo3.model +#[pymodule] +pub fn model(_: Python<'_>, m: &PyModule) -> PyResult<()> { + // data + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + // enums + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + // identifiers + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + // orders + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + // instruments + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + Ok(()) +} diff --git a/nautilus_core/model/src/python/orderbook/mod.rs b/nautilus_core/model/src/python/orderbook/mod.rs new file mode 100644 index 000000000000..e69de29bb2d1 diff --git a/nautilus_core/model/src/python/orders/market.rs b/nautilus_core/model/src/python/orders/market.rs new file mode 100644 index 000000000000..27a71db28b7e --- /dev/null +++ b/nautilus_core/model/src/python/orders/market.rs @@ -0,0 +1,137 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::collections::HashMap; + +use nautilus_core::{time::UnixNanos, uuid::UUID4}; +use pyo3::prelude::*; +use rust_decimal::Decimal; +use ustr::Ustr; + +use crate::{ + enums::{ContingencyType, OrderSide, PositionSide, TimeInForce}, + identifiers::{ + client_order_id::ClientOrderId, exec_algorithm_id::ExecAlgorithmId, + instrument_id::InstrumentId, order_list_id::OrderListId, strategy_id::StrategyId, + trader_id::TraderId, + }, + orders::{ + base::{str_hashmap_to_ustr, OrderCore}, + market::MarketOrder, + }, + types::{currency::Currency, money::Money, quantity::Quantity}, +}; + +#[pymethods] +impl MarketOrder { + #[new] + #[pyo3(signature = ( + trader_id, + strategy_id, + instrument_id, + client_order_id, + order_side, + quantity, + init_id, + ts_init, + time_in_force=TimeInForce::Gtd, + reduce_only=false, + quote_quantity=false, + contingency_type=None, + order_list_id=None, + linked_order_ids=None, + parent_order_id=None, + exec_algorithm_id=None, + exec_algorithm_params=None, + exec_spawn_id=None, + tags=None, + ))] + #[allow(clippy::too_many_arguments)] + fn py_new( + trader_id: TraderId, + strategy_id: StrategyId, + instrument_id: InstrumentId, + client_order_id: ClientOrderId, + order_side: OrderSide, + quantity: Quantity, + init_id: UUID4, + ts_init: UnixNanos, + time_in_force: TimeInForce, + reduce_only: bool, + quote_quantity: bool, + contingency_type: Option, + order_list_id: Option, + linked_order_ids: Option>, + parent_order_id: Option, + exec_algorithm_id: Option, + exec_algorithm_params: Option>, + exec_spawn_id: Option, + tags: Option, + ) -> Self { + MarketOrder::new( + trader_id, + strategy_id, + instrument_id, + client_order_id, + order_side, + quantity, + time_in_force, + reduce_only, + quote_quantity, + contingency_type, + order_list_id, + linked_order_ids, + parent_order_id, + exec_algorithm_id, + exec_algorithm_params.map(str_hashmap_to_ustr), + exec_spawn_id, + tags.map(|s| Ustr::from(&s)), + init_id, + ts_init, + ) + } + + #[staticmethod] + #[pyo3(name = "opposite_side")] + fn py_opposite_side(side: OrderSide) -> OrderSide { + OrderCore::opposite_side(side) + } + + #[staticmethod] + #[pyo3(name = "closing_side")] + fn py_closing_side(side: PositionSide) -> OrderSide { + OrderCore::closing_side(side) + } + + #[pyo3(name = "signed_decimal_qty")] + fn py_signed_decimal_qty(&self) -> Decimal { + self.signed_decimal_qty() + } + + #[pyo3(name = "would_reduce_only")] + fn py_would_reduce_only(&self, side: PositionSide, position_qty: Quantity) -> bool { + self.would_reduce_only(side, position_qty) + } + + #[pyo3(name = "commission")] + fn py_commission(&self, currency: &Currency) -> Option { + self.commission(currency) + } + + #[pyo3(name = "commissions")] + fn py_commissions(&self) -> HashMap { + self.commissions() + } +} diff --git a/nautilus_core/model/src/python/orders/mod.rs b/nautilus_core/model/src/python/orders/mod.rs new file mode 100644 index 000000000000..0cc1e5511a90 --- /dev/null +++ b/nautilus_core/model/src/python/orders/mod.rs @@ -0,0 +1,16 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod market; diff --git a/nautilus_core/model/src/python/types/currency.rs b/nautilus_core/model/src/python/types/currency.rs new file mode 100644 index 000000000000..b00b6988e697 --- /dev/null +++ b/nautilus_core/model/src/python/types/currency.rs @@ -0,0 +1,167 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::str::FromStr; + +use nautilus_core::python::to_pyvalue_err; +use pyo3::{ + exceptions::PyRuntimeError, + prelude::*, + pyclass::CompareOp, + types::{PyLong, PyString, PyTuple}, +}; +use ustr::Ustr; + +use crate::{enums::CurrencyType, types::currency::Currency}; + +#[pymethods] +impl Currency { + #[new] + fn py_new( + code: &str, + precision: u8, + iso4217: u16, + name: &str, + currency_type: CurrencyType, + ) -> PyResult { + Self::new(code, precision, iso4217, name, currency_type).map_err(to_pyvalue_err) + } + + fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { + let tuple: (&PyString, &PyLong, &PyLong, &PyString, &PyString) = state.extract(py)?; + self.code = Ustr::from(tuple.0.extract()?); + self.precision = tuple.1.extract::()?; + self.iso4217 = tuple.2.extract::()?; + self.name = Ustr::from(tuple.3.extract()?); + self.currency_type = CurrencyType::from_str(tuple.4.extract()?).map_err(to_pyvalue_err)?; + Ok(()) + } + + fn __getstate__(&self, py: Python) -> PyResult { + Ok(( + self.code.to_string(), + self.precision, + self.iso4217, + self.name.to_string(), + self.currency_type.to_string(), + ) + .to_object(py)) + } + + fn __reduce__(&self, py: Python) -> PyResult { + let safe_constructor = py.get_type::().getattr("_safe_constructor")?; + let state = self.__getstate__(py)?; + Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) + } + + #[staticmethod] + fn _safe_constructor() -> PyResult { + Ok(Currency::AUD()) // Safe default + } + + fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py { + match op { + CompareOp::Eq => self.eq(other).into_py(py), + CompareOp::Ne => self.ne(other).into_py(py), + _ => py.NotImplemented(), + } + } + + fn __hash__(&self) -> isize { + self.code.precomputed_hash() as isize + } + + fn __str__(&self) -> &'static str { + self.code.as_str() + } + + fn __repr__(&self) -> String { + format!("{:?}", self) + } + + #[getter] + #[pyo3(name = "code")] + fn py_code(&self) -> &'static str { + self.code.as_str() + } + + #[getter] + #[pyo3(name = "precision")] + fn py_precision(&self) -> u8 { + self.precision + } + + #[getter] + #[pyo3(name = "iso4217")] + fn py_iso4217(&self) -> u16 { + self.iso4217 + } + + #[getter] + #[pyo3(name = "name")] + fn py_name(&self) -> &'static str { + self.name.as_str() + } + + #[getter] + #[pyo3(name = "currency_type")] + fn py_currency_type(&self) -> CurrencyType { + self.currency_type + } + + #[staticmethod] + #[pyo3(name = "is_fiat")] + fn py_is_fiat(code: &str) -> PyResult { + Currency::is_fiat(code).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "is_crypto")] + fn py_is_crypto(code: &str) -> PyResult { + Currency::is_crypto(code).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "is_commodity_backed")] + fn py_is_commodidity_backed(code: &str) -> PyResult { + Currency::is_commodity_backed(code).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_str")] + #[pyo3(signature = (value, strict = false))] + fn py_from_str(value: &str, strict: bool) -> PyResult { + match Currency::from_str(value) { + Ok(currency) => Ok(currency), + Err(e) => { + if strict { + Err(to_pyvalue_err(e)) + } else { + // SAFETY: Safe default arguments for the unwrap + let new_crypto = + Currency::new(value, 8, 0, value, CurrencyType::Crypto).unwrap(); + Ok(new_crypto) + } + } + } + } + + #[staticmethod] + #[pyo3(name = "register")] + #[pyo3(signature = (currency, overwrite = false))] + fn py_register(currency: Currency, overwrite: bool) -> PyResult<()> { + Currency::register(currency, overwrite).map_err(|e| PyRuntimeError::new_err(e.to_string())) + } +} diff --git a/nautilus_core/model/src/python/types/mod.rs b/nautilus_core/model/src/python/types/mod.rs new file mode 100644 index 000000000000..3390a2bbb91b --- /dev/null +++ b/nautilus_core/model/src/python/types/mod.rs @@ -0,0 +1,19 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod currency; +pub mod money; +pub mod price; +pub mod quantity; diff --git a/nautilus_core/model/src/python/types/money.rs b/nautilus_core/model/src/python/types/money.rs new file mode 100644 index 000000000000..a1ac2e3b16d5 --- /dev/null +++ b/nautilus_core/model/src/python/types/money.rs @@ -0,0 +1,371 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::hash_map::DefaultHasher, + hash::{Hash, Hasher}, + ops::Neg, + str::FromStr, +}; + +use nautilus_core::python::{get_pytype_name, to_pytype_err, to_pyvalue_err}; +use pyo3::{ + exceptions::PyValueError, + prelude::*, + pyclass::CompareOp, + types::{PyFloat, PyLong, PyString, PyTuple}, +}; +use rust_decimal::{Decimal, RoundingStrategy}; + +use crate::types::{currency::Currency, money::Money}; + +#[pymethods] +impl Money { + #[new] + fn py_new(value: f64, currency: Currency) -> PyResult { + Money::new(value, currency).map_err(to_pyvalue_err) + } + + fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { + let tuple: (&PyLong, &PyString) = state.extract(py)?; + self.raw = tuple.0.extract()?; + let currency_code: &str = tuple.1.extract()?; + self.currency = Currency::from_str(currency_code).map_err(to_pyvalue_err)?; + Ok(()) + } + + fn __getstate__(&self, py: Python) -> PyResult { + Ok((self.raw, self.currency.code.to_string()).to_object(py)) + } + + fn __reduce__(&self, py: Python) -> PyResult { + let safe_constructor = py.get_type::().getattr("_safe_constructor")?; + let state = self.__getstate__(py)?; + Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) + } + + #[staticmethod] + fn _safe_constructor() -> PyResult { + Ok(Money::new(0.0, Currency::AUD()).unwrap()) // Safe default + } + + fn __add__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() + other_float).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() + other_qty.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() + other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __add__, was `{pytype_name}`" + ))) + } + } + + fn __radd__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float + self.as_f64()).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() + self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec + self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __radd__, was `{pytype_name}`" + ))) + } + } + + fn __sub__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() - other_float).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() - other_qty.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() - other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __sub__, was `{pytype_name}`" + ))) + } + } + + fn __rsub__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float - self.as_f64()).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() - self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec - self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rsub__, was `{pytype_name}`" + ))) + } + } + + fn __mul__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() * other_float).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() * other_qty.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() * other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __mul__, was `{pytype_name}`" + ))) + } + } + + fn __rmul__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float * self.as_f64()).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() * self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec * self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rmul__, was `{pytype_name}`" + ))) + } + } + + fn __truediv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() / other_float).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() / other_qty.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() / other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __truediv__, was `{pytype_name}`" + ))) + } + } + + fn __rtruediv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float / self.as_f64()).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() / self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec / self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rtruediv__, was `{pytype_name}`" + ))) + } + } + + fn __floordiv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() / other_float).floor().into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() / other_qty.as_decimal()) + .floor() + .into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() / other_dec).floor().into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __floordiv__, was `{pytype_name}`" + ))) + } + } + + fn __rfloordiv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float / self.as_f64()).floor().into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() / self.as_decimal()) + .floor() + .into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec / self.as_decimal()).floor().into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rfloordiv__, was `{pytype_name}`" + ))) + } + } + + fn __mod__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() % other_float).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() % other_qty.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() % other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __mod__, was `{pytype_name}`" + ))) + } + } + + fn __rmod__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float % self.as_f64()).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() % self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec % self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rmod__, was `{pytype_name}`" + ))) + } + } + fn __neg__(&self) -> Decimal { + self.as_decimal().neg() + } + + fn __pos__(&self) -> Decimal { + let mut value = self.as_decimal(); + value.set_sign_positive(true); + value + } + + fn __abs__(&self) -> Decimal { + self.as_decimal().abs() + } + + fn __int__(&self) -> u64 { + self.as_f64() as u64 + } + + fn __float__(&self) -> f64 { + self.as_f64() + } + + fn __round__(&self, ndigits: Option) -> Decimal { + self.as_decimal() + .round_dp_with_strategy(ndigits.unwrap_or(0), RoundingStrategy::MidpointNearestEven) + } + + fn __richcmp__(&self, other: PyObject, op: CompareOp, py: Python<'_>) -> PyResult> { + if let Ok(other_money) = other.extract::(py) { + if self.currency != other_money.currency { + return Err(PyErr::new::( + "Cannot compare `Money` with different currencies", + )); + } + + let result = match op { + CompareOp::Eq => self.eq(&other_money), + CompareOp::Ne => self.ne(&other_money), + CompareOp::Ge => self.ge(&other_money), + CompareOp::Gt => self.gt(&other_money), + CompareOp::Le => self.le(&other_money), + CompareOp::Lt => self.lt(&other_money), + }; + Ok(result.into_py(py)) + } else { + Ok(py.NotImplemented()) + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + let amount_str = format!("{:.*}", self.currency.precision as usize, self.as_f64()); + let code = self.currency.code.as_str(); + format!("Money('{amount_str}', {code})") + } + + #[getter] + fn raw(&self) -> i64 { + self.raw + } + + #[getter] + fn currency(&self) -> Currency { + self.currency + } + + #[staticmethod] + #[pyo3(name = "zero")] + fn py_zero(currency: Currency) -> PyResult { + Money::new(0.0, currency).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_raw")] + fn py_from_raw(raw: i64, currency: Currency) -> PyResult { + Ok(Money::from_raw(raw, currency)) + } + + #[staticmethod] + #[pyo3(name = "from_str")] + fn py_from_str(value: &str) -> PyResult { + Money::from_str(value).map_err(to_pyvalue_err) + } + + #[pyo3(name = "is_zero")] + fn py_is_zero(&self) -> bool { + self.is_zero() + } + + #[pyo3(name = "as_decimal")] + fn py_as_decimal(&self) -> Decimal { + self.as_decimal() + } + + #[pyo3(name = "as_double")] + fn py_as_double(&self) -> f64 { + self.as_f64() + } + + #[pyo3(name = "to_formatted_str")] + fn py_to_formatted_str(&self) -> String { + self.to_formatted_string() + } +} diff --git a/nautilus_core/model/src/python/types/price.rs b/nautilus_core/model/src/python/types/price.rs new file mode 100644 index 000000000000..8c417b73294d --- /dev/null +++ b/nautilus_core/model/src/python/types/price.rs @@ -0,0 +1,381 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::hash_map::DefaultHasher, + hash::{Hash, Hasher}, + ops::Neg, + str::FromStr, +}; + +use nautilus_core::python::{get_pytype_name, to_pytype_err, to_pyvalue_err}; +use pyo3::{ + prelude::*, + pyclass::CompareOp, + types::{PyFloat, PyLong, PyTuple}, +}; +use rust_decimal::{Decimal, RoundingStrategy}; + +use crate::types::{fixed::fixed_i64_to_f64, price::Price}; + +#[pymethods] +impl Price { + #[new] + fn py_new(value: f64, precision: u8) -> PyResult { + Price::new(value, precision).map_err(to_pyvalue_err) + } + + fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { + let tuple: (&PyLong, &PyLong) = state.extract(py)?; + self.raw = tuple.0.extract()?; + self.precision = tuple.1.extract::()?; + Ok(()) + } + + fn __getstate__(&self, py: Python) -> PyResult { + Ok((self.raw, self.precision).to_object(py)) + } + + fn __reduce__(&self, py: Python) -> PyResult { + let safe_constructor = py.get_type::().getattr("_safe_constructor")?; + let state = self.__getstate__(py)?; + Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) + } + + #[staticmethod] + fn _safe_constructor() -> PyResult { + Ok(Price::zero(0)) // Safe default + } + + fn __add__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() + other_float).into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((self.as_decimal() + other_price.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() + other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __add__, was `{pytype_name}`" + ))) + } + } + + fn __radd__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float + self.as_f64()).into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((other_price.as_decimal() + self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec + self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __radd__, was `{pytype_name}`" + ))) + } + } + + fn __sub__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() - other_float).into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((self.as_decimal() - other_price.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() - other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __sub__, was `{pytype_name}`" + ))) + } + } + + fn __rsub__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float - self.as_f64()).into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((other_price.as_decimal() - self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec - self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rsub__, was `{pytype_name}`" + ))) + } + } + + fn __mul__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() * other_float).into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((self.as_decimal() * other_price.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() * other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __mul__, was `{pytype_name}`" + ))) + } + } + + fn __rmul__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float * self.as_f64()).into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((other_price.as_decimal() * self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec * self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rmul__, was `{pytype_name}`" + ))) + } + } + + fn __truediv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() / other_float).into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((self.as_decimal() / other_price.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() / other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __truediv__, was `{pytype_name}`" + ))) + } + } + + fn __rtruediv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float / self.as_f64()).into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((other_price.as_decimal() / self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec / self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rtruediv__, was `{pytype_name}`" + ))) + } + } + + fn __floordiv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() / other_float).floor().into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((self.as_decimal() / other_price.as_decimal()) + .floor() + .into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() / other_dec).floor().into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __floordiv__, was `{pytype_name}`" + ))) + } + } + + fn __rfloordiv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float / self.as_f64()).floor().into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((other_price.as_decimal() / self.as_decimal()) + .floor() + .into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec / self.as_decimal()).floor().into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rfloordiv__, was `{pytype_name}`" + ))) + } + } + + fn __mod__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() % other_float).into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((self.as_decimal() % other_price.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() % other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __mod__, was `{pytype_name}`" + ))) + } + } + + fn __rmod__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float % self.as_f64()).into_py(py)) + } else if let Ok(other_price) = other.extract::(py) { + Ok((other_price.as_decimal() % self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec % self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rmod__, was `{pytype_name}`" + ))) + } + } + fn __neg__(&self) -> Decimal { + self.as_decimal().neg() + } + + fn __pos__(&self) -> Decimal { + let mut value = self.as_decimal(); + value.set_sign_positive(true); + value + } + + fn __abs__(&self) -> Decimal { + self.as_decimal().abs() + } + + fn __int__(&self) -> i64 { + self.as_f64() as i64 + } + + fn __float__(&self) -> f64 { + self.as_f64() + } + + fn __round__(&self, ndigits: Option) -> Decimal { + self.as_decimal() + .round_dp_with_strategy(ndigits.unwrap_or(0), RoundingStrategy::MidpointNearestEven) + } + + fn __richcmp__(&self, other: PyObject, op: CompareOp, py: Python<'_>) -> Py { + if let Ok(other_price) = other.extract::(py) { + match op { + CompareOp::Eq => self.eq(&other_price).into_py(py), + CompareOp::Ne => self.ne(&other_price).into_py(py), + CompareOp::Ge => self.ge(&other_price).into_py(py), + CompareOp::Gt => self.gt(&other_price).into_py(py), + CompareOp::Le => self.le(&other_price).into_py(py), + CompareOp::Lt => self.lt(&other_price).into_py(py), + } + } else if let Ok(other_dec) = other.extract::(py) { + match op { + CompareOp::Eq => (self.as_decimal() == other_dec).into_py(py), + CompareOp::Ne => (self.as_decimal() != other_dec).into_py(py), + CompareOp::Ge => (self.as_decimal() >= other_dec).into_py(py), + CompareOp::Gt => (self.as_decimal() > other_dec).into_py(py), + CompareOp::Le => (self.as_decimal() <= other_dec).into_py(py), + CompareOp::Lt => (self.as_decimal() < other_dec).into_py(py), + } + } else { + py.NotImplemented() + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("Price('{self:?}')") + } + + #[getter] + fn raw(&self) -> i64 { + self.raw + } + + #[getter] + fn precision(&self) -> u8 { + self.precision + } + + #[staticmethod] + #[pyo3(name = "from_raw")] + fn py_from_raw(raw: i64, precision: u8) -> PyResult { + Price::from_raw(raw, precision).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "zero")] + #[pyo3(signature = (precision = 0))] + fn py_zero(precision: u8) -> PyResult { + Price::new(0.0, precision).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_int")] + fn py_from_int(value: u64) -> PyResult { + Price::new(value as f64, 0).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_str")] + fn py_from_str(value: &str) -> PyResult { + Price::from_str(value).map_err(to_pyvalue_err) + } + + #[pyo3(name = "is_zero")] + fn py_is_zero(&self) -> bool { + self.is_zero() + } + + #[pyo3(name = "is_positive")] + fn py_is_positive(&self) -> bool { + self.is_positive() + } + + #[pyo3(name = "as_double")] + fn py_as_double(&self) -> f64 { + fixed_i64_to_f64(self.raw) + } + + #[pyo3(name = "as_decimal")] + fn py_as_decimal(&self) -> Decimal { + self.as_decimal() + } + + #[pyo3(name = "to_formatted_str")] + fn py_to_formatted_str(&self) -> String { + self.to_formatted_string() + } +} diff --git a/nautilus_core/model/src/python/types/quantity.rs b/nautilus_core/model/src/python/types/quantity.rs new file mode 100644 index 000000000000..67b04052b031 --- /dev/null +++ b/nautilus_core/model/src/python/types/quantity.rs @@ -0,0 +1,381 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{ + collections::hash_map::DefaultHasher, + hash::{Hash, Hasher}, + ops::Neg, + str::FromStr, +}; + +use nautilus_core::python::{get_pytype_name, to_pytype_err, to_pyvalue_err}; +use pyo3::{ + prelude::*, + pyclass::CompareOp, + types::{PyFloat, PyLong, PyTuple}, +}; +use rust_decimal::{Decimal, RoundingStrategy}; + +use crate::types::quantity::Quantity; + +#[pymethods] +impl Quantity { + #[new] + fn py_new(value: f64, precision: u8) -> PyResult { + Quantity::new(value, precision).map_err(to_pyvalue_err) + } + + fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { + let tuple: (&PyLong, &PyLong) = state.extract(py)?; + self.raw = tuple.0.extract()?; + self.precision = tuple.1.extract::()?; + Ok(()) + } + + fn __getstate__(&self, py: Python) -> PyResult { + Ok((self.raw, self.precision).to_object(py)) + } + + fn __reduce__(&self, py: Python) -> PyResult { + let safe_constructor = py.get_type::().getattr("_safe_constructor")?; + let state = self.__getstate__(py)?; + Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) + } + + #[staticmethod] + fn _safe_constructor() -> PyResult { + Ok(Quantity::zero(0)) // Safe default + } + + fn __add__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() + other_float).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() + other_qty.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() + other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __add__, was `{pytype_name}`" + ))) + } + } + + fn __radd__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float + self.as_f64()).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() + self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec + self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __radd__, was `{pytype_name}`" + ))) + } + } + + fn __sub__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() - other_float).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() - other_qty.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() - other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __sub__, was `{pytype_name}`" + ))) + } + } + + fn __rsub__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float - self.as_f64()).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() - self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec - self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rsub__, was `{pytype_name}`" + ))) + } + } + + fn __mul__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() * other_float).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() * other_qty.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() * other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __mul__, was `{pytype_name}`" + ))) + } + } + + fn __rmul__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float * self.as_f64()).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() * self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec * self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rmul__, was `{pytype_name}`" + ))) + } + } + + fn __truediv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() / other_float).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() / other_qty.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() / other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __truediv__, was `{pytype_name}`" + ))) + } + } + + fn __rtruediv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float / self.as_f64()).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() / self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec / self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rtruediv__, was `{pytype_name}`" + ))) + } + } + + fn __floordiv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() / other_float).floor().into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() / other_qty.as_decimal()) + .floor() + .into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() / other_dec).floor().into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __floordiv__, was `{pytype_name}`" + ))) + } + } + + fn __rfloordiv__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float / self.as_f64()).floor().into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() / self.as_decimal()) + .floor() + .into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec / self.as_decimal()).floor().into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rfloordiv__, was `{pytype_name}`" + ))) + } + } + + fn __mod__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((self.as_f64() % other_float).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((self.as_decimal() % other_qty.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((self.as_decimal() % other_dec).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __mod__, was `{pytype_name}`" + ))) + } + } + + fn __rmod__(&self, other: PyObject, py: Python) -> PyResult { + if other.as_ref(py).is_instance_of::() { + let other_float: f64 = other.extract(py)?; + Ok((other_float % self.as_f64()).into_py(py)) + } else if let Ok(other_qty) = other.extract::(py) { + Ok((other_qty.as_decimal() % self.as_decimal()).into_py(py)) + } else if let Ok(other_dec) = other.extract::(py) { + Ok((other_dec % self.as_decimal()).into_py(py)) + } else { + let pytype_name = get_pytype_name(&other, py)?; + Err(to_pytype_err(format!( + "Unsupported type for __rmod__, was `{pytype_name}`" + ))) + } + } + fn __neg__(&self) -> Decimal { + self.as_decimal().neg() + } + + fn __pos__(&self) -> Decimal { + let mut value = self.as_decimal(); + value.set_sign_positive(true); + value + } + + fn __abs__(&self) -> Decimal { + self.as_decimal().abs() + } + + fn __int__(&self) -> u64 { + self.as_f64() as u64 + } + + fn __float__(&self) -> f64 { + self.as_f64() + } + + fn __round__(&self, ndigits: Option) -> Decimal { + self.as_decimal() + .round_dp_with_strategy(ndigits.unwrap_or(0), RoundingStrategy::MidpointNearestEven) + } + + fn __richcmp__(&self, other: PyObject, op: CompareOp, py: Python<'_>) -> Py { + if let Ok(other_qty) = other.extract::(py) { + match op { + CompareOp::Eq => self.eq(&other_qty).into_py(py), + CompareOp::Ne => self.ne(&other_qty).into_py(py), + CompareOp::Ge => self.ge(&other_qty).into_py(py), + CompareOp::Gt => self.gt(&other_qty).into_py(py), + CompareOp::Le => self.le(&other_qty).into_py(py), + CompareOp::Lt => self.lt(&other_qty).into_py(py), + } + } else if let Ok(other_dec) = other.extract::(py) { + match op { + CompareOp::Eq => (self.as_decimal() == other_dec).into_py(py), + CompareOp::Ne => (self.as_decimal() != other_dec).into_py(py), + CompareOp::Ge => (self.as_decimal() >= other_dec).into_py(py), + CompareOp::Gt => (self.as_decimal() > other_dec).into_py(py), + CompareOp::Le => (self.as_decimal() <= other_dec).into_py(py), + CompareOp::Lt => (self.as_decimal() < other_dec).into_py(py), + } + } else { + py.NotImplemented() + } + } + + fn __hash__(&self) -> isize { + let mut h = DefaultHasher::new(); + self.hash(&mut h); + h.finish() as isize + } + + fn __str__(&self) -> String { + self.to_string() + } + + fn __repr__(&self) -> String { + format!("Quantity('{self:?}')") + } + + #[getter] + fn raw(&self) -> u64 { + self.raw + } + + #[getter] + fn precision(&self) -> u8 { + self.precision + } + + #[staticmethod] + #[pyo3(name = "from_raw")] + fn py_from_raw(raw: u64, precision: u8) -> PyResult { + Quantity::from_raw(raw, precision).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "zero")] + #[pyo3(signature = (precision = 0))] + fn py_zero(precision: u8) -> PyResult { + Quantity::new(0.0, precision).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_int")] + fn py_from_int(value: u64) -> PyResult { + Quantity::new(value as f64, 0).map_err(to_pyvalue_err) + } + + #[staticmethod] + #[pyo3(name = "from_str")] + fn py_from_str(value: &str) -> PyResult { + Quantity::from_str(value).map_err(to_pyvalue_err) + } + + #[pyo3(name = "is_zero")] + fn py_is_zero(&self) -> bool { + self.is_zero() + } + + #[pyo3(name = "is_positive")] + fn py_is_positive(&self) -> bool { + self.is_positive() + } + + #[pyo3(name = "as_decimal")] + fn py_as_decimal(&self) -> Decimal { + self.as_decimal() + } + + #[pyo3(name = "as_double")] + fn py_as_double(&self) -> f64 { + self.as_f64() + } + + #[pyo3(name = "to_formatted_str")] + fn py_to_formatted_str(&self) -> String { + self.to_formatted_string() + } +} diff --git a/nautilus_core/model/src/types/currency.rs b/nautilus_core/model/src/types/currency.rs index 92a992369097..e14503aebaa5 100644 --- a/nautilus_core/model/src/types/currency.rs +++ b/nautilus_core/model/src/types/currency.rs @@ -14,16 +14,12 @@ // ------------------------------------------------------------------------------------------------- use std::{ - ffi::{c_char, CStr}, hash::{Hash, Hasher}, str::FromStr, }; -use anyhow::Result; -use nautilus_core::{ - correctness::check_valid_string, - string::{cstr_to_string, str_to_cstr}, -}; +use anyhow::{anyhow, Result}; +use nautilus_core::correctness::check_valid_string; use pyo3::prelude::*; use serde::{Deserialize, Serialize, Serializer}; use ustr::Ustr; @@ -33,7 +29,10 @@ use crate::{currencies::CURRENCY_MAP, enums::CurrencyType}; #[repr(C)] #[derive(Clone, Copy, Debug, Eq)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct Currency { pub code: Ustr, pub precision: u8, @@ -52,7 +51,7 @@ impl Currency { ) -> Result { check_valid_string(code, "`Currency` code")?; check_valid_string(name, "`Currency` name")?; - check_fixed_precision(precision).unwrap(); + check_fixed_precision(precision)?; Ok(Self { code: Ustr::from(code), @@ -62,6 +61,34 @@ impl Currency { currency_type, }) } + + pub fn register(currency: Currency, overwrite: bool) -> Result<()> { + let mut map = CURRENCY_MAP.lock().map_err(|e| anyhow!(e.to_string()))?; + + if !overwrite && map.contains_key(currency.code.as_str()) { + // If overwrite is false and the currency already exists, simply return + return Ok(()); + } + + // Insert or overwrite the currency in the map + map.insert(currency.code.to_string(), currency); + Ok(()) + } + + pub fn is_fiat(code: &str) -> Result { + let currency = Currency::from_str(code)?; + Ok(currency.currency_type == CurrencyType::Fiat) + } + + pub fn is_crypto(code: &str) -> Result { + let currency = Currency::from_str(code)?; + Ok(currency.currency_type == CurrencyType::Crypto) + } + + pub fn is_commodity_backed(code: &str) -> Result { + let currency = Currency::from_str(code)?; + Ok(currency.currency_type == CurrencyType::CommodityBacked) + } } impl PartialEq for Currency { @@ -77,21 +104,22 @@ impl Hash for Currency { } impl FromStr for Currency { - type Err = String; + type Err = anyhow::Error; - fn from_str(s: &str) -> Result { - CURRENCY_MAP + fn from_str(s: &str) -> Result { + let map_guard = CURRENCY_MAP .lock() - .unwrap() + .map_err(|e| anyhow!("Failed to acquire lock on `CURRENCY_MAP`: {e}"))?; + map_guard .get(s) - .cloned() - .ok_or_else(|| format!("Unknown currency: {}", s)) + .copied() + .ok_or_else(|| anyhow!("Unknown currency: {s}")) } } impl From<&str> for Currency { fn from(input: &str) -> Self { - input.parse().unwrap_or_else(|err| panic!("{}", err)) + input.parse().unwrap() } } @@ -114,100 +142,14 @@ impl<'de> Deserialize<'de> for Currency { } } -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -/// Returns a [`Currency`] from pointers and primitives. -/// -/// # Safety -/// -/// - Assumes `code_ptr` is a valid C string pointer. -/// - Assumes `name_ptr` is a valid C string pointer. -#[cfg(feature = "ffi")] -#[no_mangle] -pub unsafe extern "C" fn currency_from_py( - code_ptr: *const c_char, - precision: u8, - iso4217: u16, - name_ptr: *const c_char, - currency_type: CurrencyType, -) -> Currency { - assert!(!code_ptr.is_null(), "`code_ptr` was NULL"); - assert!(!name_ptr.is_null(), "`name_ptr` was NULL"); - - Currency::new( - CStr::from_ptr(code_ptr) - .to_str() - .expect("CStr::from_ptr failed for `code_ptr`"), - precision, - iso4217, - CStr::from_ptr(name_ptr) - .to_str() - .expect("CStr::from_ptr failed for `name_ptr`"), - currency_type, - ) - .unwrap() -} - -#[no_mangle] -pub extern "C" fn currency_to_cstr(currency: &Currency) -> *const c_char { - str_to_cstr(format!("{currency:?}").as_str()) -} - -#[no_mangle] -pub extern "C" fn currency_code_to_cstr(currency: &Currency) -> *const c_char { - str_to_cstr(¤cy.code) -} - -#[no_mangle] -pub extern "C" fn currency_name_to_cstr(currency: &Currency) -> *const c_char { - str_to_cstr(¤cy.name) -} - -#[no_mangle] -pub extern "C" fn currency_hash(currency: &Currency) -> u64 { - currency.code.precomputed_hash() -} - -#[no_mangle] -pub extern "C" fn currency_register(currency: Currency) { - CURRENCY_MAP - .lock() - .unwrap() - .insert(currency.code.to_string(), currency); -} - -/// # Safety -/// -/// - Assumes `code_ptr` is borrowed from a valid Python UTF-8 `str`. -#[no_mangle] -pub unsafe extern "C" fn currency_exists(code_ptr: *const c_char) -> u8 { - let code = cstr_to_string(code_ptr); - u8::from(CURRENCY_MAP.lock().unwrap().contains_key(&code)) -} - -/// # Safety -/// -/// - Assumes `code_ptr` is borrowed from a valid Python UTF-8 `str`. -#[no_mangle] -pub unsafe extern "C" fn currency_from_cstr(code_ptr: *const c_char) -> Currency { - let code = cstr_to_string(code_ptr); - Currency::from_str(&code).unwrap() -} - //////////////////////////////////////////////////////////////////////////////// // Tests //////////////////////////////////////////////////////////////////////////////// #[cfg(test)] mod tests { - use nautilus_core::string::str_to_cstr; use rstest::rstest; - use super::currency_register; - use crate::{ - enums::CurrencyType, - types::currency::{currency_exists, Currency}, - }; + use crate::{enums::CurrencyType, types::currency::Currency}; #[rstest] #[should_panic(expected = "`Currency` code")] @@ -256,19 +198,9 @@ mod tests { #[rstest] fn test_serialization_deserialization() { - let currency = - Currency::new("USD", 2, 840, "United States dollar", CurrencyType::Fiat).unwrap(); + let currency = Currency::USD(); let serialized = serde_json::to_string(¤cy).unwrap(); let deserialized: Currency = serde_json::from_str(&serialized).unwrap(); assert_eq!(currency, deserialized); } - - #[rstest] - fn test_registration() { - let currency = Currency::new("MYC", 4, 0, "My Currency", CurrencyType::Crypto).unwrap(); - currency_register(currency); - unsafe { - assert_eq!(currency_exists(str_to_cstr("MYC")), 1); - } - } } diff --git a/nautilus_core/model/src/types/money.rs b/nautilus_core/model/src/types/money.rs index 68d4066494ed..1514a3f18dea 100644 --- a/nautilus_core/model/src/types/money.rs +++ b/nautilus_core/model/src/types/money.rs @@ -15,7 +15,7 @@ use std::{ cmp::Ordering, - fmt::{Display, Formatter}, + fmt::{Display, Formatter, Result as FmtResult}, hash::{Hash, Hasher}, ops::{Add, AddAssign, Mul, Neg, Sub, SubAssign}, str::FromStr, @@ -26,6 +26,7 @@ use nautilus_core::correctness::check_f64_in_range_inclusive; use pyo3::prelude::*; use rust_decimal::Decimal; use serde::{Deserialize, Deserializer, Serialize}; +use thousands::Separable; use super::fixed::FIXED_PRECISION; use crate::types::{ @@ -38,7 +39,10 @@ pub const MONEY_MIN: f64 = -9_223_372_036.0; #[repr(C)] #[derive(Clone, Copy, Debug, Eq)] -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") +)] pub struct Money { pub raw: i64, pub currency: Currency, @@ -76,6 +80,39 @@ impl Money { let rescaled_raw = self.raw / i64::pow(10, (FIXED_PRECISION - precision) as u32); Decimal::from_i128_with_scale(rescaled_raw as i128, precision as u32) } + + #[must_use] + pub fn to_formatted_string(&self) -> String { + let amount_str = format!("{:.*}", self.currency.precision as usize, self.as_f64()) + .separate_with_underscores(); + format!("{} {}", amount_str, self.currency.code) + } +} + +impl FromStr for Money { + type Err = String; + + fn from_str(input: &str) -> Result { + let parts: Vec<&str> = input.split_whitespace().collect(); + + // Ensure we have both the amount and currency + if parts.len() != 2 { + return Err(format!( + "Invalid input format: '{}'. Expected ' '", + input + )); + } + + // Parse amount + let amount = parts[0] + .parse::() + .map_err(|e| format!("Cannot parse amount '{}' as `f64`: {:?}", parts[0], e))?; + + // Parse currency + let currency = Currency::from_str(parts[1]).map_err(|e: anyhow::Error| e.to_string())?; + + Self::new(amount, currency).map_err(|e: anyhow::Error| e.to_string()) + } } impl From for f64 { @@ -204,7 +241,7 @@ impl Mul for Money { } impl Display for Money { - fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result { + fn fmt(&self, f: &mut Formatter<'_>) -> FmtResult { write!( f, "{:.*} {}", @@ -250,66 +287,6 @@ impl<'de> Deserialize<'de> for Money { } } -//////////////////////////////////////////////////////////////////////////////// -// Python API -//////////////////////////////////////////////////////////////////////////////// -#[cfg(feature = "python")] -#[pymethods] -impl Money { - #[getter] - fn raw(&self) -> i64 { - self.raw - } - - #[getter] - fn currency(&self) -> Currency { - self.currency - } - - #[pyo3(name = "as_double")] - fn py_as_double(&self) -> f64 { - fixed_i64_to_f64(self.raw) - } - - #[pyo3(name = "as_decimal")] - fn py_as_decimal(&self) -> Decimal { - self.as_decimal() - } -} - -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn money_new(amount: f64, currency: Currency) -> Money { - Money::new(amount, currency).unwrap() -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn money_from_raw(raw: i64, currency: Currency) -> Money { - Money::from_raw(raw, currency) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn money_as_f64(money: &Money) -> f64 { - money.as_f64() -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn money_add_assign(mut a: Money, b: Money) { - a.add_assign(b); -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn money_sub_assign(mut a: Money, b: Money) { - a.sub_assign(b); -} - //////////////////////////////////////////////////////////////////////////////// // Tests //////////////////////////////////////////////////////////////////////////////// @@ -320,62 +297,93 @@ mod tests { use rust_decimal_macros::dec; use super::*; - use crate::currencies::{BTC, USD}; #[rstest] #[should_panic] fn test_money_different_currency_addition() { - let usd = Money::new(1000.0, *USD).unwrap(); - let btc = Money::new(1.0, *BTC).unwrap(); + let usd = Money::new(1000.0, Currency::USD()).unwrap(); + let btc = Money::new(1.0, Currency::BTC()).unwrap(); let _result = usd + btc; // This should panic since currencies are different } #[rstest] fn test_money_min_max_values() { - let min_money = Money::new(MONEY_MIN, *USD).unwrap(); - let max_money = Money::new(MONEY_MAX, *USD).unwrap(); - assert_eq!(min_money.raw, f64_to_fixed_i64(MONEY_MIN, USD.precision)); - assert_eq!(max_money.raw, f64_to_fixed_i64(MONEY_MAX, USD.precision)); + let min_money = Money::new(MONEY_MIN, Currency::USD()).unwrap(); + let max_money = Money::new(MONEY_MAX, Currency::USD()).unwrap(); + assert_eq!( + min_money.raw, + f64_to_fixed_i64(MONEY_MIN, Currency::USD().precision) + ); + assert_eq!( + max_money.raw, + f64_to_fixed_i64(MONEY_MAX, Currency::USD().precision) + ); } #[rstest] fn test_money_addition_f64() { - let money = Money::new(1000.0, *USD).unwrap(); + let money = Money::new(1000.0, Currency::USD()).unwrap(); let result = money + 500.0; assert_eq!(result, 1500.0); } #[rstest] fn test_money_negation() { - let money = Money::new(100.0, *USD).unwrap(); + let money = Money::new(100.0, Currency::USD()).unwrap(); let result = -money; assert_eq!(result.as_f64(), -100.0); - assert_eq!(result.currency, USD.clone()); + assert_eq!(result.currency, Currency::USD().clone()); } #[rstest] fn test_money_new_usd() { - let money = Money::new(1000.0, *USD).unwrap(); + let money = Money::new(1000.0, Currency::USD()).unwrap(); assert_eq!(money.currency.code.as_str(), "USD"); assert_eq!(money.currency.precision, 2); assert_eq!(money.to_string(), "1000.00 USD"); + assert_eq!(money.to_formatted_string(), "1_000.00 USD"); assert_eq!(money.as_decimal(), dec!(1000.00)); assert!(approx_eq!(f64, money.as_f64(), 1000.0, epsilon = 0.001)); } #[rstest] fn test_money_new_btc() { - let money = Money::new(10.3, *BTC).unwrap(); + let money = Money::new(10.3, Currency::BTC()).unwrap(); assert_eq!(money.currency.code.as_str(), "BTC"); assert_eq!(money.currency.precision, 8); assert_eq!(money.to_string(), "10.30000000 BTC"); + assert_eq!(money.to_formatted_string(), "10.30000000 BTC"); } #[rstest] fn test_money_serialization_deserialization() { - let money = Money::new(123.45, *USD).unwrap(); + let money = Money::new(123.45, Currency::USD()).unwrap(); let serialized = serde_json::to_string(&money).unwrap(); let deserialized: Money = serde_json::from_str(&serialized).unwrap(); assert_eq!(money, deserialized); } + + #[rstest] + #[case("0USD")] // <-- No whitespace separator + #[case("0x00 USD")] // <-- Invalid float + #[case("0 US")] // <-- Invalid currency + #[case("0 USD USD")] // <-- Too many parts + fn test_from_str_invalid_input(#[case] input: &str) { + let result = Money::from_str(input); + assert!(result.is_err()); + } + + #[rstest] + #[case("0 USD", Currency::USD(), dec!(0.00))] + #[case("1.1 AUD", Currency::AUD(), dec!(1.10))] + #[case("1.12345678 BTC", Currency::BTC(), dec!(1.12345678))] + fn test_from_str_valid_input( + #[case] input: &str, + #[case] expected_currency: Currency, + #[case] expected_dec: Decimal, + ) { + let money = Money::from_str(input).unwrap(); + assert_eq!(money.currency, expected_currency); + assert_eq!(money.as_decimal(), expected_dec); + } } diff --git a/nautilus_core/model/src/types/price.rs b/nautilus_core/model/src/types/price.rs index f58df4be145d..3712fe7f8fdc 100644 --- a/nautilus_core/model/src/types/price.rs +++ b/nautilus_core/model/src/types/price.rs @@ -15,7 +15,6 @@ use std::{ cmp::Ordering, - collections::hash_map::DefaultHasher, fmt::{Debug, Display, Formatter}, hash::{Hash, Hasher}, ops::{Add, AddAssign, Deref, Mul, Neg, Sub, SubAssign}, @@ -23,18 +22,11 @@ use std::{ }; use anyhow::Result; -use nautilus_core::{ - correctness::check_f64_in_range_inclusive, - parsing::precision_from_str, - python::{get_pytype_name, to_pytype_err, to_pyvalue_err}, -}; -use pyo3::{ - prelude::*, - pyclass::CompareOp, - types::{PyFloat, PyLong, PyTuple}, -}; -use rust_decimal::{Decimal, RoundingStrategy}; +use nautilus_core::{correctness::check_f64_in_range_inclusive, parsing::precision_from_str}; +use pyo3::prelude::*; +use rust_decimal::Decimal; use serde::{Deserialize, Deserializer, Serialize}; +use thousands::Separable; use super::fixed::{check_fixed_precision, FIXED_PRECISION, FIXED_SCALAR}; use crate::types::fixed::{f64_to_fixed_i64, fixed_i64_to_f64}; @@ -52,7 +44,7 @@ pub const ERROR_PRICE: Price = Price { #[derive(Copy, Clone, Eq, Default)] #[cfg_attr( feature = "python", - pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") )] pub struct Price { pub raw: i64, @@ -70,10 +62,9 @@ impl Price { }) } - #[must_use] - pub fn from_raw(raw: i64, precision: u8) -> Self { - check_fixed_precision(precision).unwrap(); - Self { raw, precision } + pub fn from_raw(raw: i64, precision: u8) -> Result { + check_fixed_precision(precision)?; + Ok(Self { raw, precision }) } #[must_use] @@ -116,6 +107,11 @@ impl Price { let rescaled_raw = self.raw / i64::pow(10, (FIXED_PRECISION - self.precision) as u32); Decimal::from_i128_with_scale(rescaled_raw as i128, self.precision as u32) } + + #[must_use] + pub fn to_formatted_string(&self) -> String { + format!("{self}").separate_with_underscores() + } } impl FromStr for Price { @@ -292,389 +288,6 @@ impl<'de> Deserialize<'de> for Price { } } -//////////////////////////////////////////////////////////////////////////////// -// Python API -//////////////////////////////////////////////////////////////////////////////// -#[cfg(feature = "python")] -#[pymethods] -impl Price { - #[new] - fn py_new(value: f64, precision: u8) -> PyResult { - Price::new(value, precision).map_err(to_pyvalue_err) - } - - fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { - let tuple: (&PyLong, &PyLong) = state.extract(py)?; - self.raw = tuple.0.extract()?; - self.precision = tuple.1.extract::()?; - Ok(()) - } - - fn __getstate__(&self, py: Python) -> PyResult { - Ok((self.raw, self.precision).to_object(py)) - } - - fn __reduce__(&self, py: Python) -> PyResult { - let safe_constructor = py.get_type::().getattr("_safe_constructor")?; - let state = self.__getstate__(py)?; - Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) - } - - fn __add__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() + other_float).into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((self.as_decimal() + other_price.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() + other_dec).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __add__, was `{pytype_name}`" - ))) - } - } - - fn __radd__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float + self.as_f64()).into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((other_price.as_decimal() + self.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec + self.as_decimal()).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __radd__, was `{pytype_name}`" - ))) - } - } - - fn __sub__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() - other_float).into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((self.as_decimal() - other_price.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() - other_dec).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __sub__, was `{pytype_name}`" - ))) - } - } - - fn __rsub__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float - self.as_f64()).into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((other_price.as_decimal() - self.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec - self.as_decimal()).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __rsub__, was `{pytype_name}`" - ))) - } - } - - fn __mul__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() * other_float).into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((self.as_decimal() * other_price.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() * other_dec).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __mul__, was `{pytype_name}`" - ))) - } - } - - fn __rmul__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float * self.as_f64()).into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((other_price.as_decimal() * self.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec * self.as_decimal()).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __rmul__, was `{pytype_name}`" - ))) - } - } - - fn __truediv__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() / other_float).into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((self.as_decimal() / other_price.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() / other_dec).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __truediv__, was `{pytype_name}`" - ))) - } - } - - fn __rtruediv__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float / self.as_f64()).into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((other_price.as_decimal() / self.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec / self.as_decimal()).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __rtruediv__, was `{pytype_name}`" - ))) - } - } - - fn __floordiv__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() / other_float).floor().into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((self.as_decimal() / other_price.as_decimal()) - .floor() - .into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() / other_dec).floor().into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __floordiv__, was `{pytype_name}`" - ))) - } - } - - fn __rfloordiv__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float / self.as_f64()).floor().into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((other_price.as_decimal() / self.as_decimal()) - .floor() - .into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec / self.as_decimal()).floor().into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __rfloordiv__, was `{pytype_name}`" - ))) - } - } - - fn __mod__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() % other_float).into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((self.as_decimal() % other_price.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() % other_dec).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __mod__, was `{pytype_name}`" - ))) - } - } - - fn __rmod__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float % self.as_f64()).into_py(py)) - } else if let Ok(other_price) = other.extract::(py) { - Ok((other_price.as_decimal() % self.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec % self.as_decimal()).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __rmod__, was `{pytype_name}`" - ))) - } - } - fn __neg__(&self) -> Decimal { - self.as_decimal().neg() - } - - fn __pos__(&self) -> Decimal { - let mut value = self.as_decimal(); - value.set_sign_positive(true); - value - } - - fn __abs__(&self) -> Decimal { - self.as_decimal().abs() - } - - fn __int__(&self) -> i64 { - self.as_f64() as i64 - } - - fn __float__(&self) -> f64 { - self.as_f64() - } - - fn __round__(&self, ndigits: Option) -> Decimal { - self.as_decimal() - .round_dp_with_strategy(ndigits.unwrap_or(0), RoundingStrategy::MidpointNearestEven) - } - - fn __richcmp__(&self, other: PyObject, op: CompareOp, py: Python<'_>) -> Py { - if let Ok(other_price) = other.extract::(py) { - match op { - CompareOp::Eq => self.eq(&other_price).into_py(py), - CompareOp::Ne => self.ne(&other_price).into_py(py), - CompareOp::Ge => self.ge(&other_price).into_py(py), - CompareOp::Gt => self.gt(&other_price).into_py(py), - CompareOp::Le => self.le(&other_price).into_py(py), - CompareOp::Lt => self.lt(&other_price).into_py(py), - } - } else if let Ok(other_dec) = other.extract::(py) { - match op { - CompareOp::Eq => (self.as_decimal() == other_dec).into_py(py), - CompareOp::Ne => (self.as_decimal() != other_dec).into_py(py), - CompareOp::Ge => (self.as_decimal() >= other_dec).into_py(py), - CompareOp::Gt => (self.as_decimal() > other_dec).into_py(py), - CompareOp::Le => (self.as_decimal() <= other_dec).into_py(py), - CompareOp::Lt => (self.as_decimal() < other_dec).into_py(py), - } - } else { - py.NotImplemented() - } - } - - fn __hash__(&self) -> isize { - let mut h = DefaultHasher::new(); - self.hash(&mut h); - h.finish() as isize - } - - fn __str__(&self) -> String { - self.to_string() - } - - fn __repr__(&self) -> String { - format!("Price('{self:?}')") - } - #[staticmethod] - fn _safe_constructor() -> PyResult { - Ok(Price::zero(0)) // Safe default - } - - #[getter] - fn raw(&self) -> i64 { - self.raw - } - - #[getter] - fn precision(&self) -> u8 { - self.precision - } - - #[staticmethod] - #[pyo3(name = "from_raw")] - fn py_from_raw(raw: i64, precision: u8) -> PyResult { - check_fixed_precision(precision).map_err(to_pyvalue_err)?; - Ok(Price::from_raw(raw, precision)) - } - - #[staticmethod] - #[pyo3(name = "zero")] - #[pyo3(signature = (precision = 0))] - fn py_zero(precision: u8) -> PyResult { - Price::new(0.0, precision).map_err(to_pyvalue_err) - } - - #[staticmethod] - #[pyo3(name = "from_int")] - fn py_from_int(value: u64) -> PyResult { - Price::new(value as f64, 0).map_err(to_pyvalue_err) - } - - #[staticmethod] - #[pyo3(name = "from_str")] - fn py_from_str(value: &str) -> PyResult { - Price::from_str(value).map_err(to_pyvalue_err) - } - - #[pyo3(name = "is_zero")] - fn py_is_zero(&self) -> bool { - self.is_zero() - } - - #[pyo3(name = "is_positive")] - fn py_is_positive(&self) -> bool { - self.is_positive() - } - - #[pyo3(name = "as_double")] - fn py_as_double(&self) -> f64 { - fixed_i64_to_f64(self.raw) - } - - #[pyo3(name = "as_decimal")] - fn py_as_decimal(&self) -> Decimal { - self.as_decimal() - } -} - -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn price_new(value: f64, precision: u8) -> Price { - // TODO: Document panic - Price::new(value, precision).unwrap() -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn price_from_raw(raw: i64, precision: u8) -> Price { - Price::from_raw(raw, precision) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn price_as_f64(price: &Price) -> f64 { - price.as_f64() -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn price_add_assign(mut a: Price, b: Price) { - a.add_assign(b); -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn price_sub_assign(mut a: Price, b: Price) { - a.sub_assign(b); -} - //////////////////////////////////////////////////////////////////////////////// // Tests //////////////////////////////////////////////////////////////////////////////// @@ -699,7 +312,7 @@ mod tests { #[should_panic(expected = "Condition failed: `precision` was greater than the maximum ")] fn test_invalid_precision_from_raw() { // Precision out of range for fixed - let _ = Price::from_raw(1, 10); + let _ = Price::from_raw(1, 10).unwrap(); } #[rstest] diff --git a/nautilus_core/model/src/types/quantity.rs b/nautilus_core/model/src/types/quantity.rs index 0e7cc598aed2..ac4b188051cd 100644 --- a/nautilus_core/model/src/types/quantity.rs +++ b/nautilus_core/model/src/types/quantity.rs @@ -15,25 +15,16 @@ use std::{ cmp::Ordering, - collections::hash_map::DefaultHasher, fmt::{Debug, Display, Formatter}, hash::{Hash, Hasher}, - ops::{Add, AddAssign, Deref, Mul, MulAssign, Neg, Sub, SubAssign}, + ops::{Add, AddAssign, Deref, Mul, MulAssign, Sub, SubAssign}, str::FromStr, }; use anyhow::Result; -use nautilus_core::{ - correctness::check_f64_in_range_inclusive, - parsing::precision_from_str, - python::{get_pytype_name, to_pytype_err, to_pyvalue_err}, -}; -use pyo3::{ - prelude::*, - pyclass::CompareOp, - types::{PyFloat, PyLong, PyTuple}, -}; -use rust_decimal::{Decimal, RoundingStrategy}; +use nautilus_core::{correctness::check_f64_in_range_inclusive, parsing::precision_from_str}; +use pyo3::prelude::*; +use rust_decimal::Decimal; use serde::{Deserialize, Deserializer, Serialize}; use thousands::Separable; @@ -47,7 +38,7 @@ pub const QUANTITY_MIN: f64 = 0.0; #[derive(Copy, Clone, Eq, Default)] #[cfg_attr( feature = "python", - pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") + pyclass(module = "nautilus_trader.core.nautilus_pyo3.model") )] pub struct Quantity { pub raw: u64, @@ -65,10 +56,9 @@ impl Quantity { }) } - #[must_use] - pub fn from_raw(raw: u64, precision: u8) -> Self { - check_fixed_precision(precision).unwrap(); - Self { raw, precision } + pub fn from_raw(raw: u64, precision: u8) -> Result { + check_fixed_precision(precision)?; + Ok(Self { raw, precision }) } #[must_use] @@ -87,11 +77,6 @@ impl Quantity { self.raw > 0 } - #[must_use] - pub fn as_str(&self) -> String { - format!("{self:?}").separate_with_underscores() - } - #[must_use] pub fn as_f64(&self) -> f64 { fixed_u64_to_f64(self.raw) @@ -103,6 +88,11 @@ impl Quantity { let rescaled_raw = self.raw / u64::pow(10, (FIXED_PRECISION - self.precision) as u32); Decimal::from_i128_with_scale(rescaled_raw as i128, self.precision as u32) } + + #[must_use] + pub fn to_formatted_string(&self) -> String { + format!("{self}").separate_with_underscores() + } } impl From for f64 { @@ -289,407 +279,6 @@ impl<'de> Deserialize<'de> for Quantity { } } -//////////////////////////////////////////////////////////////////////////////// -// Python API -//////////////////////////////////////////////////////////////////////////////// -#[cfg(feature = "python")] -#[pymethods] -impl Quantity { - #[new] - fn py_new(value: f64, precision: u8) -> PyResult { - Quantity::new(value, precision).map_err(to_pyvalue_err) - } - - fn __setstate__(&mut self, py: Python, state: PyObject) -> PyResult<()> { - let tuple: (&PyLong, &PyLong) = state.extract(py)?; - self.raw = tuple.0.extract()?; - self.precision = tuple.1.extract::()?; - Ok(()) - } - - fn __getstate__(&self, py: Python) -> PyResult { - Ok((self.raw, self.precision).to_object(py)) - } - - fn __reduce__(&self, py: Python) -> PyResult { - let safe_constructor = py.get_type::().getattr("_safe_constructor")?; - let state = self.__getstate__(py)?; - Ok((safe_constructor, PyTuple::empty(py), state).to_object(py)) - } - - #[staticmethod] - fn _safe_constructor() -> PyResult { - Ok(Quantity::zero(0)) // Safe default - } - - fn __add__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() + other_float).into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((self.as_decimal() + other_qty.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() + other_dec).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __add__, was `{pytype_name}`" - ))) - } - } - - fn __radd__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float + self.as_f64()).into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((other_qty.as_decimal() + self.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec + self.as_decimal()).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __radd__, was `{pytype_name}`" - ))) - } - } - - fn __sub__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() - other_float).into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((self.as_decimal() - other_qty.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() - other_dec).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __sub__, was `{pytype_name}`" - ))) - } - } - - fn __rsub__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float - self.as_f64()).into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((other_qty.as_decimal() - self.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec - self.as_decimal()).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __rsub__, was `{pytype_name}`" - ))) - } - } - - fn __mul__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() * other_float).into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((self.as_decimal() * other_qty.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() * other_dec).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __mul__, was `{pytype_name}`" - ))) - } - } - - fn __rmul__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float * self.as_f64()).into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((other_qty.as_decimal() * self.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec * self.as_decimal()).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __rmul__, was `{pytype_name}`" - ))) - } - } - - fn __truediv__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() / other_float).into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((self.as_decimal() / other_qty.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() / other_dec).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __truediv__, was `{pytype_name}`" - ))) - } - } - - fn __rtruediv__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float / self.as_f64()).into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((other_qty.as_decimal() / self.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec / self.as_decimal()).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __rtruediv__, was `{pytype_name}`" - ))) - } - } - - fn __floordiv__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() / other_float).floor().into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((self.as_decimal() / other_qty.as_decimal()) - .floor() - .into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() / other_dec).floor().into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __floordiv__, was `{pytype_name}`" - ))) - } - } - - fn __rfloordiv__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float / self.as_f64()).floor().into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((other_qty.as_decimal() / self.as_decimal()) - .floor() - .into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec / self.as_decimal()).floor().into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __rfloordiv__, was `{pytype_name}`" - ))) - } - } - - fn __mod__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((self.as_f64() % other_float).into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((self.as_decimal() % other_qty.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((self.as_decimal() % other_dec).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __mod__, was `{pytype_name}`" - ))) - } - } - - fn __rmod__(&self, other: PyObject, py: Python) -> PyResult { - if other.as_ref(py).is_instance_of::() { - let other_float: f64 = other.extract(py)?; - Ok((other_float % self.as_f64()).into_py(py)) - } else if let Ok(other_qty) = other.extract::(py) { - Ok((other_qty.as_decimal() % self.as_decimal()).into_py(py)) - } else if let Ok(other_dec) = other.extract::(py) { - Ok((other_dec % self.as_decimal()).into_py(py)) - } else { - let pytype_name = get_pytype_name(&other, py)?; - Err(to_pytype_err(format!( - "Unsupported type for __rmod__, was `{pytype_name}`" - ))) - } - } - fn __neg__(&self) -> Decimal { - self.as_decimal().neg() - } - - fn __pos__(&self) -> Decimal { - let mut value = self.as_decimal(); - value.set_sign_positive(true); - value - } - - fn __abs__(&self) -> Decimal { - self.as_decimal().abs() - } - - fn __int__(&self) -> u64 { - self.as_f64() as u64 - } - - fn __float__(&self) -> f64 { - self.as_f64() - } - - fn __round__(&self, ndigits: Option) -> Decimal { - self.as_decimal() - .round_dp_with_strategy(ndigits.unwrap_or(0), RoundingStrategy::MidpointNearestEven) - } - - fn __richcmp__(&self, other: PyObject, op: CompareOp, py: Python<'_>) -> Py { - if let Ok(other_qty) = other.extract::(py) { - match op { - CompareOp::Eq => self.eq(&other_qty).into_py(py), - CompareOp::Ne => self.ne(&other_qty).into_py(py), - CompareOp::Ge => self.ge(&other_qty).into_py(py), - CompareOp::Gt => self.gt(&other_qty).into_py(py), - CompareOp::Le => self.le(&other_qty).into_py(py), - CompareOp::Lt => self.lt(&other_qty).into_py(py), - } - } else if let Ok(other_dec) = other.extract::(py) { - match op { - CompareOp::Eq => (self.as_decimal() == other_dec).into_py(py), - CompareOp::Ne => (self.as_decimal() != other_dec).into_py(py), - CompareOp::Ge => (self.as_decimal() >= other_dec).into_py(py), - CompareOp::Gt => (self.as_decimal() > other_dec).into_py(py), - CompareOp::Le => (self.as_decimal() <= other_dec).into_py(py), - CompareOp::Lt => (self.as_decimal() < other_dec).into_py(py), - } - } else { - py.NotImplemented() - } - } - - fn __hash__(&self) -> isize { - let mut h = DefaultHasher::new(); - self.hash(&mut h); - h.finish() as isize - } - - fn __str__(&self) -> String { - self.to_string() - } - - fn __repr__(&self) -> String { - format!("Quantity('{self:?}')") - } - - #[getter] - fn raw(&self) -> u64 { - self.raw - } - - #[getter] - fn precision(&self) -> u8 { - self.precision - } - - #[staticmethod] - #[pyo3(name = "from_raw")] - fn py_from_raw(raw: u64, precision: u8) -> PyResult { - check_fixed_precision(precision).map_err(to_pyvalue_err)?; - Ok(Quantity::from_raw(raw, precision)) - } - - #[staticmethod] - #[pyo3(name = "zero")] - #[pyo3(signature = (precision = 0))] - fn py_zero(precision: u8) -> PyResult { - Quantity::new(0.0, precision).map_err(to_pyvalue_err) - } - - #[staticmethod] - #[pyo3(name = "from_int")] - fn py_from_int(value: u64) -> PyResult { - Quantity::new(value as f64, 0).map_err(to_pyvalue_err) - } - - #[staticmethod] - #[pyo3(name = "from_str")] - fn py_from_str(value: &str) -> PyResult { - Quantity::from_str(value).map_err(to_pyvalue_err) - } - - #[pyo3(name = "is_zero")] - fn py_is_zero(&self) -> bool { - self.is_zero() - } - - #[pyo3(name = "is_positive")] - fn py_is_positive(&self) -> bool { - self.is_positive() - } - - #[pyo3(name = "to_str")] - fn py_to_str(&self) -> String { - self.as_str() - } - - #[pyo3(name = "as_decimal")] - fn py_as_decimal(&self) -> Decimal { - self.as_decimal() - } - - #[pyo3(name = "as_double")] - fn py_as_double(&self) -> f64 { - self.as_f64() - } -} - -//////////////////////////////////////////////////////////////////////////////// -// C API -//////////////////////////////////////////////////////////////////////////////// -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn quantity_new(value: f64, precision: u8) -> Quantity { - // SAFETY: Assumes `value` and `precision` were properly validated - Quantity::new(value, precision).unwrap() -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn quantity_from_raw(raw: u64, precision: u8) -> Quantity { - Quantity::from_raw(raw, precision) -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn quantity_as_f64(qty: &Quantity) -> f64 { - qty.as_f64() -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn quantity_add_assign(mut a: Quantity, b: Quantity) { - a.add_assign(b); -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn quantity_add_assign_u64(mut a: Quantity, b: u64) { - a.add_assign(b); -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn quantity_sub_assign(mut a: Quantity, b: Quantity) { - a.sub_assign(b); -} - -#[cfg(feature = "ffi")] -#[no_mangle] -pub extern "C" fn quantity_sub_assign_u64(mut a: Quantity, b: u64) { - a.sub_assign(b); -} - //////////////////////////////////////////////////////////////////////////////// // Tests //////////////////////////////////////////////////////////////////////////////// @@ -714,7 +303,7 @@ mod tests { #[should_panic(expected = "Condition failed: `precision` was greater than the maximum ")] fn test_invalid_precision_from_raw() { // Precision out of range for fixed - let _ = Quantity::from_raw(1, 10); + let _ = Quantity::from_raw(1, 10).unwrap(); } #[rstest] @@ -805,11 +394,13 @@ mod tests { } #[rstest] - fn test_from_str_valid_input() { - let input = "1000.25"; - let expected_quantity = Quantity::new(1000.25, precision_from_str(input)).unwrap(); - let result = Quantity::from_str(input).unwrap(); - assert_eq!(result, expected_quantity); + #[case("0", 0)] + #[case("1.1", 1)] + #[case("1.123456789", 9)] + fn test_from_str_valid_input(#[case] input: &str, #[case] expected_prec: u8) { + let qty = Quantity::from_str(input).unwrap(); + assert_eq!(qty.precision, expected_prec); + assert_eq!(qty.as_decimal(), Decimal::from_str(input).unwrap()); } #[rstest] diff --git a/nautilus_core/network/src/http.rs b/nautilus_core/network/src/http.rs index 98194491aa5d..24dacc9fc15a 100644 --- a/nautilus_core/network/src/http.rs +++ b/nautilus_core/network/src/http.rs @@ -26,13 +26,13 @@ use pyo3::{exceptions::PyException, prelude::*, types::PyBytes}; use crate::ratelimiter::{clock::MonotonicClock, quota::Quota, RateLimiter}; -/// Provides a high-performance HttpClient for HTTP requests. +/// Provides a high-performance `HttpClient` for HTTP requests. /// /// The client is backed by a hyper Client which keeps connections alive and /// can be cloned cheaply. The client also has a list of header fields to /// extract from the response. /// -/// The client returns an [HttpResponse]. The client filters only the key value +/// The client returns an [`HttpResponse`]. The client filters only the key value /// for the give `header_keys`. #[derive(Clone)] pub struct InnerHttpClient { @@ -40,14 +40,57 @@ pub struct InnerHttpClient { header_keys: Vec, } -#[pyclass] -pub struct HttpClient { - rate_limiter: Arc>, - client: InnerHttpClient, +impl InnerHttpClient { + pub async fn send_request( + &self, + method: Method, + url: String, + headers: HashMap, + body: Option>, + ) -> Result> { + let mut req_builder = Request::builder().method(method).uri(url); + + for (header_name, header_value) in &headers { + req_builder = req_builder.header(header_name, header_value); + } + + let req = if let Some(body) = body { + req_builder.body(Body::from(body))? + } else { + req_builder.body(Body::empty())? + }; + + let res = self.client.request(req).await?; + self.to_response(res).await + } + + pub async fn to_response( + &self, + res: Response, + ) -> Result> { + let headers: HashMap = self + .header_keys + .iter() + .filter_map(|key| res.headers().get(key).map(|val| (key, val))) + .filter_map(|(key, val)| val.to_str().map(|v| (key, v)).ok()) + .map(|(k, v)| (k.clone(), v.to_owned())) + .collect(); + let status = res.status().as_u16(); + let bytes = hyper::body::to_bytes(res.into_body()).await?; + + Ok(HttpResponse { + status, + headers, + body: bytes.to_vec(), + }) + } } -#[pyclass] #[derive(Debug, Clone, Copy, PartialEq, Eq, Hash)] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.network") +)] pub enum HttpMethod { GET, POST, @@ -60,11 +103,11 @@ pub enum HttpMethod { impl Into for HttpMethod { fn into(self) -> Method { match self { - HttpMethod::GET => Method::GET, - HttpMethod::POST => Method::POST, - HttpMethod::PUT => Method::PUT, - HttpMethod::DELETE => Method::DELETE, - HttpMethod::PATCH => Method::PATCH, + Self::GET => Method::GET, + Self::POST => Method::POST, + Self::PUT => Method::PUT, + Self::DELETE => Method::DELETE, + Self::PATCH => Method::PATCH, } } } @@ -79,8 +122,11 @@ impl HttpMethod { } /// HttpResponse contains relevant data from a HTTP request. -#[pyclass] #[derive(Debug, Clone)] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.network") +)] pub struct HttpResponse { #[pyo3(get)] pub status: u16, @@ -102,22 +148,41 @@ impl Default for InnerHttpClient { #[pymethods] impl HttpResponse { + #[new] + fn py_new(status: u16, body: Vec) -> Self { + Self { + status, + body, + headers: Default::default(), + } + } + #[getter] fn get_body(&self, py: Python) -> PyResult> { Ok(PyBytes::new(py, &self.body).into()) } } +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.network") +)] +pub struct HttpClient { + rate_limiter: Arc>, + client: InnerHttpClient, +} + #[pymethods] impl HttpClient { /// Create a new HttpClient /// - /// * `header_keys` - key value pairs for the given `header_keys` are retained from the responses. - /// * `keyed_quota` - list of string quota pairs that gives quota for specific key values - /// * `default_quota` - the default rate limiting quota for any request. - /// Default quota is optional and no quota is passthrough. + /// * `header_keys` - The key value pairs for the given `header_keys` are retained from the responses. + /// * `keyed_quota` - A list of string quota pairs that gives quota for specific key values. + /// * `default_quota` - The default rate limiting quota for any request. + /// Default quota is optional and no quota is passthrough. #[new] #[pyo3(signature = (header_keys = Vec::new(), keyed_quotas = Vec::new(), default_quota = None))] + #[must_use] pub fn py_new( header_keys: Vec, keyed_quotas: Vec<(String, Quota)>, @@ -138,14 +203,15 @@ impl HttpClient { } } - /// Send an HTTP request + /// Send an HTTP request. /// - /// * `method` - the HTTP method to call - /// * `url` - the request is sent to this url - /// * `headers` - the header key value pairs in the request - /// * `body` - the bytes sent in the body of request - /// * `keys` - the keys used for rate limiting the request - pub fn request<'py>( + /// * `method` - The HTTP method to call. + /// * `url` - The request is sent to this url. + /// * `headers` - The header key value pairs in the request. + /// * `body` - The bytes sent in the body of request. + /// * `keys` - The keys used for rate limiting the request. + #[pyo3(name = "request")] + fn py_request<'py>( &self, method: HttpMethod, url: String, @@ -178,52 +244,6 @@ impl HttpClient { } } -impl InnerHttpClient { - pub async fn send_request( - &self, - method: Method, - url: String, - headers: HashMap, - body: Option>, - ) -> Result> { - let mut req_builder = Request::builder().method(method).uri(url); - - for (header_name, header_value) in &headers { - req_builder = req_builder.header(header_name, header_value); - } - - let req = if let Some(body) = body { - req_builder.body(Body::from(body))? - } else { - req_builder.body(Body::empty())? - }; - - let res = self.client.request(req).await?; - self.to_response(res).await - } - - pub async fn to_response( - &self, - res: Response, - ) -> Result> { - let headers: HashMap = self - .header_keys - .iter() - .filter_map(|key| res.headers().get(key).map(|val| (key, val))) - .filter_map(|(key, val)| val.to_str().map(|v| (key, v)).ok()) - .map(|(k, v)| (k.clone(), v.to_owned())) - .collect(); - let status = res.status().as_u16(); - let bytes = hyper::body::to_bytes(res.into_body()).await?; - - Ok(HttpResponse { - status, - headers, - body: bytes.to_vec(), - }) - } -} - //////////////////////////////////////////////////////////////////////////////// // Tests //////////////////////////////////////////////////////////////////////////////// diff --git a/nautilus_core/network/src/lib.rs b/nautilus_core/network/src/lib.rs index b6d2fd6948b1..9809435ab975 100644 --- a/nautilus_core/network/src/lib.rs +++ b/nautilus_core/network/src/lib.rs @@ -22,7 +22,7 @@ pub mod websocket; use http::{HttpClient, HttpMethod, HttpResponse}; use pyo3::prelude::*; use ratelimiter::quota::Quota; -use socket::SocketClient; +use socket::{SocketClient, SocketConfig}; use websocket::WebSocketClient; /// Loaded as nautilus_pyo3.network @@ -34,5 +34,6 @@ pub fn network(_: Python<'_>, m: &PyModule) -> PyResult<()> { m.add_class::()?; m.add_class::()?; m.add_class::()?; + m.add_class::()?; Ok(()) } diff --git a/nautilus_core/network/src/ratelimiter/clock.rs b/nautilus_core/network/src/ratelimiter/clock.rs index e91254d6e384..fe60289a78e5 100644 --- a/nautilus_core/network/src/ratelimiter/clock.rs +++ b/nautilus_core/network/src/ratelimiter/clock.rs @@ -50,7 +50,7 @@ impl Reference for Duration { /// The internal duration between this point and another. fn duration_since(&self, earlier: Self) -> Nanos { self.checked_sub(earlier) - .unwrap_or_else(|| Duration::new(0, 0)) + .unwrap_or_else(|| Self::new(0, 0)) .into() } @@ -64,7 +64,7 @@ impl Add for Duration { type Output = Self; fn add(self, other: Nanos) -> Self { - let other: Duration = other.into(); + let other: Self = other.into(); self + other } } @@ -120,9 +120,9 @@ impl Clock for FakeRelativeClock { pub struct MonotonicClock; impl Add for Instant { - type Output = Instant; + type Output = Self; - fn add(self, other: Nanos) -> Instant { + fn add(self, other: Nanos) -> Self { let other: Duration = other.into(); self + other } @@ -150,6 +150,9 @@ impl Clock for MonotonicClock { } } +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// #[cfg(test)] mod test { use std::{iter::repeat, sync::Arc, thread, time::Duration}; @@ -161,10 +164,10 @@ mod test { let clock = Arc::new(FakeRelativeClock::default()); let threads = repeat(()) .take(10) - .map(move |_| { + .map(move |()| { let clock = Arc::clone(&clock); thread::spawn(move || { - for _ in 0..1000000 { + for _ in 0..1_000_000 { let now = clock.now(); clock.advance(Duration::from_nanos(1)); assert!(clock.now() > now); diff --git a/nautilus_core/network/src/ratelimiter/gcra.rs b/nautilus_core/network/src/ratelimiter/gcra.rs index 5f6832e63cb2..58affb08dbb4 100644 --- a/nautilus_core/network/src/ratelimiter/gcra.rs +++ b/nautilus_core/network/src/ratelimiter/gcra.rs @@ -100,7 +100,7 @@ impl fmt::Display for NotUntil

{ } #[derive(Debug, PartialEq, Eq)] -pub(crate) struct Gcra { +pub struct Gcra { /// The "weight" of a single packet in units of time. t: Nanos, @@ -112,7 +112,7 @@ impl Gcra { pub(crate) fn new(quota: Quota) -> Self { let tau: Nanos = (quota.replenish_1_per * quota.max_burst.get()).into(); let t: Nanos = quota.replenish_1_per.into(); - Gcra { t, tau } + Self { t, tau } } /// Computes and returns a new ratelimiter state if none exists yet. diff --git a/nautilus_core/network/src/ratelimiter/mod.rs b/nautilus_core/network/src/ratelimiter/mod.rs index 27781b4eefdb..7200970033d4 100644 --- a/nautilus_core/network/src/ratelimiter/mod.rs +++ b/nautilus_core/network/src/ratelimiter/mod.rs @@ -144,7 +144,7 @@ where K: Hash + Eq + Clone, { pub fn advance_clock(&self, by: Duration) { - self.clock.advance(by) + self.clock.advance(by); } } @@ -160,11 +160,9 @@ where pub fn check_key(&self, key: &K) -> Result<(), NotUntil> { match self.gcra.get(key) { Some(quota) => quota.test_and_update(self.start, key, &self.state, self.clock.now()), - None => self - .default_gcra - .as_ref() - .map(|gcra| gcra.test_and_update(self.start, key, &self.state, self.clock.now())) - .unwrap_or(Ok(())), + None => self.default_gcra.as_ref().map_or(Ok(()), |gcra| { + gcra.test_and_update(self.start, key, &self.state, self.clock.now()) + }), } } @@ -180,6 +178,9 @@ where } } +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// #[cfg(test)] mod tests { use std::{num::NonZeroU32, time::Duration}; diff --git a/nautilus_core/network/src/ratelimiter/nanos.rs b/nautilus_core/network/src/ratelimiter/nanos.rs index d0303ce0af04..54be95490c09 100644 --- a/nautilus_core/network/src/ratelimiter/nanos.rs +++ b/nautilus_core/network/src/ratelimiter/nanos.rs @@ -34,7 +34,7 @@ impl Nanos { impl From for Nanos { fn from(d: Duration) -> Self { // This will panic: - Nanos( + Self( d.as_nanos() .try_into() .expect("Duration is longer than 584 years"), @@ -45,37 +45,37 @@ impl From for Nanos { impl fmt::Debug for Nanos { fn fmt(&self, f: &mut fmt::Formatter<'_>) -> Result<(), fmt::Error> { let d = Duration::from_nanos(self.0); - write!(f, "Nanos({:?})", d) + write!(f, "Nanos({d:?})") } } -impl Add for Nanos { - type Output = Nanos; +impl Add for Nanos { + type Output = Self; - fn add(self, rhs: Nanos) -> Self::Output { - Nanos(self.0 + rhs.0) + fn add(self, rhs: Self) -> Self::Output { + Self(self.0 + rhs.0) } } impl Mul for Nanos { - type Output = Nanos; + type Output = Self; fn mul(self, rhs: u64) -> Self::Output { - Nanos(self.0 * rhs) + Self(self.0 * rhs) } } -impl Div for Nanos { +impl Div for Nanos { type Output = u64; - fn div(self, rhs: Nanos) -> Self::Output { + fn div(self, rhs: Self) -> Self::Output { self.0 / rhs.0 } } impl From for Nanos { fn from(u: u64) -> Self { - Nanos(u) + Self(u) } } @@ -87,26 +87,26 @@ impl From for u64 { impl From for Duration { fn from(n: Nanos) -> Self { - Duration::from_nanos(n.0) + Self::from_nanos(n.0) } } impl Nanos { #[inline] - pub fn saturating_sub(self, rhs: Nanos) -> Nanos { - Nanos(self.0.saturating_sub(rhs.0)) + pub fn saturating_sub(self, rhs: Self) -> Self { + Self(self.0.saturating_sub(rhs.0)) } } impl clock::Reference for Nanos { #[inline] fn duration_since(&self, earlier: Self) -> Nanos { - (*self as Nanos).saturating_sub(earlier) + (*self as Self).saturating_sub(earlier) } #[inline] fn saturating_sub(&self, duration: Nanos) -> Self { - (*self as Nanos).saturating_sub(duration) + (*self as Self).saturating_sub(duration) } } @@ -114,11 +114,14 @@ impl Add for Nanos { type Output = Self; fn add(self, other: Duration) -> Self { - let other: Nanos = other.into(); + let other: Self = other.into(); self + other } } +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// #[cfg(all(feature = "std", test))] mod test { use std::time::Duration; diff --git a/nautilus_core/network/src/ratelimiter/quota.rs b/nautilus_core/network/src/ratelimiter/quota.rs index fb24b3acc7ef..e7952b5eae23 100644 --- a/nautilus_core/network/src/ratelimiter/quota.rs +++ b/nautilus_core/network/src/ratelimiter/quota.rs @@ -39,7 +39,7 @@ impl Quota { #[staticmethod] pub fn rate_per_second(max_burst: u32) -> PyResult { match NonZeroU32::new(max_burst) { - Some(max_burst) => Ok(Quota::per_second(max_burst)), + Some(max_burst) => Ok(Self::per_second(max_burst)), None => Err(PyErr::new::( "Max burst capacity should be a non-zero integer", )), @@ -49,7 +49,7 @@ impl Quota { #[staticmethod] pub fn rate_per_minute(max_burst: u32) -> PyResult { match NonZeroU32::new(max_burst) { - Some(max_burst) => Ok(Quota::per_minute(max_burst)), + Some(max_burst) => Ok(Self::per_minute(max_burst)), None => Err(PyErr::new::( "Max burst capacity should be a non-zero integer", )), @@ -59,7 +59,7 @@ impl Quota { #[staticmethod] pub fn rate_per_hour(max_burst: u32) -> PyResult { match NonZeroU32::new(max_burst) { - Some(max_burst) => Ok(Quota::per_hour(max_burst)), + Some(max_burst) => Ok(Self::per_hour(max_burst)), None => Err(PyErr::new::( "Max burst capacity should be a non-zero integer", )), @@ -71,9 +71,9 @@ impl Quota { impl Quota { /// Construct a quota for a number of cells per second. The given number of cells is also /// assumed to be the maximum burst size. - pub const fn per_second(max_burst: NonZeroU32) -> Quota { + pub const fn per_second(max_burst: NonZeroU32) -> Self { let replenish_interval_ns = Duration::from_secs(1).as_nanos() / (max_burst.get() as u128); - Quota { + Self { max_burst, replenish_1_per: Duration::from_nanos(replenish_interval_ns as u64), } @@ -81,9 +81,9 @@ impl Quota { /// Construct a quota for a number of cells per 60-second period. The given number of cells is /// also assumed to be the maximum burst size. - pub const fn per_minute(max_burst: NonZeroU32) -> Quota { + pub const fn per_minute(max_burst: NonZeroU32) -> Self { let replenish_interval_ns = Duration::from_secs(60).as_nanos() / (max_burst.get() as u128); - Quota { + Self { max_burst, replenish_1_per: Duration::from_nanos(replenish_interval_ns as u64), } @@ -91,10 +91,10 @@ impl Quota { /// Construct a quota for a number of cells per 60-minute (3600-second) period. The given number /// of cells is also assumed to be the maximum burst size. - pub const fn per_hour(max_burst: NonZeroU32) -> Quota { + pub const fn per_hour(max_burst: NonZeroU32) -> Self { let replenish_interval_ns = Duration::from_secs(60 * 60).as_nanos() / (max_burst.get() as u128); - Quota { + Self { max_burst, replenish_1_per: Duration::from_nanos(replenish_interval_ns as u64), } @@ -108,11 +108,11 @@ impl Quota { /// necessary. /// /// If the time interval is zero, returns `None`. - pub fn with_period(replenish_1_per: Duration) -> Option { + pub fn with_period(replenish_1_per: Duration) -> Option { if replenish_1_per.as_nanos() == 0 { None } else { - Some(Quota { + Some(Self { max_burst: nonzero!(1u32), replenish_1_per, }) @@ -121,8 +121,8 @@ impl Quota { /// Adjusts the maximum burst size for a quota to construct a rate limiter with a capacity /// for at most the given number of cells. - pub const fn allow_burst(self, max_burst: NonZeroU32) -> Quota { - Quota { max_burst, ..self } + pub const fn allow_burst(self, max_burst: NonZeroU32) -> Self { + Self { max_burst, ..self } } /// Construct a quota for a given burst size, replenishing the entire burst size in that @@ -143,11 +143,11 @@ impl Quota { note = "This constructor is often confusing and non-intuitive. \ Use the `per_(interval)` / `with_period` and `max_burst` constructors instead." )] - pub fn new(max_burst: NonZeroU32, replenish_all_per: Duration) -> Option { + pub fn new(max_burst: NonZeroU32, replenish_all_per: Duration) -> Option { if replenish_all_per.as_nanos() == 0 { None } else { - Some(Quota { + Some(Self { max_burst, replenish_1_per: replenish_all_per / max_burst.get(), }) @@ -181,7 +181,7 @@ impl Quota { /// This is useful mainly for [`crate::middleware::RateLimitingMiddleware`] /// where custom code may want to construct information based on /// the amount of burst balance remaining. - pub(crate) fn from_gcra_parameters(t: Nanos, tau: Nanos) -> Quota { + pub(crate) fn from_gcra_parameters(t: Nanos, tau: Nanos) -> Self { // Safety assurance: As we're calling this from this crate // only, and we do not allow creating a Gcra from 0 // parameters, this is, in fact, safe. @@ -191,13 +191,16 @@ impl Quota { // exactly like that. let max_burst = unsafe { NonZeroU32::new_unchecked((tau.as_u64() / t.as_u64()) as u32) }; let replenish_1_per = t.into(); - Quota { + Self { max_burst, replenish_1_per, } } } +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// // #[cfg(test)] // mod test { // use nonzero_ext::nonzero; diff --git a/nautilus_core/network/src/socket.rs b/nautilus_core/network/src/socket.rs index fff6f9b355f2..d58a84fd6601 100644 --- a/nautilus_core/network/src/socket.rs +++ b/nautilus_core/network/src/socket.rs @@ -15,7 +15,8 @@ use std::{io, sync::Arc, time::Duration}; -use pyo3::{prelude::*, types::PyBytes, PyObject, Python}; +use nautilus_core::python::to_pyruntime_err; +use pyo3::{prelude::*, PyObject, Python}; use tokio::{ io::{split, AsyncReadExt, AsyncWriteExt, ReadHalf, WriteHalf}, net::TcpStream, @@ -34,6 +35,46 @@ type TcpWriter = WriteHalf>; type SharedTcpWriter = Arc>>>; type TcpReader = ReadHalf>; +/// Configuration for TCP socket connection. +#[derive(Debug, Clone)] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.network") +)] +pub struct SocketConfig { + /// The URL to connect to. + url: String, + /// The connection mode {Plain, TLS}. + mode: Mode, + /// The sequence of bytes which separates lines. + suffix: Vec, + /// The Python function to handle incoming messages. + handler: PyObject, + /// The optional heartbeat with period and beat message. + heartbeat: Option<(u64, Vec)>, +} + +#[pymethods] +impl SocketConfig { + #[new] + fn py_new( + url: String, + ssl: bool, + suffix: Vec, + handler: PyObject, + heartbeat: Option<(u64, Vec)>, + ) -> Self { + let mode = if ssl { Mode::Tls } else { Mode::Plain }; + Self { + url, + mode, + suffix, + handler, + heartbeat, + } + } +} + /// Creates a TcpStream with the server /// /// The stream can be encrypted with TLS or Plain. The stream is split into @@ -43,42 +84,47 @@ type TcpReader = ReadHalf>; /// * The write end is wrapped in an Arc Mutex and used to send messages /// or heart beats /// -/// The heartbeat is optional and can be configured with an interval and message. +/// The heartbeat is optional and can be configured with an interval and data to +/// send. /// /// The client uses a suffix to separate messages on the byte stream. It is /// appended to all sent messages and heartbeats. It is also used the split /// the received byte stream. -#[pyclass] -pub struct SocketClient { +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.network") +)] +struct SocketClientInner { + config: SocketConfig, read_task: task::JoinHandle<()>, heartbeat_task: Option>, writer: SharedTcpWriter, - suffix: Vec, } -impl SocketClient { - pub async fn connect_url( - url: &str, - handler: PyObject, - mode: Mode, - suffix: Vec, - heartbeat: Option<(u64, Vec)>, - ) -> io::Result { - let (reader, writer) = Self::tls_connect_with_server(url, mode).await; +impl SocketClientInner { + pub async fn connect_url(config: SocketConfig) -> io::Result { + let SocketConfig { + url, + mode, + heartbeat, + suffix, + handler, + } = &config; + let (reader, writer) = Self::tls_connect_with_server(url, *mode).await; let shared_writer = Arc::new(Mutex::new(writer)); // Keep receiving messages from socket pass them as arguments to handler - let read_task = Self::spawn_read_task(reader, handler, suffix.clone()); + let read_task = Self::spawn_read_task(reader, handler.clone(), suffix.clone()); // Optionally create heartbeat task let heartbeat_task = - Self::spawn_heartbeat_task(heartbeat, shared_writer.clone(), suffix.clone()); + Self::spawn_heartbeat_task(heartbeat.clone(), shared_writer.clone(), suffix.clone()); Ok(Self { + config, read_task, heartbeat_task, writer: shared_writer, - suffix, }) } @@ -107,8 +153,14 @@ impl SocketClient { loop { match reader.read_buf(&mut buf).await { // Connection has been terminated or vector buffer is completely - Ok(bytes) if bytes == 0 => error!("Cannot read anymore bytes"), - Err(err) => error!("Failed with error: {err}"), + Ok(0) => { + error!("Cannot read anymore bytes"); + break; + } + Err(e) => { + error!("Failed with error: {e}"); + break; + } // Received bytes of data Ok(bytes) => { debug!("Received {bytes} bytes of data"); @@ -123,10 +175,10 @@ impl SocketClient { let mut data: Vec = buf.drain(0..i + suffix.len()).collect(); data.truncate(data.len() - suffix.len()); - if let Err(err) = + if let Err(e) = Python::with_gil(|py| handler.call1(py, (data.as_slice(),))) { - error!("Call to handler failed: {}", err); + error!("Call to handler failed: {e}"); break; } } @@ -136,7 +188,7 @@ impl SocketClient { }) } - /// Optionally spawn a hearbeat task to periodically ping the server. + /// Optionally spawn a heartbeat task to periodically ping the server. pub fn spawn_heartbeat_task( heartbeat: Option<(u64, Vec)>, writer: SharedTcpWriter, @@ -151,8 +203,8 @@ impl SocketClient { debug!("Sending heartbeat"); let mut guard = writer.lock().await; match guard.write_all(&message).await { - Ok(_) => debug!("Sent heartbeat"), - Err(err) => error!("Failed to send heartbeat: {}", err), + Ok(()) => debug!("Sent heartbeat"), + Err(e) => error!("Failed to send heartbeat: {e}"), } } }) @@ -174,7 +226,7 @@ impl SocketClient { // Cancel heart beat task if let Some(ref handle) = self.heartbeat_task.take() { if !handle.is_finished() { - debug!("Abort heart beat task"); + debug!("Abort heartbeat task"); handle.abort(); } } @@ -185,13 +237,41 @@ impl SocketClient { debug!("Closed connection"); } - pub async fn send_bytes(&mut self, data: &[u8]) { - let mut writer = self.writer.lock().await; - writer.write_all(data).await.unwrap(); - writer.write_all(&self.suffix).await.unwrap(); + /// Reconnect with server. + /// + /// Make a new connection with server. Use the new read and write halves + /// to update the shared writer and the read and heartbeat tasks. + /// + /// TODO: fix error type + pub async fn reconnect(&mut self) -> Result<(), String> { + let SocketConfig { + url, + mode, + heartbeat, + suffix, + handler, + } = &self.config; + debug!("Reconnecting client"); + let (reader, new_writer) = Self::tls_connect_with_server(url, *mode).await; + + debug!("Use new writer end"); + let mut guard = self.writer.lock().await; + *guard = new_writer; + drop(guard); + + debug!("Recreate reader and heartbeat task"); + self.read_task = Self::spawn_read_task(reader, handler.clone(), suffix.clone()); + self.heartbeat_task = + Self::spawn_heartbeat_task(heartbeat.clone(), self.writer.clone(), suffix.clone()); + Ok(()) } - /// Checks if the client is still connected. + /// Check if the client is still connected. + /// + /// The client is connected if the read task has not finished. It is expected + /// that in case of any failure client or server side. The read task will be + /// shutdown. There might be some delay between the connection being closed + /// and the client detecting it. #[inline] #[must_use] pub fn is_alive(&self) -> bool { @@ -199,84 +279,228 @@ impl SocketClient { } } +impl Drop for SocketClientInner { + fn drop(&mut self) { + if !self.read_task.is_finished() { + self.read_task.abort(); + } + + // Cancel heart beat task + if let Some(ref handle) = self.heartbeat_task.take() { + if !handle.is_finished() { + handle.abort(); + } + } + } +} + +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.network") +)] +pub struct SocketClient { + writer: SharedTcpWriter, + controller_task: task::JoinHandle<()>, + disconnect_mode: Arc>, + suffix: Vec, +} + +impl SocketClient { + pub async fn connect( + config: SocketConfig, + post_connection: Option, + post_reconnection: Option, + post_disconnection: Option, + ) -> io::Result { + let suffix = config.suffix.clone(); + let inner = SocketClientInner::connect_url(config).await?; + let writer = inner.writer.clone(); + let disconnect_mode = Arc::new(Mutex::new(false)); + let controller_task = Self::spawn_controller_task( + inner, + disconnect_mode.clone(), + post_reconnection, + post_disconnection, + ); + + if let Some(handler) = post_connection { + Python::with_gil(|py| match handler.call0(py) { + Ok(_) => debug!("Called `post_connection` handler"), + Err(e) => error!("Error calling `post_connection` handler: {e}"), + }); + } + + Ok(Self { + writer, + controller_task, + disconnect_mode, + suffix, + }) + } + + /// Set disconnect mode to true. + /// + /// Controller task will periodically check the disconnect mode + /// and shutdown the client if it is not alive. + pub async fn disconnect(&self) { + *self.disconnect_mode.lock().await = true; + } + + // TODO: fix error type + pub async fn send_bytes(&self, data: &[u8]) { + let mut writer = self.writer.lock().await; + writer.write_all(data).await.unwrap(); + writer.write_all(&self.suffix).await.unwrap(); + } + + #[must_use] + pub fn is_disconnected(&self) -> bool { + self.controller_task.is_finished() + } + + fn spawn_controller_task( + mut inner: SocketClientInner, + disconnect_mode: Arc>, + post_reconnection: Option, + post_disconnection: Option, + ) -> task::JoinHandle<()> { + task::spawn(async move { + let mut disconnect_flag; + loop { + sleep(Duration::from_secs(1)).await; + + // Check if client needs to disconnect + let guard = disconnect_mode.lock().await; + disconnect_flag = *guard; + drop(guard); + + match (disconnect_flag, inner.is_alive()) { + (false, false) => match inner.reconnect().await { + Ok(()) => { + debug!("Reconnected successfully"); + if let Some(ref handler) = post_reconnection { + Python::with_gil(|py| match handler.call0(py) { + Ok(_) => debug!("Called `post_reconnection` handler"), + Err(e) => { + error!("Error calling `post_reconnection` handler: {e}"); + } + }); + } + } + Err(e) => { + error!("Reconnect failed {e}"); + break; + } + }, + (true, true) => { + debug!("Shutting down inner client"); + inner.shutdown().await; + if let Some(ref handler) = post_disconnection { + Python::with_gil(|py| match handler.call0(py) { + Ok(_) => debug!("Called `post_disconnection` handler"), + Err(e) => { + error!("Error calling `post_disconnection` handler: {e}"); + } + }); + } + break; + } + (true, false) => break, + _ => (), + } + } + }) + } +} + #[pymethods] impl SocketClient { + /// Create a socket client. + /// + /// # Safety + /// + /// - Throws an Exception if it is unable to make socket connection #[staticmethod] - fn connect( - url: String, - handler: PyObject, - ssl: bool, - suffix: Py, - heartbeat: Option<(u64, Vec)>, + #[pyo3(name = "connect")] + fn py_connect( + config: SocketConfig, + post_connection: Option, + post_reconnection: Option, + post_disconnection: Option, py: Python<'_>, ) -> PyResult<&PyAny> { - let mode = if ssl { Mode::Tls } else { Mode::Plain }; - let suffix = suffix.as_ref(py).as_bytes().to_vec(); - pyo3_asyncio::tokio::future_into_py(py, async move { - Ok(Self::connect_url(&url, handler, mode, suffix, heartbeat) - .await - .unwrap()) + Self::connect( + config, + post_connection, + post_reconnection, + post_disconnection, + ) + .await + .map_err(to_pyruntime_err) }) } - fn send<'py>(slf: PyRef<'_, Self>, mut data: Vec, py: Python<'py>) -> PyResult<&'py PyAny> { - let writer = slf.writer.clone(); - data.extend(&slf.suffix); + /// Closes the client heart beat and reader task. + /// + /// The connection is not completely closed the till all references + /// to the client are gone and the client is dropped. + /// + /// # Safety + /// + /// - The client should not be used after closing it + /// - Any auto-reconnect job should be aborted before closing the client + #[pyo3(name = "disconnect")] + fn py_disconnect<'py>(slf: PyRef<'_, Self>, py: Python<'py>) -> PyResult<&'py PyAny> { + let disconnect_mode = slf.disconnect_mode.clone(); + debug!("Setting disconnect mode to true"); + pyo3_asyncio::tokio::future_into_py(py, async move { - let mut writer = writer.lock().await; - writer.write_all(&data).await?; + *disconnect_mode.lock().await = true; Ok(()) }) } - /// Closing the client aborts the reading task and shuts down the connection. + /// Check if the client is still alive. /// - /// # Safety + /// Even if the connection is disconnected the client will still be alive + /// and try to reconnect. Only when reconnect fails the client will + /// terminate. /// - /// - The client should not send after being closed - /// - The client should be dropped after being closed - fn close<'py>(slf: PyRef<'_, Self>, py: Python<'py>) -> PyResult<&'py PyAny> { - if !slf.read_task.is_finished() { - slf.read_task.abort(); - } - - // Cancel heart beat task - if let Some(ref handle) = slf.heartbeat_task { - if !handle.is_finished() { - handle.abort(); - } - } + /// This is particularly useful for check why a `send` failed. It could + /// because the connection disconnected and the client is still alive + /// and reconnecting. In such cases the send can be retried after some + /// delay + #[getter] + fn is_alive(slf: PyRef<'_, Self>) -> bool { + !slf.controller_task.is_finished() + } - // Shut down writer + /// Send bytes data to the connection. + /// + /// # Safety + /// + /// - Throws an Exception if it is not able to send data. + #[pyo3(name = "send")] + fn py_send<'py>( + slf: PyRef<'_, Self>, + mut data: Vec, + py: Python<'py>, + ) -> PyResult<&'py PyAny> { let writer = slf.writer.clone(); + data.extend(&slf.suffix); + pyo3_asyncio::tokio::future_into_py(py, async move { let mut writer = writer.lock().await; - writer.shutdown().await.unwrap(); + writer.write_all(&data).await?; Ok(()) }) } - - fn is_connected(slf: PyRef<'_, Self>) -> bool { - slf.is_alive() - } -} - -impl Drop for SocketClient { - fn drop(&mut self) { - if !self.read_task.is_finished() { - self.read_task.abort(); - } - - // Cancel heart beat task - if let Some(ref handle) = self.heartbeat_task.take() { - if !handle.is_finished() { - handle.abort(); - } - } - } } +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// #[cfg(test)] mod tests { use pyo3::{prelude::*, prepare_freethreaded_python}; @@ -290,13 +514,19 @@ mod tests { use tracing::debug; use tracing_test::traced_test; - use crate::socket::SocketClient; + use crate::socket::{SocketClient, SocketConfig}; struct TestServer { - handle: JoinHandle<()>, + task: JoinHandle<()>, port: u16, } + impl Drop for TestServer { + fn drop(&mut self) { + self.task.abort(); + } + } + impl TestServer { async fn basic_client_test() -> Self { let server = TcpListener::bind("127.0.0.1:0").await.unwrap(); @@ -304,35 +534,50 @@ mod tests { // Setup test server let handle = task::spawn(async move { - let mut buf = Vec::new(); - let (mut stream, _) = server.accept().await.unwrap(); - debug!("socket:test Server accepted connection"); - + // keep listening for new connections loop { - let bytes = stream.read_buf(&mut buf).await.unwrap(); - debug!("socket:test Server received {bytes} bytes"); - - // Terminate if 0 bytes have been read - // Connection has been terminated or vector buffer is completely - if bytes == 0 { - break; - } else { - // if received data has a line break - // extract and write it to the stream - while let Some((i, _)) = - &buf.windows(2).enumerate().find(|(_, pair)| pair == b"\r\n") - { - debug!("socket:test Server sending message"); - stream - .write_all(buf.drain(0..i + 2).as_slice()) - .await - .unwrap(); + let (mut stream, _) = server.accept().await.unwrap(); + debug!("socket:test Server accepted connection"); + + // keep receiving messages from connection + // and sending them back as it is + // if the message contains a close stop receiving messages + // and drop the connection + task::spawn(async move { + let mut buf = Vec::new(); + loop { + let bytes = stream.read_buf(&mut buf).await.unwrap(); + debug!("socket:test Server received {bytes} bytes"); + + // Terminate if 0 bytes have been read + // Connection has been terminated or vector buffer is completely + if bytes == 0 { + break; + } else { + // if received data has a line break + // extract and write it to the stream + while let Some((i, _)) = + &buf.windows(2).enumerate().find(|(_, pair)| pair == b"\r\n") + { + let close_message = b"close".as_slice(); + if &buf[0..*i] == close_message { + debug!("socket:test Client sent closing message"); + return; + } else { + debug!("socket:test Server sending message"); + stream + .write_all(buf.drain(0..i + 2).as_slice()) + .await + .unwrap(); + } + } + } } - } + }); } }); - Self { handle, port } + Self { task: handle, port } } } @@ -345,7 +590,6 @@ mod tests { // Initialize test server let server = TestServer::basic_client_test().await; - debug!("Reached here"); // Create counter class and handler that increments it let (counter, handler) = Python::with_gil(|py| { @@ -375,18 +619,16 @@ counter = Counter()", (counter, handler) }); - let mut client = SocketClient::connect_url( - &format!("127.0.0.1:{}", server.port), - handler.clone(), - Mode::Plain, - b"\r\n".to_vec(), - None, - ) - .await - .unwrap(); - - // Check that socket read task is running - assert!(client.is_alive()); + let config = SocketConfig { + url: format!("127.0.0.1:{}", server.port), + handler: handler.clone(), + mode: Mode::Plain, + suffix: b"\r\n".to_vec(), + heartbeat: None, + }; + let client: SocketClient = SocketClient::connect(config, None, None, None) + .await + .unwrap(); // Send messages that increment the count for _ in 0..N { @@ -394,10 +636,6 @@ counter = Counter()", } sleep(Duration::from_secs(1)).await; - // Shutdown client and wait for read task to terminate - client.shutdown().await; - server.handle.abort(); - let count_value: usize = Python::with_gil(|py| { counter .getattr(py, "get_count") @@ -410,5 +648,38 @@ counter = Counter()", // Check count is same as number messages sent assert_eq!(count_value, N); + + ////////////////////////////////////////////////////////////////////// + // Close connection client should reconnect and send messages + ////////////////////////////////////////////////////////////////////// + + // close the connection and wait + // client should reconnect automatically + client.send_bytes(b"close".as_slice()).await; + sleep(Duration::from_secs(2)).await; + + for _ in 0..N { + client.send_bytes(b"ping".as_slice()).await; + } + + // Check count is same as number messages sent + sleep(Duration::from_secs(1)).await; + let count_value: usize = Python::with_gil(|py| { + counter + .getattr(py, "get_count") + .unwrap() + .call0(py) + .unwrap() + .extract(py) + .unwrap() + }); + + // check that messages were received correctly after reconnecting + assert_eq!(count_value, N + N); + + // Shutdown client and wait for read task to terminate + client.disconnect().await; + sleep(Duration::from_secs(1)).await; + assert!(client.is_disconnected()); } } diff --git a/nautilus_core/network/src/websocket.rs b/nautilus_core/network/src/websocket.rs index 934705a8239d..4d7d1348db81 100644 --- a/nautilus_core/network/src/websocket.rs +++ b/nautilus_core/network/src/websocket.rs @@ -19,6 +19,7 @@ use futures_util::{ stream::{SplitSink, SplitStream}, SinkExt, StreamExt, }; +use nautilus_core::python::to_pyruntime_err; use pyo3::{exceptions::PyException, prelude::*, types::PyBytes, PyObject, Python}; use tokio::{net::TcpStream, sync::Mutex, task, time::sleep}; use tokio_tungstenite::{ @@ -102,8 +103,8 @@ impl WebSocketClientInner { debug!("Sending heartbeat"); let mut guard = writer.lock().await; match guard.send(Message::Ping(vec![])).await { - Ok(_) => debug!("Sent heartbeat"), - Err(err) => error!("Failed to send heartbeat: {}", err), + Ok(()) => debug!("Sent heartbeat"), + Err(e) => error!("Failed to send heartbeat: {e}"), } } }) @@ -118,19 +119,19 @@ impl WebSocketClientInner { match reader.next().await { Some(Ok(Message::Binary(data))) => { debug!("Received binary message"); - if let Err(err) = + if let Err(e) = Python::with_gil(|py| handler.call1(py, (PyBytes::new(py, &data),))) { - error!("Call to handler failed: {}", err); + error!("Call to handler failed: {e}"); break; } } Some(Ok(Message::Text(data))) => { debug!("Received text message"); - if let Err(err) = Python::with_gil(|py| { + if let Err(e) = Python::with_gil(|py| { handler.call1(py, (PyBytes::new(py, data.as_bytes()),)) }) { - error!("Call to handler failed: {}", err); + error!("Call to handler failed: {e}"); break; } } @@ -139,8 +140,8 @@ impl WebSocketClientInner { break; } Some(Ok(_)) => (), - Some(Err(err)) => { - error!("Received error message. Terminating. {err}"); + Some(Err(e)) => { + error!("Received error message. Terminating. {e}"); break; } // Internally tungstenite considers the connection closed when polling @@ -225,7 +226,10 @@ impl Drop for WebSocketClientInner { } } -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.network") +)] pub struct WebSocketClient { writer: SharedMessageWriter, controller_task: task::JoinHandle<()>, @@ -237,7 +241,7 @@ impl WebSocketClient { /// /// Creates an inner client and controller task to reconnect or disconnect /// the client. Also assumes ownership of writer from inner client - pub async fn connect_client( + pub async fn connect( url: &str, handler: PyObject, heartbeat: Option, @@ -258,7 +262,7 @@ impl WebSocketClient { if let Some(handler) = post_connection { Python::with_gil(|py| match handler.call0(py) { Ok(_) => debug!("Called post_connection handler"), - Err(err) => error!("post_connection handler failed because: {}", err), + Err(e) => error!("Error calling post_connection handler: {e}"), }); } @@ -273,11 +277,11 @@ impl WebSocketClient { /// /// Controller task will periodically check the disconnect mode /// and shutdown the client if it is alive - pub async fn disconnect_client(&self) { + pub async fn disconnect(&self) { *self.disconnect_mode.lock().await = true; } - pub async fn send_bytes_client(&self, data: Vec) -> Result<(), Error> { + pub async fn send_bytes(&self, data: Vec) -> Result<(), Error> { let mut guard = self.writer.lock().await; guard.send(Message::Binary(data)).await } @@ -290,8 +294,8 @@ impl WebSocketClient { pub async fn send_close_message(&self) { let mut guard = self.writer.lock().await; match guard.send(Message::Close(None)).await { - Ok(_) => debug!("Sent close message"), - Err(err) => error!("Failed to send message: {}", err), + Ok(()) => debug!("Sent close message"), + Err(e) => error!("Failed to send message: {e}"), } } @@ -313,19 +317,19 @@ impl WebSocketClient { match (disconnect_flag, inner.is_alive()) { (false, false) => match inner.reconnect().await { - Ok(_) => { + Ok(()) => { debug!("Reconnected successfully"); if let Some(ref handler) = post_reconnection { Python::with_gil(|py| match handler.call0(py) { Ok(_) => debug!("Called post_reconnection handler"), - Err(err) => { - error!("post_reconnection handler failed because: {}", err); + Err(e) => { + error!("Error calling post_reconnection handler: {e}"); } }); } } - Err(err) => { - error!("Reconnect failed {}", err); + Err(e) => { + error!("Reconnect failed {e}"); break; } }, @@ -335,8 +339,8 @@ impl WebSocketClient { if let Some(ref handler) = post_disconnection { Python::with_gil(|py| match handler.call0(py) { Ok(_) => debug!("Called post_reconnection handler"), - Err(err) => { - error!("post_reconnection handler failed because: {}", err); + Err(e) => { + error!("Error calling post_reconnection handler: {e}"); } }); } @@ -355,9 +359,11 @@ impl WebSocketClient { /// Create a websocket client. /// /// # Safety + /// /// - Throws an Exception if it is unable to make websocket connection #[staticmethod] - fn connect( + #[pyo3(name = "connect")] + fn py_connect( url: String, handler: PyObject, heartbeat: Option, @@ -367,7 +373,7 @@ impl WebSocketClient { py: Python<'_>, ) -> PyResult<&PyAny> { pyo3_asyncio::tokio::future_into_py(py, async move { - Self::connect_client( + Self::connect( &url, handler, heartbeat, @@ -376,52 +382,25 @@ impl WebSocketClient { post_disconnection, ) .await - .map_err(|err| { + .map_err(|e| { PyException::new_err(format!( - "Unable to make websocket connection because of error: {}", - err + "Unable to make websocket connection because of error: {e}", )) }) }) } - /// Send text data to the connection. - /// - /// # Safety - /// - Throws an Exception if it is not able to send data - fn send_text<'py>(slf: PyRef<'_, Self>, data: String, py: Python<'py>) -> PyResult<&'py PyAny> { - let writer = slf.writer.clone(); - pyo3_asyncio::tokio::future_into_py(py, async move { - let mut guard = writer.lock().await; - guard.send(Message::Text(data)).await.map_err(|err| { - PyException::new_err(format!("Unable to send data because of error: {}", err)) - }) - }) - } - - /// Send bytes data to the connection. - /// - /// # Safety - /// - Throws an Exception if it is not able to send data - fn send<'py>(slf: PyRef<'_, Self>, data: Vec, py: Python<'py>) -> PyResult<&'py PyAny> { - let writer = slf.writer.clone(); - pyo3_asyncio::tokio::future_into_py(py, async move { - let mut guard = writer.lock().await; - guard.send(Message::Binary(data)).await.map_err(|err| { - PyException::new_err(format!("Unable to send data because of error: {}", err)) - }) - }) - } - /// Closes the client heart beat and reader task. /// /// The connection is not completely closed the till all references /// to the client are gone and the client is dropped. /// - /// #Safety + /// # Safety + /// /// - The client should not be used after closing it /// - Any auto-reconnect job should be aborted before closing the client - fn disconnect<'py>(slf: PyRef<'_, Self>, py: Python<'py>) -> PyResult<&'py PyAny> { + #[pyo3(name = "disconnect")] + fn py_disconnect<'py>(slf: PyRef<'_, Self>, py: Python<'py>) -> PyResult<&'py PyAny> { let disconnect_mode = slf.disconnect_mode.clone(); debug!("Setting disconnect mode to true"); pyo3_asyncio::tokio::future_into_py(py, async move { @@ -439,11 +418,49 @@ impl WebSocketClient { /// This is particularly useful for check why a `send` failed. It could /// because the connection disconnected and the client is still alive /// and reconnecting. In such cases the send can be retried after some - /// delay + /// delay. #[getter] fn is_alive(slf: PyRef<'_, Self>) -> bool { !slf.controller_task.is_finished() } + + /// Send text data to the connection. + /// + /// # Safety + /// + /// - Raises PyRuntimeError if not able to send data. + #[pyo3(name = "send_text")] + fn py_send_text<'py>( + slf: PyRef<'_, Self>, + data: String, + py: Python<'py>, + ) -> PyResult<&'py PyAny> { + let writer = slf.writer.clone(); + pyo3_asyncio::tokio::future_into_py(py, async move { + let mut guard = writer.lock().await; + guard + .send(Message::Text(data)) + .await + .map_err(to_pyruntime_err) + }) + } + + /// Send bytes data to the connection. + /// + /// # Safety + /// + /// - Raises PyRuntimeError if not able to send data. + #[pyo3(name = "send")] + fn py_send<'py>(slf: PyRef<'_, Self>, data: Vec, py: Python<'py>) -> PyResult<&'py PyAny> { + let writer = slf.writer.clone(); + pyo3_asyncio::tokio::future_into_py(py, async move { + let mut guard = writer.lock().await; + guard + .send(Message::Binary(data)) + .await + .map_err(to_pyruntime_err) + }) + } } #[cfg(test)] @@ -485,8 +502,8 @@ mod tests { if msg.is_binary() || msg.is_text() { websocket.send(msg).await.unwrap(); } else if msg.is_close() { - if let Err(err) = websocket.close(None).await { - debug!("Connection already closed {err}"); + if let Err(e) = websocket.close(None).await { + debug!("Connection already closed {e}"); }; break; } @@ -544,7 +561,7 @@ counter = Counter()", (counter, handler) }); - let client = WebSocketClient::connect_client( + let client = WebSocketClient::connect( &format!("ws://127.0.0.1:{}", server.port), handler.clone(), None, @@ -557,7 +574,7 @@ counter = Counter()", // Send messages that increment the count for _ in 0..N { - if client.send_bytes_client(b"ping".to_vec()).await.is_ok() { + if client.send_bytes(b"ping".to_vec()).await.is_ok() { success_count += 1; }; } @@ -586,7 +603,7 @@ counter = Counter()", // Send messages that increment the count sleep(Duration::from_secs(2)).await; for _ in 0..N { - if client.send_bytes_client(b"ping".to_vec()).await.is_ok() { + if client.send_bytes(b"ping".to_vec()).await.is_ok() { success_count += 1; }; } @@ -606,7 +623,7 @@ counter = Counter()", assert_eq!(success_count, N + N); // Shutdown client and wait for read task to terminate - client.disconnect_client().await; + client.disconnect().await; sleep(Duration::from_secs(1)).await; assert!(client.is_disconnected()); } diff --git a/nautilus_core/network/tokio-tungstenite/src/compat.rs b/nautilus_core/network/tokio-tungstenite/src/compat.rs index 4197419fdc49..d161faecf1ff 100644 --- a/nautilus_core/network/tokio-tungstenite/src/compat.rs +++ b/nautilus_core/network/tokio-tungstenite/src/compat.rs @@ -152,8 +152,8 @@ where trace!("{}:{} Read.with_context read -> poll_read", file!(), line!()); stream.poll_read(ctx, &mut buf) }) { - Poll::Ready(Ok(_)) => Ok(buf.filled().len()), - Poll::Ready(Err(err)) => Err(err), + Poll::Ready(Ok(())) => Ok(buf.filled().len()), + Poll::Ready(Err(e)) => Err(e), Poll::Pending => Err(std::io::Error::from(std::io::ErrorKind::WouldBlock)), } } diff --git a/nautilus_core/network/tokio-tungstenite/src/lib.rs b/nautilus_core/network/tokio-tungstenite/src/lib.rs index 07303b93ebb4..9890783476cc 100644 --- a/nautilus_core/network/tokio-tungstenite/src/lib.rs +++ b/nautilus_core/network/tokio-tungstenite/src/lib.rs @@ -334,7 +334,7 @@ where Ok(()) } Err(e) => { - debug!("websocket start_send error: {}", e); + debug!("websocket start_send error: {e}"); Err(e) } } @@ -366,9 +366,9 @@ where self.closing = true; Poll::Pending } - Err(err) => { - debug!("websocket close error: {}", err); - Poll::Ready(Err(err)) + Err(e) => { + debug!("websocket close error: {e}"); + Poll::Ready(Err(e)) } } } diff --git a/nautilus_core/network/tokio-tungstenite/tests/communication.rs b/nautilus_core/network/tokio-tungstenite/tests/communication.rs index 06a5319776af..f18c0c52a9cf 100644 --- a/nautilus_core/network/tokio-tungstenite/tests/communication.rs +++ b/nautilus_core/network/tokio-tungstenite/tests/communication.rs @@ -55,7 +55,7 @@ async fn communication() { for i in 1..10 { info!("Sending message"); - stream.send(Message::Text(format!("{}", i))).await.expect("Failed to send message"); + stream.send(Message::Text(format!("{i}"))).await.expect("Failed to send message"); } stream.close(None).await.expect("Failed to close"); @@ -95,7 +95,7 @@ async fn split_communication() { for i in 1..10 { info!("Sending message"); - tx.send(Message::Text(format!("{}", i))).await.expect("Failed to send message"); + tx.send(Message::Text(format!("{i}"))).await.expect("Failed to send message"); } tx.close().await.expect("Failed to close"); diff --git a/nautilus_core/persistence/Cargo.toml b/nautilus_core/persistence/Cargo.toml index 6bfe27cbb754..7e23ea9190c1 100644 --- a/nautilus_core/persistence/Cargo.toml +++ b/nautilus_core/persistence/Cargo.toml @@ -16,15 +16,12 @@ nautilus-model = { path = "../model" } chrono = { workspace = true } futures = { workspace = true } pyo3 = { workspace = true, optional = true } -pyo3-asyncio = { workspace = true, optional = true } rand = { workspace = true } tokio = { workspace = true } thiserror = { workspace = true } binary-heap-plus = "0.5.0" compare = "0.1.0" -# FIX: default feature "crypto_expressions" using using blake3 fails build on windows: https://github.com/BLAKE3-team/BLAKE3/issues/298 -datafusion = { version = "30.0.0", default-features = false, features = ["compression", "regex_expressions", "unicode_expressions"] } -pin-project-lite = "0.2.9" +datafusion = { version = "32.0.0", default-features = false, features = ["compression", "regex_expressions", "unicode_expressions", "pyarrow"] } [features] extension-module = [ @@ -32,12 +29,14 @@ extension-module = [ "nautilus-core/extension-module", "nautilus-model/extension-module", ] -python = ["pyo3", "pyo3-asyncio"] +python = ["pyo3"] default = ["python"] [dev-dependencies] criterion = { workspace = true } rstest = { workspace = true } +quickcheck = "1" +quickcheck_macros = "1" [[bench]] name = "bench_persistence" diff --git a/nautilus_core/persistence/benches/bench_persistence.rs b/nautilus_core/persistence/benches/bench_persistence.rs index ee2ff5f48f97..74fabc653e2f 100644 --- a/nautilus_core/persistence/benches/bench_persistence.rs +++ b/nautilus_core/persistence/benches/bench_persistence.rs @@ -18,7 +18,6 @@ use std::fs; use criterion::{criterion_group, criterion_main, BatchSize, Criterion}; use nautilus_model::data::{quote::QuoteTick, trade::TradeTick}; use nautilus_persistence::backend::session::{DataBackendSession, QueryResult}; -use pyo3_asyncio::tokio::get_runtime; fn single_stream_bench(c: &mut Criterion) { let mut group = c.benchmark_group("single_stream"); @@ -30,20 +29,18 @@ fn single_stream_bench(c: &mut Criterion) { group.bench_function("persistence v2", |b| { b.iter_batched_ref( || { - let rt = get_runtime(); let mut catalog = DataBackendSession::new(chunk_size); - rt.block_on(catalog.add_file_default_query::("quote_tick", file_path)) + catalog + .add_file::("quote_tick", file_path, None) .unwrap(); - rt.block_on(catalog.get_query_result()) + catalog.get_query_result() }, |query_result: &mut QueryResult| { - let rt = get_runtime(); - let _guard = rt.enter(); - let count: usize = query_result.map(|vec| vec.len()).sum(); + let count: usize = query_result.count(); assert_eq!(count, 9_689_614); }, BatchSize::SmallInput, - ) + ); }); } @@ -57,7 +54,6 @@ fn multi_stream_bench(c: &mut Criterion) { group.bench_function("persistence v2", |b| { b.iter_batched_ref( || { - let rt = get_runtime(); let mut catalog = DataBackendSession::new(chunk_size); for entry in fs::read_dir(dir_path).expect("No such directory") { @@ -68,31 +64,25 @@ fn multi_stream_bench(c: &mut Criterion) { let file_name = path.file_stem().unwrap().to_str().unwrap(); if file_name.contains("quotes") { - rt.block_on(catalog.add_file_default_query::( - file_name, - path.to_str().unwrap(), - )) - .unwrap(); + catalog + .add_file::(file_name, path.to_str().unwrap(), None) + .unwrap(); } else if file_name.contains("trades") { - rt.block_on(catalog.add_file_default_query::( - file_name, - path.to_str().unwrap(), - )) - .unwrap(); + catalog + .add_file::(file_name, path.to_str().unwrap(), None) + .unwrap(); } } } - rt.block_on(catalog.get_query_result()) + catalog.get_query_result() }, |query_result: &mut QueryResult| { - let rt = get_runtime(); - let _guard = rt.enter(); - let count: usize = query_result.map(|vec| vec.len()).sum(); + let count: usize = query_result.count(); assert_eq!(count, 72_536_038); }, BatchSize::SmallInput, - ) + ); }); } diff --git a/nautilus_core/persistence/src/arrow/bar.rs b/nautilus_core/persistence/src/arrow/bar.rs index 5c8880d4718d..2a9767e125b9 100644 --- a/nautilus_core/persistence/src/arrow/bar.rs +++ b/nautilus_core/persistence/src/arrow/bar.rs @@ -16,8 +16,9 @@ use std::{collections::HashMap, str::FromStr, sync::Arc}; use datafusion::arrow::{ - array::{Array, Int64Array, UInt64Array}, + array::{Int64Array, UInt64Array}, datatypes::{DataType, Field, Schema}, + error::ArrowError, record_batch::RecordBatch, }; use nautilus_model::{ @@ -25,7 +26,10 @@ use nautilus_model::{ types::{price::Price, quantity::Quantity}, }; -use super::DecodeDataFromRecordBatch; +use super::{ + extract_column, DecodeDataFromRecordBatch, EncodingError, KEY_BAR_TYPE, KEY_PRICE_PRECISION, + KEY_SIZE_PRECISION, +}; use crate::arrow::{ArrowSchemaProvider, Data, DecodeFromRecordBatch, EncodeToRecordBatch}; impl ArrowSchemaProvider for Bar { @@ -47,24 +51,33 @@ impl ArrowSchemaProvider for Bar { } } -fn parse_metadata(metadata: &HashMap) -> (BarType, u8, u8) { - let bar_type = BarType::from_str(metadata.get("bar_type").unwrap().as_str()).unwrap(); +fn parse_metadata(metadata: &HashMap) -> Result<(BarType, u8, u8), EncodingError> { + let bar_type_str = metadata + .get(KEY_BAR_TYPE) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_BAR_TYPE))?; + let bar_type = BarType::from_str(bar_type_str) + .map_err(|e| EncodingError::ParseError(KEY_BAR_TYPE, e.to_string()))?; + let price_precision = metadata - .get("price_precision") - .unwrap() + .get(KEY_PRICE_PRECISION) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_PRICE_PRECISION))? .parse::() - .unwrap(); + .map_err(|e| EncodingError::ParseError(KEY_PRICE_PRECISION, e.to_string()))?; + let size_precision = metadata - .get("size_precision") - .unwrap() + .get(KEY_SIZE_PRECISION) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_SIZE_PRECISION))? .parse::() - .unwrap(); + .map_err(|e| EncodingError::ParseError(KEY_SIZE_PRECISION, e.to_string()))?; - (bar_type, price_precision, size_precision) + Ok((bar_type, price_precision, size_precision)) } impl EncodeToRecordBatch for Bar { - fn encode_batch(metadata: &HashMap, data: &[Self]) -> RecordBatch { + fn encode_batch( + metadata: &HashMap, + data: &[Self], + ) -> Result { // Create array builders let mut open_builder = Int64Array::builder(data.len()); let mut high_builder = Int64Array::builder(data.len()); @@ -107,48 +120,53 @@ impl EncodeToRecordBatch for Bar { Arc::new(ts_init_array), ], ) - .unwrap() } } impl DecodeFromRecordBatch for Bar { - fn decode_batch(metadata: &HashMap, record_batch: RecordBatch) -> Vec { + fn decode_batch( + metadata: &HashMap, + record_batch: RecordBatch, + ) -> Result, EncodingError> { // Parse and validate metadata - let (bar_type, price_precision, size_precision) = parse_metadata(metadata); + let (bar_type, price_precision, size_precision) = parse_metadata(metadata)?; // Extract field value arrays let cols = record_batch.columns(); - let open_values = cols[0].as_any().downcast_ref::().unwrap(); - let high_values = cols[1].as_any().downcast_ref::().unwrap(); - let low_values = cols[2].as_any().downcast_ref::().unwrap(); - let close_values = cols[3].as_any().downcast_ref::().unwrap(); - let volume_values = cols[4].as_any().downcast_ref::().unwrap(); - let ts_event_values = cols[5].as_any().downcast_ref::().unwrap(); - let ts_init_values = cols[6].as_any().downcast_ref::().unwrap(); - - // Construct iterator of values from arrays - let values = open_values - .into_iter() - .zip(high_values.iter()) - .zip(low_values.iter()) - .zip(close_values.iter()) - .zip(volume_values.iter()) - .zip(ts_event_values.iter()) - .zip(ts_init_values.iter()) - .map( - |((((((open, high), low), close), volume), ts_event), ts_init)| Self { + + let open_values = extract_column::(cols, "open", 0, DataType::Int64)?; + let high_values = extract_column::(cols, "high", 1, DataType::Int64)?; + let low_values = extract_column::(cols, "low", 2, DataType::Int64)?; + let close_values = extract_column::(cols, "close", 3, DataType::Int64)?; + let volume_values = extract_column::(cols, "volume", 4, DataType::UInt64)?; + let ts_event_values = extract_column::(cols, "ts_event", 5, DataType::UInt64)?; + let ts_init_values = extract_column::(cols, "ts_init", 6, DataType::UInt64)?; + + // Map record batch rows to vector of objects + let result: Result, EncodingError> = (0..record_batch.num_rows()) + .map(|i| { + let open = Price::from_raw(open_values.value(i), price_precision).unwrap(); + let high = Price::from_raw(high_values.value(i), price_precision).unwrap(); + let low = Price::from_raw(low_values.value(i), price_precision).unwrap(); + let close = Price::from_raw(close_values.value(i), price_precision).unwrap(); + let volume = Quantity::from_raw(volume_values.value(i), size_precision).unwrap(); + let ts_event = ts_event_values.value(i); + let ts_init = ts_init_values.value(i); + + Ok(Self { bar_type, - open: Price::from_raw(open.unwrap(), price_precision), - high: Price::from_raw(high.unwrap(), price_precision), - low: Price::from_raw(low.unwrap(), price_precision), - close: Price::from_raw(close.unwrap(), price_precision), - volume: Quantity::from_raw(volume.unwrap(), size_precision), - ts_event: ts_event.unwrap(), - ts_init: ts_init.unwrap(), - }, - ); - - values.collect() + open, + high, + low, + close, + volume, + ts_event, + ts_init, + }) + }) + .collect(); + + result } } @@ -156,9 +174,9 @@ impl DecodeDataFromRecordBatch for Bar { fn decode_data_batch( metadata: &HashMap, record_batch: RecordBatch, - ) -> Vec { - let bars: Vec = Self::decode_batch(metadata, record_batch); - bars.into_iter().map(Data::from).collect() + ) -> Result, EncodingError> { + let bars: Vec = Self::decode_batch(metadata, record_batch)?; + Ok(bars.into_iter().map(Data::from).collect()) } } @@ -233,7 +251,7 @@ mod tests { ); let data = vec![bar1, bar2]; - let record_batch = Bar::encode_batch(&metadata, &data); + let record_batch = Bar::encode_batch(&metadata, &data).unwrap(); let columns = record_batch.columns(); let open_values = columns[0].as_any().downcast_ref::().unwrap(); @@ -295,7 +313,7 @@ mod tests { ) .unwrap(); - let decoded_data = Bar::decode_batch(&metadata, record_batch); + let decoded_data = Bar::decode_batch(&metadata, record_batch).unwrap(); assert_eq!(decoded_data.len(), 2); } } diff --git a/nautilus_core/persistence/src/arrow/delta.rs b/nautilus_core/persistence/src/arrow/delta.rs index 71edeed3a5a9..6e396701b6de 100644 --- a/nautilus_core/persistence/src/arrow/delta.rs +++ b/nautilus_core/persistence/src/arrow/delta.rs @@ -16,8 +16,9 @@ use std::{collections::HashMap, str::FromStr, sync::Arc}; use datafusion::arrow::{ - array::{Array, Int64Array, UInt64Array, UInt8Array}, + array::{Int64Array, UInt64Array, UInt8Array}, datatypes::{DataType, Field, Schema}, + error::ArrowError, record_batch::RecordBatch, }; use nautilus_model::{ @@ -27,7 +28,10 @@ use nautilus_model::{ types::{price::Price, quantity::Quantity}, }; -use super::DecodeDataFromRecordBatch; +use super::{ + extract_column, DecodeDataFromRecordBatch, EncodingError, KEY_INSTRUMENT_ID, + KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, +}; use crate::arrow::{ArrowSchemaProvider, Data, DecodeFromRecordBatch, EncodeToRecordBatch}; impl ArrowSchemaProvider for OrderBookDelta { @@ -51,26 +55,35 @@ impl ArrowSchemaProvider for OrderBookDelta { } } -fn parse_metadata(metadata: &HashMap) -> (InstrumentId, u8, u8) { - // TODO: Properly handle errors - let instrument_id = - InstrumentId::from_str(metadata.get("instrument_id").unwrap().as_str()).unwrap(); +fn parse_metadata( + metadata: &HashMap, +) -> Result<(InstrumentId, u8, u8), EncodingError> { + let instrument_id_str = metadata + .get(KEY_INSTRUMENT_ID) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_INSTRUMENT_ID))?; + let instrument_id = InstrumentId::from_str(instrument_id_str) + .map_err(|e| EncodingError::ParseError(KEY_INSTRUMENT_ID, e.to_string()))?; + let price_precision = metadata - .get("price_precision") - .unwrap() + .get(KEY_PRICE_PRECISION) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_PRICE_PRECISION))? .parse::() - .unwrap(); + .map_err(|e| EncodingError::ParseError(KEY_PRICE_PRECISION, e.to_string()))?; + let size_precision = metadata - .get("size_precision") - .unwrap() + .get(KEY_SIZE_PRECISION) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_SIZE_PRECISION))? .parse::() - .unwrap(); + .map_err(|e| EncodingError::ParseError(KEY_SIZE_PRECISION, e.to_string()))?; - (instrument_id, price_precision, size_precision) + Ok((instrument_id, price_precision, size_precision)) } impl EncodeToRecordBatch for OrderBookDelta { - fn encode_batch(metadata: &HashMap, data: &[Self]) -> RecordBatch { + fn encode_batch( + metadata: &HashMap, + data: &[Self], + ) -> Result { // Create array builders let mut action_builder = UInt8Array::builder(data.len()); let mut side_builder = UInt8Array::builder(data.len()); @@ -121,61 +134,73 @@ impl EncodeToRecordBatch for OrderBookDelta { Arc::new(ts_init_array), ], ) - .unwrap() } } impl DecodeFromRecordBatch for OrderBookDelta { - fn decode_batch(metadata: &HashMap, record_batch: RecordBatch) -> Vec { + fn decode_batch( + metadata: &HashMap, + record_batch: RecordBatch, + ) -> Result, EncodingError> { // Parse and validate metadata - let (instrument_id, price_precision, size_precision) = parse_metadata(metadata); + let (instrument_id, price_precision, size_precision) = parse_metadata(metadata)?; // Extract field value arrays let cols = record_batch.columns(); - let action_values = cols[0].as_any().downcast_ref::().unwrap(); - let side_values = cols[1].as_any().downcast_ref::().unwrap(); - let price_values = cols[2].as_any().downcast_ref::().unwrap(); - let size_values = cols[3].as_any().downcast_ref::().unwrap(); - let order_id_values = cols[4].as_any().downcast_ref::().unwrap(); - let flags_values = cols[5].as_any().downcast_ref::().unwrap(); - let sequence_values = cols[6].as_any().downcast_ref::().unwrap(); - let ts_event_values = cols[7].as_any().downcast_ref::().unwrap(); - let ts_init_values = cols[8].as_any().downcast_ref::().unwrap(); - - // Construct iterator of values from arrays - let values = action_values - .into_iter() - .zip(side_values.iter()) - .zip(price_values.iter()) - .zip(size_values.iter()) - .zip(order_id_values.iter()) - .zip(flags_values.iter()) - .zip(sequence_values.iter()) - .zip(ts_event_values.iter()) - .zip(ts_init_values.iter()) - .map( - |( - (((((((action, side), price), size), order_id), flags), sequence), ts_event), + + let action_values = extract_column::(cols, "action", 0, DataType::UInt8)?; + let side_values = extract_column::(cols, "side", 1, DataType::UInt8)?; + let price_values = extract_column::(cols, "price", 2, DataType::Int64)?; + let size_values = extract_column::(cols, "size", 3, DataType::UInt64)?; + let order_id_values = extract_column::(cols, "order_id", 4, DataType::UInt64)?; + let flags_values = extract_column::(cols, "flags", 5, DataType::UInt8)?; + let sequence_values = extract_column::(cols, "sequence", 6, DataType::UInt64)?; + let ts_event_values = extract_column::(cols, "ts_event", 7, DataType::UInt64)?; + let ts_init_values = extract_column::(cols, "ts_init", 8, DataType::UInt64)?; + + // Map record batch rows to vector of objects + let result: Result, EncodingError> = (0..record_batch.num_rows()) + .map(|i| { + let action_value = action_values.value(i); + let action = BookAction::from_u8(action_value).ok_or_else(|| { + EncodingError::ParseError( + stringify!(BookAction), + format!("Invalid enum value, was {action_value}"), + ) + })?; + let side_value = side_values.value(i); + let side = OrderSide::from_u8(side_value).ok_or_else(|| { + EncodingError::ParseError( + stringify!(OrderSide), + format!("Invalid enum value, was {side_value}"), + ) + })?; + let price = Price::from_raw(price_values.value(i), price_precision).unwrap(); + let size = Quantity::from_raw(size_values.value(i), size_precision).unwrap(); + let order_id = order_id_values.value(i); + let flags = flags_values.value(i); + let sequence = sequence_values.value(i); + let ts_event = ts_event_values.value(i); + let ts_init = ts_init_values.value(i); + + Ok(Self { + instrument_id, + action, + order: BookOrder { + side, + price, + size, + order_id, + }, + flags, + sequence, + ts_event, ts_init, - )| { - Self { - instrument_id, - action: BookAction::from_u8(action.unwrap()).unwrap(), - order: BookOrder { - side: OrderSide::from_u8(side.unwrap()).unwrap(), - price: Price::from_raw(price.unwrap(), price_precision), - size: Quantity::from_raw(size.unwrap(), size_precision), - order_id: order_id.unwrap(), - }, - flags: flags.unwrap(), - sequence: sequence.unwrap(), - ts_event: ts_event.unwrap(), - ts_init: ts_init.unwrap(), - } - }, - ); - - values.collect() + }) + }) + .collect(); + + result } } @@ -183,9 +208,9 @@ impl DecodeDataFromRecordBatch for OrderBookDelta { fn decode_data_batch( metadata: &HashMap, record_batch: RecordBatch, - ) -> Vec { - let deltas: Vec = Self::decode_batch(metadata, record_batch); - deltas.into_iter().map(Data::from).collect() + ) -> Result, EncodingError> { + let deltas: Vec = Self::decode_batch(metadata, record_batch)?; + Ok(deltas.into_iter().map(Data::from).collect()) } } @@ -273,7 +298,7 @@ mod tests { }; let data = vec![delta1, delta2]; - let record_batch = OrderBookDelta::encode_batch(&metadata, &data); + let record_batch = OrderBookDelta::encode_batch(&metadata, &data).unwrap(); let columns = record_batch.columns(); let action_values = columns[0].as_any().downcast_ref::().unwrap(); @@ -347,7 +372,7 @@ mod tests { ) .unwrap(); - let decoded_data = OrderBookDelta::decode_batch(&metadata, record_batch); + let decoded_data = OrderBookDelta::decode_batch(&metadata, record_batch).unwrap(); assert_eq!(decoded_data.len(), 2); } } diff --git a/nautilus_core/persistence/src/arrow/mod.rs b/nautilus_core/persistence/src/arrow/mod.rs index 251421cf0eed..8c4464e7d40d 100644 --- a/nautilus_core/persistence/src/arrow/mod.rs +++ b/nautilus_core/persistence/src/arrow/mod.rs @@ -23,21 +23,22 @@ use std::{ io::{self, Write}, }; -use datafusion::arrow::{datatypes::Schema, ipc::writer::StreamWriter, record_batch::RecordBatch}; +use datafusion::arrow::{ + array::{Array, ArrayRef}, + datatypes::{DataType, Schema}, + error::ArrowError, + ipc::writer::StreamWriter, + record_batch::RecordBatch, +}; use nautilus_model::data::Data; use pyo3::prelude::*; use thiserror; -#[repr(C)] -#[pyclass] -#[derive(Debug, Clone, Copy)] -pub enum NautilusDataType { - // Custom = 0, # First slot reserved for custom data - OrderBookDelta = 1, - QuoteTick = 2, - TradeTick = 3, - Bar = 4, -} +// Define metadata key constants constants +const KEY_BAR_TYPE: &str = "bar_type"; +const KEY_INSTRUMENT_ID: &str = "instrument_id"; +const KEY_PRICE_PRECISION: &str = "price_precision"; +const KEY_SIZE_PRECISION: &str = "size_precision"; #[derive(thiserror::Error, Debug)] pub enum DataStreamingError { @@ -49,8 +50,24 @@ pub enum DataStreamingError { PythonError(#[from] PyErr), } +#[derive(thiserror::Error, Debug)] +pub enum EncodingError { + #[error("Missing metadata key: `{0}`")] + MissingMetadata(&'static str), + #[error("Missing data column: `{0}` at index {1}")] + MissingColumn(&'static str, usize), + #[error("Error parsing `{0}`: {1}")] + ParseError(&'static str, String), + #[error("Invalid column type `{0}` at index {1}: expected {2}, found {3}")] + InvalidColumnType(&'static str, usize, DataType, DataType), + #[error("Arrow error: {0}")] + ArrowError(#[from] datafusion::arrow::error::ArrowError), +} + pub trait ArrowSchemaProvider { fn get_schema(metadata: Option>) -> Schema; + + #[must_use] fn get_schema_map() -> HashMap { let schema = Self::get_schema(None); let mut map = HashMap::new(); @@ -67,14 +84,20 @@ pub trait EncodeToRecordBatch where Self: Sized + ArrowSchemaProvider, { - fn encode_batch(metadata: &HashMap, data: &[Self]) -> RecordBatch; + fn encode_batch( + metadata: &HashMap, + data: &[Self], + ) -> Result; } pub trait DecodeFromRecordBatch where Self: Sized + Into + ArrowSchemaProvider, { - fn decode_batch(metadata: &HashMap, record_batch: RecordBatch) -> Vec; + fn decode_batch( + metadata: &HashMap, + record_batch: RecordBatch, + ) -> Result, EncodingError>; } pub trait DecodeDataFromRecordBatch @@ -84,7 +107,7 @@ where fn decode_data_batch( metadata: &HashMap, record_batch: RecordBatch, - ) -> Vec; + ) -> Result, EncodingError>; } pub trait WriteStream { @@ -99,3 +122,25 @@ impl WriteStream for T { Ok(()) } } + +pub fn extract_column<'a, T: Array + 'static>( + cols: &'a [ArrayRef], + column_key: &'static str, + column_index: usize, + expected_type: DataType, +) -> Result<&'a T, EncodingError> { + let column_values = cols + .get(column_index) + .ok_or(EncodingError::MissingColumn(column_key, column_index))?; + let downcasted_values = + column_values + .as_any() + .downcast_ref::() + .ok_or(EncodingError::InvalidColumnType( + column_key, + column_index, + expected_type, + column_values.data_type().clone(), + ))?; + Ok(downcasted_values) +} diff --git a/nautilus_core/persistence/src/arrow/quote.rs b/nautilus_core/persistence/src/arrow/quote.rs index d6c06634bf7a..6e0f5e8194ae 100644 --- a/nautilus_core/persistence/src/arrow/quote.rs +++ b/nautilus_core/persistence/src/arrow/quote.rs @@ -16,8 +16,9 @@ use std::{collections::HashMap, str::FromStr, sync::Arc}; use datafusion::arrow::{ - array::{Array, Int64Array, UInt64Array}, + array::{Int64Array, UInt64Array}, datatypes::{DataType, Field, Schema}, + error::ArrowError, record_batch::RecordBatch, }; use nautilus_model::{ @@ -26,7 +27,10 @@ use nautilus_model::{ types::{price::Price, quantity::Quantity}, }; -use super::DecodeDataFromRecordBatch; +use super::{ + extract_column, DecodeDataFromRecordBatch, EncodingError, KEY_INSTRUMENT_ID, + KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, +}; use crate::arrow::{ArrowSchemaProvider, Data, DecodeFromRecordBatch, EncodeToRecordBatch}; impl ArrowSchemaProvider for QuoteTick { @@ -47,26 +51,35 @@ impl ArrowSchemaProvider for QuoteTick { } } -fn parse_metadata(metadata: &HashMap) -> (InstrumentId, u8, u8) { - // TODO: Properly handle errors - let instrument_id = - InstrumentId::from_str(metadata.get("instrument_id").unwrap().as_str()).unwrap(); +fn parse_metadata( + metadata: &HashMap, +) -> Result<(InstrumentId, u8, u8), EncodingError> { + let instrument_id_str = metadata + .get(KEY_INSTRUMENT_ID) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_INSTRUMENT_ID))?; + let instrument_id = InstrumentId::from_str(instrument_id_str) + .map_err(|e| EncodingError::ParseError(KEY_INSTRUMENT_ID, e.to_string()))?; + let price_precision = metadata - .get("price_precision") - .unwrap() + .get(KEY_PRICE_PRECISION) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_PRICE_PRECISION))? .parse::() - .unwrap(); + .map_err(|e| EncodingError::ParseError(KEY_PRICE_PRECISION, e.to_string()))?; + let size_precision = metadata - .get("size_precision") - .unwrap() + .get(KEY_SIZE_PRECISION) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_SIZE_PRECISION))? .parse::() - .unwrap(); + .map_err(|e| EncodingError::ParseError(KEY_SIZE_PRECISION, e.to_string()))?; - (instrument_id, price_precision, size_precision) + Ok((instrument_id, price_precision, size_precision)) } impl EncodeToRecordBatch for QuoteTick { - fn encode_batch(metadata: &HashMap, data: &[Self]) -> RecordBatch { + fn encode_batch( + metadata: &HashMap, + data: &[Self], + ) -> Result { // Create array builders let mut bid_price_builder = Int64Array::builder(data.len()); let mut ask_price_builder = Int64Array::builder(data.len()); @@ -105,45 +118,54 @@ impl EncodeToRecordBatch for QuoteTick { Arc::new(ts_init_array), ], ) - .unwrap() } } impl DecodeFromRecordBatch for QuoteTick { - fn decode_batch(metadata: &HashMap, record_batch: RecordBatch) -> Vec { + fn decode_batch( + metadata: &HashMap, + record_batch: RecordBatch, + ) -> Result, EncodingError> { // Parse and validate metadata - let (instrument_id, price_precision, size_precision) = parse_metadata(metadata); + let (instrument_id, price_precision, size_precision) = parse_metadata(metadata)?; // Extract field value arrays let cols = record_batch.columns(); - let bid_price_values = cols[0].as_any().downcast_ref::().unwrap(); - let ask_price_values = cols[1].as_any().downcast_ref::().unwrap(); - let ask_size_values = cols[2].as_any().downcast_ref::().unwrap(); - let bid_size_values = cols[3].as_any().downcast_ref::().unwrap(); - let ts_event_values = cols[4].as_any().downcast_ref::().unwrap(); - let ts_init_values = cols[5].as_any().downcast_ref::().unwrap(); - - // Construct iterator of values from arrays - let values = bid_price_values - .into_iter() - .zip(ask_price_values.iter()) - .zip(ask_size_values.iter()) - .zip(bid_size_values.iter()) - .zip(ts_event_values.iter()) - .zip(ts_init_values.iter()) - .map( - |(((((bid_price, ask_price), ask_size), bid_size), ts_event), ts_init)| Self { + + let bid_price_values = extract_column::(cols, "bid_price", 0, DataType::Int64)?; + let ask_price_values = extract_column::(cols, "ask_price", 1, DataType::Int64)?; + let bid_size_values = extract_column::(cols, "bid_size", 2, DataType::UInt64)?; + let ask_size_values = extract_column::(cols, "ask_size", 3, DataType::UInt64)?; + let ts_event_values = extract_column::(cols, "ts_event", 4, DataType::UInt64)?; + let ts_init_values = extract_column::(cols, "ts_init", 5, DataType::UInt64)?; + + // Map record batch rows to vector of objects + let result: Result, EncodingError> = (0..record_batch.num_rows()) + .map(|i| { + let bid_price = + Price::from_raw(bid_price_values.value(i), price_precision).unwrap(); + let ask_price = + Price::from_raw(ask_price_values.value(i), price_precision).unwrap(); + let bid_size = + Quantity::from_raw(bid_size_values.value(i), size_precision).unwrap(); + let ask_size = + Quantity::from_raw(ask_size_values.value(i), size_precision).unwrap(); + let ts_event = ts_event_values.value(i); + let ts_init = ts_init_values.value(i); + + Ok(Self { instrument_id, - bid_price: Price::from_raw(bid_price.unwrap(), price_precision), - ask_price: Price::from_raw(ask_price.unwrap(), price_precision), - bid_size: Quantity::from_raw(bid_size.unwrap(), size_precision), - ask_size: Quantity::from_raw(ask_size.unwrap(), size_precision), - ts_event: ts_event.unwrap(), - ts_init: ts_init.unwrap(), - }, - ); - - values.collect() + bid_price, + ask_price, + bid_size, + ask_size, + ts_event, + ts_init, + }) + }) + .collect(); + + result } } @@ -151,9 +173,9 @@ impl DecodeDataFromRecordBatch for QuoteTick { fn decode_data_batch( metadata: &HashMap, record_batch: RecordBatch, - ) -> Vec { - let ticks: Vec = Self::decode_batch(metadata, record_batch); - ticks.into_iter().map(Data::from).collect() + ) -> Result, EncodingError> { + let ticks: Vec = Self::decode_batch(metadata, record_batch)?; + Ok(ticks.into_iter().map(Data::from).collect()) } } @@ -225,7 +247,7 @@ mod tests { let data = vec![tick1, tick2]; let metadata: HashMap = HashMap::new(); - let record_batch = QuoteTick::encode_batch(&metadata, &data); + let record_batch = QuoteTick::encode_batch(&metadata, &data).unwrap(); // Verify the encoded data let columns = record_batch.columns(); @@ -282,7 +304,7 @@ mod tests { ) .unwrap(); - let decoded_data = QuoteTick::decode_batch(&metadata, record_batch); + let decoded_data = QuoteTick::decode_batch(&metadata, record_batch).unwrap(); assert_eq!(decoded_data.len(), 2); } } diff --git a/nautilus_core/persistence/src/arrow/trade.rs b/nautilus_core/persistence/src/arrow/trade.rs index 56915f0126a3..f4ef14e64c70 100644 --- a/nautilus_core/persistence/src/arrow/trade.rs +++ b/nautilus_core/persistence/src/arrow/trade.rs @@ -16,8 +16,9 @@ use std::{collections::HashMap, str::FromStr, sync::Arc}; use datafusion::arrow::{ - array::{Array, Int64Array, StringArray, StringBuilder, UInt64Array, UInt8Array}, + array::{Int64Array, StringArray, StringBuilder, UInt64Array, UInt8Array}, datatypes::{DataType, Field, Schema}, + error::ArrowError, record_batch::RecordBatch, }; use nautilus_model::{ @@ -27,7 +28,10 @@ use nautilus_model::{ types::{price::Price, quantity::Quantity}, }; -use super::DecodeDataFromRecordBatch; +use super::{ + extract_column, DecodeDataFromRecordBatch, EncodingError, KEY_INSTRUMENT_ID, + KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, +}; use crate::arrow::{ArrowSchemaProvider, Data, DecodeFromRecordBatch, EncodeToRecordBatch}; impl ArrowSchemaProvider for TradeTick { @@ -48,26 +52,35 @@ impl ArrowSchemaProvider for TradeTick { } } -fn parse_metadata(metadata: &HashMap) -> (InstrumentId, u8, u8) { - // TODO: Properly handle errors - let instrument_id = - InstrumentId::from_str(metadata.get("instrument_id").unwrap().as_str()).unwrap(); +fn parse_metadata( + metadata: &HashMap, +) -> Result<(InstrumentId, u8, u8), EncodingError> { + let instrument_id_str = metadata + .get(KEY_INSTRUMENT_ID) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_INSTRUMENT_ID))?; + let instrument_id = InstrumentId::from_str(instrument_id_str) + .map_err(|e| EncodingError::ParseError(KEY_INSTRUMENT_ID, e.to_string()))?; + let price_precision = metadata - .get("price_precision") - .unwrap() + .get(KEY_PRICE_PRECISION) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_PRICE_PRECISION))? .parse::() - .unwrap(); + .map_err(|e| EncodingError::ParseError(KEY_PRICE_PRECISION, e.to_string()))?; + let size_precision = metadata - .get("size_precision") - .unwrap() + .get(KEY_SIZE_PRECISION) + .ok_or_else(|| EncodingError::MissingMetadata(KEY_SIZE_PRECISION))? .parse::() - .unwrap(); + .map_err(|e| EncodingError::ParseError(KEY_SIZE_PRECISION, e.to_string()))?; - (instrument_id, price_precision, size_precision) + Ok((instrument_id, price_precision, size_precision)) } impl EncodeToRecordBatch for TradeTick { - fn encode_batch(metadata: &HashMap, data: &[Self]) -> RecordBatch { + fn encode_batch( + metadata: &HashMap, + data: &[Self], + ) -> Result { // Create array builders let mut price_builder = Int64Array::builder(data.len()); let mut size_builder = UInt64Array::builder(data.len()); @@ -106,46 +119,58 @@ impl EncodeToRecordBatch for TradeTick { Arc::new(ts_init_array), ], ) - .unwrap() } } impl DecodeFromRecordBatch for TradeTick { - fn decode_batch(metadata: &HashMap, record_batch: RecordBatch) -> Vec { + fn decode_batch( + metadata: &HashMap, + record_batch: RecordBatch, + ) -> Result, EncodingError> { // Parse and validate metadata - let (instrument_id, price_precision, size_precision) = parse_metadata(metadata); + let (instrument_id, price_precision, size_precision) = parse_metadata(metadata)?; // Extract field value arrays let cols = record_batch.columns(); - let price_values = cols[0].as_any().downcast_ref::().unwrap(); - let size_values = cols[1].as_any().downcast_ref::().unwrap(); - let aggressor_side_values = cols[2].as_any().downcast_ref::().unwrap(); - let trade_id_values_values = cols[3].as_any().downcast_ref::().unwrap(); - let ts_event_values = cols[4].as_any().downcast_ref::().unwrap(); - let ts_init_values = cols[5].as_any().downcast_ref::().unwrap(); - - // Construct iterator of values from arrays - let values = price_values - .into_iter() - .zip(size_values) - .zip(aggressor_side_values) - .zip(trade_id_values_values) - .zip(ts_event_values) - .zip(ts_init_values) - .map( - |(((((price, size), aggressor_side), trade_id), ts_event), ts_init)| Self { + + let price_values = extract_column::(cols, "price", 0, DataType::Int64)?; + let size_values = extract_column::(cols, "size", 1, DataType::UInt64)?; + let aggressor_side_values = + extract_column::(cols, "aggressor_side", 2, DataType::UInt8)?; + let trade_id_values = extract_column::(cols, "trade_id", 3, DataType::Utf8)?; + let ts_event_values = extract_column::(cols, "ts_event", 4, DataType::UInt64)?; + let ts_init_values = extract_column::(cols, "ts_init", 5, DataType::UInt64)?; + + // Map record batch rows to vector of objects + let result: Result, EncodingError> = (0..record_batch.num_rows()) + .map(|i| { + let price = Price::from_raw(price_values.value(i), price_precision).unwrap(); + let size = Quantity::from_raw(size_values.value(i), size_precision).unwrap(); + let aggressor_side_value = aggressor_side_values.value(i); + let aggressor_side = AggressorSide::from_repr(aggressor_side_value as usize) + .ok_or_else(|| { + EncodingError::ParseError( + stringify!(AggressorSide), + format!("Invalid enum value, was {aggressor_side_value}"), + ) + })?; + let trade_id = TradeId::from(trade_id_values.value(i)); + let ts_event = ts_event_values.value(i); + let ts_init = ts_init_values.value(i); + + Ok(Self { instrument_id, - price: Price::from_raw(price.unwrap(), price_precision), - size: Quantity::from_raw(size.unwrap(), size_precision), - aggressor_side: AggressorSide::from_repr(aggressor_side.unwrap() as usize) - .expect("cannot parse enum value"), - trade_id: TradeId::new(trade_id.unwrap()).unwrap(), - ts_event: ts_event.unwrap(), - ts_init: ts_init.unwrap(), - }, - ); - - values.collect() + price, + size, + aggressor_side, + trade_id, + ts_event, + ts_init, + }) + }) + .collect(); + + result } } @@ -153,9 +178,9 @@ impl DecodeDataFromRecordBatch for TradeTick { fn decode_data_batch( metadata: &HashMap, record_batch: RecordBatch, - ) -> Vec { - let ticks: Vec = Self::decode_batch(metadata, record_batch); - ticks.into_iter().map(Data::from).collect() + ) -> Result, EncodingError> { + let ticks: Vec = Self::decode_batch(metadata, record_batch)?; + Ok(ticks.into_iter().map(Data::from).collect()) } } @@ -167,7 +192,7 @@ mod tests { use std::sync::Arc; use datafusion::arrow::{ - array::{Int64Array, StringArray, UInt64Array, UInt8Array}, + array::{Array, Int64Array, StringArray, UInt64Array, UInt8Array}, record_batch::RecordBatch, }; use rstest::rstest; @@ -231,7 +256,7 @@ mod tests { }; let data = vec![tick1, tick2]; - let record_batch = TradeTick::encode_batch(&metadata, &data); + let record_batch = TradeTick::encode_batch(&metadata, &data).unwrap(); // Verify the encoded data let columns = record_batch.columns(); @@ -288,7 +313,7 @@ mod tests { ) .unwrap(); - let decoded_data = TradeTick::decode_batch(&metadata, record_batch); + let decoded_data = TradeTick::decode_batch(&metadata, record_batch).unwrap(); assert_eq!(decoded_data.len(), 2); } } diff --git a/nautilus_core/persistence/src/backend/kmerge_batch.rs b/nautilus_core/persistence/src/backend/kmerge_batch.rs new file mode 100644 index 000000000000..837c6aa2693a --- /dev/null +++ b/nautilus_core/persistence/src/backend/kmerge_batch.rs @@ -0,0 +1,324 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use std::{sync::Arc, vec::IntoIter}; + +use binary_heap_plus::{BinaryHeap, PeekMut}; +use compare::Compare; +use futures::{Stream, StreamExt}; +use tokio::{ + runtime::Runtime, + sync::mpsc::{self, Receiver}, + task::JoinHandle, +}; + +pub struct EagerStream { + rx: Receiver, + task: JoinHandle<()>, + runtime: Arc, +} + +impl EagerStream { + pub fn from_stream_with_runtime(stream: S, runtime: Arc) -> Self + where + S: Stream + Send + 'static, + T: Send + 'static, + { + let _guard = runtime.enter(); + let (tx, rx) = mpsc::channel(1); + let task = tokio::spawn(async move { + stream + .for_each(|item| async { + let _ = tx.send(item).await; + }) + .await; + }); + + EagerStream { rx, task, runtime } + } +} + +impl Iterator for EagerStream { + type Item = T; + + fn next(&mut self) -> Option { + self.runtime.block_on(self.rx.recv()) + } +} + +impl Drop for EagerStream { + fn drop(&mut self) { + self.task.abort(); + self.rx.close(); + } +} + +// TODO: Investigate implementing Iterator for ElementBatchIter +// to reduce next element duplication. May be difficult to make it peekable. +pub struct ElementBatchIter +where + I: Iterator>, +{ + pub item: T, + batch: I::Item, + iter: I, +} + +impl ElementBatchIter +where + I: Iterator>, +{ + fn new_from_iter(mut iter: I) -> Option { + loop { + match iter.next() { + Some(mut batch) => match batch.next() { + Some(item) => { + break Some(ElementBatchIter { item, batch, iter }); + } + None => continue, + }, + None => break None, + } + } + } +} + +pub struct KMerge +where + I: Iterator>, +{ + heap: BinaryHeap, C>, +} + +impl KMerge +where + I: Iterator>, + C: Compare>, +{ + pub fn new(cmp: C) -> Self { + Self { + heap: BinaryHeap::from_vec_cmp(Vec::new(), cmp), + } + } + + pub fn push_iter(&mut self, s: I) { + if let Some(heap_elem) = ElementBatchIter::new_from_iter(s) { + self.heap.push(heap_elem); + } + } +} + +impl Iterator for KMerge +where + I: Iterator>, + C: Compare>, +{ + type Item = T; + + fn next(&mut self) -> Option { + match self.heap.peek_mut() { + Some(mut heap_elem) => { + // Get next element from batch + match heap_elem.batch.next() { + // Swap current heap element with new element + // return the old element + Some(mut item) => { + std::mem::swap(&mut item, &mut heap_elem.item); + Some(item) + } + // Otherwise get the next batch and the element from it + // Unless the underlying iterator is exhausted + None => loop { + match heap_elem.iter.next() { + Some(mut batch) => match batch.next() { + Some(mut item) => { + heap_elem.batch = batch; + std::mem::swap(&mut item, &mut heap_elem.item); + break Some(item); + } + // Get next batch from iterator + None => continue, + }, + // Iterator has no more batches return current element + // and pop the heap element + None => { + let ElementBatchIter { + item, + batch: _, + iter: _, + } = PeekMut::pop(heap_elem); + break Some(item); + } + } + }, + } + } + None => None, + } + } +} + +//////////////////////////////////////////////////////////////////////////////// +// Tests +//////////////////////////////////////////////////////////////////////////////// +#[cfg(test)] +mod tests { + use quickcheck::{empty_shrinker, Arbitrary}; + use quickcheck_macros::quickcheck; + + use super::*; + + struct OrdComparator; + impl Compare> for OrdComparator + where + S: Iterator>, + { + fn compare( + &self, + l: &ElementBatchIter, + r: &ElementBatchIter, + ) -> std::cmp::Ordering { + // Max heap ordering must be reversed + l.item.cmp(&r.item).reverse() + } + } + + impl Compare> for OrdComparator + where + S: Iterator>, + { + fn compare( + &self, + l: &ElementBatchIter, + r: &ElementBatchIter, + ) -> std::cmp::Ordering { + // Max heap ordering must be reversed + l.item.cmp(&r.item).reverse() + } + } + + #[test] + fn test1() { + let iter_a = vec![vec![1, 2, 3].into_iter(), vec![7, 8, 9].into_iter()].into_iter(); + let iter_b = vec![vec![4, 5, 6].into_iter()].into_iter(); + let mut kmerge: KMerge<_, i32, _> = KMerge::new(OrdComparator); + kmerge.push_iter(iter_a); + kmerge.push_iter(iter_b); + + let values: Vec = kmerge.collect(); + assert_eq!(values, vec![1, 2, 3, 4, 5, 6, 7, 8, 9]); + } + + #[test] + fn test2() { + let iter_a = vec![vec![1, 2, 6].into_iter(), vec![7, 8, 9].into_iter()].into_iter(); + let iter_b = vec![vec![3, 4, 5, 6].into_iter()].into_iter(); + let mut kmerge: KMerge<_, i32, _> = KMerge::new(OrdComparator); + kmerge.push_iter(iter_a); + kmerge.push_iter(iter_b); + + let values: Vec = kmerge.collect(); + assert_eq!(values, vec![1, 2, 3, 4, 5, 6, 6, 7, 8, 9]); + } + + #[test] + fn test3() { + let iter_a = vec![vec![1, 4, 7].into_iter(), vec![24, 35, 56].into_iter()].into_iter(); + let iter_b = vec![vec![2, 4, 8].into_iter()].into_iter(); + let iter_c = vec![vec![3, 5, 9].into_iter(), vec![12, 12, 90].into_iter()].into_iter(); + let mut kmerge: KMerge<_, i32, _> = KMerge::new(OrdComparator); + kmerge.push_iter(iter_a); + kmerge.push_iter(iter_b); + kmerge.push_iter(iter_c); + + let values: Vec = kmerge.collect(); + assert_eq!( + values, + vec![1, 2, 3, 4, 4, 5, 7, 8, 9, 12, 12, 24, 35, 56, 90] + ); + } + + #[test] + fn test5() { + let iter_a = vec![ + vec![1, 3, 5].into_iter(), + vec![].into_iter(), + vec![7, 9, 11].into_iter(), + ] + .into_iter(); + let iter_b = vec![vec![2, 4, 6].into_iter()].into_iter(); + let mut kmerge: KMerge<_, i32, _> = KMerge::new(OrdComparator); + kmerge.push_iter(iter_a); + kmerge.push_iter(iter_b); + + let values: Vec = kmerge.collect(); + assert_eq!(values, vec![1, 2, 3, 4, 5, 6, 7, 9, 11]); + } + + #[derive(Debug, Clone)] + struct SortedNestedVec(Vec>); + + impl Arbitrary for SortedNestedVec { + fn arbitrary(g: &mut quickcheck::Gen) -> Self { + // Generate a random Vec + let mut vec: Vec = Arbitrary::arbitrary(g); + + // Sort the vector + vec.sort(); + + // Recreate nested Vec structure by splitting the flattened_sorted_vec into sorted chunks + let mut nested_sorted_vec = Vec::new(); + let mut start = 0; + while start < vec.len() { + // let chunk_size: usize = g.rng.gen_range(0, vec.len() - start + 1); + let chunk_size: usize = Arbitrary::arbitrary(g); + let chunk_size = chunk_size % (vec.len() - start + 1); + let end = start + chunk_size; + let chunk = vec[start..end].to_vec(); + nested_sorted_vec.push(chunk); + start = end; + } + + // Wrap the sorted nested vector in the SortedNestedVecU64 struct + SortedNestedVec(nested_sorted_vec) + } + + // Optionally, implement the `shrink` method if you want to shrink the generated data on test failures + fn shrink(&self) -> Box> { + empty_shrinker() + } + } + + #[quickcheck] + fn prop_test(all_data: Vec) -> bool { + let mut kmerge: KMerge<_, u64, _> = KMerge::new(OrdComparator); + + let copy_data = all_data.clone(); + copy_data.into_iter().for_each(|stream| { + let input = stream.0.into_iter().map(|batch| batch.into_iter()); + kmerge.push_iter(input); + }); + let merged_data: Vec = kmerge.collect(); + + let mut sorted_data: Vec = all_data + .into_iter() + .map(|stream| stream.0.into_iter().flatten()) + .flatten() + .collect(); + sorted_data.sort(); + + merged_data.len() == sorted_data.len() && merged_data.eq(&sorted_data) + } +} diff --git a/nautilus_core/persistence/src/backend/mod.rs b/nautilus_core/persistence/src/backend/mod.rs index 4e3b93437800..622d03562c23 100644 --- a/nautilus_core/persistence/src/backend/mod.rs +++ b/nautilus_core/persistence/src/backend/mod.rs @@ -13,5 +13,5 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- +pub mod kmerge_batch; pub mod session; -pub mod transformer; diff --git a/nautilus_core/persistence/src/backend/session.rs b/nautilus_core/persistence/src/backend/session.rs index aca9379b8a4f..a02542468d1c 100644 --- a/nautilus_core/persistence/src/backend/session.rs +++ b/nautilus_core/persistence/src/backend/session.rs @@ -13,74 +13,72 @@ // limitations under the License. // ------------------------------------------------------------------------------------------------- -use std::{collections::HashMap, vec::IntoIter}; +use std::{collections::HashMap, sync::Arc, vec::IntoIter}; use compare::Compare; -use datafusion::{error::Result, physical_plan::SendableRecordBatchStream, prelude::*}; -use futures::{executor::block_on, Stream, StreamExt}; -use nautilus_core::cvec::CVec; -use nautilus_model::data::{ - bar::Bar, delta::OrderBookDelta, quote::QuoteTick, trade::TradeTick, Data, +use datafusion::{ + error::Result, + logical_expr::{col, expr::Sort}, + physical_plan::SendableRecordBatchStream, + prelude::*, }; -use pyo3::{prelude::*, types::PyCapsule}; -use pyo3_asyncio::tokio::get_runtime; - -use crate::{ - arrow::{ - DataStreamingError, DecodeDataFromRecordBatch, EncodeToRecordBatch, NautilusDataType, - WriteStream, - }, - kmerge_batch::{KMerge, PeekElementBatchStream}, +use futures::StreamExt; +use nautilus_core::ffi::cvec::CVec; +use nautilus_model::data::{Data, HasTsInit}; +use pyo3::prelude::*; + +use super::kmerge_batch::{EagerStream, ElementBatchIter, KMerge}; +use crate::arrow::{ + DataStreamingError, DecodeDataFromRecordBatch, EncodeToRecordBatch, WriteStream, }; #[derive(Debug, Default)] pub struct TsInitComparator; -impl Compare> for TsInitComparator +impl Compare> for TsInitComparator where - S: Stream>, + I: Iterator>, { fn compare( &self, - l: &PeekElementBatchStream, - r: &PeekElementBatchStream, + l: &ElementBatchIter, + r: &ElementBatchIter, ) -> std::cmp::Ordering { // Max heap ordering must be reversed l.item.get_ts_init().cmp(&r.item.get_ts_init()).reverse() } } -pub struct QueryResult { - data: Box> + Unpin>, -} - -impl Iterator for QueryResult { - type Item = Vec; - - fn next(&mut self) -> Option { - block_on(self.data.next()) - } -} +pub type QueryResult = KMerge>, Data, TsInitComparator>; /// Provides a DataFusion session and registers DataFusion queries. /// /// The session is used to register data sources and make queries on them. A /// query returns a Chunk of Arrow records. It is decoded and converted into -/// a Vec of data by types that implement [`DecodeFromRecordBatch`]. -#[pyclass] +/// a Vec of data by types that implement [`DecodeDataFromRecordBatch`]. +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.persistence") +)] pub struct DataBackendSession { session_ctx: SessionContext, - batch_streams: Vec> + Unpin + Send + 'static>>, + batch_streams: Vec>>, pub chunk_size: usize, + pub runtime: Arc, } impl DataBackendSession { #[must_use] pub fn new(chunk_size: usize) -> Self { + let runtime = tokio::runtime::Builder::new_multi_thread() + .enable_all() + .build() + .unwrap(); Self { session_ctx: SessionContext::default(), batch_streams: Vec::default(), chunk_size, + runtime: Arc::new(runtime), } } @@ -89,69 +87,52 @@ impl DataBackendSession { metadata: &HashMap, stream: &mut dyn WriteStream, ) -> Result<(), DataStreamingError> { - let record_batch = T::encode_batch(metadata, data); + let record_batch = T::encode_batch(metadata, data)?; stream.write(&record_batch)?; Ok(()) } - // Query a file for all it's records. the caller must specify `T` to indicate - // the kind of data expected from this query. - pub async fn add_file_default_query( + /// Query a file for its records. the caller must specify `T` to indicate + /// the kind of data expected from this query. + /// + /// table_name: Logical table_name assigned to this file. Queries to this file should address the + /// file by its table name. + /// file_path: Path to file + /// sql_query: A custom sql query to retrieve records from file. If no query is provided a default + /// query "SELECT * FROM " is run. + /// + /// # Safety + /// The file data must be ordered by the ts_init in ascending order for this + /// to work correctly. + pub fn add_file( &mut self, table_name: &str, file_path: &str, + sql_query: Option<&str>, ) -> Result<()> where T: DecodeDataFromRecordBatch + Into, { let parquet_options = ParquetReadOptions::<'_> { skip_metadata: Some(false), + file_sort_order: vec![vec![Expr::Sort(Sort { + expr: Box::new(col("ts_init")), + asc: true, + nulls_first: true, + })]], ..Default::default() }; - self.session_ctx - .register_parquet(table_name, file_path, parquet_options) - .await?; - - let batch_stream = self - .session_ctx - .sql(&format!("SELECT * FROM {} ORDER BY ts_init", &table_name)) - .await? - .execute_stream() - .await?; + self.runtime.block_on(self.session_ctx.register_parquet( + table_name, + file_path, + parquet_options, + ))?; - self.add_batch_stream::(batch_stream); - Ok(()) - } - - // Query a file for all it's records with a custom query. The caller must - // specify `T` to indicate what kind of data is expected from this query. - // - // #Safety - // They query should ensure the records are ordered by the `ts_init` field - // in ascending order. - pub async fn add_file_with_custom_query( - &mut self, - table_name: &str, - file_path: &str, - sql_query: &str, - ) -> Result<()> - where - T: DecodeDataFromRecordBatch + Into, - { - let parquet_options = ParquetReadOptions::<'_> { - skip_metadata: Some(false), - ..Default::default() - }; - self.session_ctx - .register_parquet(table_name, file_path, parquet_options) - .await?; + let default_query = format!("SELECT * FROM {}", &table_name); + let sql_query = sql_query.unwrap_or(&default_query); + let query = self.runtime.block_on(self.session_ctx.sql(sql_query))?; - let batch_stream = self - .session_ctx - .sql(sql_query) - .await? - .execute_stream() - .await?; + let batch_stream = self.runtime.block_on(query.execute_stream())?; self.add_batch_stream::(batch_stream); Ok(()) @@ -162,180 +143,63 @@ impl DataBackendSession { T: DecodeDataFromRecordBatch + Into, { let transform = stream.map(|result| match result { - Ok(batch) => T::decode_data_batch(batch.schema().metadata(), batch).into_iter(), + Ok(batch) => T::decode_data_batch(batch.schema().metadata(), batch) + .unwrap() + .into_iter(), Err(_err) => panic!("Error getting next batch from RecordBatchStream"), }); - self.batch_streams.push(Box::new(transform)); + self.batch_streams + .push(EagerStream::from_stream_with_runtime( + transform, + self.runtime.clone(), + )); } // Consumes the registered queries and returns a [`QueryResult]. // Passes the output of the query though the a KMerge which sorts the // queries in ascending order of `ts_init`. // QueryResult is an iterator that return Vec. - pub async fn get_query_result(&mut self) -> QueryResult { - // TODO: No need to kmerge if there is only one batch stream + pub fn get_query_result(&mut self) -> QueryResult { let mut kmerge: KMerge<_, _, _> = KMerge::new(TsInitComparator); - kmerge.push_iter_stream(self.batch_streams.drain(..)).await; + self.batch_streams + .drain(..) + .for_each(|eager_stream| kmerge.push_iter(eager_stream)); - QueryResult { - data: Box::new(kmerge.chunks(self.chunk_size)), - } + kmerge } } // Note: Intended to be used on a single python thread unsafe impl Send for DataBackendSession {} -//////////////////////////////////////////////////////////////////////////////// -// Python API -//////////////////////////////////////////////////////////////////////////////// -#[cfg(feature = "python")] -#[pymethods] -impl DataBackendSession { - #[new] - #[pyo3(signature=(chunk_size=5000))] - fn new_session(chunk_size: usize) -> Self { - // Initialize runtime here - get_runtime(); - Self::new(chunk_size) - } - - fn add_file( - mut slf: PyRefMut<'_, Self>, - table_name: &str, - file_path: &str, - data_type: NautilusDataType, - ) { - let rt = get_runtime(); - let _guard = rt.enter(); - - match data_type { - NautilusDataType::OrderBookDelta => { - match block_on(slf.add_file_default_query::(table_name, file_path)) - { - Ok(_) => (), - Err(err) => panic!("Failed new_query with error {err}"), - } - } - NautilusDataType::QuoteTick => { - match block_on(slf.add_file_default_query::(table_name, file_path)) { - Ok(_) => (), - Err(err) => panic!("Failed new_query with error {err}"), - } - } - NautilusDataType::TradeTick => { - match block_on(slf.add_file_default_query::(table_name, file_path)) { - Ok(_) => (), - Err(err) => panic!("Failed new_query with error {err}"), - } - } - NautilusDataType::Bar => { - match block_on(slf.add_file_default_query::(table_name, file_path)) { - Ok(_) => (), - Err(err) => panic!("Failed new_query with error {err}"), - } - } - } - } - - fn add_file_with_query( - mut slf: PyRefMut<'_, Self>, - table_name: &str, - file_path: &str, - sql_query: &str, - data_type: NautilusDataType, - ) { - let rt = get_runtime(); - let _guard = rt.enter(); - - match data_type { - NautilusDataType::OrderBookDelta => { - match block_on( - slf.add_file_with_custom_query::( - table_name, file_path, sql_query, - ), - ) { - Ok(_) => (), - Err(err) => panic!("Failed new_query with error {err}"), - } - } - NautilusDataType::QuoteTick => { - match block_on( - slf.add_file_with_custom_query::(table_name, file_path, sql_query), - ) { - Ok(_) => (), - Err(err) => panic!("Failed new_query with error {err}"), - } - } - NautilusDataType::TradeTick => { - match block_on( - slf.add_file_with_custom_query::(table_name, file_path, sql_query), - ) { - Ok(_) => (), - Err(err) => panic!("Failed new_query with error {err}"), - } - } - NautilusDataType::Bar => { - match block_on( - slf.add_file_with_custom_query::(table_name, file_path, sql_query), - ) { - Ok(_) => (), - Err(err) => panic!("Failed new_query with error {err}"), - } - } - } - } - - fn to_query_result(mut slf: PyRefMut<'_, Self>) -> DataQueryResult { - let rt = get_runtime(); - let query_result = rt.block_on(slf.get_query_result()); - DataQueryResult::new(query_result) - } -} - -#[pyclass] +#[cfg_attr( + feature = "python", + pyclass(module = "nautilus_trader.core.nautilus_pyo3.persistence") +)] pub struct DataQueryResult { - result: QueryResult, chunk: Option, -} - -#[cfg(feature = "python")] -#[pymethods] -impl DataQueryResult { - /// The reader implements an iterator. - fn __iter__(slf: PyRef<'_, Self>) -> PyRef<'_, Self> { - slf - } - - /// Each iteration returns a chunk of values read from the parquet file. - fn __next__(mut slf: PyRefMut<'_, Self>) -> Option { - slf.drop_chunk(); - - let rt = get_runtime(); - let _guard = rt.enter(); - - slf.result.next().map(|chunk| { - let cvec = chunk.into(); - Python::with_gil(|py| PyCapsule::new::(py, cvec, None).unwrap().into_py(py)) - }) - } + pub result: QueryResult, + pub acc: Vec, + pub size: usize, } impl DataQueryResult { #[must_use] - pub fn new(result: QueryResult) -> Self { + pub fn new(result: QueryResult, size: usize) -> Self { Self { - result, chunk: None, + result, + acc: Vec::new(), + size, } } /// Chunks generated by iteration must be dropped after use, otherwise /// it will leak memory. Current chunk is held by the reader, /// drop if exists and reset the field. - fn drop_chunk(&mut self) { + pub fn drop_chunk(&mut self) { if let Some(CVec { ptr, len, cap }) = self.chunk.take() { let data: Vec = unsafe { Vec::from_raw_parts(ptr.cast::(), len, cap) }; diff --git a/nautilus_core/persistence/src/kmerge_batch.rs b/nautilus_core/persistence/src/kmerge_batch.rs deleted file mode 100644 index 4602b2527c2b..000000000000 --- a/nautilus_core/persistence/src/kmerge_batch.rs +++ /dev/null @@ -1,216 +0,0 @@ -// ------------------------------------------------------------------------------------------------- -// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -// https://nautechsystems.io -// -// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -// You may not use this file except in compliance with the License. -// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -// -// Unless required by applicable law or agreed to in writing, software -// distributed under the License is distributed on an "AS IS" BASIS, -// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -// See the License for the specific language governing permissions and -// limitations under the License. -// ------------------------------------------------------------------------------------------------- - -use std::{task::Poll, vec::IntoIter}; - -use binary_heap_plus::BinaryHeap; -use compare::Compare; -use futures::{future::join_all, ready, FutureExt, Stream, StreamExt}; -use pin_project_lite::pin_project; - -pub struct PeekElementBatchStream -where - S: Stream>, -{ - pub item: I, - batch: S::Item, - stream: S, -} - -impl PeekElementBatchStream -where - S: Stream> + Unpin, -{ - async fn new_from_stream(mut stream: S) -> Option { - // Poll next batch from stream and get next item from the batch - // and add the new element to the heap. No new element is added - // to the heap if the stream is empty. Keep polling the stream - // for a batch that is non-empty. - let next_batch = stream.next().await; - if let Some(mut batch) = next_batch { - batch.next().map(|next_item| Self { - item: next_item, - batch, - stream, - }) - } else { - // Stream is empty, no new batch - None - } - } -} - -pin_project! { - pub struct KMerge - where - S: Stream>, - { - heap: BinaryHeap, C>, - } -} - -impl KMerge -where - S: Stream> + Unpin + Send + 'static, - C: Compare>, - I: Send + 'static, -{ - pub fn new(cmp: C) -> Self { - Self { - heap: BinaryHeap::from_vec_cmp(Vec::new(), cmp), - } - } - - #[cfg(test)] - async fn push_stream(&mut self, s: S) { - if let Some(heap_elem) = PeekElementBatchStream::new_from_stream(s).await { - self.heap.push(heap_elem) - } - } - - /// Push elements on to the heap - /// - /// Takes a Iterator of Streams. It concurrently converts all the streams - /// to heap elements and then pushes them onto the heap. - pub async fn push_iter_stream(&mut self, l: L) - where - L: Iterator, - { - let tasks = l.map(|batch| { - tokio::spawn(async move { PeekElementBatchStream::new_from_stream(batch).await }) - }); - - join_all(tasks) - .await - .into_iter() - .for_each(|heap_elem| match heap_elem { - Ok(Some(heap_elem)) => self.heap.push(heap_elem), - Ok(None) => (), - Err(err) => panic!("Failed to create heap element because of error: {}", err), - }); - } -} - -impl Stream for KMerge -where - S: Stream> + Unpin, - C: Compare>, -{ - type Item = I; - - fn poll_next( - self: std::pin::Pin<&mut Self>, - cx: &mut std::task::Context<'_>, - ) -> std::task::Poll> { - let this = self.project(); - if let Some(PeekElementBatchStream { - item, - mut batch, - stream, - }) = this.heap.pop() - { - // Next element from batch - if let Some(next_item) = batch.next() { - this.heap.push(PeekElementBatchStream { - item: next_item, - batch, - stream, - }) - } - // Batch is empty create new heap element from stream - else if let Some(heap_elem) = - ready!(Box::pin(PeekElementBatchStream::new_from_stream(stream)).poll_unpin(cx)) - { - this.heap.push(heap_elem); - } - Poll::Ready(Some(item)) - } else { - // Heap is empty - Poll::Ready(None) - } - } -} - -//////////////////////////////////////////////////////////////////////////////// -// Tests -//////////////////////////////////////////////////////////////////////////////// -#[cfg(test)] -mod tests { - use futures::stream::iter; - - use super::*; - - struct OrdComparator; - impl Compare> for OrdComparator - where - S: Stream>, - { - fn compare( - &self, - l: &PeekElementBatchStream, - r: &PeekElementBatchStream, - ) -> std::cmp::Ordering { - // Max heap ordering must be reversed - l.item.cmp(&r.item).reverse() - } - } - - #[tokio::test] - async fn test1() { - let stream_a = iter(vec![vec![1, 2, 3].into_iter(), vec![7, 8, 9].into_iter()]); - let stream_b = iter(vec![vec![4, 5, 6].into_iter()]); - let mut kmerge: KMerge<_, i32, _> = KMerge::new(OrdComparator); - kmerge.push_stream(stream_a).await; - kmerge.push_stream(stream_b).await; - - let values: Vec = kmerge.collect().await; - assert_eq!(values, vec![1, 2, 3, 4, 5, 6, 7, 8, 9]) - } - - #[tokio::test] - async fn test2() { - let stream_a = iter(vec![vec![1, 2, 6].into_iter(), vec![7, 8, 9].into_iter()]); - let stream_b = iter(vec![vec![3, 4, 5, 6].into_iter()]); - let mut kmerge: KMerge<_, i32, _> = KMerge::new(OrdComparator); - kmerge.push_stream(stream_a).await; - kmerge.push_stream(stream_b).await; - - let values: Vec = kmerge.collect().await; - assert_eq!(values, vec![1, 2, 3, 4, 5, 6, 6, 7, 8, 9]) - } - - #[tokio::test] - async fn test3() { - let stream_a = iter(vec![ - vec![1, 4, 7].into_iter(), - vec![24, 35, 56].into_iter(), - ]); - let stream_b = iter(vec![vec![2, 4, 8].into_iter()]); - let stream_c = iter(vec![ - vec![3, 5, 9].into_iter(), - vec![12, 12, 90].into_iter(), - ]); - let mut kmerge: KMerge<_, i32, _> = KMerge::new(OrdComparator); - kmerge.push_stream(stream_a).await; - kmerge.push_stream(stream_b).await; - kmerge.push_stream(stream_c).await; - - let values: Vec = kmerge.collect().await; - assert_eq!( - values, - vec![1, 2, 3, 4, 4, 5, 7, 8, 9, 12, 12, 24, 35, 56, 90] - ) - } -} diff --git a/nautilus_core/persistence/src/lib.rs b/nautilus_core/persistence/src/lib.rs index 905c6a7f89cd..dbeea0ee8f7a 100644 --- a/nautilus_core/persistence/src/lib.rs +++ b/nautilus_core/persistence/src/lib.rs @@ -15,21 +15,6 @@ pub mod arrow; pub mod backend; -mod kmerge_batch; -pub mod wranglers; -use pyo3::prelude::*; - -/// Loaded as nautilus_pyo3.persistence -#[pymodule] -pub fn persistence(_: Python<'_>, m: &PyModule) -> PyResult<()> { - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - m.add_class::()?; - Ok(()) -} +#[cfg(feature = "python")] +pub mod python; diff --git a/nautilus_core/persistence/src/python/backend/mod.rs b/nautilus_core/persistence/src/python/backend/mod.rs new file mode 100644 index 000000000000..4e3b93437800 --- /dev/null +++ b/nautilus_core/persistence/src/python/backend/mod.rs @@ -0,0 +1,17 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +pub mod session; +pub mod transformer; diff --git a/nautilus_core/persistence/src/python/backend/session.rs b/nautilus_core/persistence/src/python/backend/session.rs new file mode 100644 index 000000000000..8fada65a01da --- /dev/null +++ b/nautilus_core/persistence/src/python/backend/session.rs @@ -0,0 +1,118 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use nautilus_core::{ffi::cvec::CVec, python::to_pyruntime_err}; +use nautilus_model::data::{ + bar::Bar, delta::OrderBookDelta, quote::QuoteTick, trade::TradeTick, Data, +}; +use pyo3::{prelude::*, types::PyCapsule}; + +use crate::backend::session::{DataBackendSession, DataQueryResult}; + +#[repr(C)] +#[pyclass] +#[derive(Debug, Clone, Copy)] +pub enum NautilusDataType { + // Custom = 0, # First slot reserved for custom data + OrderBookDelta = 1, + QuoteTick = 2, + TradeTick = 3, + Bar = 4, +} + +#[pymethods] +impl DataBackendSession { + #[new] + #[pyo3(signature=(chunk_size=5_000))] + fn new_session(chunk_size: usize) -> Self { + Self::new(chunk_size) + } + + /// Query a file for its records. the caller must specify `T` to indicate + /// the kind of data expected from this query. + /// + /// table_name: Logical table_name assigned to this file. Queries to this file should address the + /// file by its table name. + /// file_path: Path to file + /// sql_query: A custom sql query to retrieve records from file. If no query is provided a default + /// query "SELECT * FROM " is run. + /// + /// # Safety + /// The file data must be ordered by the ts_init in ascending order for this + /// to work correctly. + #[pyo3(name = "add_file")] + fn add_file_py( + mut slf: PyRefMut<'_, Self>, + data_type: NautilusDataType, + table_name: &str, + file_path: &str, + sql_query: Option<&str>, + ) -> PyResult<()> { + let _guard = slf.runtime.enter(); + + match data_type { + NautilusDataType::OrderBookDelta => slf + .add_file::(table_name, file_path, sql_query) + .map_err(to_pyruntime_err), + NautilusDataType::QuoteTick => slf + .add_file::(table_name, file_path, sql_query) + .map_err(to_pyruntime_err), + NautilusDataType::TradeTick => slf + .add_file::(table_name, file_path, sql_query) + .map_err(to_pyruntime_err), + NautilusDataType::Bar => slf + .add_file::(table_name, file_path, sql_query) + .map_err(to_pyruntime_err), + } + } + + fn to_query_result(mut slf: PyRefMut<'_, Self>) -> DataQueryResult { + let query_result = slf.get_query_result(); + DataQueryResult::new(query_result, slf.chunk_size) + } +} + +#[pymethods] +impl DataQueryResult { + /// The reader implements an iterator. + fn __iter__(slf: PyRef<'_, Self>) -> PyRef<'_, Self> { + slf + } + + /// Each iteration returns a chunk of values read from the parquet file. + fn __next__(mut slf: PyRefMut<'_, Self>) -> PyResult> { + slf.drop_chunk(); + + for _ in 0..slf.size { + match slf.result.next() { + Some(item) => slf.acc.push(item), + None => break, + } + } + + let mut acc: Vec = Vec::new(); + std::mem::swap(&mut acc, &mut slf.acc); + + if !acc.is_empty() { + let cvec = acc.into(); + Python::with_gil(|py| match PyCapsule::new::(py, cvec, None) { + Ok(capsule) => Ok(Some(capsule.into_py(py))), + Err(err) => Err(to_pyruntime_err(err)), + }) + } else { + Ok(None) + } + } +} diff --git a/nautilus_core/persistence/src/backend/transformer.rs b/nautilus_core/persistence/src/python/backend/transformer.rs similarity index 69% rename from nautilus_core/persistence/src/backend/transformer.rs rename to nautilus_core/persistence/src/python/backend/transformer.rs index ef7f0258e8ca..1f93c725d87e 100644 --- a/nautilus_core/persistence/src/backend/transformer.rs +++ b/nautilus_core/persistence/src/python/backend/transformer.rs @@ -15,8 +15,14 @@ use std::io::Cursor; -use datafusion::arrow::{datatypes::Schema, ipc::writer::StreamWriter, record_batch::RecordBatch}; -use nautilus_model::data::{bar::Bar, delta::OrderBookDelta, quote::QuoteTick, trade::TradeTick}; +use datafusion::arrow::{ + datatypes::Schema, error::ArrowError, ipc::writer::StreamWriter, record_batch::RecordBatch, +}; +use nautilus_core::python::to_pyvalue_err; +use nautilus_model::data::{ + bar::Bar, delta::OrderBookDelta, is_monotonically_increasing_by_init, quote::QuoteTick, + trade::TradeTick, +}; use pyo3::{ exceptions::{PyRuntimeError, PyTypeError, PyValueError}, prelude::*, @@ -26,12 +32,13 @@ use pyo3::{ use crate::arrow::{ArrowSchemaProvider, EncodeToRecordBatch}; const ERROR_EMPTY_DATA: &str = "`data` was empty"; +const ERROR_MONOTONICITY: &str = "`data` was not monotonically increasing by the `ts_init` field"; #[pyclass] pub struct DataTransformer {} impl DataTransformer { - /// Transforms the given Python objects `data` into a vector of [`OrderBookDelta`] objects. + /// Transforms the given `data` Python objects into a vector of [`OrderBookDelta`] objects. fn pyobjects_to_order_book_deltas( py: Python<'_>, data: Vec, @@ -40,33 +47,57 @@ impl DataTransformer { .into_iter() .map(|obj| OrderBookDelta::from_pyobject(obj.as_ref(py))) .collect::>>()?; + + // Validate monotonically increasing + if !is_monotonically_increasing_by_init(&deltas) { + return Err(PyValueError::new_err(ERROR_MONOTONICITY)); + } + Ok(deltas) } - /// Transforms the given Python objects `data` into a vector of [`QuoteTick`] objects. + /// Transforms the given `data` Python objects into a vector of [`QuoteTick`] objects. fn pyobjects_to_quote_ticks(py: Python<'_>, data: Vec) -> PyResult> { let ticks: Vec = data .into_iter() .map(|obj| QuoteTick::from_pyobject(obj.as_ref(py))) .collect::>>()?; + + // Validate monotonically increasing + if !is_monotonically_increasing_by_init(&ticks) { + return Err(PyValueError::new_err(ERROR_MONOTONICITY)); + } + Ok(ticks) } - /// Transforms the given Python objects `data` into a vector of [`TradeTick`] objects. + /// Transforms the given `data` Python objects into a vector of [`TradeTick`] objects. fn pyobjects_to_trade_ticks(py: Python<'_>, data: Vec) -> PyResult> { let ticks: Vec = data .into_iter() .map(|obj| TradeTick::from_pyobject(obj.as_ref(py))) .collect::>>()?; + + // Validate monotonically increasing + if !is_monotonically_increasing_by_init(&ticks) { + return Err(PyValueError::new_err(ERROR_MONOTONICITY)); + } + Ok(ticks) } - /// Transforms the given Python objects `data` into a vector of [`Bar`] objects. + /// Transforms the given `data` Python objects into a vector of [`Bar`] objects. fn pyobjects_to_bars(py: Python<'_>, data: Vec) -> PyResult> { let bars: Vec = data .into_iter() .map(|obj| Bar::from_pyobject(obj.as_ref(py))) .collect::>>()?; + + // Validate monotonically increasing + if !is_monotonically_increasing_by_init(&bars) { + return Err(PyValueError::new_err(ERROR_MONOTONICITY)); + } + Ok(bars) } @@ -99,7 +130,6 @@ impl DataTransformer { } } -#[cfg(feature = "python")] #[pymethods] impl DataTransformer { #[staticmethod] @@ -128,12 +158,12 @@ impl DataTransformer { data: Vec, ) -> PyResult> { if data.is_empty() { - return Err(PyValueError::new_err(ERROR_EMPTY_DATA)); + return Err(to_pyvalue_err(ERROR_EMPTY_DATA)); } let data_type: String = data .first() - .unwrap() // Safety: already checked that `data` not empty above + .unwrap() // SAFETY: already checked that `data` not empty .as_ref(py) .getattr("__class__")? .getattr("__name__")? @@ -172,6 +202,7 @@ impl DataTransformer { } // Take first element and extract metadata + // SAFETY: already checked that `data` not empty let first = data.first().unwrap(); let metadata = OrderBookDelta::get_metadata( &first.instrument_id, @@ -180,13 +211,18 @@ impl DataTransformer { ); // Encode data to record batches - let batches: Vec = data + let batches: Result, ArrowError> = data .into_iter() - .map(|delta| OrderBookDelta::encode_batch(&metadata, &[delta])) + .map(|d| OrderBookDelta::encode_batch(&metadata, &[d])) .collect(); - let schema = OrderBookDelta::get_schema(Some(metadata)); - Self::record_batches_to_pybytes(py, batches, schema) + match batches { + Ok(batches) => { + let schema = OrderBookDelta::get_schema(Some(metadata)); + Self::record_batches_to_pybytes(py, batches, schema) + } + Err(e) => Err(to_pyvalue_err(e)), + } } #[staticmethod] @@ -195,10 +231,11 @@ impl DataTransformer { data: Vec, ) -> PyResult> { if data.is_empty() { - return Err(PyValueError::new_err(ERROR_EMPTY_DATA)); + return Err(to_pyvalue_err(ERROR_EMPTY_DATA)); } // Take first element and extract metadata + // SAFETY: already checked that `data` not empty let first = data.first().unwrap(); let metadata = QuoteTick::get_metadata( &first.instrument_id, @@ -207,13 +244,18 @@ impl DataTransformer { ); // Encode data to record batches - let batches: Vec = data + let batches: Result, ArrowError> = data .into_iter() - .map(|quote| QuoteTick::encode_batch(&metadata, &[quote])) + .map(|q| QuoteTick::encode_batch(&metadata, &[q])) .collect(); - let schema = QuoteTick::get_schema(Some(metadata)); - Self::record_batches_to_pybytes(py, batches, schema) + match batches { + Ok(batches) => { + let schema = QuoteTick::get_schema(Some(metadata)); + Self::record_batches_to_pybytes(py, batches, schema) + } + Err(e) => Err(to_pyvalue_err(e)), + } } #[staticmethod] @@ -222,10 +264,11 @@ impl DataTransformer { data: Vec, ) -> PyResult> { if data.is_empty() { - return Err(PyValueError::new_err(ERROR_EMPTY_DATA)); + return Err(to_pyvalue_err(ERROR_EMPTY_DATA)); } // Take first element and extract metadata + // SAFETY: already checked that `data` not empty let first = data.first().unwrap(); let metadata = TradeTick::get_metadata( &first.instrument_id, @@ -234,22 +277,28 @@ impl DataTransformer { ); // Encode data to record batches - let batches: Vec = data + let batches: Result, ArrowError> = data .into_iter() - .map(|trade| TradeTick::encode_batch(&metadata, &[trade])) + .map(|t| TradeTick::encode_batch(&metadata, &[t])) .collect(); - let schema = TradeTick::get_schema(Some(metadata)); - Self::record_batches_to_pybytes(py, batches, schema) + match batches { + Ok(batches) => { + let schema = TradeTick::get_schema(Some(metadata)); + Self::record_batches_to_pybytes(py, batches, schema) + } + Err(e) => Err(to_pyvalue_err(e)), + } } #[staticmethod] pub fn pyo3_bars_to_batches_bytes(py: Python<'_>, data: Vec) -> PyResult> { if data.is_empty() { - return Err(PyValueError::new_err(ERROR_EMPTY_DATA)); + return Err(to_pyvalue_err(ERROR_EMPTY_DATA)); } // Take first element and extract metadata + // SAFETY: already checked that `data` not empty let first = data.first().unwrap(); let metadata = Bar::get_metadata( &first.bar_type, @@ -258,12 +307,17 @@ impl DataTransformer { ); // Encode data to record batches - let batches: Vec = data + let batches: Result, ArrowError> = data .into_iter() - .map(|bar| Bar::encode_batch(&metadata, &[bar])) + .map(|b| Bar::encode_batch(&metadata, &[b])) .collect(); - let schema = Bar::get_schema(Some(metadata)); - Self::record_batches_to_pybytes(py, batches, schema) + match batches { + Ok(batches) => { + let schema = Bar::get_schema(Some(metadata)); + Self::record_batches_to_pybytes(py, batches, schema) + } + Err(e) => Err(to_pyvalue_err(e)), + } } } diff --git a/nautilus_core/persistence/src/python/mod.rs b/nautilus_core/persistence/src/python/mod.rs new file mode 100644 index 000000000000..da54f08f931d --- /dev/null +++ b/nautilus_core/persistence/src/python/mod.rs @@ -0,0 +1,33 @@ +// ------------------------------------------------------------------------------------------------- +// Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +// https://nautechsystems.io +// +// Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +// You may not use this file except in compliance with the License. +// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------------------------------- + +use pyo3::prelude::*; + +pub mod backend; +pub mod wranglers; + +/// Loaded as nautilus_pyo3.persistence +#[pymodule] +pub fn persistence(_: Python<'_>, m: &PyModule) -> PyResult<()> { + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + m.add_class::()?; + Ok(()) +} diff --git a/nautilus_core/persistence/src/wranglers/bar.rs b/nautilus_core/persistence/src/python/wranglers/bar.rs similarity index 95% rename from nautilus_core/persistence/src/wranglers/bar.rs rename to nautilus_core/persistence/src/python/wranglers/bar.rs index 95f6fe11f795..85a889f934f1 100644 --- a/nautilus_core/persistence/src/wranglers/bar.rs +++ b/nautilus_core/persistence/src/python/wranglers/bar.rs @@ -77,7 +77,8 @@ impl BarDataWrangler { Err(e) => return Err(to_pyvalue_err(e)), }; - let batch_bars = Bar::decode_batch(&self.metadata, record_batch); + let batch_bars = + Bar::decode_batch(&self.metadata, record_batch).map_err(to_pyvalue_err)?; bars.extend(batch_bars); } diff --git a/nautilus_core/persistence/src/wranglers/delta.rs b/nautilus_core/persistence/src/python/wranglers/delta.rs similarity index 97% rename from nautilus_core/persistence/src/wranglers/delta.rs rename to nautilus_core/persistence/src/python/wranglers/delta.rs index 4140c2234a0a..5fbb8b42ea51 100644 --- a/nautilus_core/persistence/src/wranglers/delta.rs +++ b/nautilus_core/persistence/src/python/wranglers/delta.rs @@ -30,7 +30,6 @@ pub struct OrderBookDeltaDataWrangler { metadata: HashMap, } -#[cfg(feature = "python")] #[pymethods] impl OrderBookDeltaDataWrangler { #[new] @@ -83,7 +82,8 @@ impl OrderBookDeltaDataWrangler { Err(e) => return Err(to_pyvalue_err(e)), }; - let batch_deltas = OrderBookDelta::decode_batch(&self.metadata, record_batch); + let batch_deltas = OrderBookDelta::decode_batch(&self.metadata, record_batch) + .map_err(to_pyvalue_err)?; deltas.extend(batch_deltas); } diff --git a/nautilus_core/persistence/src/wranglers/mod.rs b/nautilus_core/persistence/src/python/wranglers/mod.rs similarity index 100% rename from nautilus_core/persistence/src/wranglers/mod.rs rename to nautilus_core/persistence/src/python/wranglers/mod.rs diff --git a/nautilus_core/persistence/src/wranglers/quote.rs b/nautilus_core/persistence/src/python/wranglers/quote.rs similarity index 95% rename from nautilus_core/persistence/src/wranglers/quote.rs rename to nautilus_core/persistence/src/python/wranglers/quote.rs index 2b8a213801fe..237ed7f825f2 100644 --- a/nautilus_core/persistence/src/wranglers/quote.rs +++ b/nautilus_core/persistence/src/python/wranglers/quote.rs @@ -30,7 +30,6 @@ pub struct QuoteTickDataWrangler { metadata: HashMap, } -#[cfg(feature = "python")] #[pymethods] impl QuoteTickDataWrangler { #[new] @@ -78,7 +77,8 @@ impl QuoteTickDataWrangler { Err(e) => return Err(to_pyvalue_err(e)), }; - let batch_deltas = QuoteTick::decode_batch(&self.metadata, record_batch); + let batch_deltas = + QuoteTick::decode_batch(&self.metadata, record_batch).map_err(to_pyvalue_err)?; quotes.extend(batch_deltas); } diff --git a/nautilus_core/persistence/src/wranglers/trade.rs b/nautilus_core/persistence/src/python/wranglers/trade.rs similarity index 95% rename from nautilus_core/persistence/src/wranglers/trade.rs rename to nautilus_core/persistence/src/python/wranglers/trade.rs index 6522875e2e35..7c2d28ed0b8e 100644 --- a/nautilus_core/persistence/src/wranglers/trade.rs +++ b/nautilus_core/persistence/src/python/wranglers/trade.rs @@ -77,7 +77,8 @@ impl TradeTickDataWrangler { Err(e) => return Err(to_pyvalue_err(e)), }; - let batch_deltas = TradeTick::decode_batch(&self.metadata, record_batch); + let batch_deltas = + TradeTick::decode_batch(&self.metadata, record_batch).map_err(to_pyvalue_err)?; ticks.extend(batch_deltas); } diff --git a/nautilus_core/persistence/tests/test_catalog.rs b/nautilus_core/persistence/tests/test_catalog.rs index 40e38afbacfa..d5235fd9aae2 100644 --- a/nautilus_core/persistence/tests/test_catalog.rs +++ b/nautilus_core/persistence/tests/test_catalog.rs @@ -12,113 +12,147 @@ // See the License for the specific language governing permissions and // limitations under the License. // ------------------------------------------------------------------------------------------------- -use nautilus_core::cvec::CVec; -use nautilus_model::data::{delta::OrderBookDelta, quote::QuoteTick, trade::TradeTick, Data}; + +use nautilus_core::ffi::cvec::CVec; +use nautilus_model::data::{ + bar::Bar, delta::OrderBookDelta, is_monotonically_increasing_by_init, quote::QuoteTick, + trade::TradeTick, Data, +}; use nautilus_persistence::{ - arrow::NautilusDataType, backend::session::{DataBackendSession, QueryResult}, + python::backend::session::NautilusDataType, }; use pyo3::{types::PyCapsule, IntoPy, Py, PyAny, Python}; use rstest::rstest; -#[tokio::test] -async fn test_quote_ticks() { +#[rstest] +fn test_order_book_delta_query() { + let expected_length = 1077; + let file_path = "../../tests/test_data/order_book_deltas.parquet"; + let mut catalog = DataBackendSession::new(1_000); + catalog + .add_file::( + "delta_001", + file_path, + Some("SELECT * FROM delta_001 ORDER BY ts_init"), + ) + .unwrap(); + let query_result: QueryResult = catalog.get_query_result(); + let ticks: Vec = query_result.collect(); + + assert_eq!(ticks.len(), expected_length); + assert!(is_monotonically_increasing_by_init(&ticks)); +} + +#[rstest] +fn test_order_book_delta_query_py() { + pyo3::prepare_freethreaded_python(); + + let file_path = "../../tests/test_data/order_book_deltas.parquet"; + let catalog = DataBackendSession::new(2_000); + Python::with_gil(|py| { + let pycatalog: Py = catalog.into_py(py); + pycatalog + .call_method1( + py, + "add_file", + ( + NautilusDataType::OrderBookDelta, + "order_book_deltas", + file_path, + ), + ) + .unwrap(); + let result = pycatalog.call_method0(py, "to_query_result").unwrap(); + let chunk = result.call_method0(py, "__next__").unwrap(); + let capsule: &PyCapsule = chunk.downcast(py).unwrap(); + let cvec: &CVec = unsafe { &*(capsule.pointer() as *const CVec) }; + assert_eq!(cvec.len, 1077); + }); +} + +#[rstest] +fn test_quote_tick_query() { + let expected_length = 9_500; let file_path = "../../tests/test_data/quote_tick_data.parquet"; - let length = 9_500; let mut catalog = DataBackendSession::new(10_000); catalog - .add_file_default_query::("quotes_0005", file_path) - .await + .add_file::("quote_005", file_path, None) .unwrap(); - let query_result: QueryResult = catalog.get_query_result().await; - let ticks: Vec = query_result.flatten().collect(); + let query_result: QueryResult = catalog.get_query_result(); + let ticks: Vec = query_result.collect(); if let Data::Quote(q) = &ticks[0] { - assert_eq!("EUR/USD.SIM", q.instrument_id.to_string()) + assert_eq!("EUR/USD.SIM", q.instrument_id.to_string()); } else { - assert!(false) + assert!(false); } - assert_eq!(ticks.len(), length); - assert!(is_ascending_by_init(&ticks)); + assert_eq!(ticks.len(), expected_length); + assert!(is_monotonically_increasing_by_init(&ticks)); } -#[tokio::test] -async fn test_data_ticks() { +#[rstest] +fn test_quote_tick_multiple_query() { + let expected_length = 9_600; let mut catalog = DataBackendSession::new(5_000); catalog - .add_file_default_query::( + .add_file::( "quote_tick", "../../tests/test_data/quote_tick_data.parquet", + None, ) - .await .unwrap(); catalog - .add_file_default_query::( + .add_file::( "quote_tick_2", "../../tests/test_data/trade_tick_data.parquet", + None, ) - .await .unwrap(); - let query_result: QueryResult = catalog.get_query_result().await; - let ticks: Vec = query_result.flatten().collect(); + let query_result: QueryResult = catalog.get_query_result(); + let ticks: Vec = query_result.collect(); - assert_eq!(ticks.len(), 9600); - assert!(is_ascending_by_init(&ticks)); + assert_eq!(ticks.len(), expected_length); + assert!(is_monotonically_increasing_by_init(&ticks)); } -#[tokio::test] -async fn test_order_book_delta() { - let file_path = "../../tests/test_data/order_book_deltas.parquet"; - let mut catalog = DataBackendSession::new(1000); +#[rstest] +fn test_trade_tick_query() { + let expected_length = 100; + let file_path = "../../tests/test_data/trade_tick_data.parquet"; + let mut catalog = DataBackendSession::new(10_000); catalog - .add_file_default_query::("order_book_delta", file_path) - .await + .add_file::("trade_001", file_path, None) .unwrap(); - let query_result: QueryResult = catalog.get_query_result().await; - let ticks: Vec = query_result.flatten().collect(); + let query_result: QueryResult = catalog.get_query_result(); + let ticks: Vec = query_result.collect(); - assert_eq!(ticks.len(), 1077); - assert!(is_ascending_by_init(&ticks)); + if let Data::Trade(t) = &ticks[0] { + assert_eq!("EUR/USD.SIM", t.instrument_id.to_string()); + } else { + assert!(false); + } + + assert_eq!(ticks.len(), expected_length); + assert!(is_monotonically_increasing_by_init(&ticks)); } #[rstest] -fn test_order_book_delta_py() { - pyo3::prepare_freethreaded_python(); - - let file_path = "../../tests/test_data/order_book_deltas.parquet"; - let catalog = DataBackendSession::new(2000); - Python::with_gil(|py| { - let pycatalog: Py = catalog.into_py(py); - pycatalog - .call_method1( - py, - "add_file", - ( - "order_book_deltas", - file_path, - NautilusDataType::OrderBookDelta, - ), - ) - .unwrap(); - let result = pycatalog.call_method0(py, "to_query_result").unwrap(); - let chunk = result.call_method0(py, "__next__").unwrap(); - let capsule: &PyCapsule = chunk.downcast(py).unwrap(); - let cvec: &CVec = unsafe { &*(capsule.pointer() as *const CVec) }; - assert_eq!(cvec.len, 1077); - }); -} +fn test_bar_query() { + let expected_length = 10; + let file_path = "../../tests/test_data/bar_data.parquet"; + let mut catalog = DataBackendSession::new(10_000); + catalog.add_file::("bar_001", file_path, None).unwrap(); + let query_result: QueryResult = catalog.get_query_result(); + let ticks: Vec = query_result.collect(); -// NOTE: is_sorted_by_key is unstable otherwise use -// ticks.is_sorted_by_key(|tick| tick.ts_init) -// https://github.com/rust-lang/rust/issues/53485 -fn is_ascending_by_init(ticks: &Vec) -> bool { - for i in 1..ticks.len() { - // previous tick is more recent than current tick - // this is not ascending order - if ticks[i - 1].get_ts_init() > ticks[i].get_ts_init() { - return false; - } + if let Data::Bar(b) = &ticks[0] { + assert_eq!("ADABTC.BINANCE", b.bar_type.instrument_id.to_string()); + } else { + assert!(false); } - true + + assert_eq!(ticks.len(), expected_length); + assert!(is_monotonically_increasing_by_init(&ticks)); } diff --git a/nautilus_core/pyo3/src/lib.rs b/nautilus_core/pyo3/src/lib.rs index 3313b3443c71..e4f639e3f77e 100644 --- a/nautilus_core/pyo3/src/lib.rs +++ b/nautilus_core/pyo3/src/lib.rs @@ -15,7 +15,10 @@ use std::str::FromStr; -use pyo3::{prelude::*, types::PyDict}; +use pyo3::{ + prelude::*, + types::{PyDict, PyString}, +}; use tracing::Level; use tracing_appender::{ non_blocking::WorkerGuard, @@ -48,6 +51,7 @@ pub struct LogGuard { /// Should only be called once during an applications run, ideally at the /// beginning of the run. #[pyfunction] +#[must_use] pub fn set_global_log_collector( stdout_level: Option, stderr_level: Option, @@ -76,17 +80,14 @@ pub fn set_global_log_collector( .with_writer(non_blocking.with_max_level(file_level)) }); - if let Err(err) = Registry::default() + if let Err(e) = Registry::default() .with(stderr_sub_builder) .with(stdout_sub_builder) .with(file_sub_builder) .with(EnvFilter::from_default_env()) .try_init() { - println!( - "Failed to set global default dispatcher because of error: {}", - err - ); + println!("Failed to set global default dispatcher because of error: {e}"); }; LogGuard { guards } @@ -95,54 +96,66 @@ pub fn set_global_log_collector( /// Need to modify sys modules so that submodule can be loaded directly as /// import supermodule.submodule /// +/// Also re-exports all submodule attributes so they can be imported directly from `nautilus_pyo3`. /// refer: https://github.com/PyO3/pyo3/issues/2644 #[pymodule] fn nautilus_pyo3(py: Python<'_>, m: &PyModule) -> PyResult<()> { let sys = PyModule::import(py, "sys")?; let sys_modules: &PyDict = sys.getattr("modules")?.downcast()?; + let module_name = "nautilus_trader.core.nautilus_pyo3"; + + // Set pyo3_nautilus to be recognized as a subpackage + sys_modules.set_item(module_name, m)?; + + m.add_class::()?; + m.add_function(wrap_pyfunction!(set_global_log_collector, m)?)?; // Core - let submodule = pyo3::wrap_pymodule!(nautilus_core::core); + let n = "core"; + let submodule = pyo3::wrap_pymodule!(nautilus_core::python::core); m.add_wrapped(submodule)?; - sys_modules.set_item( - "nautilus_trader.core.nautilus_pyo3.core", - m.getattr("core")?, - )?; + sys_modules.set_item(format!("{module_name}.{n}"), m.getattr(n)?)?; + re_export_module_attributes(m, n)?; - // Indicators - let submodule = pyo3::wrap_pymodule!(nautilus_indicators::indicators); + // Model + let n = "model"; + let submodule = pyo3::wrap_pymodule!(nautilus_model::python::model); m.add_wrapped(submodule)?; - sys_modules.set_item( - "nautilus_trader.core.nautilus_pyo3.indicators", - m.getattr("indicators")?, - )?; + sys_modules.set_item(format!("{module_name}.{n}"), m.getattr(n)?)?; + re_export_module_attributes(m, n)?; - // Model - let submodule = pyo3::wrap_pymodule!(nautilus_model::model); + // Indicators + let n = "indicators"; + let submodule = pyo3::wrap_pymodule!(nautilus_indicators::indicators); m.add_wrapped(submodule)?; - sys_modules.set_item( - "nautilus_trader.core.nautilus_pyo3.model", - m.getattr("model")?, - )?; + sys_modules.set_item(format!("{module_name}.{n}"), m.getattr(n)?)?; + re_export_module_attributes(m, n)?; // Network + let n = "network"; let submodule = pyo3::wrap_pymodule!(nautilus_network::network); m.add_wrapped(submodule)?; - sys_modules.set_item( - "nautilus_trader.core.nautilus_pyo3.network", - m.getattr("network")?, - )?; + sys_modules.set_item(format!("{module_name}.{n}"), m.getattr(n)?)?; + re_export_module_attributes(m, n)?; // Persistence - let submodule = pyo3::wrap_pymodule!(nautilus_persistence::persistence); + let n = "persistence"; + let submodule = pyo3::wrap_pymodule!(nautilus_persistence::python::persistence); m.add_wrapped(submodule)?; - sys_modules.set_item( - "nautilus_trader.core.nautilus_pyo3.persistence", - m.getattr("persistence")?, - )?; + sys_modules.set_item(format!("{module_name}.{n}"), m.getattr(n)?)?; + re_export_module_attributes(m, n)?; - m.add_class::()?; - m.add_function(wrap_pyfunction!(set_global_log_collector, m)?)?; + Ok(()) +} + +fn re_export_module_attributes(parent_module: &PyModule, submodule_name: &str) -> PyResult<()> { + let submodule = parent_module.getattr(submodule_name)?; + for item in submodule.dir() { + let item_name: &PyString = item.extract()?; + if let Ok(attr) = submodule.getattr(item_name) { + parent_module.add(item_name.to_str()?, attr)?; + } + } Ok(()) } diff --git a/nautilus_core/rust-toolchain.toml b/nautilus_core/rust-toolchain.toml index 60c201fafe92..71db2bb91e4f 100644 --- a/nautilus_core/rust-toolchain.toml +++ b/nautilus_core/rust-toolchain.toml @@ -1,3 +1,3 @@ [toolchain] -version = "1.72.0" +version = "1.73.0" channel = "nightly" diff --git a/nautilus_trader/__init__.py b/nautilus_trader/__init__.py index aa3a4779cd1d..cae6a70296f7 100644 --- a/nautilus_trader/__init__.py +++ b/nautilus_trader/__init__.py @@ -19,11 +19,50 @@ import os import toml +from importlib_metadata import version PACKAGE_ROOT = os.path.dirname(os.path.dirname(os.path.abspath(__file__))) PYPROJECT_PATH = os.path.join(PACKAGE_ROOT, "pyproject.toml") + +def clean_version_string(version: str) -> str: + """ + Clean the version string by removing any non-digit leading characters. + """ + # Check if the version starts with any of the operators and remove them + specifiers = ["==", ">=", "<=", "^", ">", "<"] + for s in specifiers: + version = version.replace(s, "") + + # Only allow digits, dots, a, b, rc characters + return "".join(c for c in version if c.isdigit() or c in ".abrc") + + +def get_package_version_from_toml( + toml_file: str, + package_name: str, + strip_specifiers: bool = False, +) -> str: + """ + Return the package version specified in the given `toml_file` for the given + `package_name`. + """ + with open(toml_file) as file: + data = toml.load(file) + version = data["tool"]["poetry"]["dependencies"][package_name]["version"] + if strip_specifiers: + version = clean_version_string(version) + return version + + +def get_package_version_installed(package_name: str) -> str: + """ + Return the package version installed for the given `package_name`. + """ + return version(package_name) + + try: __version__ = toml.load(PYPROJECT_PATH)["tool"]["poetry"]["version"] except FileNotFoundError: # pragma: no cover diff --git a/nautilus_trader/accounting/accounts/base.pxd b/nautilus_trader/accounting/accounts/base.pxd index b119dd962cf2..3fc76bbb7b82 100644 --- a/nautilus_trader/accounting/accounts/base.pxd +++ b/nautilus_trader/accounting/accounts/base.pxd @@ -16,6 +16,7 @@ from nautilus_trader.model.currency cimport Currency from nautilus_trader.model.enums_c cimport AccountType from nautilus_trader.model.enums_c cimport LiquiditySide +from nautilus_trader.model.enums_c cimport OrderSide from nautilus_trader.model.events.account cimport AccountState from nautilus_trader.model.events.order cimport OrderFilled from nautilus_trader.model.identifiers cimport AccountId @@ -92,3 +93,11 @@ cdef class Account: OrderFilled fill, Position position=*, ) + + cpdef Money balance_impact( + self, + Instrument instrument, + Quantity quantity, + Price price, + OrderSide order_side, + ) diff --git a/nautilus_trader/accounting/accounts/base.pyx b/nautilus_trader/accounting/accounts/base.pyx index d748720737d0..c5c54dc90814 100644 --- a/nautilus_trader/accounting/accounts/base.pyx +++ b/nautilus_trader/accounting/accounts/base.pyx @@ -19,6 +19,7 @@ from nautilus_trader.accounting.error import AccountBalanceNegative from nautilus_trader.core.correctness cimport Condition from nautilus_trader.model.enums_c cimport AccountType +from nautilus_trader.model.enums_c cimport OrderSide from nautilus_trader.model.enums_c cimport account_type_to_str from nautilus_trader.model.events.account cimport AccountState from nautilus_trader.model.instruments.base cimport Instrument @@ -479,3 +480,12 @@ cdef class Account: Position position: Optional[Position] = None, ): raise NotImplementedError("method must be implemented in the subclass") # pragma: no cover + + cpdef Money balance_impact( + self, + Instrument instrument, + Quantity quantity, + Price price, + OrderSide order_side, + ): + raise NotImplementedError("method must be implemented in the subclass") # pragma: no cover diff --git a/nautilus_trader/accounting/accounts/betting.pyx b/nautilus_trader/accounting/accounts/betting.pyx index ba0a852c429e..923f3f50138b 100644 --- a/nautilus_trader/accounting/accounts/betting.pyx +++ b/nautilus_trader/accounting/accounts/betting.pyx @@ -70,6 +70,23 @@ cdef class BettingAccount(CashAccount): locked: Decimal = liability(quantity, price, side) return Money(locked, instrument.quote_currency) + cpdef Money balance_impact( + self, + Instrument instrument, + Quantity quantity, + Price price, + OrderSide order_side, + ): + cdef Money notional + if order_side == OrderSide.BUY: + notional = instrument.notional_value(quantity, price) + return Money(-notional.as_f64_c(), notional.currency) + elif order_side == OrderSide.SELL: + notional = instrument.notional_value(quantity, price) + return Money(-notional.as_f64_c() * (price.as_f64_c() - 1.0), notional.currency) + else: + raise RuntimeError(f"invalid `OrderSide`, was {order_side}") # pragma: no cover (design-time error) + cpdef stake(Quantity quantity, Price price): return quantity * (price - 1) diff --git a/nautilus_trader/accounting/accounts/cash.pyx b/nautilus_trader/accounting/accounts/cash.pyx index d505131cb82c..ed11551f38fb 100644 --- a/nautilus_trader/accounting/accounts/cash.pyx +++ b/nautilus_trader/accounting/accounts/cash.pyx @@ -321,3 +321,18 @@ cdef class CashAccount(Account): raise RuntimeError(f"invalid `OrderSide`, was {fill.order_side}") # pragma: no cover (design-time error) return list(pnls.values()) + + cpdef Money balance_impact( + self, + Instrument instrument, + Quantity quantity, + Price price, + OrderSide order_side, + ): + cdef object notional = instrument.notional_value(quantity, price) + if order_side == OrderSide.BUY: + return Money(-notional, notional.currency) + elif order_side == OrderSide.SELL: + return Money(notional, notional.currency) + else: + raise RuntimeError(f"invalid `OrderSide`, was {order_side}") # pragma: no cover (design-time error) diff --git a/nautilus_trader/accounting/accounts/margin.pyx b/nautilus_trader/accounting/accounts/margin.pyx index afe49cf6fde9..151c8b63bd94 100644 --- a/nautilus_trader/accounting/accounts/margin.pyx +++ b/nautilus_trader/accounting/accounts/margin.pyx @@ -22,6 +22,7 @@ from nautilus_trader.core.correctness cimport Condition from nautilus_trader.model.currency cimport Currency from nautilus_trader.model.enums_c cimport AccountType from nautilus_trader.model.enums_c cimport LiquiditySide +from nautilus_trader.model.enums_c cimport OrderSide from nautilus_trader.model.enums_c cimport liquidity_side_to_str from nautilus_trader.model.events.account cimport AccountState from nautilus_trader.model.events.order cimport OrderFilled @@ -658,3 +659,24 @@ cdef class MarginAccount(Account): pnls[pnl.currency] = pnl return list(pnls.values()) + + cpdef Money balance_impact( + self, + Instrument instrument, + Quantity quantity, + Price price, + OrderSide order_side, + ): + cdef: + object leverage = self.leverage(instrument.id) + double margin_impact = 1.0 / leverage + Money raw_money + if order_side == OrderSide.BUY: + raw_money = -instrument.notional_value(quantity, price) + return Money(raw_money * margin_impact, raw_money.currency) + elif order_side == OrderSide.SELL: + raw_money = instrument.notional_value(quantity, price) + return Money(raw_money * margin_impact, raw_money.currency) + + else: + raise RuntimeError(f"invalid `OrderSide`, was {order_side}") # pragma: no cover (design-time error) diff --git a/nautilus_trader/adapters/_template/data.py b/nautilus_trader/adapters/_template/data.py index b6e1e1f4d39f..ed0973a986dd 100644 --- a/nautilus_trader/adapters/_template/data.py +++ b/nautilus_trader/adapters/_template/data.py @@ -110,7 +110,7 @@ class TemplateLiveMarketDataClient(LiveMarketDataClient): | _subscribe_quote_ticks | optional | | _subscribe_trade_ticks | optional | | _subscribe_bars | optional | - | _subscribe_instrument_status_updates | optional | + | _subscribe_instrument_status | optional | | _subscribe_instrument_close | optional | | _unsubscribe (adapter specific types) | optional | | _unsubscribe_instruments | optional | @@ -121,7 +121,7 @@ class TemplateLiveMarketDataClient(LiveMarketDataClient): | _unsubscribe_quote_ticks | optional | | _unsubscribe_trade_ticks | optional | | _unsubscribe_bars | optional | - | _unsubscribe_instrument_status_updates | optional | + | _unsubscribe_instrument_status | optional | | _unsubscribe_instrument_close | optional | +----------------------------------------+-------------+ | _request | optional | @@ -187,7 +187,7 @@ async def _subscribe_trade_ticks(self, instrument_id: InstrumentId) -> None: async def _subscribe_bars(self, bar_type: BarType) -> None: raise NotImplementedError("method must be implemented in the subclass") # pragma: no cover - async def _subscribe_instrument_status_updates(self, instrument_id: InstrumentId) -> None: + async def _subscribe_instrument_status(self, instrument_id: InstrumentId) -> None: raise NotImplementedError("method must be implemented in the subclass") # pragma: no cover async def _subscribe_instrument_close(self, instrument_id: InstrumentId) -> None: @@ -220,7 +220,7 @@ async def _unsubscribe_trade_ticks(self, instrument_id: InstrumentId) -> None: async def _unsubscribe_bars(self, bar_type: BarType) -> None: raise NotImplementedError("method must be implemented in the subclass") # pragma: no cover - async def _unsubscribe_instrument_status_updates(self, instrument_id: InstrumentId) -> None: + async def _unsubscribe_instrument_status(self, instrument_id: InstrumentId) -> None: raise NotImplementedError("method must be implemented in the subclass") # pragma: no cover async def _unsubscribe_instrument_close(self, instrument_id: InstrumentId) -> None: diff --git a/nautilus_trader/adapters/betfair/client.py b/nautilus_trader/adapters/betfair/client.py index df0c0c15b6be..b1b36b4de632 100644 --- a/nautilus_trader/adapters/betfair/client.py +++ b/nautilus_trader/adapters/betfair/client.py @@ -34,9 +34,6 @@ from betfair_parser.spec.betting.orders import ListCurrentOrders from betfair_parser.spec.betting.orders import PlaceOrders from betfair_parser.spec.betting.orders import ReplaceOrders -from betfair_parser.spec.betting.orders import _CancelOrdersParams -from betfair_parser.spec.betting.orders import _PlaceOrdersParams -from betfair_parser.spec.betting.orders import _ReplaceOrdersParams from betfair_parser.spec.betting.type_definitions import CancelExecutionReport from betfair_parser.spec.betting.type_definitions import ClearedOrderSummary from betfair_parser.spec.betting.type_definitions import ClearedOrderSummaryReport @@ -64,9 +61,9 @@ from nautilus_trader.common.logging import Logger from nautilus_trader.common.logging import LoggerAdapter -from nautilus_trader.core.nautilus_pyo3.network import HttpClient -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod -from nautilus_trader.core.nautilus_pyo3.network import HttpResponse +from nautilus_trader.core.nautilus_pyo3 import HttpClient +from nautilus_trader.core.nautilus_pyo3 import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpResponse from nautilus_trader.core.rust.common import LogColor @@ -149,7 +146,7 @@ async def connect(self): async def disconnect(self): self._log.info("Disconnecting..") self.reset_headers() - self._log.info("Disconnected.") + self._log.info("Disconnected.", color=LogColor.GREEN) async def keep_alive(self): """ @@ -195,14 +192,14 @@ async def get_account_details(self) -> AccountDetailsResponse: async def get_account_funds(self, wallet: Optional[str] = None) -> AccountFundsResponse: return await self._post(request=GetAccountFunds.with_params(wallet=wallet)) - async def place_orders(self, params: _PlaceOrdersParams) -> PlaceExecutionReport: - return await self._post(PlaceOrders(params=params)) + async def place_orders(self, request: PlaceOrders) -> PlaceExecutionReport: + return await self._post(request) - async def replace_orders(self, params: _ReplaceOrdersParams) -> ReplaceExecutionReport: - return await self._post(ReplaceOrders(params=params)) + async def replace_orders(self, request: ReplaceOrders) -> ReplaceExecutionReport: + return await self._post(request) - async def cancel_orders(self, params: _CancelOrdersParams) -> CancelExecutionReport: - return await self._post(CancelOrders(params=params)) + async def cancel_orders(self, request: CancelOrders) -> CancelExecutionReport: + return await self._post(request) async def list_current_orders( self, diff --git a/nautilus_trader/adapters/betfair/config.py b/nautilus_trader/adapters/betfair/config.py index 942ccacdf09f..46bb29f3cc20 100644 --- a/nautilus_trader/adapters/betfair/config.py +++ b/nautilus_trader/adapters/betfair/config.py @@ -15,11 +15,12 @@ from typing import Optional +from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProviderConfig from nautilus_trader.config import LiveDataClientConfig from nautilus_trader.config import LiveExecClientConfig -class BetfairDataClientConfig(LiveDataClientConfig, frozen=True): +class BetfairDataClientConfig(LiveDataClientConfig, kw_only=True, frozen=True): """ Configuration for ``BetfairDataClient`` instances. @@ -36,11 +37,12 @@ class BetfairDataClientConfig(LiveDataClientConfig, frozen=True): """ + account_currency: str username: Optional[str] = None password: Optional[str] = None app_key: Optional[str] = None cert_dir: Optional[str] = None - market_filter: Optional[tuple] = None + instrument_config: Optional[BetfairInstrumentProviderConfig] = None class BetfairExecClientConfig(LiveExecClientConfig, kw_only=True, frozen=True): @@ -60,9 +62,9 @@ class BetfairExecClientConfig(LiveExecClientConfig, kw_only=True, frozen=True): """ - base_currency: str + account_currency: str username: Optional[str] = None password: Optional[str] = None app_key: Optional[str] = None cert_dir: Optional[str] = None - market_filter: Optional[tuple] = None + instrument_config: Optional[BetfairInstrumentProviderConfig] = None diff --git a/nautilus_trader/adapters/betfair/constants.py b/nautilus_trader/adapters/betfair/constants.py index d335b68e53b6..4a52aa652bf3 100644 --- a/nautilus_trader/adapters/betfair/constants.py +++ b/nautilus_trader/adapters/betfair/constants.py @@ -13,7 +13,7 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from betfair_parser.spec.streaming.mcm import MarketStatus as BetfairMarketStatus +from betfair_parser.spec.betting import MarketStatus as BetfairMarketStatus from nautilus_trader.model.enums import BookType from nautilus_trader.model.enums import MarketStatus @@ -29,7 +29,8 @@ CLOSE_PRICE_WINNER = Price(1.0, precision=BETFAIR_PRICE_PRECISION) CLOSE_PRICE_LOSER = Price(0.0, precision=BETFAIR_PRICE_PRECISION) -MARKET_STATUS_MAPPING: dict[tuple[BetfairMarketStatus, bool], MarketStatus] = { +MARKET_STATUS_MAPPING: dict[tuple[MarketStatus, bool], MarketStatus] = { + (BetfairMarketStatus.INACTIVE, False): MarketStatus.CLOSED, (BetfairMarketStatus.OPEN, False): MarketStatus.PRE_OPEN, (BetfairMarketStatus.OPEN, True): MarketStatus.OPEN, (BetfairMarketStatus.SUSPENDED, False): MarketStatus.PAUSE, diff --git a/nautilus_trader/adapters/betfair/data.py b/nautilus_trader/adapters/betfair/data.py index d97323d95997..e63ccc9f6372 100644 --- a/nautilus_trader/adapters/betfair/data.py +++ b/nautilus_trader/adapters/betfair/data.py @@ -17,15 +17,15 @@ from typing import Optional import msgspec +from betfair_parser.spec.streaming import MCM +from betfair_parser.spec.streaming import Connection +from betfair_parser.spec.streaming import Status from betfair_parser.spec.streaming import stream_decode -from betfair_parser.spec.streaming.mcm import MCM -from betfair_parser.spec.streaming.status import Connection -from betfair_parser.spec.streaming.status import Status from nautilus_trader.adapters.betfair.client import BetfairHttpClient from nautilus_trader.adapters.betfair.constants import BETFAIR_VENUE from nautilus_trader.adapters.betfair.data_types import BetfairStartingPrice -from nautilus_trader.adapters.betfair.data_types import BSPOrderBookDeltas +from nautilus_trader.adapters.betfair.data_types import BSPOrderBookDelta from nautilus_trader.adapters.betfair.data_types import SubscriptionStatus from nautilus_trader.adapters.betfair.parsing.core import BetfairParser from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider @@ -65,8 +65,6 @@ class BetfairDataClient(LiveMarketDataClient): The clock for the client. logger : Logger The logger for the client. - market_filter : dict - The market filter. instrument_provider : BetfairInstrumentProvider, optional The instrument provider. strict_handling : bool @@ -82,16 +80,15 @@ def __init__( cache: Cache, clock: LiveClock, logger: Logger, - market_filter: dict, - instrument_provider: Optional[BetfairInstrumentProvider] = None, + instrument_provider: BetfairInstrumentProvider, + account_currency: str, strict_handling: bool = False, ): super().__init__( loop=loop, client_id=ClientId(BETFAIR_VENUE.value), venue=BETFAIR_VENUE, - instrument_provider=instrument_provider - or BetfairInstrumentProvider(client=client, logger=logger, filters=market_filter), + instrument_provider=instrument_provider, msgbus=msgbus, cache=cache, clock=clock, @@ -105,7 +102,7 @@ def __init__( logger=logger, message_handler=self.on_market_update, ) - self.parser = BetfairParser() + self.parser = BetfairParser(currency=account_currency) self.subscription_status = SubscriptionStatus.UNSUBSCRIBED # Subscriptions @@ -193,7 +190,7 @@ async def _subscribe_order_book_deltas( self._subscribed_market_ids.add(instrument.market_id) self._subscribed_instrument_ids.add(instrument.id) if self.subscription_status == SubscriptionStatus.UNSUBSCRIBED: - self.create_task(self.delayed_subscribe(delay=5)) + self.create_task(self.delayed_subscribe(delay=3)) self.subscription_status = SubscriptionStatus.PENDING_STARTUP elif self.subscription_status == SubscriptionStatus.PENDING_STARTUP: pass @@ -218,16 +215,14 @@ async def _subscribe_trade_ticks(self, instrument_id: InstrumentId) -> None: pass # Subscribed as part of orderbook async def _subscribe_instrument(self, instrument_id: InstrumentId) -> None: - # TODO: This is more like a Req/Res model? - self._instrument_provider.load(instrument_id) - instrument = self._instrument_provider.find(instrument_id) - self._handle_data(instrument) + self._log.info("Skipping subscribe_instrument, betfair subscribes as part of orderbook") + return async def _subscribe_instruments(self) -> None: for instrument in self._instrument_provider.list_all(): self._handle_data(instrument) - async def _subscribe_instrument_status_updates(self, instrument_id: InstrumentId): + async def _subscribe_instrument_status(self, instrument_id: InstrumentId): pass # Subscribed as part of orderbook async def _subscribe_instrument_close(self, instrument_id: InstrumentId): @@ -261,7 +256,7 @@ def _on_market_update(self, mcm: MCM): updates = self.parser.parse(mcm=mcm) for data in updates: self._log.debug(f"{data}") - if isinstance(data, (BetfairStartingPrice, BSPOrderBookDeltas)): + if isinstance(data, (BetfairStartingPrice, BSPOrderBookDelta)): # Not a regular data type generic_data = GenericData( DataType(data.__class__, {"instrument_id": data.instrument_id}), @@ -288,11 +283,12 @@ def _check_stream_unhealthy(self, update: MCM): if update.stream_unreliable: self._log.warning("Stream unhealthy, waiting for recover") self.degrade() - for mc in update.mc: - if mc.con: - self._log.warning( - "Conflated stream - consuming data too slow (data received is delayed)", - ) + if update.mc is not None: + for mc in update.mc: + if mc.con: + self._log.warning( + "Conflated stream - consuming data too slow (data received is delayed)", + ) def _handle_status_message(self, update: Status): if update.status_code == "FAILURE" and update.connection_closed: @@ -301,4 +297,4 @@ def _handle_status_message(self, update: Status): raise RuntimeError("No more connections available") else: self._log.info("Attempting reconnect") - self.create_task(self._stream.reconnect()) + self.create_task(self._stream.connect()) diff --git a/nautilus_trader/adapters/betfair/data_types.py b/nautilus_trader/adapters/betfair/data_types.py index 997631bc967d..f20825fc7487 100644 --- a/nautilus_trader/adapters/betfair/data_types.py +++ b/nautilus_trader/adapters/betfair/data_types.py @@ -13,7 +13,6 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -import copy from enum import Enum from typing import Optional @@ -24,15 +23,14 @@ from nautilus_trader.core.data import Data from nautilus_trader.model.data.book import BookOrder from nautilus_trader.model.data.book import OrderBookDelta -from nautilus_trader.model.data.book import OrderBookDeltas from nautilus_trader.model.data.ticker import Ticker from nautilus_trader.model.enums import BookAction -from nautilus_trader.model.enums import book_action_from_str from nautilus_trader.model.identifiers import InstrumentId -from nautilus_trader.serialization.arrow.implementations.order_book import deserialize as deserialize_orderbook -from nautilus_trader.serialization.arrow.implementations.order_book import serialize as serialize_orderbook -from nautilus_trader.serialization.arrow.schema import NAUTILUS_PARQUET_SCHEMA -from nautilus_trader.serialization.arrow.serializer import register_parquet +from nautilus_trader.model.objects import Price +from nautilus_trader.model.objects import Quantity +from nautilus_trader.serialization.arrow.serializer import make_dict_deserializer +from nautilus_trader.serialization.arrow.serializer import make_dict_serializer +from nautilus_trader.serialization.arrow.serializer import register_arrow from nautilus_trader.serialization.base import register_serializable_object @@ -49,44 +47,79 @@ class SubscriptionStatus(Enum): RUNNING = 2 -class BSPOrderBookDeltas(OrderBookDeltas): - """ - Represents a batch of Betfair BSP order book delta. - """ - - class BSPOrderBookDelta(OrderBookDelta): - """ - Represents a `Betfair` BSP order book delta. - """ + @staticmethod + def from_batch(batch: pa.RecordBatch) -> list["BSPOrderBookDelta"]: + PyCondition.not_none(batch, "batch") + data = [] + for idx in range(batch.num_rows): + instrument_id = InstrumentId.from_str(batch.schema.metadata[b"instrument_id"].decode()) + action: BookAction = BookAction(batch["action"].to_pylist()[idx]) + if action == BookAction.CLEAR: + book_order = None + else: + book_order = BookOrder( + price=Price.from_raw( + batch["price"].to_pylist()[idx], + int(batch.schema.metadata[b"price_precision"]), + ), + size=Quantity.from_raw( + batch["size"].to_pylist()[idx], + int(batch.schema.metadata[b"size_precision"]), + ), + side=batch["side"].to_pylist()[idx], + order_id=batch["order_id"].to_pylist()[idx], + ) + + delta = BSPOrderBookDelta( + instrument_id=instrument_id, + action=action, + order=book_order, + ts_event=batch["ts_event"].to_pylist()[idx], + ts_init=batch["ts_init"].to_pylist()[idx], + ) + data.append(delta) + return data @staticmethod - def from_dict(values) -> "BSPOrderBookDelta": - PyCondition.not_none(values, "values") - action: BookAction = book_action_from_str(values["action"]) - if action != BookAction.CLEAR: - book_dict = { - "price": str(values["price"]), - "size": str(values["size"]), - "side": values["side"], - "order_id": values["order_id"], - } - book_order = BookOrder.from_dict(book_dict) - else: - book_order = None - return BSPOrderBookDelta( - instrument_id=InstrumentId.from_str(values["instrument_id"]), - action=action, - order=book_order, - ts_event=values["ts_event"], - ts_init=values["ts_init"], + def to_batch(self: "BSPOrderBookDelta") -> pa.RecordBatch: + metadata = { + b"instrument_id": self.instrument_id.value.encode(), + b"price_precision": str(self.order.price.precision).encode(), + b"size_precision": str(self.order.size.precision).encode(), + } + schema = BSPOrderBookDelta.schema().with_metadata(metadata) + return pa.RecordBatch.from_pylist( + [ + { + "action": self.action, + "side": self.order.side, + "price": self.order.price.raw, + "size": self.order.size.raw, + "order_id": self.order.order_id, + "flags": self.flags, + "ts_event": self.ts_event, + "ts_init": self.ts_init, + }, + ], + schema=schema, ) - @staticmethod - def to_dict(obj) -> dict: - values = OrderBookDelta.to_dict(obj) - values["type"] = obj.__class__.__name__ - return values + @classmethod + def schema(cls) -> pa.Schema: + return pa.schema( + { + "action": pa.uint8(), + "side": pa.uint8(), + "price": pa.int64(), + "size": pa.uint64(), + "order_id": pa.uint64(), + "flags": pa.uint8(), + "ts_event": pa.uint64(), + "ts_init": pa.uint64(), + }, + metadata={"type": "BSPOrderBookDelta"}, + ) class BetfairTicker(Ticker): @@ -141,7 +174,8 @@ def from_dict(cls, values: dict): else None, ) - def to_dict(self): + @staticmethod + def to_dict(self: "BetfairTicker"): return { "type": type(self).__name__, "instrument_id": self.instrument_id.value, @@ -153,6 +187,13 @@ def to_dict(self): "starting_price_far": self.starting_price_far, } + def __repr__(self): + return ( + f"BetfairTicker(instrument_id={self.instrument_id.value}, ltp={self.last_traded_price}, " + f"tv={self.traded_volume}, spn={self.starting_price_near}, spf={self.starting_price_far}," + f" ts_init={self.ts_init})" + ) + class BetfairStartingPrice(Data): """ @@ -201,6 +242,7 @@ def from_dict(cls, values: dict): bsp=values["bsp"] if values["bsp"] else None, ) + @staticmethod def to_dict(self): return { "type": type(self).__name__, @@ -212,30 +254,31 @@ def to_dict(self): # Register serialization/parquet BetfairTicker -register_serializable_object(BetfairTicker, BetfairTicker.to_dict, BetfairTicker.from_dict) -register_parquet(cls=BetfairTicker, schema=BetfairTicker.schema()) +register_arrow( + data_cls=BetfairTicker, + schema=BetfairTicker.schema(), + serializer=make_dict_serializer(schema=BetfairTicker.schema()), + deserializer=make_dict_deserializer(BetfairTicker), +) # Register serialization/parquet BetfairStartingPrice -register_serializable_object( - BetfairStartingPrice, - BetfairStartingPrice.to_dict, - BetfairStartingPrice.from_dict, +register_arrow( + data_cls=BetfairStartingPrice, + schema=BetfairStartingPrice.schema(), + serializer=make_dict_serializer(schema=BetfairStartingPrice.schema()), + deserializer=make_dict_deserializer(BetfairStartingPrice), ) -register_parquet(cls=BetfairStartingPrice, schema=BetfairStartingPrice.schema()) # Register serialization/parquet BSPOrderBookDeltas -BSP_ORDERBOOK_SCHEMA: pa.Schema = copy.copy(NAUTILUS_PARQUET_SCHEMA[OrderBookDelta]) -BSP_ORDERBOOK_SCHEMA = BSP_ORDERBOOK_SCHEMA.with_metadata({"type": "BSPOrderBookDelta"}) - register_serializable_object( - BSPOrderBookDeltas, - BSPOrderBookDeltas.to_dict, - BSPOrderBookDeltas.from_dict, + BSPOrderBookDelta, + BSPOrderBookDelta.to_dict, + BSPOrderBookDelta.from_dict, ) -register_parquet( - cls=BSPOrderBookDeltas, - serializer=serialize_orderbook, - deserializer=deserialize_orderbook, - schema=BSP_ORDERBOOK_SCHEMA, - chunk=True, + +register_arrow( + data_cls=BSPOrderBookDelta, + serializer=BSPOrderBookDelta.to_batch, + deserializer=BSPOrderBookDelta.from_batch, + schema=BSPOrderBookDelta.schema(), ) diff --git a/nautilus_trader/adapters/betfair/execution.py b/nautilus_trader/adapters/betfair/execution.py index 3543cab520b9..e7c55bda66fc 100644 --- a/nautilus_trader/adapters/betfair/execution.py +++ b/nautilus_trader/adapters/betfair/execution.py @@ -25,13 +25,16 @@ from betfair_parser.spec.betting.enums import ExecutionReportStatus from betfair_parser.spec.betting.enums import InstructionReportStatus from betfair_parser.spec.betting.orders import PlaceOrders +from betfair_parser.spec.betting.orders import ReplaceOrders from betfair_parser.spec.betting.type_definitions import CurrentOrderSummary from betfair_parser.spec.betting.type_definitions import PlaceExecutionReport +from betfair_parser.spec.common import BetId +from betfair_parser.spec.streaming import OCM +from betfair_parser.spec.streaming import Connection +from betfair_parser.spec.streaming import Order as UnmatchedOrder +from betfair_parser.spec.streaming import Status +from betfair_parser.spec.streaming import StatusErrorCode from betfair_parser.spec.streaming import stream_decode -from betfair_parser.spec.streaming.ocm import OCM -from betfair_parser.spec.streaming.ocm import UnmatchedOrder -from betfair_parser.spec.streaming.status import Connection -from betfair_parser.spec.streaming.status import Status from nautilus_trader.accounting.factory import AccountFactory from nautilus_trader.adapters.betfair.client import BetfairHttpClient @@ -42,11 +45,9 @@ from nautilus_trader.adapters.betfair.parsing.common import betfair_instrument_id from nautilus_trader.adapters.betfair.parsing.requests import bet_to_order_status_report from nautilus_trader.adapters.betfair.parsing.requests import betfair_account_to_account_state -from nautilus_trader.adapters.betfair.parsing.requests import order_cancel_all_to_betfair from nautilus_trader.adapters.betfair.parsing.requests import order_cancel_to_cancel_order_params from nautilus_trader.adapters.betfair.parsing.requests import order_submit_to_place_order_params from nautilus_trader.adapters.betfair.parsing.requests import order_update_to_replace_order_params -from nautilus_trader.adapters.betfair.parsing.requests import parse_handicap from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider from nautilus_trader.adapters.betfair.sockets import BetfairOrderStreamClient from nautilus_trader.cache.cache import Cache @@ -55,7 +56,7 @@ from nautilus_trader.common.logging import Logger from nautilus_trader.core.correctness import PyCondition from nautilus_trader.core.datetime import millis_to_nanos -from nautilus_trader.core.datetime import nanos_to_secs +from nautilus_trader.core.datetime import nanos_to_micros from nautilus_trader.core.datetime import secs_to_nanos from nautilus_trader.core.uuid import UUID4 from nautilus_trader.execution.messages import CancelAllOrders @@ -105,8 +106,6 @@ class BetfairExecutionClient(LiveExecutionClient): The clock for the client. logger : Logger The logger for the client. - market_filter : dict - The market filter. instrument_provider : BetfairInstrumentProvider The instrument provider. @@ -121,7 +120,6 @@ def __init__( cache: Cache, clock: LiveClock, logger: Logger, - market_filter: dict, instrument_provider: BetfairInstrumentProvider, ) -> None: super().__init__( @@ -131,8 +129,7 @@ def __init__( oms_type=OmsType.NETTING, account_type=AccountType.BETTING, base_currency=base_currency, - instrument_provider=instrument_provider - or BetfairInstrumentProvider(client=client, logger=logger, filters=market_filter), + instrument_provider=instrument_provider, msgbus=msgbus, cache=cache, clock=clock, @@ -146,7 +143,6 @@ def __init__( logger=logger, message_handler=self.handle_order_stream_update, ) - self.venue_order_id_to_client_order_id: dict[VenueOrderId, ClientOrderId] = {} self.pending_update_order_client_ids: set[tuple[ClientOrderId, VenueOrderId]] = set() self.published_executions: dict[ClientOrderId, list[TradeId]] = defaultdict(list) @@ -171,7 +167,6 @@ async def _connect(self) -> None: self.check_account_currency(), ] await asyncio.gather(*aws) - self.create_task(self.watch_stream()) async def _disconnect(self) -> None: # Close socket @@ -182,19 +177,9 @@ async def _disconnect(self) -> None: self._log.info("Closing BetfairHttpClient...") await self._client.disconnect() - # TODO - remove when we get socket reconnect in rust. - async def watch_stream(self) -> None: - """ - Ensure socket stream is connected. - """ - while True: - if not self.stream.is_connected: - await self.stream.connect() - await asyncio.sleep(1) - # -- ERROR HANDLING --------------------------------------------------------------------------- async def on_api_exception(self, error: BetfairError) -> None: - if "INVALID_SESSION_INFORMATION" in error.message: + if "INVALID_SESSION_INFORMATION" in error.args[0]: # Session is invalid, need to reconnect self._log.warning("Invalid session error, reconnecting..") await self._client.disconnect() @@ -226,22 +211,18 @@ async def generate_order_status_report( client_order_id: Optional[ClientOrderId] = None, venue_order_id: Optional[VenueOrderId] = None, ) -> Optional[OrderStatusReport]: - assert venue_order_id is not None - orders: list[CurrentOrderSummary] = await self._client.list_current_orders( - bet_ids={venue_order_id}, - ) + assert venue_order_id is not None, "`venue_order_id` is None" + bet_id = BetId(venue_order_id.value) + self._log.debug(f"Listing current orders for {venue_order_id=} {bet_id=}") + orders: list[CurrentOrderSummary] = await self._client.list_current_orders(bet_ids={bet_id}) if not orders: self._log.warning(f"Could not find order for venue_order_id={venue_order_id}") return None # We have a response, check list length and grab first entry - assert len(orders) == 1 + assert len(orders) == 1, f"More than one order found for {venue_order_id}" order: CurrentOrderSummary = orders[0] - instrument = self._instrument_provider.get_betting_instrument( - market_id=str(order.market_id), - selection_id=str(order.selection_id), - handicap=parse_handicap(order.handicap), - ) + instrument = self._cache.instrument(instrument_id) venue_order_id = VenueOrderId(str(order.bet_id)) report: OrderStatusReport = bet_to_order_status_report( @@ -306,12 +287,12 @@ async def _submit_order(self, command: SubmitOrder) -> None: PyCondition.not_none(instrument, "instrument") client_order_id = command.order.client_order_id - place_order_params: PlaceOrders.params = order_submit_to_place_order_params( + place_orders: PlaceOrders = order_submit_to_place_order_params( command=command, instrument=instrument, ) try: - result: PlaceExecutionReport = await self._client.place_orders(place_order_params) + result: PlaceExecutionReport = await self._client.place_orders(place_orders) except Exception as e: if isinstance(e, BetfairError): await self.on_api_exception(error=e) @@ -352,7 +333,7 @@ async def _submit_order(self, command: SubmitOrder) -> None: venue_order_id, self._clock.timestamp_ns(), ) - self._log.debug("Generated _generate_order_accepted") + self._log.debug("Generated order accepted") async def _modify_order(self, command: ModifyOrder) -> None: self._log.debug(f"Received modify_order {command}") @@ -390,7 +371,7 @@ async def _modify_order(self, command: ModifyOrder) -> None: return # Send order to client - replace_order_params = order_update_to_replace_order_params( + replace_orders: ReplaceOrders = order_update_to_replace_order_params( command=command, venue_order_id=existing_order.venue_order_id, instrument=instrument, @@ -399,7 +380,7 @@ async def _modify_order(self, command: ModifyOrder) -> None: (command.client_order_id, existing_order.venue_order_id), ) try: - result = await self._client.replace_orders(replace_order_params) + result = await self._client.replace_orders(replace_orders) except Exception as e: if isinstance(e, BetfairError): await self.on_api_exception(error=e) @@ -456,15 +437,15 @@ async def _cancel_order(self, command: CancelOrder) -> None: PyCondition.not_none(instrument, "instrument") # Format - cancel_order_params = order_cancel_to_cancel_order_params( + cancel_orders = order_cancel_to_cancel_order_params( command=command, instrument=instrument, ) - self._log.debug(f"cancel_order {cancel_order_params}") + self._log.debug(f"cancel_order {cancel_orders}") # Send to client try: - result = await self._client.cancel_orders(cancel_order_params) + result = await self._client.cancel_orders(cancel_orders) except Exception as e: if isinstance(e, BetfairError): await self.on_api_exception(error=e) @@ -509,14 +490,12 @@ async def _cancel_order(self, command: CancelOrder) -> None: ) self._log.debug("Sent order cancel") - # TODO(cs): Currently not in use as old behavior restored to cancel orders individually async def _cancel_all_orders(self, command: CancelAllOrders) -> None: open_orders = self._cache.orders_open( instrument_id=command.instrument_id, side=command.order_side, ) - # TODO(cs): Temporary solution generating individual cancels for all open orders for order in open_orders: command = CancelOrder( trader_id=command.trader_id, @@ -530,76 +509,6 @@ async def _cancel_all_orders(self, command: CancelAllOrders) -> None: self.cancel_order(command) - # TODO(cs): Relates to below _cancel_all_orders - # Format - # cancel_orders = order_cancel_all_to_betfair(instrument=instrument) # type: ignore - # self._log.debug(f"cancel_orders {cancel_orders}") - # - # self.create_task(self._cancel_order(command)) - - # TODO(cs): I've had to duplicate the logic as couldn't refactor and tease - # apart the cancel rejects and trade report. This will possibly fail - # badly if there are any API errors... - self._log.debug(f"Received cancel all orders: {command}") - - instrument = self._cache.instrument(command.instrument_id) - PyCondition.not_none(instrument, "instrument") - - # Format - cancel_orders = order_cancel_all_to_betfair(instrument=instrument) - self._log.debug(f"cancel_orders {cancel_orders}") - - # Send to client - try: - result = await self._client.cancel_orders(**cancel_orders) - except Exception as e: - if isinstance(e, BetfairError): - await self.on_api_exception(error=e) - self._log.error(f"Cancel failed: {e}") - # TODO(cs): Will probably just need to recover the client order ID - # and order ID from the trade report? - # self.generate_order_cancel_rejected( - # strategy_id=command.strategy_id, - # instrument_id=command.instrument_id, - # client_order_id=command.client_order_id, - # venue_order_id=command.venue_order_id, - # reason="client error", - # ts_event=self._clock.timestamp_ns(), - # ) - return - self._log.debug(f"result={result}") - - # Parse response - for report in result["instructionReports"]: - venue_order_id = VenueOrderId(report.instruction.bet_id) - if report["status"] == "FAILURE": - reason = f"{result.error_code.name} ({result.error_code.__doc__})" - self._log.error(f"cancel failed - {reason}") - # TODO(cs): Will probably just need to recover the client order ID - # and order ID from the trade report? - # self.generate_order_cancel_rejected( - # strategy_id=command.strategy_id, - # instrument_id=command.instrument_id, - # client_order_id=command.client_order_id, - # venue_order_id=venue_order_id, - # reason=reason, - # ts_event=self._clock.timestamp_ns(), - # ) - # return - - self._log.debug( - f"Matching venue_order_id: {venue_order_id} to client_order_id: {command.client_order_id}", - ) - self.venue_order_id_to_client_order_id[venue_order_id] = command.client_order_id - self.generate_order_canceled( - command.strategy_id, - command.instrument_id, - command.client_order_id, - venue_order_id, - self._clock.timestamp_ns(), - ) - self._log.debug("Sent order cancel") - # cpdef void bulk_submit_order(self, list commands): # betfair allows up to 200 inserts per request # raise NotImplementedError @@ -616,7 +525,7 @@ async def _cancel_all_orders(self, command: CancelAllOrders) -> None: async def check_account_currency(self) -> None: """ - Check account currency against BetfairHttpClient. + Check account currency against `BetfairHttpClient`. """ self._log.debug("Checking account currency") PyCondition.not_none(self.base_currency, "self.base_currency") @@ -639,6 +548,8 @@ def handle_order_stream_update(self, raw: bytes) -> None: """ update = stream_decode(raw) + self._log.debug(f"Exec update: {raw.decode()}") + if isinstance(update, OCM): self.create_task(self._handle_order_stream_update(update)) elif isinstance(update, Connection): @@ -649,21 +560,25 @@ def handle_order_stream_update(self, raw: bytes) -> None: raise RuntimeError async def _handle_order_stream_update(self, order_change_message: OCM) -> None: - for market in order_change_message.oc: - for selection in market.orc: - for unmatched_order in selection.uo: - await self._check_order_update(unmatched_order=unmatched_order) - if unmatched_order.status == "E": - self._handle_stream_executable_order_update(unmatched_order=unmatched_order) - elif unmatched_order.status == "EC": - self._handle_stream_execution_complete_order_update( - unmatched_order=unmatched_order, - ) - else: - self._log.warning(f"Unknown order state: {unmatched_order}") - if selection.fullImage: - self.check_cache_against_order_image(order_change_message) - continue + for market in order_change_message.oc or []: + if market.orc is not None: + for selection in market.orc: + if selection.uo is not None: + for unmatched_order in selection.uo: + await self._check_order_update(unmatched_order=unmatched_order) + if unmatched_order.status == "E": + self._handle_stream_executable_order_update( + unmatched_order=unmatched_order, + ) + elif unmatched_order.status == "EC": + self._handle_stream_execution_complete_order_update( + unmatched_order=unmatched_order, + ) + else: + self._log.warning(f"Unknown order state: {unmatched_order}") + if selection.full_image: + self.check_cache_against_order_image(order_change_message) + continue def check_cache_against_order_image(self, order_change_message: OCM) -> None: for market in order_change_message.oc: @@ -671,19 +586,19 @@ def check_cache_against_order_image(self, order_change_message: OCM) -> None: instrument_id = betfair_instrument_id( market_id=market.id, selection_id=str(selection.id), - selection_handicap=selection.hc, + selection_handicap=str(selection.hc or 0.0), ) orders = self._cache.orders(instrument_id=instrument_id) venue_orders = {o.venue_order_id: o for o in orders} for unmatched_order in selection.uo: # We can match on venue_order_id here - order = venue_orders.get(VenueOrderId(unmatched_order.id)) + order = venue_orders.get(VenueOrderId(str(unmatched_order.id))) if order is not None: continue # Order exists self._log.error(f"UNKNOWN ORDER NOT IN CACHE: {unmatched_order=} ") raise RuntimeError(f"UNKNOWN ORDER NOT IN CACHE: {unmatched_order=}") - matched_orders = [(OrderSide.SELL, lay) for lay in selection.ml] + [ - (OrderSide.BUY, back) for back in selection.mb + matched_orders = [(OrderSide.SELL, lay) for lay in (selection.ml or [])] + [ + (OrderSide.BUY, back) for back in (selection.mb or []) ] for side, matched_order in matched_orders: # We don't get much information from Betfair here, try our best to match order @@ -723,9 +638,9 @@ async def _check_order_update(self, unmatched_order: UnmatchedOrder) -> None: def _handle_stream_executable_order_update(self, unmatched_order: UnmatchedOrder) -> None: """ - Handle update containing "E" (executable) order update. + Handle update containing 'E' (executable) order update. """ - venue_order_id = VenueOrderId(unmatched_order.id) + venue_order_id = VenueOrderId(str(unmatched_order.id)) client_order_id = self.venue_order_id_to_client_order_id[venue_order_id] order = self._cache.order(client_order_id) instrument = self._cache.instrument(order.instrument_id) @@ -806,10 +721,11 @@ def _handle_stream_execution_complete_order_update( unmatched_order: UnmatchedOrder, ) -> None: """ - Handle "EC" (execution complete) order updates. + Handle 'EC' (execution complete) order updates. """ venue_order_id = VenueOrderId(str(unmatched_order.id)) client_order_id = self._cache.client_order_id(venue_order_id=venue_order_id) + PyCondition.not_none(client_order_id, "client_order_id") order = self._cache.order(client_order_id=client_order_id) instrument = self._cache.instrument(order.instrument_id) assert instrument @@ -838,7 +754,7 @@ def _handle_stream_execution_complete_order_update( quote_currency=instrument.quote_currency, # avg_px=order['avp'], commission=Money(0, self.base_currency), - liquidity_side=LiquiditySide.TAKER, # TODO - Fix this? + liquidity_side=LiquiditySide.NO_LIQUIDITY_SIDE, ts_event=millis_to_nanos(unmatched_order.md), ) self.published_executions[client_order_id].append(trade_id) @@ -899,7 +815,7 @@ async def wait_for_order( if venue_order_id in self.venue_order_id_to_client_order_id: client_order_id = self.venue_order_id_to_client_order_id[venue_order_id] self._log.debug( - f"Found order in {nanos_to_secs(now - start)} sec: {client_order_id}", + f"Found order in {nanos_to_micros(now - start)}us: {client_order_id}", ) return client_order_id now = self._clock.timestamp_ns() @@ -912,13 +828,13 @@ async def wait_for_order( return None def _handle_status_message(self, update: Status): - if update.statusCode == "FAILURE" and update.connectionClosed: + if update.is_error and update.connection_closed: self._log.warning(str(update)) - if update.errorCode == "MAX_CONNECTION_LIMIT_EXCEEDED": + if update.error_code == StatusErrorCode.MAX_CONNECTION_LIMIT_EXCEEDED: raise RuntimeError("No more connections available") else: self._log.info("Attempting reconnect") - self._loop.create_task(self.stream.reconnect()) + self._loop.create_task(self.stream.connect()) def create_trade_id(uo: UnmatchedOrder) -> TradeId: diff --git a/nautilus_trader/adapters/betfair/factories.py b/nautilus_trader/adapters/betfair/factories.py index f0013b102b3b..897178c53e3b 100644 --- a/nautilus_trader/adapters/betfair/factories.py +++ b/nautilus_trader/adapters/betfair/factories.py @@ -24,6 +24,7 @@ from nautilus_trader.adapters.betfair.data import BetfairDataClient from nautilus_trader.adapters.betfair.execution import BetfairExecutionClient from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider +from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProviderConfig from nautilus_trader.cache.cache import Cache from nautilus_trader.common.clock import LiveClock from nautilus_trader.common.logging import Logger @@ -40,7 +41,6 @@ @lru_cache(1) def get_cached_betfair_client( - loop: asyncio.AbstractEventLoop, logger: Logger, username: Optional[str] = None, password: Optional[str] = None, @@ -54,8 +54,6 @@ def get_cached_betfair_client( Parameters ---------- - loop : asyncio.AbstractEventLoop - The event loop for the client. logger : Logger The logger for the client. username : str, optional @@ -98,7 +96,7 @@ def get_cached_betfair_client( def get_cached_betfair_instrument_provider( client: BetfairHttpClient, logger: Logger, - market_filter: tuple, + config: BetfairInstrumentProviderConfig, ) -> BetfairInstrumentProvider: """ Cache and return a BetfairInstrumentProvider. @@ -111,8 +109,8 @@ def get_cached_betfair_instrument_provider( The client for the instrument provider. logger : Logger The logger for the instrument provider. - market_filter : tuple - The market filter to load into the instrument provider. + config : BetfairInstrumentProviderConfig + The config for the instrument provider. Returns ------- @@ -127,7 +125,7 @@ def get_cached_betfair_instrument_provider( INSTRUMENT_PROVIDER = BetfairInstrumentProvider( client=client, logger=logger, - filters=dict(market_filter), + config=config, ) return INSTRUMENT_PROVIDER @@ -172,20 +170,17 @@ def create( # type: ignore BetfairDataClient """ - market_filter: tuple = config.market_filter or () - # Create client client = get_cached_betfair_client( username=config.username, password=config.password, app_key=config.app_key, logger=logger, - loop=loop, ) provider = get_cached_betfair_instrument_provider( client=client, logger=logger, - market_filter=market_filter, + config=config.instrument_config, ) data_client = BetfairDataClient( @@ -195,8 +190,8 @@ def create( # type: ignore cache=cache, clock=clock, logger=logger, - market_filter=dict(market_filter), instrument_provider=provider, + account_currency=config.account_currency, ) return data_client @@ -241,10 +236,7 @@ def create( # type: ignore BetfairExecutionClient """ - market_filter: tuple = config.market_filter or () - client = get_cached_betfair_client( - loop=loop, username=config.username, password=config.password, app_key=config.app_key, @@ -253,19 +245,18 @@ def create( # type: ignore provider = get_cached_betfair_instrument_provider( client=client, logger=logger, - market_filter=market_filter, + config=config.instrument_config, ) # Create client exec_client = BetfairExecutionClient( loop=loop, client=client, - base_currency=Currency.from_str(config.base_currency), + base_currency=Currency.from_str(config.account_currency), msgbus=msgbus, cache=cache, clock=clock, logger=logger, - market_filter=dict(market_filter), instrument_provider=provider, ) return exec_client diff --git a/nautilus_trader/adapters/betfair/historic.py b/nautilus_trader/adapters/betfair/historic.py deleted file mode 100644 index f65c4ed1e02d..000000000000 --- a/nautilus_trader/adapters/betfair/historic.py +++ /dev/null @@ -1,66 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -from typing import Optional - -import msgspec -from betfair_parser.spec.streaming import MCM -from betfair_parser.spec.streaming import stream_decode - -from nautilus_trader.adapters.betfair.parsing.core import BetfairParser -from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider -from nautilus_trader.common.providers import InstrumentProvider -from nautilus_trader.persistence.external.readers import LinePreprocessor -from nautilus_trader.persistence.external.readers import TextReader - - -def historical_instrument_provider_loader(instrument_provider, line): - from nautilus_trader.adapters.betfair.providers import make_instruments - - if instrument_provider is None: - return - - mcm = msgspec.json.decode(line, type=MCM) - # Find instruments in data - for mc in mcm.mc: - if mc.market_definition: - market_def = msgspec.structs.replace(mc.market_definition, market_id=mc.id) - mc = msgspec.structs.replace(mc, market_definition=market_def) - instruments = make_instruments(mc.market_definition, currency="GBP") - instrument_provider.add_bulk(instruments) - - # By this point we should always have some instruments loaded from historical data - if not instrument_provider.list_all(): - # TODO - Need to add historical search - raise Exception("No instruments found") - - -def make_betfair_reader( - instrument_provider: Optional[InstrumentProvider] = None, - line_preprocessor: Optional[LinePreprocessor] = None, -) -> TextReader: - instrument_provider = instrument_provider or BetfairInstrumentProvider.from_instruments([]) - parser = BetfairParser() - - def parse_line(line): - yield from parser.parse(stream_decode(line)) - - return TextReader( - # Use the standard `on_market_update` betfair parser that the adapter uses - line_preprocessor=line_preprocessor, - line_parser=parse_line, - instrument_provider_update=historical_instrument_provider_loader, - instrument_provider=instrument_provider, - ) diff --git a/nautilus_trader/adapters/betfair/parsing/common.py b/nautilus_trader/adapters/betfair/parsing/common.py index ef30982b9a4d..621fd2ed28d2 100644 --- a/nautilus_trader/adapters/betfair/parsing/common.py +++ b/nautilus_trader/adapters/betfair/parsing/common.py @@ -19,36 +19,13 @@ from nautilus_trader.adapters.betfair.constants import BETFAIR_VENUE from nautilus_trader.core.correctness import PyCondition from nautilus_trader.model.identifiers import InstrumentId -from nautilus_trader.model.identifiers import Symbol +from nautilus_trader.model.instruments.betting import make_symbol def hash_market_trade(timestamp: int, price: float, volume: float): return f"{str(timestamp)[:-6]}{price}{volume!s}" -def make_symbol( - market_id: str, - selection_id: str, - selection_handicap: Optional[str], -) -> Symbol: - """ - Make symbol. - - >>> make_symbol(market_id="1.201070830", selection_id="123456", selection_handicap=None) - Symbol('1.201070830|123456|None') - - """ - - def _clean(s): - return str(s).replace(" ", "").replace(":", "") - - value: str = "|".join( - [_clean(k) for k in (market_id, selection_id, selection_handicap)], - ) - assert len(value) <= 32, f"Symbol too long ({len(value)}): '{value}'" - return Symbol(value) - - @lru_cache def betfair_instrument_id( market_id: str, @@ -59,7 +36,7 @@ def betfair_instrument_id( Create an instrument ID from betfair fields. >>> betfair_instrument_id(market_id="1.201070830", selection_id="123456", selection_handicap=None) - InstrumentId('1.201070830|123456|None.BETFAIR') + InstrumentId('1.201070830-123456-None.BETFAIR') """ PyCondition.not_empty(market_id, "market_id") diff --git a/nautilus_trader/adapters/betfair/parsing/core.py b/nautilus_trader/adapters/betfair/parsing/core.py index ace9427a8b50..cded310e30f6 100644 --- a/nautilus_trader/adapters/betfair/parsing/core.py +++ b/nautilus_trader/adapters/betfair/parsing/core.py @@ -13,17 +13,28 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from typing import Optional +from __future__ import annotations +from collections.abc import Generator +from os import PathLike +from typing import BinaryIO + +import fsspec +import msgspec +from betfair_parser.spec.streaming import MCM from betfair_parser.spec.streaming import OCM from betfair_parser.spec.streaming import Connection +from betfair_parser.spec.streaming import MarketDefinition from betfair_parser.spec.streaming import Status -from betfair_parser.spec.streaming.mcm import MCM -from betfair_parser.spec.streaming.mcm import MarketDefinition +from betfair_parser.spec.streaming import stream_decode from nautilus_trader.adapters.betfair.parsing.streaming import PARSE_TYPES from nautilus_trader.adapters.betfair.parsing.streaming import market_change_to_updates +from nautilus_trader.adapters.betfair.providers import make_instruments from nautilus_trader.core.datetime import millis_to_nanos +from nautilus_trader.model.currency import Currency +from nautilus_trader.model.identifiers import InstrumentId +from nautilus_trader.model.instruments import BettingInstrument class BetfairParser: @@ -31,10 +42,12 @@ class BetfairParser: Stateful parser that keeps market definition. """ - def __init__(self) -> None: + def __init__(self, currency: str) -> None: + self.currency = Currency.from_str(currency) self.market_definitions: dict[str, MarketDefinition] = {} + self.traded_volumes: dict[InstrumentId, dict[float, float]] = {} - def parse(self, mcm: MCM, ts_init: Optional[int] = None) -> list[PARSE_TYPES]: + def parse(self, mcm: MCM, ts_init: int | None = None) -> list[PARSE_TYPES]: if isinstance(mcm, (Status, Connection, OCM)): return [] if mcm.is_heartbeat: @@ -44,7 +57,59 @@ def parse(self, mcm: MCM, ts_init: Optional[int] = None) -> list[PARSE_TYPES]: ts_init = ts_init or ts_event for mc in mcm.mc: if mc.market_definition is not None: - self.market_definitions[mc.id] = mc.market_definition - mc_updates = market_change_to_updates(mc, ts_event, ts_init) + market_def = msgspec.structs.replace(mc.market_definition, market_id=mc.id) + self.market_definitions[mc.id] = market_def + instruments = make_instruments(market_def, currency=self.currency.code) + updates.extend(instruments) + mc_updates = market_change_to_updates(mc, self.traded_volumes, ts_event, ts_init) updates.extend(mc_updates) return updates + + +def iter_stream(file_like: BinaryIO): + for line in file_like: + yield stream_decode(line) + # try: + # data = stream_decode(line) + # except (msgspec.DecodeError, msgspec.ValidationError) as e: + # print("ERR", e) + # print(msgspec.json.decode(line)) + # raise e + # yield data + + +def parse_betfair_file( + uri: PathLike[str] | str, + currency: str, +) -> Generator[list[PARSE_TYPES], None, None]: + """ + Parse a file of streaming data. + + Parameters + ---------- + uri : PathLike[str] | str + The fsspec-compatible URI. + currency : str + The betfair account currency + + """ + parser = BetfairParser(currency=currency) + with fsspec.open(uri, compression="infer") as f: + for mcm in iter_stream(f): + yield from parser.parse(mcm) + + +def betting_instruments_from_file(uri: PathLike[str] | str) -> list[BettingInstrument]: + from nautilus_trader.adapters.betfair.providers import make_instruments + + instruments: list[BettingInstrument] = [] + + with fsspec.open(uri, compression="infer") as f: + for mcm in iter_stream(f): + for mc in mcm.mc: + if mc.market_definition: + market_def = msgspec.structs.replace(mc.market_definition, market_id=mc.id) + mc = msgspec.structs.replace(mc, market_definition=market_def) + instruments = make_instruments(mc.market_definition, currency="GBP") + instruments.extend(instruments) + return list(set(instruments)) diff --git a/nautilus_trader/adapters/betfair/parsing/requests.py b/nautilus_trader/adapters/betfair/parsing/requests.py index 107979fc469b..f3864f93da7c 100644 --- a/nautilus_trader/adapters/betfair/parsing/requests.py +++ b/nautilus_trader/adapters/betfair/parsing/requests.py @@ -21,11 +21,11 @@ from betfair_parser.spec.accounts.type_definitions import AccountDetailsResponse from betfair_parser.spec.accounts.type_definitions import AccountFundsResponse from betfair_parser.spec.betting.enums import PersistenceType +from betfair_parser.spec.betting.orders import CancelOrders from betfair_parser.spec.betting.orders import PlaceInstruction +from betfair_parser.spec.betting.orders import PlaceOrders from betfair_parser.spec.betting.orders import ReplaceInstruction -from betfair_parser.spec.betting.orders import _CancelOrdersParams -from betfair_parser.spec.betting.orders import _PlaceOrdersParams -from betfair_parser.spec.betting.orders import _ReplaceOrdersParams +from betfair_parser.spec.betting.orders import ReplaceOrders from betfair_parser.spec.betting.type_definitions import CancelInstruction from betfair_parser.spec.betting.type_definitions import CurrentOrderSummary from betfair_parser.spec.betting.type_definitions import LimitOnCloseOrder @@ -95,7 +95,7 @@ def nautilus_limit_to_place_instructions( assert isinstance(command.order, NautilusLimitOrder) instructions = PlaceInstruction( order_type=OrderType.LIMIT, - selection_id=instrument.selection_id, + selection_id=int(instrument.selection_id), handicap=instrument.selection_handicap, side=N2B_SIDE[command.order.side], limit_order=LimitOrder( @@ -122,7 +122,7 @@ def nautilus_limit_on_close_to_place_instructions( assert isinstance(command.order, NautilusLimitOrder) instructions = PlaceInstruction( order_type=OrderType.LIMIT_ON_CLOSE, - selection_id=instrument.selection_id, + selection_id=int(instrument.selection_id), handicap=instrument.selection_handicap, side=N2B_SIDE[command.order.side], limit_on_close_order=LimitOnCloseOrder( @@ -142,13 +142,14 @@ def nautilus_market_to_place_instructions( instrument: BettingInstrument, ) -> PlaceInstruction: assert isinstance(command.order, NautilusMarketOrder) + price = MIN_BET_PRICE if command.order.side == OrderSide.BUY else MAX_BET_PRICE instructions = PlaceInstruction( order_type=OrderType.LIMIT, - selection_id=instrument.selection_id, + selection_id=int(instrument.selection_id), handicap=instrument.selection_handicap, side=N2B_SIDE[command.order.side], limit_order=LimitOrder( - price=MIN_BET_PRICE if command.order.side == OrderSide.BUY else MAX_BET_PRICE, + price=price.as_double(), size=command.order.quantity.as_double(), persistence_type=N2B_PERSISTENCE.get( command.order.time_in_force, @@ -171,7 +172,7 @@ def nautilus_market_on_close_to_place_instructions( assert isinstance(command.order, NautilusMarketOrder) instructions = PlaceInstruction( order_type=OrderType.MARKET_ON_CLOSE, - selection_id=instrument.selection_id, + selection_id=int(instrument.selection_id), handicap=instrument.selection_handicap, side=N2B_SIDE[command.order.side], market_on_close_order=MarketOnCloseOrder( @@ -212,11 +213,11 @@ def nautilus_order_to_place_instructions( def order_submit_to_place_order_params( command: SubmitOrder, instrument: BettingInstrument, -) -> _PlaceOrdersParams: +) -> PlaceOrders: """ Convert a SubmitOrder command into the data required by BetfairClient. """ - params = _PlaceOrdersParams( + return PlaceOrders.with_params( market_id=instrument.market_id, customer_ref=command.id.value.replace( "-", @@ -225,23 +226,22 @@ def order_submit_to_place_order_params( customer_strategy_ref=command.strategy_id.value[:15], instructions=[nautilus_order_to_place_instructions(command, instrument)], ) - return params def order_update_to_replace_order_params( command: ModifyOrder, venue_order_id: VenueOrderId, instrument: BettingInstrument, -) -> _ReplaceOrdersParams: +) -> ReplaceOrders: """ Convert an ModifyOrder command into the data required by BetfairClient. """ - return _ReplaceOrdersParams( + return ReplaceOrders.with_params( market_id=instrument.market_id, customer_ref=command.id.value.replace("-", ""), instructions=[ ReplaceInstruction( - bet_id=venue_order_id.value, + bet_id=int(venue_order_id.value), new_price=command.price.as_double(), ), ], @@ -251,18 +251,18 @@ def order_update_to_replace_order_params( def order_cancel_to_cancel_order_params( command: CancelOrder, instrument: BettingInstrument, -) -> _CancelOrdersParams: +) -> CancelOrders: """ Convert a CancelOrder command into the data required by BetfairClient. """ - return _CancelOrdersParams( + return CancelOrders.with_params( market_id=instrument.market_id, - instructions=[CancelInstruction(bet_id=command.venue_order_id.value)], + instructions=[CancelInstruction(bet_id=int(command.venue_order_id.value))], customer_ref=command.id.value.replace("-", ""), ) -def order_cancel_all_to_betfair(instrument: BettingInstrument): +def order_cancel_all_to_betfair(instrument: BettingInstrument) -> dict[str, str]: """ Convert a CancelAllOrders command into the data required by BetfairClient. """ diff --git a/nautilus_trader/adapters/betfair/parsing/streaming.py b/nautilus_trader/adapters/betfair/parsing/streaming.py index c0ba75ff3f5d..e307806d9088 100644 --- a/nautilus_trader/adapters/betfair/parsing/streaming.py +++ b/nautilus_trader/adapters/betfair/parsing/streaming.py @@ -13,27 +13,27 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +import math from collections import defaultdict from datetime import datetime -from typing import Literal, Optional, Union +from typing import Optional, Union import pandas as pd from betfair_parser.spec.betting.type_definitions import ClearedOrderSummary -from betfair_parser.spec.streaming.mcm import MarketChange -from betfair_parser.spec.streaming.mcm import MarketDefinition -from betfair_parser.spec.streaming.mcm import Runner -from betfair_parser.spec.streaming.mcm import RunnerChange -from betfair_parser.spec.streaming.mcm import RunnerStatus -from betfair_parser.spec.streaming.mcm import _PriceVolume - -from nautilus_trader.adapters.betfair.common import B2N_MARKET_SIDE +from betfair_parser.spec.streaming import MarketChange +from betfair_parser.spec.streaming import MarketDefinition +from betfair_parser.spec.streaming import RunnerChange +from betfair_parser.spec.streaming import RunnerDefinition +from betfair_parser.spec.streaming import RunnerStatus +from betfair_parser.spec.streaming.type_definitions import PV + +from nautilus_trader.adapters.betfair.constants import BETFAIR_VENUE from nautilus_trader.adapters.betfair.constants import CLOSE_PRICE_LOSER from nautilus_trader.adapters.betfair.constants import CLOSE_PRICE_WINNER from nautilus_trader.adapters.betfair.constants import MARKET_STATUS_MAPPING from nautilus_trader.adapters.betfair.data_types import BetfairStartingPrice from nautilus_trader.adapters.betfair.data_types import BetfairTicker from nautilus_trader.adapters.betfair.data_types import BSPOrderBookDelta -from nautilus_trader.adapters.betfair.data_types import BSPOrderBookDeltas from nautilus_trader.adapters.betfair.orderbook import betfair_float_to_price from nautilus_trader.adapters.betfair.orderbook import betfair_float_to_quantity from nautilus_trader.adapters.betfair.parsing.common import betfair_instrument_id @@ -41,12 +41,14 @@ from nautilus_trader.adapters.betfair.parsing.requests import parse_handicap from nautilus_trader.core.uuid import UUID4 from nautilus_trader.execution.reports import TradeReport +from nautilus_trader.model.data.book import NULL_ORDER from nautilus_trader.model.data.book import BookOrder from nautilus_trader.model.data.book import OrderBookDelta from nautilus_trader.model.data.book import OrderBookDeltas +from nautilus_trader.model.data.status import InstrumentClose +from nautilus_trader.model.data.status import InstrumentStatus +from nautilus_trader.model.data.status import VenueStatus from nautilus_trader.model.data.tick import TradeTick -from nautilus_trader.model.data.venue import InstrumentClose -from nautilus_trader.model.data.venue import InstrumentStatusUpdate from nautilus_trader.model.enums import AggressorSide from nautilus_trader.model.enums import BookAction from nautilus_trader.model.enums import InstrumentCloseType @@ -62,19 +64,19 @@ PARSE_TYPES = Union[ - InstrumentStatusUpdate, + InstrumentStatus, InstrumentClose, OrderBookDeltas, TradeTick, BetfairTicker, BSPOrderBookDelta, - BSPOrderBookDeltas, BetfairStartingPrice, ] def market_change_to_updates( # noqa: C901 mc: MarketChange, + traded_volumes: dict[InstrumentId, dict[float, float]], ts_event: int, ts_init: int, ) -> list[PARSE_TYPES]: @@ -83,7 +85,7 @@ def market_change_to_updates( # noqa: C901 # Handle instrument status and close updates first if mc.market_definition is not None: updates.extend( - market_definition_to_instrument_status_updates( + market_definition_to_instrument_status( mc.market_definition, mc.id, ts_event, @@ -104,73 +106,96 @@ def market_change_to_updates( # noqa: C901 # Handle market data updates book_updates: list[OrderBookDeltas] = [] - bsp_book_updates: list[BSPOrderBookDeltas] = [] - for rc in mc.rc: - instrument_id = betfair_instrument_id( - market_id=mc.id, - selection_id=str(rc.id), - selection_handicap=parse_handicap(rc.hc), - ) + bsp_book_updates: list[BSPOrderBookDelta] = [] + if mc.rc is not None: + for rc in mc.rc: + instrument_id = betfair_instrument_id( + market_id=mc.id, + selection_id=str(rc.id), + selection_handicap=parse_handicap(rc.hc), + ) + + # Order book data + if mc.img: + # Full snapshot, replace order book + snapshot = runner_change_to_order_book_snapshot( + rc, + instrument_id, + ts_event, + ts_init, + ) + if snapshot is not None: + updates.append(snapshot) + else: + # Delta update + deltas = runner_change_to_order_book_deltas(rc, instrument_id, ts_event, ts_init) + if deltas is not None: + book_updates.append(deltas) + + # Trade ticks + if rc.trd: + if instrument_id not in traded_volumes: + traded_volumes[instrument_id] = {} + updates.extend( + runner_change_to_trade_ticks( + rc, + traded_volumes[instrument_id], + instrument_id, + ts_event, + ts_init, + ), + ) + + # BetfairTicker + if any((rc.ltp, rc.tv, rc.spn, rc.spf)): + updates.append( + runner_change_to_betfair_ticker(rc, instrument_id, ts_event, ts_init), + ) - # Order book data - if mc.img: - # Full snapshot, replace order book - snapshot = runner_change_to_order_book_snapshot( + # BSP order book deltas + bsp_deltas = runner_change_to_bsp_order_book_deltas( rc, instrument_id, ts_event, ts_init, ) - if snapshot is not None: - updates.append(snapshot) - else: - # Delta update - deltas = runner_change_to_order_book_deltas(rc, instrument_id, ts_event, ts_init) - if deltas is not None: - book_updates.append(deltas) - - # Trade ticks - if rc.trd: - updates.extend( - runner_change_to_trade_ticks(rc, instrument_id, ts_event, ts_init), - ) - - # BetfairTicker - if any((rc.ltp, rc.tv, rc.spn, rc.spf)): - updates.append( - runner_change_to_betfair_ticker(rc, instrument_id, ts_event, ts_init), - ) - - # BSP order book deltas - bsp_deltas = runner_change_to_bsp_order_book_deltas(rc, instrument_id, ts_event, ts_init) - if bsp_deltas is not None: - bsp_book_updates.append(bsp_deltas) + if bsp_deltas is not None: + bsp_book_updates.extend(bsp_deltas) # Finally, merge book_updates and bsp_book_updates as they can be split over multiple rc's if book_updates and not mc.img: updates.extend(_merge_order_book_deltas(book_updates)) if bsp_book_updates: - updates.extend(_merge_order_book_deltas(bsp_book_updates)) + updates.extend(bsp_book_updates) return updates -def market_definition_to_instrument_status_updates( +def market_definition_to_instrument_status( market_definition: MarketDefinition, market_id: str, ts_event: int, ts_init: int, -) -> list[InstrumentStatusUpdate]: +) -> list[InstrumentStatus]: updates = [] + if market_definition.in_play: + venue_status = VenueStatus( + venue=BETFAIR_VENUE, + status=MarketStatus.OPEN, + ts_event=ts_event, + ts_init=ts_init, + ) + updates.append(venue_status) + for runner in market_definition.runners: instrument_id = betfair_instrument_id( market_id=market_id, - selection_id=str(runner.runner_id), + selection_id=str(runner.id), selection_handicap=parse_handicap(runner.handicap), ) key: tuple[MarketStatus, bool] = (market_definition.status, market_definition.in_play) - if runner.status == RunnerStatus.REMOVED: + if runner.status in (RunnerStatus.REMOVED, RunnerStatus.REMOVED_VACANT): status = MarketStatus.CLOSED else: try: @@ -179,7 +204,7 @@ def market_definition_to_instrument_status_updates( raise ValueError( f"{runner.status=} {market_definition.status=} {market_definition.in_play=}", ) - status = InstrumentStatusUpdate( + status = InstrumentStatus( instrument_id, status=status, ts_event=ts_event, @@ -204,14 +229,14 @@ def market_definition_to_instrument_closes( def runner_to_instrument_close( - runner: Runner, + runner: RunnerDefinition, market_id: str, ts_event: int, ts_init: int, ) -> Optional[InstrumentClose]: instrument_id: InstrumentId = betfair_instrument_id( market_id=market_id, - selection_id=str(runner.runner_id), + selection_id=str(runner.id), selection_handicap=parse_handicap(runner.handicap), ) @@ -252,7 +277,7 @@ def market_definition_to_betfair_starting_prices( def runner_to_betfair_starting_price( - runner: Runner, + runner: RunnerDefinition, market_id: str, ts_event: int, ts_init: int, @@ -260,7 +285,7 @@ def runner_to_betfair_starting_price( if runner.bsp is not None: instrument_id = betfair_instrument_id( market_id=market_id, - selection_id=str(runner.runner_id), + selection_id=str(runner.id), selection_handicap=parse_handicap(runner.handicap), ) return BetfairStartingPrice( @@ -273,10 +298,12 @@ def runner_to_betfair_starting_price( return None -def _price_volume_to_book_order(pv: _PriceVolume, side: OrderSide, order_id: int) -> BookOrder: +def _price_volume_to_book_order(pv: PV, side: OrderSide) -> BookOrder: + price = betfair_float_to_price(pv.price) + order_id = int(price.as_double() * 10**price.precision) return BookOrder( side, - betfair_float_to_price(pv.price), + price, betfair_float_to_quantity(pv.volume), order_id, ) @@ -307,41 +334,71 @@ def runner_change_to_order_book_snapshot( OrderBookDelta( instrument_id, BookAction.CLEAR, - None, + NULL_ORDER, ts_event, ts_init, ), ] # Bids are available to back (atb) - for bid in rc.atb: - bid_price = betfair_float_to_price(bid.price) - bid_volume = betfair_float_to_quantity(bid.volume) - bid_order_id = price_to_order_id(bid_price) - delta = OrderBookDelta( - instrument_id, - BookAction.UPDATE if bid.volume > 0.0 else BookAction.DELETE, - BookOrder(OrderSide.BUY, bid_price, bid_volume, bid_order_id), - ts_event, - ts_init, - ) - deltas.append(delta) + if rc.atb is not None: + for bid in rc.atb: + book_order = _price_volume_to_book_order(bid, OrderSide.BUY) + delta = OrderBookDelta( + instrument_id, + BookAction.UPDATE if bid.volume > 0.0 else BookAction.DELETE, + book_order, + ts_event, + ts_init, + ) + deltas.append(delta) # Asks are available to back (atl) - for ask in rc.atl: - ask_price = betfair_float_to_price(ask.price) - ask_volume = betfair_float_to_quantity(ask.volume) - ask_order_id = price_to_order_id(ask_price) - delta = OrderBookDelta( + if rc.atl is not None: + for ask in rc.atl: + book_order = _price_volume_to_book_order(ask, OrderSide.SELL) + delta = OrderBookDelta( + instrument_id, + BookAction.UPDATE if ask.volume > 0.0 else BookAction.DELETE, + book_order, + ts_event, + ts_init, + ) + deltas.append(delta) + + return OrderBookDeltas(instrument_id, deltas) + + +def runner_change_to_trade_ticks( + rc: RunnerChange, + traded_volumes: dict[float, float], + instrument_id: InstrumentId, + ts_event: int, + ts_init: int, +) -> list[TradeTick]: + trade_ticks: list[TradeTick] = [] + for trd in rc.trd: + if trd.volume == 0: + continue + # Betfair trade ticks are total volume traded. + if trd.price not in traded_volumes: + traded_volumes[trd.price] = 0 + existing_volume = traded_volumes[trd.price] + if not trd.volume > existing_volume: + continue + trade_id = hash_market_trade(timestamp=ts_event, price=trd.price, volume=trd.volume) + tick = TradeTick( instrument_id, - BookAction.UPDATE if ask.volume > 0.0 else BookAction.DELETE, - BookOrder(OrderSide.SELL, ask_price, ask_volume, ask_order_id), + betfair_float_to_price(trd.price), + betfair_float_to_quantity(trd.volume - existing_volume), + AggressorSide.NO_AGGRESSOR, + TradeId(trade_id), ts_event, ts_init, ) - deltas.append(delta) - - return OrderBookDeltas(instrument_id, deltas) + trade_ticks.append(tick) + traded_volumes[trd.price] = trd.volume + return trade_ticks def runner_change_to_order_book_deltas( @@ -363,32 +420,31 @@ def runner_change_to_order_book_deltas( deltas: list[OrderBookDelta] = [] # Bids are available to back (atb) - for bid in rc.atb: - bid_price = betfair_float_to_price(bid.price) - bid_volume = betfair_float_to_quantity(bid.volume) - bid_order_id = price_to_order_id(bid_price) - delta = OrderBookDelta( - instrument_id, - BookAction.UPDATE if bid.volume > 0.0 else BookAction.DELETE, - BookOrder(OrderSide.BUY, bid_price, bid_volume, bid_order_id), - ts_event, - ts_init, - ) - deltas.append(delta) + if rc.atb is not None: + for bid in rc.atb: + book_order = _price_volume_to_book_order(bid, OrderSide.BUY) + delta = OrderBookDelta( + instrument_id, + BookAction.UPDATE if bid.volume > 0.0 else BookAction.DELETE, + book_order, + ts_event, + ts_init, + ) + deltas.append(delta) # Asks are available to back (atl) - for ask in rc.atl: - ask_price = betfair_float_to_price(ask.price) - ask_volume = betfair_float_to_quantity(ask.volume) - ask_order_id = price_to_order_id(ask_price) - delta = OrderBookDelta( - instrument_id, - BookAction.UPDATE if ask.volume > 0.0 else BookAction.DELETE, - BookOrder(OrderSide.SELL, ask_price, ask_volume, ask_order_id), - ts_event, - ts_init, - ) - deltas.append(delta) + if rc.atl is not None: + for ask in rc.atl: + book_order = _price_volume_to_book_order(ask, OrderSide.SELL) + + delta = OrderBookDelta( + instrument_id, + BookAction.UPDATE if ask.volume > 0.0 else BookAction.DELETE, + book_order, + ts_event, + ts_init, + ) + deltas.append(delta) if not deltas: return None @@ -396,30 +452,6 @@ def runner_change_to_order_book_deltas( return OrderBookDeltas(instrument_id, deltas) -def runner_change_to_trade_ticks( - rc: RunnerChange, - instrument_id: InstrumentId, - ts_event: int, - ts_init: int, -) -> list[TradeTick]: - trade_ticks: list[TradeTick] = [] - for trd in rc.trd: - if trd.volume == 0: - continue - trade_id = hash_market_trade(timestamp=ts_event, price=trd.price, volume=trd.volume) - tick = TradeTick( - instrument_id, - betfair_float_to_price(trd.price), - betfair_float_to_quantity(trd.volume), - AggressorSide.NO_AGGRESSOR, - TradeId(trade_id), - ts_event, - ts_init, - ) - trade_ticks.append(tick) - return trade_ticks - - def runner_change_to_betfair_ticker( runner: RunnerChange, instrument_id: InstrumentId, @@ -436,9 +468,9 @@ def runner_change_to_betfair_ticker( last_traded_price = runner.ltp if runner.tv: traded_volume = runner.tv - if runner.spn and runner.spn not in ("NaN", "Infinity"): + if runner.spn is not None and not math.isnan(runner.spn) and runner.spn != math.inf: starting_price_near = runner.spn - if runner.spf and runner.spf not in ("NaN", "Infinity"): + if runner.spf is not None and not math.isnan(runner.spf) and runner.spf != math.inf: starting_price_far = runner.spf return BetfairTicker( instrument_id=instrument_id, @@ -451,64 +483,42 @@ def runner_change_to_betfair_ticker( ) -def _create_bsp_order_book_delta( - bsp_instrument_id: InstrumentId, - side: Literal["spb", "spl"], - price: float, - volume: float, - ts_event: int, - ts_init: int, -) -> BSPOrderBookDelta: - price = betfair_float_to_price(price) - order_id = price_to_order_id(price) - return BSPOrderBookDelta( - bsp_instrument_id, - BookAction.DELETE if volume == 0 else BookAction.UPDATE, - BookOrder( - price=price, - size=betfair_float_to_quantity(volume), - side=B2N_MARKET_SIDE[side], - order_id=order_id, - ), - ts_event, - ts_init, - ) - - def runner_change_to_bsp_order_book_deltas( rc: RunnerChange, instrument_id: InstrumentId, ts_event: int, ts_init: int, -) -> Optional[BSPOrderBookDeltas]: +) -> Optional[list[BSPOrderBookDelta]]: if not (rc.spb or rc.spl): return None bsp_instrument_id = make_bsp_instrument_id(instrument_id) deltas: list[BSPOrderBookDelta] = [] - for spb in rc.spb: - deltas.append( - _create_bsp_order_book_delta( + + if rc.spb is not None: + for spb in rc.spb: + book_order = _price_volume_to_book_order(spb, OrderSide.SELL) + delta = BSPOrderBookDelta( bsp_instrument_id, - "spb", - spb.price, - spb.volume, + BookAction.DELETE if spb.volume == 0.0 else BookAction.UPDATE, + book_order, ts_event, ts_init, - ), - ) - for spl in rc.spl: - deltas.append( - _create_bsp_order_book_delta( + ) + deltas.append(delta) + + if rc.spl is not None: + for spl in rc.spl: + book_order = _price_volume_to_book_order(spl, OrderSide.BUY) + delta = BSPOrderBookDelta( bsp_instrument_id, - "spl", - spl.price, - spl.volume, + BookAction.DELETE if spl.volume == 0.0 else BookAction.UPDATE, + book_order, ts_event, ts_init, - ), - ) + ) + deltas.append(delta) - return BSPOrderBookDeltas(bsp_instrument_id, deltas) + return deltas def _merge_order_book_deltas(all_deltas: list[OrderBookDeltas]): diff --git a/nautilus_trader/adapters/betfair/providers.py b/nautilus_trader/adapters/betfair/providers.py index 229b6c9be0d9..cb9dad01e0c8 100644 --- a/nautilus_trader/adapters/betfair/providers.py +++ b/nautilus_trader/adapters/betfair/providers.py @@ -14,6 +14,7 @@ # ------------------------------------------------------------------------------------------------- import time +from collections.abc import Iterable from typing import Optional, Union import msgspec.json @@ -26,20 +27,27 @@ from betfair_parser.spec.navigation import FlattenedMarket from betfair_parser.spec.navigation import Navigation from betfair_parser.spec.navigation import flatten_nav_tree -from betfair_parser.spec.streaming.mcm import MarketDefinition +from betfair_parser.spec.streaming import MarketDefinition from nautilus_trader.adapters.betfair.client import BetfairHttpClient from nautilus_trader.adapters.betfair.common import BETFAIR_TICK_SCHEME from nautilus_trader.adapters.betfair.constants import BETFAIR_VENUE from nautilus_trader.adapters.betfair.parsing.common import chunk from nautilus_trader.adapters.betfair.parsing.requests import parse_handicap -from nautilus_trader.common.clock import LiveClock from nautilus_trader.common.logging import Logger from nautilus_trader.common.providers import InstrumentProvider from nautilus_trader.config import InstrumentProviderConfig from nautilus_trader.model.identifiers import InstrumentId from nautilus_trader.model.instruments import BettingInstrument -from nautilus_trader.model.instruments import Instrument + + +class BetfairInstrumentProviderConfig(InstrumentProviderConfig, frozen=True): + event_type_ids: Optional[list[str]] = None + event_ids: Optional[list[str]] = None + market_ids: Optional[list[str]] = None + country_codes: Optional[list[str]] = None + market_types: Optional[list[str]] = None + event_type_names: Optional[list[str]] = None class BetfairInstrumentProvider(InstrumentProvider): @@ -61,24 +69,17 @@ def __init__( self, client: Optional[BetfairHttpClient], logger: Logger, - filters: Optional[dict] = None, - config: Optional[InstrumentProviderConfig] = None, + config: BetfairInstrumentProviderConfig, ): - if config is None: - config = InstrumentProviderConfig( - load_all=True, - filters=filters, - ) + assert config is not None, "Must pass config to BetfairInstrumentProvider" super().__init__( venue=BETFAIR_VENUE, logger=logger, config=config, ) - + self._config = config self._client = client - self._cache: dict[InstrumentId, BettingInstrument] = {} self._account_currency = None - self._missing_instruments: set[BettingInstrument] = set() async def load_ids_async( self, @@ -94,25 +95,19 @@ async def load_async( ): raise NotImplementedError - @classmethod - def from_instruments( - cls, - instruments: list[Instrument], - logger: Optional[Logger] = None, - ): - logger = logger or Logger(LiveClock()) - instance = cls(client=None, logger=logger) - instance.add_bulk(instruments) - return instance - - async def load_all_async(self, market_filter: Optional[dict] = None): + async def load_all_async(self, filters: Optional[dict] = None): currency = await self.get_account_currency() - market_filter = market_filter or self._filters + filters = filters or {} - self._log.info(f"Loading markets with market_filter={market_filter}") + self._log.info(f"Loading markets with market_filter={self._config}") markets: list[FlattenedMarket] = await load_markets( self._client, - market_filter=market_filter, + event_type_ids=filters.get("event_type_ids") or self._config.event_type_ids, + event_ids=filters.get("event_ids") or self._config.event_ids, + market_ids=filters.get("market_ids") or self._config.market_ids, + event_country_codes=filters.get("country_codes") or self._config.country_codes, + market_market_types=filters.get("market_types") or self._config.market_types, + event_type_names=filters.get("event_type_names") or self._config.event_type_names, ) self._log.info(f"Found {len(markets)} markets, loading metadata") @@ -129,59 +124,6 @@ async def load_all_async(self, market_filter: Optional[dict] = None): self._log.info(f"{len(instruments)} Instruments created") - def load_markets(self, market_filter: Optional[dict] = None): - """ - Search for betfair markets. - - Useful for debugging / interactive use - - """ - return load_markets(client=self._client, market_filter=market_filter) - - def search_instruments(self, instrument_filter: Optional[dict] = None): - """ - Search for instruments within the cache. - - Useful for debugging / interactive use - - """ - instruments = self.list_all() - if instrument_filter: - instruments = [ - ins - for ins in instruments - if all(getattr(ins, k) == v for k, v in instrument_filter.items()) - ] - return instruments - - def get_betting_instrument( - self, - market_id: str, - selection_id: str, - handicap: str, - ) -> BettingInstrument: - """ - Return a betting instrument with performance friendly lookup. - """ - key = (market_id, selection_id, handicap) - if key not in self._cache: - instrument_filter = { - "market_id": market_id, - "selection_id": selection_id, - "selection_handicap": parse_handicap(handicap), - } - instruments = self.search_instruments(instrument_filter=instrument_filter) - count = len(instruments) - if count < 1: - key = (market_id, selection_id, parse_handicap(handicap)) - if key not in self._missing_instruments: - self._log.warning(f"Found 0 instrument for filter: {instrument_filter}") - self._missing_instruments.add(key) - return - # assert count == 1, f"Wrong number of instruments: {len(instruments)} for filter: {instrument_filter}" - self._cache[key] = instruments[0] - return self._cache[key] - async def get_account_currency(self) -> str: if self._account_currency is None: detail = await self._client.get_account_details() @@ -204,9 +146,9 @@ def market_catalog_to_instruments( venue_name=BETFAIR_VENUE.value, event_type_id=str(market_catalog.event_type.id), event_type_name=market_catalog.event_type.name, - competition_id=market_catalog.competition.id if market_catalog.competition else "", + competition_id=str(market_catalog.competition.id) if market_catalog.competition else "", competition_name=market_catalog.competition.name if market_catalog.competition else "", - event_id=market_catalog.event.id, + event_id=str(market_catalog.event.id), event_name=market_catalog.event.name, event_country_code=market_catalog.event.country_code or "", event_open_date=pd.Timestamp(market_catalog.event.open_date), @@ -236,7 +178,7 @@ def market_definition_to_instruments( for runner in market_definition.runners: instrument = BettingInstrument( venue_name=BETFAIR_VENUE.value, - event_type_id=market_definition.event_type_id, + event_type_id=str(market_definition.event_type_id.value), event_type_name=market_definition.event_type_name, competition_id=market_definition.competition_id, competition_name=market_definition.competition_name, @@ -244,14 +186,14 @@ def market_definition_to_instruments( event_name=market_definition.event_name, event_country_code=market_definition.country_code, event_open_date=pd.Timestamp(market_definition.open_date), - betting_type=market_definition.betting_type, + betting_type=market_definition.betting_type.name, market_id=market_definition.market_id, market_name=market_definition.market_name, market_start_time=pd.Timestamp(market_definition.market_time) if market_definition.market_time else pd.Timestamp(0, tz="UTC"), market_type=market_definition.market_type, - selection_id=str(runner.selection_id or runner.id), + selection_id=str(runner.id), selection_name=runner.name or "", selection_handicap=parse_handicap(runner.hc), tick_scheme_name=BETFAIR_TICK_SCHEME.name, @@ -291,19 +233,31 @@ def make_instruments( ) +def check_market_filter_keys(keys: Iterable[str]) -> None: + for key in keys: + if key not in VALID_MARKET_FILTER_KEYS: + raise ValueError(f"Invalid market filter key: {key}") + + async def load_markets( client: BetfairHttpClient, - market_filter: Optional[dict] = None, + event_type_ids: Optional[list[str]] = None, + event_ids: Optional[list[str]] = None, + market_ids: Optional[list[str]] = None, + event_country_codes: Optional[list[str]] = None, + market_market_types: Optional[list[str]] = None, + event_type_names: Optional[list[str]] = None, ) -> list[FlattenedMarket]: - if isinstance(market_filter, dict): - # This code gets called from search instruments which may pass selection_id/handicap which don't exist here, - # only the market_id is relevant, so we just drop these two fields - market_filter = { - k: v - for k, v in market_filter.items() - if k not in ("selection_id", "selection_handicap") - } - assert all(k in VALID_MARKET_FILTER_KEYS for k in (market_filter or [])) + market_filter = { + "event_type_id": event_type_ids, + "event_id": event_ids, + "market_id": market_ids, + "market_marketType": market_market_types, + "event_countryCode": event_country_codes, + "event_type_name": event_type_names, + } + market_filter = {k: v for k, v in market_filter.items() if v is not None} + check_market_filter_keys(market_filter.keys()) navigation: Navigation = await client.list_navigation() markets = flatten_nav_tree(navigation, **market_filter) return markets diff --git a/nautilus_trader/adapters/betfair/sockets.py b/nautilus_trader/adapters/betfair/sockets.py index 6161a132c171..8c6377d620c0 100644 --- a/nautilus_trader/adapters/betfair/sockets.py +++ b/nautilus_trader/adapters/betfair/sockets.py @@ -13,6 +13,7 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +import asyncio import itertools from typing import Callable, Optional @@ -21,7 +22,8 @@ from nautilus_trader.adapters.betfair.client import BetfairHttpClient from nautilus_trader.common.logging import Logger from nautilus_trader.common.logging import LoggerAdapter -from nautilus_trader.core.nautilus_pyo3.network import SocketClient +from nautilus_trader.core.nautilus_pyo3 import SocketClient +from nautilus_trader.core.nautilus_pyo3 import SocketConfig HOST = "stream-api.betfair.com" @@ -30,6 +32,7 @@ CRLF = b"\r\n" ENCODING = "utf-8" UNIQUE_ID = itertools.count() +USE_SSL = True class BetfairStreamClient: @@ -53,10 +56,13 @@ def __init__( self.host = host or HOST self.port = port or PORT self.crlf = crlf or CRLF + self.use_ssl = USE_SSL self.encoding = encoding or ENCODING self._client: Optional[SocketClient] = None self.unique_id = next(UNIQUE_ID) self.is_connected: bool = False + self.disconnecting: bool = False + self._loop = asyncio.get_event_loop() async def connect(self): if not self._http_client.session_token: @@ -67,46 +73,58 @@ async def connect(self): return self._log.info("Connecting betfair socket client..") - self._client = await SocketClient.connect( + config = SocketConfig( url=f"{self.host}:{self.port}", handler=self.handler, - ssl=True, + ssl=self.use_ssl, suffix=self.crlf, ) - + self._client = await SocketClient.connect( + config, + None, + self.post_reconnection, + None, + # TODO - waiting for async handling + # self.post_connection, + # self.post_reconnection, + # self.post_disconnection, + ) self._log.debug("Running post connect") await self.post_connection() self.is_connected = True self._log.info("Connected.") - async def post_connection(self): - """ - Actions to be performed post connection. - """ - async def disconnect(self): self._log.info("Disconnecting .. ") - self._client.close() + self.disconnecting = True + self._client.disconnect() + + self._log.debug("Running post disconnect") await self.post_disconnection() + self.is_connected = False self._log.info("Disconnected.") + async def post_connection(self) -> None: + """ + Actions to be performed post connection. + """ + + def post_reconnection(self) -> None: + """ + Actions to be performed post connection. + """ + async def post_disconnection(self) -> None: """ Actions to be performed post disconnection. """ - # Override to implement additional disconnection related behavior - # (canceling ping tasks etc.). - - async def reconnect(self): - self._log.info("Triggering reconnect..") - await self.disconnect() - await self.connect() - self._log.info("Reconnected.") async def send(self, message: bytes): self._log.debug(f"[SEND] {message.decode()}") + if self._client is None: + raise RuntimeError("Cannot send message: no client.") await self._client.send(message) self._log.debug("[SENT]") @@ -147,6 +165,7 @@ def __init__( } async def post_connection(self): + await super().post_connection() subscribe_msg = { "op": "orderSubscription", "id": self.unique_id, @@ -157,6 +176,9 @@ async def post_connection(self): await self.send(msgspec.json.encode(self.auth_message())) await self.send(msgspec.json.encode(subscribe_msg)) + def post_reconnection(self): + self._loop.create_task(self.post_connection()) + class BetfairMarketStreamClient(BetfairStreamClient): """ @@ -197,6 +219,7 @@ async def send_subscription_message( subscribe_book_updates=True, subscribe_trade_updates=True, subscribe_market_definitions=True, + subscribe_ticker=True, subscribe_bsp_updates=True, subscribe_bsp_projected=True, ): @@ -236,6 +259,8 @@ async def send_subscription_message( data_fields.append("EX_ALL_OFFERS") if subscribe_trade_updates: data_fields.append("EX_TRADED") + if subscribe_ticker: + data_fields.extend(["EX_TRADED_VOL", "EX_LTP"]) if subscribe_market_definitions: data_fields.append("EX_MARKET_DEF") if subscribe_bsp_updates: @@ -257,4 +282,8 @@ async def send_subscription_message( await self.send(msgspec.json.encode(message)) async def post_connection(self): + await super().post_connection() await self.send(msgspec.json.encode(self.auth_message())) + + def post_reconnection(self): + self._loop.create_task(self.post_connection()) diff --git a/nautilus_trader/adapters/binance/common/data.py b/nautilus_trader/adapters/binance/common/data.py index 711d5e806316..b2d49b2542dd 100644 --- a/nautilus_trader/adapters/binance/common/data.py +++ b/nautilus_trader/adapters/binance/common/data.py @@ -14,6 +14,8 @@ # ------------------------------------------------------------------------------------------------- import asyncio +import decimal +from decimal import Decimal from typing import Optional, Union import msgspec @@ -22,6 +24,7 @@ from nautilus_trader.adapters.binance.common.constants import BINANCE_VENUE from nautilus_trader.adapters.binance.common.enums import BinanceAccountType from nautilus_trader.adapters.binance.common.enums import BinanceEnumParser +from nautilus_trader.adapters.binance.common.enums import BinanceErrorCode from nautilus_trader.adapters.binance.common.enums import BinanceKlineInterval from nautilus_trader.adapters.binance.common.schemas.market import BinanceAggregatedTradeMsg from nautilus_trader.adapters.binance.common.schemas.market import BinanceCandlestickMsg @@ -34,6 +37,7 @@ from nautilus_trader.adapters.binance.common.types import BinanceTicker from nautilus_trader.adapters.binance.config import BinanceDataClientConfig from nautilus_trader.adapters.binance.http.client import BinanceHttpClient +from nautilus_trader.adapters.binance.http.error import BinanceError from nautilus_trader.adapters.binance.http.market import BinanceMarketHttpAPI from nautilus_trader.adapters.binance.websocket.client import BinanceWebSocketClient from nautilus_trader.cache.cache import Cache @@ -44,19 +48,30 @@ from nautilus_trader.core.correctness import PyCondition from nautilus_trader.core.datetime import secs_to_millis from nautilus_trader.core.uuid import UUID4 +from nautilus_trader.data.aggregation import BarAggregator +from nautilus_trader.data.aggregation import TickBarAggregator +from nautilus_trader.data.aggregation import ValueBarAggregator +from nautilus_trader.data.aggregation import VolumeBarAggregator from nautilus_trader.live.data_client import LiveMarketDataClient +from nautilus_trader.model.data import Bar +from nautilus_trader.model.data import BarSpecification from nautilus_trader.model.data import BarType from nautilus_trader.model.data import DataType from nautilus_trader.model.data import OrderBookDelta from nautilus_trader.model.data import OrderBookDeltas from nautilus_trader.model.data import QuoteTick from nautilus_trader.model.data import TradeTick +from nautilus_trader.model.enums import AggregationSource +from nautilus_trader.model.enums import AggressorSide +from nautilus_trader.model.enums import BarAggregation from nautilus_trader.model.enums import BookType from nautilus_trader.model.enums import PriceType from nautilus_trader.model.identifiers import ClientId from nautilus_trader.model.identifiers import InstrumentId from nautilus_trader.model.identifiers import Symbol +from nautilus_trader.model.identifiers import TradeId from nautilus_trader.model.instruments import Instrument +from nautilus_trader.model.objects import Quantity from nautilus_trader.msgbus.bus import MessageBus @@ -123,6 +138,7 @@ def __init__( logger=logger, ) + # Configuration self._binance_account_type = account_type self._use_agg_trade_ticks = config.use_agg_trade_ticks self._log.info(f"Account type: {self._binance_account_type.value}.", LogColor.BLUE) @@ -147,6 +163,7 @@ def __init__( logger=logger, handler=self._handle_ws_message, base_url=base_url_ws, + loop=self._loop, ) # Hot caches @@ -180,6 +197,17 @@ def __init__( self._decoder_candlestick_msg = msgspec.json.Decoder(BinanceCandlestickMsg) self._decoder_agg_trade_msg = msgspec.json.Decoder(BinanceAggregatedTradeMsg) + # Retry logic (hard coded for now) + self._max_retries: int = 3 + self._retry_delay: float = 1.0 + self._retry_errors: set[BinanceErrorCode] = { + BinanceErrorCode.DISCONNECTED, + BinanceErrorCode.TOO_MANY_REQUESTS, # Short retry delays may result in bans + BinanceErrorCode.TIMEOUT, + BinanceErrorCode.INVALID_TIMESTAMP, + BinanceErrorCode.ME_RECVWINDOW_REJECT, + } + async def _connect(self) -> None: self._log.info("Initializing instruments...") await self._instrument_provider.initialize() @@ -188,17 +216,34 @@ async def _connect(self) -> None: self._update_instruments_task = self.create_task(self._update_instruments()) async def _update_instruments(self) -> None: - try: + while True: + retries = 0 while True: - self._log.debug( - f"Scheduled `update_instruments` to run in " - f"{self._update_instrument_interval}s.", - ) - await asyncio.sleep(self._update_instrument_interval) - await self._instrument_provider.load_all_async() - self._send_all_instruments_to_data_engine() - except asyncio.CancelledError: - self._log.debug("`update_instruments` task was canceled.") + try: + self._log.debug( + f"Scheduled `update_instruments` to run in " + f"{self._update_instrument_interval}s.", + ) + await asyncio.sleep(self._update_instrument_interval) + await self._instrument_provider.load_all_async() + self._send_all_instruments_to_data_engine() + break + except BinanceError as e: + error_code = BinanceErrorCode(e.message["code"]) + retries += 1 + + if not self._should_retry(error_code, retries): + self._log.error(f"Error updating instruments: {e}") + break + + self._log.warning( + f"{error_code.name}: retrying update instruments " + f"{retries}/{self._max_retries} in {self._retry_delay}s ...", + ) + await asyncio.sleep(self._retry_delay) + except asyncio.CancelledError: + self._log.debug("`update_instruments` task was canceled.") + return async def _disconnect(self) -> None: # Cancel update instruments task @@ -209,6 +254,15 @@ async def _disconnect(self) -> None: await self._ws_client.disconnect() + def _should_retry(self, error_code: BinanceErrorCode, retries: int) -> bool: + if ( + error_code not in self._retry_errors + or not self._max_retries + or retries > self._max_retries + ): + return False + return True + # -- SUBSCRIPTIONS ---------------------------------------------------------------------------- async def _subscribe(self, data_type: DataType) -> None: @@ -266,7 +320,7 @@ async def _subscribe_order_book( # noqa (too complex) self._log.error( "Cannot subscribe to order book deltas: " "L3_MBO data is not published by Binance. " - "Valid book types are L1_TBBO, L2_MBP.", + "Valid book types are L1_MBP, L2_MBP.", ) return @@ -346,7 +400,7 @@ async def _subscribe_bars(self, bar_type: BarType) -> None: ) return - resolution = self._enum_parser.parse_internal_bar_agg(bar_type.spec.aggregation) + resolution = self._enum_parser.parse_nautilus_bar_aggregation(bar_type.spec.aggregation) if self._binance_account_type.is_futures and resolution == "s": self._log.error( f"Cannot subscribe to {bar_type}. ", @@ -364,7 +418,6 @@ async def _subscribe_bars(self, bar_type: BarType) -> None: symbol=bar_type.instrument_id.symbol.value, interval=interval.value, ) - self._add_subscription_bars(bar_type) async def _unsubscribe(self, data_type: DataType) -> None: # Replace method in child class, for exchange specific data types. @@ -383,16 +436,39 @@ async def _unsubscribe_order_book_snapshots(self, instrument_id: InstrumentId) - pass # TODO: Unsubscribe from Binance if no other subscriptions async def _unsubscribe_ticker(self, instrument_id: InstrumentId) -> None: - pass # TODO: Unsubscribe from Binance if no other subscriptions + await self._ws_client.unsubscribe_ticker(instrument_id.symbol.value) async def _unsubscribe_quote_ticks(self, instrument_id: InstrumentId) -> None: - pass # TODO: Unsubscribe from Binance if no other subscriptions + await self._ws_client.unsubscribe_book_ticker(instrument_id.symbol.value) async def _unsubscribe_trade_ticks(self, instrument_id: InstrumentId) -> None: - pass # TODO: Unsubscribe from Binance if no other subscriptions + await self._ws_client.unsubscribe_trades(instrument_id.symbol.value) async def _unsubscribe_bars(self, bar_type: BarType) -> None: - pass # TODO: Unsubscribe from Binance if no other subscriptions + if not bar_type.spec.is_time_aggregated(): + self._log.error( + f"Cannot unsubscribe from {bar_type}: only time bars are aggregated by Binance.", + ) + return + + resolution = self._enum_parser.parse_nautilus_bar_aggregation(bar_type.spec.aggregation) + if self._binance_account_type.is_futures and resolution == "s": + self._log.error( + f"Cannot unsubscribe from {bar_type}. ", + "Second interval bars are not aggregated by Binance Futures.", + ) + try: + interval = BinanceKlineInterval(f"{bar_type.spec.step}{resolution}") + except ValueError: + self._log.error( + f"Bar interval {bar_type.spec.step}{resolution} not supported by Binance.", + ) + return + + await self._ws_client.unsubscribe_bars( + symbol=bar_type.instrument_id.symbol.value, + interval=interval.value, + ) # -- REQUESTS --------------------------------------------------------------------------------- @@ -474,37 +550,6 @@ async def _request_bars( # (too complex) start: Optional[pd.Timestamp] = None, end: Optional[pd.Timestamp] = None, ) -> None: - if limit == 0 or limit > 1000: - limit = 1000 - - if bar_type.is_internally_aggregated(): - self._log.error( - f"Cannot request {bar_type}: " - f"only historical bars with EXTERNAL aggregation available from Binance.", - ) - return - - if not bar_type.spec.is_time_aggregated(): - self._log.error( - f"Cannot request {bar_type}: only time bars are aggregated by Binance.", - ) - return - - resolution = self._enum_parser.parse_internal_bar_agg(bar_type.spec.aggregation) - if not self._binance_account_type.is_spot_or_margin and resolution == "s": - self._log.error( - f"Cannot request {bar_type}: ", - "second interval bars are not aggregated by Binance Futures.", - ) - try: - interval = BinanceKlineInterval(f"{bar_type.spec.step}{resolution}") - except ValueError: - self._log.error( - f"Cannot create Binance Kline interval. {bar_type.spec.step}{resolution} " - "not supported.", - ) - return - if bar_type.spec.price_type != PriceType.LAST: self._log.error( f"Cannot request {bar_type}: " @@ -520,17 +565,270 @@ async def _request_bars( # (too complex) if end is not None: end_time_ms = secs_to_millis(end.timestamp()) - bars = await self._http_market.request_binance_bars( - bar_type=bar_type, - interval=interval, + if bar_type.is_externally_aggregated() or bar_type.spec.is_time_aggregated(): + if not bar_type.spec.is_time_aggregated(): + self._log.error( + f"Cannot request {bar_type}: only time bars are aggregated by Binance.", + ) + return + + resolution = self._enum_parser.parse_nautilus_bar_aggregation(bar_type.spec.aggregation) + if not self._binance_account_type.is_spot_or_margin and resolution == "s": + self._log.error( + f"Cannot request {bar_type}: ", + "second interval bars are not aggregated by Binance Futures.", + ) + try: + interval = BinanceKlineInterval(f"{bar_type.spec.step}{resolution}") + except ValueError: + self._log.error( + f"Cannot create Binance Kline interval. {bar_type.spec.step}{resolution} " + "not supported.", + ) + return + + bars = await self._http_market.request_binance_bars( + bar_type=bar_type, + interval=interval, + start_time=start_time_ms, + end_time=end_time_ms, + limit=limit if limit > 0 else None, + ts_init=self._clock.timestamp_ns(), + ) + + if bar_type.is_internally_aggregated(): + self._log.info( + "Inferred INTERNAL time bars from EXTERNAL time bars.", + LogColor.BLUE, + ) + else: + if start and start < self._clock.utc_now() - pd.Timedelta(days=1): + bars = await self._aggregate_internal_from_minute_bars( + bar_type=bar_type, + start_time_ms=start_time_ms, + end_time_ms=end_time_ms, + limit=limit if limit > 0 else None, + ) + else: + bars = await self._aggregate_internal_from_agg_trade_ticks( + bar_type=bar_type, + start_time_ms=start_time_ms, + end_time_ms=end_time_ms, + limit=limit if limit > 0 else None, + ) + + partial: Bar = bars.pop() + self._handle_bars(bar_type, bars, partial, correlation_id) + + async def _aggregate_internal_from_minute_bars( + self, + bar_type: BarType, + start_time_ms: Optional[int], + end_time_ms: Optional[int], + limit: Optional[int], + ) -> list[Bar]: + instrument = self._instrument_provider.find(bar_type.instrument_id) + if instrument is None: + self._log.error( + f"Cannot aggregate internal bars: instrument {bar_type.instrument_id} not found.", + ) + return [] + + self._log.info("Requesting 1-MINUTE Binance bars to infer INTERNAL bars...", LogColor.BLUE) + + binance_bars = await self._http_market.request_binance_bars( + bar_type=BarType( + bar_type.instrument_id, + BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST), + AggregationSource.EXTERNAL, + ), + interval=BinanceKlineInterval.MINUTE_1, start_time=start_time_ms, end_time=end_time_ms, + ts_init=self._clock.timestamp_ns(), limit=limit, + ) + + quantize_value = Decimal(f"1e-{instrument.size_precision}") + + bars: list[Bar] = [] + if bar_type.spec.aggregation == BarAggregation.TICK: + aggregator = TickBarAggregator( + instrument=instrument, + bar_type=bar_type, + handler=bars.append, + logger=self._log.get_logger(), + ) + elif bar_type.spec.aggregation == BarAggregation.VOLUME: + aggregator = VolumeBarAggregator( + instrument=instrument, + bar_type=bar_type, + handler=bars.append, + logger=self._log.get_logger(), + ) + elif bar_type.spec.aggregation == BarAggregation.VALUE: + aggregator = ValueBarAggregator( + instrument=instrument, + bar_type=bar_type, + handler=bars.append, + logger=self._log.get_logger(), + ) + else: + raise RuntimeError( # pragma: no cover (design-time error) + f"Cannot start aggregator: " # pragma: no cover (design-time error) + f"BarAggregation.{bar_type.spec.aggregation_string_c()} " # pragma: no cover (design-time error) + f"not supported in open-source", # pragma: no cover (design-time error) + ) + + for binance_bar in binance_bars: + if binance_bar.count == 0: + continue + self._aggregate_bar_to_trade_ticks( + instrument=instrument, + aggregator=aggregator, + binance_bar=binance_bar, + quantize_value=quantize_value, + ) + + self._log.info( + f"Inferred {len(bars)} {bar_type} bars aggregated from {len(binance_bars)} 1-MINUTE Binance bars.", + LogColor.BLUE, + ) + + if limit: + bars = bars[:limit] + return bars + + def _aggregate_bar_to_trade_ticks( + self, + instrument: Instrument, + aggregator: BarAggregator, + binance_bar: BinanceBar, + quantize_value: Decimal, + ) -> None: + volume = binance_bar.volume.as_decimal() + size_part: Decimal = (volume / (4 * binance_bar.count)).quantize( + quantize_value, + rounding=decimal.ROUND_DOWN, + ) + remainder: Decimal = volume - (size_part * 4 * binance_bar.count) + + size = Quantity(size_part, instrument.size_precision) + + for i in range(binance_bar.count): + open = TradeTick( + instrument_id=instrument.id, + price=binance_bar.open, + size=size, + aggressor_side=AggressorSide.NO_AGGRESSOR, + trade_id=TradeId("NULL"), # N/A + ts_event=binance_bar.ts_event, + ts_init=binance_bar.ts_event, + ) + + high = TradeTick( + instrument_id=instrument.id, + price=binance_bar.high, + size=size, + aggressor_side=AggressorSide.NO_AGGRESSOR, + trade_id=TradeId("NULL"), # N/A + ts_event=binance_bar.ts_event, + ts_init=binance_bar.ts_event, + ) + + low = TradeTick( + instrument_id=instrument.id, + price=binance_bar.low, + size=size, + aggressor_side=AggressorSide.NO_AGGRESSOR, + trade_id=TradeId("NULL"), # N/A + ts_event=binance_bar.ts_event, + ts_init=binance_bar.ts_event, + ) + + close_size = size + if i == binance_bar.count - 1: + close_size = Quantity(size_part + remainder, instrument.size_precision) + + close = TradeTick( + instrument_id=instrument.id, + price=binance_bar.close, + size=close_size, + aggressor_side=AggressorSide.NO_AGGRESSOR, + trade_id=TradeId("NULL"), # N/A + ts_event=binance_bar.ts_event, + ts_init=binance_bar.ts_event, + ) + + aggregator.handle_trade_tick(open) + aggregator.handle_trade_tick(high) + aggregator.handle_trade_tick(low) + aggregator.handle_trade_tick(close) + + async def _aggregate_internal_from_agg_trade_ticks( + self, + bar_type: BarType, + start_time_ms: Optional[int], + end_time_ms: Optional[int], + limit: Optional[int], + ) -> list[Bar]: + instrument = self._instrument_provider.find(bar_type.instrument_id) + if instrument is None: + self._log.error( + f"Cannot aggregate internal bars: instrument {bar_type.instrument_id} not found.", + ) + return [] + + self._log.info("Requesting aggregated trade ticks to infer INTERNAL bars...", LogColor.BLUE) + + ticks = await self._http_market.request_agg_trade_ticks( + instrument_id=instrument.id, + start_time=start_time_ms, + end_time=end_time_ms, ts_init=self._clock.timestamp_ns(), + limit=limit, ) - partial: BinanceBar = bars.pop() - self._handle_bars(bar_type, bars, partial, correlation_id) + bars: list[Bar] = [] + if bar_type.spec.aggregation == BarAggregation.TICK: + aggregator = TickBarAggregator( + instrument=instrument, + bar_type=bar_type, + handler=bars.append, + logger=self._log.get_logger(), + ) + elif bar_type.spec.aggregation == BarAggregation.VOLUME: + aggregator = VolumeBarAggregator( + instrument=instrument, + bar_type=bar_type, + handler=bars.append, + logger=self._log.get_logger(), + ) + elif bar_type.spec.aggregation == BarAggregation.VALUE: + aggregator = ValueBarAggregator( + instrument=instrument, + bar_type=bar_type, + handler=bars.append, + logger=self._log.get_logger(), + ) + else: + raise RuntimeError( # pragma: no cover (design-time error) + f"Cannot start aggregator: " # pragma: no cover (design-time error) + f"BarAggregation.{bar_type.spec.aggregation_string_c()} " # pragma: no cover (design-time error) + f"not supported in open-source", # pragma: no cover (design-time error) + ) + + for tick in ticks: + aggregator.handle_trade_tick(tick) + + self._log.info( + f"Inferred {len(bars)} {bar_type} bars aggregated from {len(ticks)} trade ticks.", + LogColor.BLUE, + ) + + if limit: + bars = bars[:limit] + return bars def _send_all_instruments_to_data_engine(self) -> None: for instrument in self._instrument_provider.get_all().values(): @@ -558,6 +856,9 @@ def _handle_ws_message(self, raw: bytes) -> None: # TODO(cs): Uncomment for development # self._log.info(str(raw), LogColor.CYAN) wrapper = self._decoder_data_msg_wrapper.decode(raw) + if not wrapper.stream: + # Control message response + return try: handled = False for handler in self._ws_handlers: diff --git a/nautilus_trader/adapters/binance/common/enums.py b/nautilus_trader/adapters/binance/common/enums.py index 6904ed53dc01..44478e9db734 100644 --- a/nautilus_trader/adapters/binance/common/enums.py +++ b/nautilus_trader/adapters/binance/common/enums.py @@ -207,6 +207,7 @@ class BinanceTimeInForce(Enum): IOC = "IOC" FOK = "FOK" GTX = "GTX" # FUTURES only, Good Till Crossing (Post Only) + GTD = "GTD" # FUTURES only GTE_GTC = "GTE_GTC" # Undocumented @@ -453,6 +454,7 @@ class BinanceErrorCode(Enum): EXCEED_MAXIMUM_MODIFY_ORDER_LIMIT = -5026 SAME_ORDER = -5027 ME_RECVWINDOW_REJECT = -5028 + INVALID_GOOD_TILL_DATE = -5040 class BinanceEnumParser: @@ -499,10 +501,11 @@ def __init__(self) -> None: BinanceTimeInForce.GTX: TimeInForce.GTC, # Convert GTX to GTC BinanceTimeInForce.GTE_GTC: TimeInForce.GTC, # Undocumented BinanceTimeInForce.IOC: TimeInForce.IOC, + BinanceTimeInForce.GTD: TimeInForce.GTD, } self.int_to_ext_time_in_force = { TimeInForce.GTC: BinanceTimeInForce.GTC, - TimeInForce.GTD: BinanceTimeInForce.GTC, # Convert GTD to GTC + TimeInForce.GTD: BinanceTimeInForce.GTD, TimeInForce.FOK: BinanceTimeInForce.FOK, TimeInForce.IOC: BinanceTimeInForce.IOC, } @@ -563,7 +566,7 @@ def parse_binance_bar_agg(self, bar_agg: str) -> BarAggregation: f"unrecognized Binance kline resolution, was {bar_agg}", ) - def parse_internal_bar_agg(self, bar_agg: BarAggregation) -> str: + def parse_nautilus_bar_aggregation(self, bar_agg: BarAggregation) -> str: try: return self.int_to_ext_bar_agg[bar_agg] except KeyError: diff --git a/nautilus_trader/adapters/binance/common/execution.py b/nautilus_trader/adapters/binance/common/execution.py index 0ad599fc472f..af773495eddc 100644 --- a/nautilus_trader/adapters/binance/common/execution.py +++ b/nautilus_trader/adapters/binance/common/execution.py @@ -41,6 +41,7 @@ from nautilus_trader.common.logging import Logger from nautilus_trader.common.providers import InstrumentProvider from nautilus_trader.core.correctness import PyCondition +from nautilus_trader.core.datetime import nanos_to_millis from nautilus_trader.core.datetime import secs_to_millis from nautilus_trader.core.uuid import UUID4 from nautilus_trader.execution.messages import CancelAllOrders @@ -150,11 +151,14 @@ def __init__( logger=logger, ) + # Configuration self._binance_account_type = account_type + self._use_gtd = config.use_gtd self._use_reduce_only = config.use_reduce_only self._use_position_ids = config.use_position_ids self._treat_expired_as_canceled = config.treat_expired_as_canceled self._log.info(f"Account type: {self._binance_account_type.value}.", LogColor.BLUE) + self._log.info(f"{config.use_gtd=}", LogColor.BLUE) self._log.info(f"{config.use_reduce_only=}", LogColor.BLUE) self._log.info(f"{config.use_position_ids=}", LogColor.BLUE) self._log.info(f"{config.treat_expired_as_canceled=}", LogColor.BLUE) @@ -183,6 +187,7 @@ def __init__( logger=logger, handler=self._handle_user_ws_message, base_url=base_url_ws, + loop=self._loop, ) # Hot caches @@ -272,7 +277,7 @@ async def _connect(self) -> None: self._ping_listen_keys_task = self.create_task(self._ping_listen_keys()) # Connect WebSocket client - await self._ws_client.connect(self._listen_key) + await self._ws_client.subscribe_listen_key(self._listen_key) async def _update_account_state(self) -> None: # Replace method in child class @@ -555,6 +560,23 @@ def _should_retry(self, error_code: BinanceErrorCode, retries: int) -> bool: return False return True + def _determine_time_in_force(self, order: Order) -> BinanceTimeInForce: + time_in_force = self._enum_parser.parse_internal_time_in_force(order.time_in_force) + if time_in_force == TimeInForce.GTD and not self._use_gtd: + time_in_force = TimeInForce.GTC + self._log.info( + f"Converted GTD `time_in_force` to GTC for {order.client_order_id}.", + LogColor.BLUE, + ) + return time_in_force + + def _determine_good_till_date(self, order: Order) -> Optional[int]: + good_till_date = nanos_to_millis(order.expire_time_ns) if order.expire_time_ns else None + if self._binance_account_type.is_spot_or_margin: + good_till_date = None + self._log.warning("Cannot set GTD time in force with `expiry_time` for Binance Spot.") + return good_till_date + def _determine_reduce_only(self, order: Order) -> bool: return order.is_reduce_only if self._use_reduce_only else False @@ -624,12 +646,7 @@ async def _submit_market_order(self, order: MarketOrder) -> None: ) async def _submit_limit_order(self, order: LimitOrder) -> None: - time_in_force = self._enum_parser.parse_internal_time_in_force(order.time_in_force) - if order.time_in_force == TimeInForce.GTD and time_in_force == BinanceTimeInForce.GTC: - self._log.info( - f"Converted GTD `time_in_force` to GTC for {order.client_order_id}.", - LogColor.BLUE, - ) + time_in_force = self._determine_time_in_force(order) if order.is_post_only and self._binance_account_type.is_spot_or_margin: time_in_force = None elif order.is_post_only and self._binance_account_type.is_futures: @@ -640,6 +657,7 @@ async def _submit_limit_order(self, order: LimitOrder) -> None: side=self._enum_parser.parse_internal_order_side(order.side), order_type=self._enum_parser.parse_internal_order_type(order), time_in_force=time_in_force, + good_till_date=self._determine_good_till_date(order), quantity=str(order.quantity), price=str(order.price), iceberg_qty=str(order.display_qty) if order.display_qty is not None else None, @@ -649,8 +667,6 @@ async def _submit_limit_order(self, order: LimitOrder) -> None: ) async def _submit_stop_limit_order(self, order: StopLimitOrder) -> None: - time_in_force = self._enum_parser.parse_internal_time_in_force(order.time_in_force) - if self._binance_account_type.is_spot_or_margin: working_type = None elif order.trigger_type in (TriggerType.DEFAULT, TriggerType.LAST_TRADE): @@ -668,7 +684,8 @@ async def _submit_stop_limit_order(self, order: StopLimitOrder) -> None: symbol=order.instrument_id.symbol.value, side=self._enum_parser.parse_internal_order_side(order.side), order_type=self._enum_parser.parse_internal_order_type(order), - time_in_force=time_in_force, + time_in_force=self._determine_time_in_force(order), + good_till_date=self._determine_good_till_date(order), quantity=str(order.quantity), price=str(order.price), stop_price=str(order.trigger_price), @@ -694,8 +711,6 @@ async def _submit_order_list(self, command: SubmitOrderList) -> None: await self._submit_order_inner(order) async def _submit_stop_market_order(self, order: StopMarketOrder) -> None: - time_in_force = self._enum_parser.parse_internal_time_in_force(order.time_in_force) - if self._binance_account_type.is_spot_or_margin: working_type = None elif order.trigger_type in (TriggerType.DEFAULT, TriggerType.LAST_TRADE): @@ -713,7 +728,8 @@ async def _submit_stop_market_order(self, order: StopMarketOrder) -> None: symbol=order.instrument_id.symbol.value, side=self._enum_parser.parse_internal_order_side(order.side), order_type=self._enum_parser.parse_internal_order_type(order), - time_in_force=time_in_force, + time_in_force=self._determine_time_in_force(order), + good_till_date=self._determine_good_till_date(order), quantity=str(order.quantity), stop_price=str(order.trigger_price), working_type=working_type, @@ -723,8 +739,6 @@ async def _submit_stop_market_order(self, order: StopMarketOrder) -> None: ) async def _submit_trailing_stop_market_order(self, order: TrailingStopMarketOrder) -> None: - time_in_force = self._enum_parser.parse_internal_time_in_force(order.time_in_force) - if order.trigger_type in (TriggerType.DEFAULT, TriggerType.LAST_TRADE): working_type = "CONTRACT_PRICE" elif order.trigger_type == TriggerType.MARK_PRICE: @@ -766,7 +780,8 @@ async def _submit_trailing_stop_market_order(self, order: TrailingStopMarketOrde symbol=order.instrument_id.symbol.value, side=self._enum_parser.parse_internal_order_side(order.side), order_type=self._enum_parser.parse_internal_order_type(order), - time_in_force=time_in_force, + time_in_force=self._determine_time_in_force(order), + good_till_date=self._determine_good_till_date(order), quantity=str(order.quantity), activation_price=str(activation_price), callback_rate=str(order.trailing_offset / 100), diff --git a/nautilus_trader/adapters/binance/common/schemas/account.py b/nautilus_trader/adapters/binance/common/schemas/account.py index 6f68aa03ac63..3b8ba66c9ff1 100644 --- a/nautilus_trader/adapters/binance/common/schemas/account.py +++ b/nautilus_trader/adapters/binance/common/schemas/account.py @@ -135,6 +135,7 @@ class BinanceOrder(msgspec.Struct, frozen=True): executedQty: Optional[str] = None status: Optional[BinanceOrderStatus] = None timeInForce: Optional[BinanceTimeInForce] = None + goodTillDate: Optional[int] = None type: Optional[BinanceOrderType] = None side: Optional[BinanceOrderSide] = None stopPrice: Optional[str] = None # please ignore when order type is TRAILING_STOP_MARKET @@ -229,10 +230,12 @@ def parse_to_order_status_report( order_side=enum_parser.parse_binance_order_side(self.side), order_type=enum_parser.parse_binance_order_type(self.type), contingency_type=contingency_type, - time_in_force=enum_parser.parse_binance_time_in_force(self.timeInForce), + time_in_force=enum_parser.parse_binance_time_in_force(self.timeInForce) + if self.timeInForce + else None, order_status=order_status, price=Price.from_str(self.price), - trigger_price=Price.from_str(str(trigger_price)), + trigger_price=Price.from_str(str(trigger_price)), # `decimal.Decimal` trigger_type=trigger_type, trailing_offset=trailing_offset, trailing_offset_type=trailing_offset_type, diff --git a/nautilus_trader/adapters/binance/common/schemas/market.py b/nautilus_trader/adapters/binance/common/schemas/market.py index 78811bebccce..00a269a858d8 100644 --- a/nautilus_trader/adapters/binance/common/schemas/market.py +++ b/nautilus_trader/adapters/binance/common/schemas/market.py @@ -339,7 +339,8 @@ class BinanceDataMsgWrapper(msgspec.Struct): Provides a wrapper for data WebSocket messages from `Binance`. """ - stream: str + stream: Optional[str] = None + id: Optional[int] = None class BinanceOrderBookDelta(msgspec.Struct, array_like=True): diff --git a/nautilus_trader/adapters/binance/config.py b/nautilus_trader/adapters/binance/config.py index 56411cd71dea..37b40cff875d 100644 --- a/nautilus_trader/adapters/binance/config.py +++ b/nautilus_trader/adapters/binance/config.py @@ -86,6 +86,10 @@ class BinanceExecClientConfig(LiveExecClientConfig, frozen=True): If client is connecting to Binance US. testnet : bool, default False If the client is connecting to a Binance testnet. + use_gtd : bool, default True + If GTD orders will use the Binance GTD TIF option. + If False then GTD time in force will be remapped to GTC (this is useful if manageing GTD + orders locally). use_reduce_only : bool, default True If the `reduce_only` execution instruction on orders is sent through to the exchange. If True then will assign the value on orders sent to the exchange, otherwise will always be False. @@ -112,6 +116,7 @@ class BinanceExecClientConfig(LiveExecClientConfig, frozen=True): us: bool = False testnet: bool = False clock_sync_interval_secs: int = 0 + use_gtd: bool = True use_reduce_only: bool = True use_position_ids: bool = True treat_expired_as_canceled: bool = False diff --git a/nautilus_trader/adapters/binance/factories.py b/nautilus_trader/adapters/binance/factories.py index 7a1602ab5744..d325c1e6f0d8 100644 --- a/nautilus_trader/adapters/binance/factories.py +++ b/nautilus_trader/adapters/binance/factories.py @@ -32,6 +32,7 @@ from nautilus_trader.common.clock import LiveClock from nautilus_trader.common.logging import Logger from nautilus_trader.config import InstrumentProviderConfig +from nautilus_trader.core.nautilus_pyo3 import Quota from nautilus_trader.live.factories import LiveDataClientFactory from nautilus_trader.live.factories import LiveExecClientFactory from nautilus_trader.msgbus.bus import MessageBus @@ -40,6 +41,7 @@ BINANCE_HTTP_CLIENTS: dict[str, BinanceHttpClient] = {} +@lru_cache(1) def get_cached_binance_http_client( clock: LiveClock, logger: Logger, @@ -86,6 +88,22 @@ def get_cached_binance_http_client( secret = secret or _get_api_secret(account_type, is_testnet) default_http_base_url = _get_http_base_url(account_type, is_testnet, is_us) + # Setup rate limit quotas + if account_type.is_spot: + # Spot + ratelimiter_default_quota = Quota.rate_per_minute(6000) + ratelimiter_quotas: list[tuple[str, Quota]] = [ + ("order", Quota.rate_per_minute(3000)), + ("allOrders", Quota.rate_per_minute(int(3000 / 20))), + ] + else: + # Futures + ratelimiter_default_quota = Quota.rate_per_minute(2400) + ratelimiter_quotas = [ + ("order", Quota.rate_per_minute(1200)), + ("allOrders", Quota.rate_per_minute(int(1200 / 20))), + ] + client_key: str = "|".join((key, secret)) if client_key not in BINANCE_HTTP_CLIENTS: client = BinanceHttpClient( @@ -94,6 +112,8 @@ def get_cached_binance_http_client( key=key, secret=secret, base_url=base_url or default_http_base_url, + ratelimiter_quotas=ratelimiter_quotas, + ratelimiter_default_quota=ratelimiter_default_quota, ) BINANCE_HTTP_CLIENTS[client_key] = client return BINANCE_HTTP_CLIENTS[client_key] diff --git a/nautilus_trader/adapters/binance/futures/enums.py b/nautilus_trader/adapters/binance/futures/enums.py index 135f0d319730..ee16e591739f 100644 --- a/nautilus_trader/adapters/binance/futures/enums.py +++ b/nautilus_trader/adapters/binance/futures/enums.py @@ -154,7 +154,7 @@ def __init__(self) -> None: self.futures_valid_time_in_force = { TimeInForce.GTC, - TimeInForce.GTD, # Will be transformed to GTC + TimeInForce.GTD, TimeInForce.FOK, TimeInForce.IOC, } diff --git a/nautilus_trader/adapters/binance/futures/execution.py b/nautilus_trader/adapters/binance/futures/execution.py index 41b5d0063953..1c7740d837d5 100644 --- a/nautilus_trader/adapters/binance/futures/execution.py +++ b/nautilus_trader/adapters/binance/futures/execution.py @@ -21,6 +21,7 @@ from nautilus_trader.accounting.accounts.margin import MarginAccount from nautilus_trader.adapters.binance.common.enums import BinanceAccountType +from nautilus_trader.adapters.binance.common.enums import BinanceErrorCode from nautilus_trader.adapters.binance.common.execution import BinanceCommonExecutionClient from nautilus_trader.adapters.binance.config import BinanceExecClientConfig from nautilus_trader.adapters.binance.futures.enums import BinanceFuturesEnumParser @@ -35,6 +36,7 @@ from nautilus_trader.adapters.binance.futures.schemas.user import BinanceFuturesOrderUpdateWrapper from nautilus_trader.adapters.binance.futures.schemas.user import BinanceFuturesUserMsgWrapper from nautilus_trader.adapters.binance.http.client import BinanceHttpClient +from nautilus_trader.adapters.binance.http.error import BinanceError from nautilus_trader.cache.cache import Cache from nautilus_trader.common.clock import LiveClock from nautilus_trader.common.enums import LogColor @@ -42,6 +44,7 @@ from nautilus_trader.core.correctness import PyCondition from nautilus_trader.core.datetime import millis_to_nanos from nautilus_trader.core.uuid import UUID4 +from nautilus_trader.execution.messages import BatchCancelOrders from nautilus_trader.execution.reports import PositionStatusReport from nautilus_trader.model.enums import OrderType from nautilus_trader.model.enums import order_type_to_str @@ -235,12 +238,32 @@ def _check_order_validity(self, order: Order) -> None: ) return + async def _batch_cancel_orders(self, command: BatchCancelOrders) -> None: + # TODO: Iterate batches of 10 order cancels, also validate order is not already closed + try: + await self._futures_http_account.cancel_multiple_orders( + symbol=command.instrument_id.symbol.value, + client_order_ids=[c.client_order_id.value for c in command.cancels], + ) + except BinanceError as e: + error_code = BinanceErrorCode(e.message["code"]) + if error_code == BinanceErrorCode.CANCEL_REJECTED: + self._log.warning(f"Cancel rejected: {e.message}.") + else: + self._log.exception( + f"Cannot cancel multiple orders: {e.message}", + e, + ) + # -- WEBSOCKET EVENT HANDLERS -------------------------------------------------------------------- def _handle_user_ws_message(self, raw: bytes) -> None: # TODO(cs): Uncomment for development # self._log.info(str(json.dumps(msgspec.json.decode(raw), indent=4)), color=LogColor.MAGENTA) wrapper = self._decoder_futures_user_msg_wrapper.decode(raw) + if not wrapper.stream: + # Control message response + return try: self._futures_user_ws_handlers[wrapper.data.e](raw) except Exception as e: diff --git a/nautilus_trader/adapters/binance/futures/http/account.py b/nautilus_trader/adapters/binance/futures/http/account.py index 7f7243c20b58..74127f974852 100644 --- a/nautilus_trader/adapters/binance/futures/http/account.py +++ b/nautilus_trader/adapters/binance/futures/http/account.py @@ -13,12 +13,13 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from typing import Optional +from typing import Any, Optional, Union import msgspec from nautilus_trader.adapters.binance.common.enums import BinanceAccountType from nautilus_trader.adapters.binance.common.enums import BinanceSecurityType +from nautilus_trader.adapters.binance.common.schemas.account import BinanceOrder from nautilus_trader.adapters.binance.common.schemas.account import BinanceStatusCode from nautilus_trader.adapters.binance.common.schemas.symbol import BinanceSymbol from nautilus_trader.adapters.binance.futures.schemas.account import BinanceFuturesAccountInfo @@ -28,7 +29,7 @@ from nautilus_trader.adapters.binance.http.client import BinanceHttpClient from nautilus_trader.adapters.binance.http.endpoint import BinanceHttpEndpoint from nautilus_trader.common.clock import LiveClock -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpMethod class BinanceFuturesPositionModeHttp(BinanceHttpEndpoint): @@ -102,12 +103,12 @@ class PostParameters(msgspec.Struct, omit_defaults=True, frozen=True): dualSidePosition: str recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> BinanceFuturesDualSidePosition: + async def get(self, parameters: GetParameters) -> BinanceFuturesDualSidePosition: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) - async def _post(self, parameters: PostParameters) -> BinanceStatusCode: + async def post(self, parameters: PostParameters) -> BinanceStatusCode: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._post_resp_decoder.decode(raw) @@ -162,7 +163,67 @@ class DeleteParameters(msgspec.Struct, omit_defaults=True, frozen=True): symbol: BinanceSymbol recvWindow: Optional[str] = None - async def _delete(self, parameters: DeleteParameters) -> BinanceStatusCode: + async def delete(self, parameters: DeleteParameters) -> BinanceStatusCode: + method_type = HttpMethod.DELETE + raw = await self._method(method_type, parameters) + return self._delete_resp_decoder.decode(raw) + + +class BinanceFuturesCancelMultipleOrdersHttp(BinanceHttpEndpoint): + """ + Endpoint of cancel multiple FUTURES orders. + + `DELETE /fapi/v1/batchOrders` + `DELETE /dapi/v1/batchOrders` + + References + ---------- + https://binance-docs.github.io/apidocs/futures/en/#cancel-multiple-orders-trade + https://binance-docs.github.io/apidocs/delivery/en/#cancel-multiple-orders-trade + + """ + + def __init__( + self, + client: BinanceHttpClient, + base_endpoint: str, + ): + methods = { + HttpMethod.DELETE: BinanceSecurityType.TRADE, + } + url_path = base_endpoint + "batchOrders" + super().__init__( + client, + methods, + url_path, + ) + self._delete_resp_decoder = msgspec.json.Decoder( + Union[list[BinanceOrder], dict[str, Any]], + strict=False, + ) + + class DeleteParameters(msgspec.Struct, omit_defaults=True, frozen=True): + """ + Parameters of batchOrders DELETE request. + + Parameters + ---------- + timestamp : str + The millisecond timestamp of the request. + symbol : BinanceSymbol + The symbol of the request + recvWindow : str, optional + The response receive window for the request (cannot be greater than 60000). + + """ + + timestamp: str + symbol: BinanceSymbol + orderIdList: Optional[str] = None + origClientOrderIdList: Optional[str] = None + recvWindow: Optional[str] = None + + async def delete(self, parameters: DeleteParameters) -> list[BinanceOrder]: method_type = HttpMethod.DELETE raw = await self._method(method_type, parameters) return self._delete_resp_decoder.decode(raw) @@ -214,7 +275,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): timestamp: str recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> BinanceFuturesAccountInfo: + async def get(self, parameters: GetParameters) -> BinanceFuturesAccountInfo: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._resp_decoder.decode(raw) @@ -269,7 +330,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): symbol: Optional[BinanceSymbol] = None recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> list[BinanceFuturesPositionRisk]: + async def get(self, parameters: GetParameters) -> list[BinanceFuturesPositionRisk]: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) @@ -316,6 +377,10 @@ def __init__( client, self.base_endpoint, ) + self._endpoint_futures_cancel_multiple_orders = BinanceFuturesCancelMultipleOrdersHttp( + client, + self.base_endpoint, + ) self._endpoint_futures_account = BinanceFuturesAccountHttp(client, v2_endpoint_base) self._endpoint_futures_position_risk = BinanceFuturesPositionRiskHttp( client, @@ -329,7 +394,7 @@ async def query_futures_hedge_mode( """ Check Binance Futures hedge mode (dualSidePosition). """ - return await self._endpoint_futures_position_mode._get( + return await self._endpoint_futures_position_mode.get( parameters=self._endpoint_futures_position_mode.GetParameters( timestamp=self._timestamp(), recvWindow=recv_window, @@ -344,7 +409,7 @@ async def set_futures_hedge_mode( """ Set Binance Futures hedge mode (dualSidePosition). """ - return await self._endpoint_futures_position_mode._post( + return await self._endpoint_futures_position_mode.post( parameters=self._endpoint_futures_position_mode.PostParameters( timestamp=self._timestamp(), dualSidePosition=str(dual_side_position).lower(), @@ -363,7 +428,7 @@ async def cancel_all_open_orders( Returns whether successful. """ - response = await self._endpoint_futures_all_open_orders._delete( + response = await self._endpoint_futures_all_open_orders.delete( parameters=self._endpoint_futures_all_open_orders.DeleteParameters( timestamp=self._timestamp(), symbol=BinanceSymbol(symbol), @@ -372,6 +437,29 @@ async def cancel_all_open_orders( ) return response.code == 200 + async def cancel_multiple_orders( + self, + symbol: str, + client_order_ids: list[str], + recv_window: Optional[str] = None, + ) -> bool: + """ + Delete multiple Futures orders. + + Returns whether successful. + + """ + stringified_client_order_ids = str(client_order_ids).replace(" ", "").replace("'", '"') + await self._endpoint_futures_cancel_multiple_orders.delete( + parameters=self._endpoint_futures_cancel_multiple_orders.DeleteParameters( + timestamp=self._timestamp(), + symbol=BinanceSymbol(symbol), + origClientOrderIdList=stringified_client_order_ids, + recvWindow=recv_window, + ), + ) + return True + async def query_futures_account_info( self, recv_window: Optional[str] = None, @@ -379,7 +467,7 @@ async def query_futures_account_info( """ Check Binance Futures account information. """ - return await self._endpoint_futures_account._get( + return await self._endpoint_futures_account.get( parameters=self._endpoint_futures_account.GetParameters( timestamp=self._timestamp(), recvWindow=recv_window, @@ -394,7 +482,7 @@ async def query_futures_position_risk( """ Check all Futures position's info for a symbol. """ - return await self._endpoint_futures_position_risk._get( + return await self._endpoint_futures_position_risk.get( parameters=self._endpoint_futures_position_risk.GetParameters( timestamp=self._timestamp(), symbol=BinanceSymbol(symbol), diff --git a/nautilus_trader/adapters/binance/futures/http/market.py b/nautilus_trader/adapters/binance/futures/http/market.py index 2bef76aac2f1..fdf46c5df738 100644 --- a/nautilus_trader/adapters/binance/futures/http/market.py +++ b/nautilus_trader/adapters/binance/futures/http/market.py @@ -21,7 +21,7 @@ from nautilus_trader.adapters.binance.http.client import BinanceHttpClient from nautilus_trader.adapters.binance.http.endpoint import BinanceHttpEndpoint from nautilus_trader.adapters.binance.http.market import BinanceMarketHttpAPI -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpMethod class BinanceFuturesExchangeInfoHttp(BinanceHttpEndpoint): @@ -54,7 +54,7 @@ def __init__( ) self._get_resp_decoder = msgspec.json.Decoder(BinanceFuturesExchangeInfo) - async def _get(self) -> BinanceFuturesExchangeInfo: + async def get(self) -> BinanceFuturesExchangeInfo: method_type = HttpMethod.GET raw = await self._method(method_type, None) return self._get_resp_decoder.decode(raw) @@ -97,4 +97,4 @@ async def query_futures_exchange_info(self) -> BinanceFuturesExchangeInfo: """ Retrieve Binance Futures exchange information. """ - return await self._endpoint_futures_exchange_info._get() + return await self._endpoint_futures_exchange_info.get() diff --git a/nautilus_trader/adapters/binance/futures/http/wallet.py b/nautilus_trader/adapters/binance/futures/http/wallet.py index f3105517ae90..62ab803faf56 100644 --- a/nautilus_trader/adapters/binance/futures/http/wallet.py +++ b/nautilus_trader/adapters/binance/futures/http/wallet.py @@ -24,7 +24,7 @@ from nautilus_trader.adapters.binance.http.client import BinanceHttpClient from nautilus_trader.adapters.binance.http.endpoint import BinanceHttpEndpoint from nautilus_trader.common.clock import LiveClock -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpMethod class BinanceFuturesCommissionRateHttp(BinanceHttpEndpoint): @@ -75,7 +75,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): symbol: BinanceSymbol recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> BinanceFuturesCommissionRate: + async def get(self, parameters: GetParameters) -> BinanceFuturesCommissionRate: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) @@ -130,7 +130,7 @@ async def query_futures_commission_rate( """ Get Futures commission rates for a given symbol. """ - rate = await self._endpoint_futures_commission_rate._get( + rate = await self._endpoint_futures_commission_rate.get( parameters=self._endpoint_futures_commission_rate.GetParameters( timestamp=self._timestamp(), symbol=BinanceSymbol(symbol), diff --git a/nautilus_trader/adapters/binance/futures/providers.py b/nautilus_trader/adapters/binance/futures/providers.py index abffc5bb5e92..0ef850080164 100644 --- a/nautilus_trader/adapters/binance/futures/providers.py +++ b/nautilus_trader/adapters/binance/futures/providers.py @@ -30,6 +30,7 @@ from nautilus_trader.adapters.binance.futures.http.market import BinanceFuturesMarketHttpAPI from nautilus_trader.adapters.binance.futures.http.wallet import BinanceFuturesWalletHttpAPI from nautilus_trader.adapters.binance.futures.schemas.account import BinanceFuturesFeeRates +from nautilus_trader.adapters.binance.futures.schemas.account import BinanceFuturesPositionRisk from nautilus_trader.adapters.binance.futures.schemas.market import BinanceFuturesSymbolInfo from nautilus_trader.adapters.binance.futures.schemas.wallet import BinanceFuturesCommissionRate from nautilus_trader.adapters.binance.http.client import BinanceHttpClient @@ -108,16 +109,16 @@ def __init__( # The next step is to enable users to pass their own fee rates map via the config. # In the future, we aim to represent this fee model with greater accuracy for backtesting. self._fee_rates = { - 0: BinanceFuturesFeeRates(feeTier=0, maker="0.0200", taker="0.0180"), - 1: BinanceFuturesFeeRates(feeTier=1, maker="0.0160", taker="0.0144"), - 2: BinanceFuturesFeeRates(feeTier=2, maker="0.0140", taker="0.0126"), - 3: BinanceFuturesFeeRates(feeTier=3, maker="0.0120", taker="0.0108"), - 4: BinanceFuturesFeeRates(feeTier=4, maker="0.0100", taker="0.0090"), - 5: BinanceFuturesFeeRates(feeTier=5, maker="0.0080", taker="0.0072"), - 6: BinanceFuturesFeeRates(feeTier=6, maker="0.0060", taker="0.0054"), - 7: BinanceFuturesFeeRates(feeTier=7, maker="0.0040", taker="0.0036"), - 8: BinanceFuturesFeeRates(feeTier=8, maker="0.0020", taker="0.0018"), - 9: BinanceFuturesFeeRates(feeTier=9, maker="0.0000", taker="0.0000"), + 0: BinanceFuturesFeeRates(feeTier=0, maker="0.000200", taker="0.000400"), + 1: BinanceFuturesFeeRates(feeTier=1, maker="0.000160", taker="0.000400"), + 2: BinanceFuturesFeeRates(feeTier=2, maker="0.000140", taker="0.000350"), + 3: BinanceFuturesFeeRates(feeTier=3, maker="0.000120", taker="0.000320"), + 4: BinanceFuturesFeeRates(feeTier=4, maker="0.000100", taker="0.000300"), + 5: BinanceFuturesFeeRates(feeTier=5, maker="0.000080", taker="0.000270"), + 6: BinanceFuturesFeeRates(feeTier=6, maker="0.000060", taker="0.000250"), + 7: BinanceFuturesFeeRates(feeTier=7, maker="0.000040", taker="0.000220"), + 8: BinanceFuturesFeeRates(feeTier=8, maker="0.000020", taker="0.000200"), + 9: BinanceFuturesFeeRates(feeTier=9, maker="0.000000", taker="0.000170"), } async def load_all_async(self, filters: Optional[dict] = None) -> None: @@ -171,17 +172,23 @@ async def load_ids_async( account_info = await self._http_account.query_futures_account_info(recv_window=str(5000)) fee_rates = self._fee_rates[account_info.feeTier] + position_risk_resp = await self._http_account.query_futures_position_risk() + position_risk = {risk.symbol: risk for risk in position_risk_resp} for symbol in symbols: fee = BinanceFuturesCommissionRate( symbol=symbol, makerCommissionRate=fee_rates.maker, takerCommissionRate=fee_rates.taker, ) - + # fetch position risk + if symbol not in position_risk: + self._log.error(f"Position risk not found for {symbol}.") + continue self._parse_instrument( symbol_info=symbol_info_dict[symbol], fee=fee, ts_event=millis_to_nanos(exchange_info.serverTime), + position_risk=position_risk[symbol], ) async def load_async(self, instrument_id: InstrumentId, filters: Optional[dict] = None) -> None: @@ -217,6 +224,7 @@ def _parse_instrument( self, symbol_info: BinanceFuturesSymbolInfo, ts_event: int, + position_risk: Optional[BinanceFuturesPositionRisk] = None, fee: Optional[BinanceFuturesCommissionRate] = None, ) -> None: contract_type_str = symbol_info.contractType @@ -265,6 +273,11 @@ def _parse_instrument( min_notional = None if filters.get(BinanceSymbolFilterType.MIN_NOTIONAL): min_notional = Money(min_notional_filter.minNotional, currency=quote_currency) + max_notional = ( + Money(position_risk.maxNotionalValue, currency=quote_currency) + if position_risk + else None + ) max_price = Price(float(price_filter.maxPrice), precision=price_precision) min_price = Price(float(price_filter.minPrice), precision=price_precision) @@ -298,7 +311,7 @@ def _parse_instrument( size_increment=size_increment, max_quantity=max_quantity, min_quantity=min_quantity, - max_notional=None, + max_notional=max_notional, min_notional=min_notional, max_price=max_price, min_price=min_price, diff --git a/nautilus_trader/adapters/binance/futures/schemas/user.py b/nautilus_trader/adapters/binance/futures/schemas/user.py index f536f1d54946..9062ac2e2209 100644 --- a/nautilus_trader/adapters/binance/futures/schemas/user.py +++ b/nautilus_trader/adapters/binance/futures/schemas/user.py @@ -30,6 +30,7 @@ from nautilus_trader.adapters.binance.futures.enums import BinanceFuturesPositionUpdateReason from nautilus_trader.adapters.binance.futures.enums import BinanceFuturesWorkingType from nautilus_trader.core.datetime import millis_to_nanos +from nautilus_trader.core.datetime import unix_nanos_to_dt from nautilus_trader.core.uuid import UUID4 from nautilus_trader.execution.reports import OrderStatusReport from nautilus_trader.model.currency import Currency @@ -67,8 +68,8 @@ class BinanceFuturesUserMsgWrapper(msgspec.Struct, frozen=True): Provides a wrapper for execution WebSocket messages from `Binance`. """ - stream: str - data: BinanceFuturesUserMsgData + data: Optional[BinanceFuturesUserMsgData] = None + stream: Optional[str] = None class MarginCallPosition(msgspec.Struct, frozen=True): @@ -222,6 +223,7 @@ class BinanceFuturesOrderData(msgspec.Struct, kw_only=True, frozen=True): si: int # ignore ss: int # ignore rp: str # Realized Profit of the trade + gtd: int # TIF GTD order auto cancel time def parse_to_order_status_report( self, @@ -238,6 +240,7 @@ def parse_to_order_status_report( trailing_offset = Decimal(self.cr) * 100 if self.cr is not None else None order_side = OrderSide.BUY if self.S == BinanceOrderSide.BUY else OrderSide.SELL post_only = self.f == BinanceTimeInForce.GTX + expire_time = unix_nanos_to_dt(millis_to_nanos(self.gtd)) if self.gtd else None return OrderStatusReport( account_id=account_id, @@ -248,6 +251,7 @@ def parse_to_order_status_report( order_type=enum_parser.parse_binance_order_type(self.o), time_in_force=enum_parser.parse_binance_time_in_force(self.f), order_status=OrderStatus.ACCEPTED, + expire_time=expire_time, price=price, trigger_price=trigger_price, trigger_type=enum_parser.parse_binance_trigger_type(self.wt.value), diff --git a/nautilus_trader/adapters/binance/http/account.py b/nautilus_trader/adapters/binance/http/account.py index ef7a09fea0ad..b437626d07d9 100644 --- a/nautilus_trader/adapters/binance/http/account.py +++ b/nautilus_trader/adapters/binance/http/account.py @@ -30,7 +30,7 @@ from nautilus_trader.adapters.binance.http.endpoint import BinanceHttpEndpoint from nautilus_trader.common.clock import LiveClock from nautilus_trader.core.correctness import PyCondition -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpMethod class BinanceOrderHttp(BinanceHttpEndpoint): @@ -200,6 +200,11 @@ class PostParameters(msgspec.Struct, omit_defaults=True, frozen=True): SPOT/MARGIN MARKET, LIMIT orders default to FULL. All others default to ACK. FULL response only for SPOT/MARGIN orders. + goodTillDate : int, optional + The order cancel time for timeInForce GTD, mandatory when timeInforce set to GTD; + order the timestamp only retains second-level precision, ms part will be ignored. + The goodTillDate timestamp must be greater than the current time plus 600 seconds and + smaller than 253402300799000. recvWindow : str, optional The response receive window in milliseconds for the request. Cannot exceed 60000. @@ -227,6 +232,7 @@ class PostParameters(msgspec.Struct, omit_defaults=True, frozen=True): workingType: Optional[str] = None priceProtect: Optional[str] = None newOrderRespType: Optional[BinanceNewOrderRespType] = None + goodTillDate: Optional[int] = None recvWindow: Optional[str] = None class PutParameters(msgspec.Struct, omit_defaults=True, frozen=True): @@ -264,22 +270,22 @@ class PutParameters(msgspec.Struct, omit_defaults=True, frozen=True): origClientOrderId: Optional[str] = None recvWindow: Optional[str] = None - async def _get(self, parameters: GetDeleteParameters) -> BinanceOrder: + async def get(self, parameters: GetDeleteParameters) -> BinanceOrder: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._resp_decoder.decode(raw) - async def _delete(self, parameters: GetDeleteParameters) -> BinanceOrder: + async def delete(self, parameters: GetDeleteParameters) -> BinanceOrder: method_type = HttpMethod.DELETE raw = await self._method(method_type, parameters) return self._resp_decoder.decode(raw) - async def _post(self, parameters: PostParameters) -> BinanceOrder: + async def post(self, parameters: PostParameters) -> BinanceOrder: method_type = HttpMethod.POST raw = await self._method(method_type, parameters) return self._resp_decoder.decode(raw) - async def _put(self, parameters: PutParameters) -> BinanceOrder: + async def put(self, parameters: PutParameters) -> BinanceOrder: method_type = HttpMethod.PUT raw = await self._method(method_type, parameters) return self._resp_decoder.decode(raw) @@ -350,7 +356,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): limit: Optional[int] = None recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> list[BinanceOrder]: + async def get(self, parameters: GetParameters) -> list[BinanceOrder]: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) @@ -414,7 +420,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): symbol: Optional[BinanceSymbol] = None recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> list[BinanceOrder]: + async def get(self, parameters: GetParameters) -> list[BinanceOrder]: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) @@ -560,7 +566,7 @@ async def query_order( raise RuntimeError( "Either orderId or origClientOrderId must be sent.", ) - binance_order = await self._endpoint_order._get( + binance_order = await self._endpoint_order.get( parameters=self._endpoint_order.GetDeleteParameters( symbol=BinanceSymbol(symbol), timestamp=self._timestamp(), @@ -593,7 +599,7 @@ async def cancel_order( raise RuntimeError( "Either orderId or origClientOrderId must be sent.", ) - binance_order = await self._endpoint_order._delete( + binance_order = await self._endpoint_order.delete( parameters=self._endpoint_order.GetDeleteParameters( symbol=BinanceSymbol(symbol), timestamp=self._timestamp(), @@ -625,13 +631,14 @@ async def new_order( callback_rate: Optional[str] = None, working_type: Optional[str] = None, price_protect: Optional[str] = None, + good_till_date: Optional[int] = None, new_order_resp_type: Optional[BinanceNewOrderRespType] = None, recv_window: Optional[str] = None, ) -> BinanceOrder: """ Send in a new order to Binance. """ - binance_order = await self._endpoint_order._post( + binance_order = await self._endpoint_order.post( parameters=self._endpoint_order.PostParameters( symbol=BinanceSymbol(symbol), timestamp=self._timestamp(), @@ -653,6 +660,7 @@ async def new_order( callbackRate=callback_rate, workingType=working_type, priceProtect=price_protect, + goodTillDate=good_till_date, newOrderRespType=new_order_resp_type, recvWindow=recv_window, ), @@ -672,7 +680,7 @@ async def modify_order( """ Modify a LIMIT order with Binance. """ - binance_order = await self._endpoint_order._put( + binance_order = await self._endpoint_order.put( parameters=self._endpoint_order.PutParameters( symbol=BinanceSymbol(symbol), timestamp=self._timestamp(), @@ -698,7 +706,7 @@ async def query_all_orders( """ Query all orders, active or filled. """ - return await self._endpoint_all_orders._get( + return await self._endpoint_all_orders.get( parameters=self._endpoint_all_orders.GetParameters( symbol=BinanceSymbol(symbol), timestamp=self._timestamp(), @@ -718,7 +726,7 @@ async def query_open_orders( """ Query open orders. """ - return await self._endpoint_open_orders._get( + return await self._endpoint_open_orders.get( parameters=self._endpoint_open_orders.GetParameters( symbol=BinanceSymbol(symbol), timestamp=self._timestamp(), diff --git a/nautilus_trader/adapters/binance/http/client.py b/nautilus_trader/adapters/binance/http/client.py index 7cd08aab21ee..32a548110d5f 100644 --- a/nautilus_trader/adapters/binance/http/client.py +++ b/nautilus_trader/adapters/binance/http/client.py @@ -13,10 +13,12 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +from __future__ import annotations + import hashlib import hmac import urllib.parse -from typing import Any, Optional +from typing import Any import msgspec @@ -26,9 +28,10 @@ from nautilus_trader.common.clock import LiveClock from nautilus_trader.common.logging import Logger from nautilus_trader.common.logging import LoggerAdapter -from nautilus_trader.core.nautilus_pyo3.network import HttpClient -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod -from nautilus_trader.core.nautilus_pyo3.network import HttpResponse +from nautilus_trader.core.nautilus_pyo3 import HttpClient +from nautilus_trader.core.nautilus_pyo3 import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpResponse +from nautilus_trader.core.nautilus_pyo3 import Quota class BinanceHttpClient: @@ -46,6 +49,11 @@ class BinanceHttpClient: secret : str The Binance API secret for signed requests. base_url : str, optional + The base endpoint URL for the client. + ratelimiter_quotas : list[tuple[str, Quota]], optional + The keyed rate limiter quotas for the client. + ratelimiter_quota : Quota, optional + The default rate limiter quota for the client. """ @@ -56,7 +64,9 @@ def __init__( key: str, secret: str, base_url: str, - ): + ratelimiter_quotas: list[tuple[str, Quota]] | None = None, + ratelimiter_default_quota: Quota | None = None, + ) -> None: self._clock: LiveClock = clock self._log: LoggerAdapter = LoggerAdapter(type(self).__name__, logger=logger) self._key: str = key @@ -68,7 +78,10 @@ def __init__( "User-Agent": "nautilus-trader/" + nautilus_trader.__version__, "X-MBX-APIKEY": key, } - self._client = HttpClient() + self._client = HttpClient( + keyed_quotas=ratelimiter_quotas or [], + default_quota=ratelimiter_default_quota, + ) @property def base_url(self) -> str: @@ -118,7 +131,8 @@ async def sign_request( self, http_method: HttpMethod, url_path: str, - payload: Optional[dict[str, str]] = None, + payload: dict[str, str] | None = None, + ratelimiter_keys: list[str] | None = None, ) -> Any: if payload is None: payload = {} @@ -129,13 +143,15 @@ async def sign_request( http_method, url_path, payload=payload, + ratelimiter_keys=ratelimiter_keys, ) async def send_request( self, http_method: HttpMethod, url_path: str, - payload: Optional[dict[str, str]] = None, + payload: dict[str, str] | None = None, + ratelimiter_keys: list[str] | None = None, ) -> bytes: if payload: url_path += "?" + urllib.parse.urlencode(payload) @@ -146,6 +162,7 @@ async def send_request( url=self._base_url + url_path, headers=self._headers, body=msgspec.json.encode(payload) if payload else None, + keys=ratelimiter_keys, ) if 400 <= response.status < 500: diff --git a/nautilus_trader/adapters/binance/http/endpoint.py b/nautilus_trader/adapters/binance/http/endpoint.py index 13826e5d30b6..897fa08bd0c4 100644 --- a/nautilus_trader/adapters/binance/http/endpoint.py +++ b/nautilus_trader/adapters/binance/http/endpoint.py @@ -13,7 +13,7 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from typing import Any +from typing import Any, Optional import msgspec @@ -21,7 +21,7 @@ from nautilus_trader.adapters.binance.common.schemas.symbol import BinanceSymbol from nautilus_trader.adapters.binance.common.schemas.symbol import BinanceSymbols from nautilus_trader.adapters.binance.http.client import BinanceHttpClient -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpMethod def enc_hook(obj: Any) -> Any: @@ -65,7 +65,12 @@ def __init__( BinanceSecurityType.USER_DATA: self.client.sign_request, } - async def _method(self, method_type: HttpMethod, parameters: Any) -> bytes: + async def _method( + self, + method_type: HttpMethod, + parameters: Any, + ratelimiter_keys: Optional[list[str]] = None, + ) -> bytes: payload: dict = self.decoder.decode(self.encoder.encode(parameters)) if self.methods_desc[method_type] is None: raise RuntimeError( @@ -75,5 +80,6 @@ async def _method(self, method_type: HttpMethod, parameters: Any) -> bytes: http_method=method_type, url_path=self.url_path, payload=payload, + ratelimiter_keys=ratelimiter_keys, ) return raw diff --git a/nautilus_trader/adapters/binance/http/market.py b/nautilus_trader/adapters/binance/http/market.py index 203345771b92..63373b3c9f3f 100644 --- a/nautilus_trader/adapters/binance/http/market.py +++ b/nautilus_trader/adapters/binance/http/market.py @@ -14,6 +14,7 @@ # ------------------------------------------------------------------------------------------------- import sys +import time from typing import Optional import msgspec @@ -35,7 +36,8 @@ from nautilus_trader.adapters.binance.http.client import BinanceHttpClient from nautilus_trader.adapters.binance.http.endpoint import BinanceHttpEndpoint from nautilus_trader.core.correctness import PyCondition -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.datetime import nanos_to_millis +from nautilus_trader.core.nautilus_pyo3 import HttpMethod from nautilus_trader.model.data import BarType from nautilus_trader.model.data import OrderBookDeltas from nautilus_trader.model.data import TradeTick @@ -74,7 +76,7 @@ def __init__( ) self._get_resp_decoder = msgspec.json.Decoder() - async def _get(self) -> dict: + async def get(self) -> dict: method_type = HttpMethod.GET raw = await self._method(method_type, None) return self._get_resp_decoder.decode(raw) @@ -108,7 +110,7 @@ def __init__( super().__init__(client, methods, url_path) self._get_resp_decoder = msgspec.json.Decoder(BinanceTime) - async def _get(self) -> BinanceTime: + async def get(self) -> BinanceTime: method_type = HttpMethod.GET raw = await self._method(method_type, None) return self._get_resp_decoder.decode(raw) @@ -167,7 +169,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): symbol: BinanceSymbol limit: Optional[int] = None - async def _get(self, parameters: GetParameters) -> BinanceDepth: + async def get(self, parameters: GetParameters) -> BinanceDepth: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) @@ -221,7 +223,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): symbol: BinanceSymbol limit: Optional[int] = None - async def _get(self, parameters: GetParameters) -> list[BinanceTrade]: + async def get(self, parameters: GetParameters) -> list[BinanceTrade]: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) @@ -278,7 +280,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): limit: Optional[int] = None fromId: Optional[int] = None - async def _get(self, parameters: GetParameters) -> list[BinanceTrade]: + async def get(self, parameters: GetParameters) -> list[BinanceTrade]: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) @@ -342,7 +344,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): startTime: Optional[int] = None endTime: Optional[int] = None - async def _get(self, parameters: GetParameters) -> list[BinanceAggTrade]: + async def get(self, parameters: GetParameters) -> list[BinanceAggTrade]: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) @@ -406,7 +408,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): startTime: Optional[int] = None endTime: Optional[int] = None - async def _get(self, parameters: GetParameters) -> list[BinanceKline]: + async def get(self, parameters: GetParameters) -> list[BinanceKline]: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) @@ -653,13 +655,13 @@ async def ping(self) -> dict: """ Ping Binance REST API. """ - return await self._endpoint_ping._get() + return await self._endpoint_ping.get() async def request_server_time(self) -> int: """ Request server time from Binance. """ - response = await self._endpoint_time._get() + response = await self._endpoint_time.get() return response.serverTime async def query_depth( @@ -670,7 +672,7 @@ async def query_depth( """ Query order book depth for a symbol. """ - return await self._endpoint_depth._get( + return await self._endpoint_depth.get( parameters=self._endpoint_depth.GetParameters( symbol=BinanceSymbol(symbol), limit=limit, @@ -700,7 +702,7 @@ async def query_trades( """ Query trades for symbol. """ - return await self._endpoint_trades._get( + return await self._endpoint_trades.get( parameters=self._endpoint_trades.GetParameters( symbol=BinanceSymbol(symbol), limit=limit, @@ -736,7 +738,7 @@ async def query_agg_trades( """ Query aggregated trades for symbol. """ - return await self._endpoint_agg_trades._get( + return await self._endpoint_agg_trades.get( parameters=self._endpoint_agg_trades.GetParameters( symbol=BinanceSymbol(symbol), limit=limit, @@ -750,7 +752,7 @@ async def request_agg_trade_ticks( self, instrument_id: InstrumentId, ts_init: int, - limit: int = 1000, + limit: Optional[int] = 1000, start_time: Optional[int] = None, end_time: Optional[int] = None, from_id: Optional[int] = None, @@ -765,6 +767,9 @@ async def request_agg_trade_ticks( ticks: list[TradeTick] = [] next_start_time = start_time + if end_time is None: + end_time = sys.maxsize + if from_id is not None and (start_time or end_time) is not None: raise RuntimeError( "Cannot specify both fromId and startTime or endTime.", @@ -806,10 +811,14 @@ def _calculate_next_end_time(start_time: int, end_time: int) -> tuple[int, bool] ), ) - if len(response) < limit and interval_limited is False: + if limit and len(response) < limit and interval_limited is False: # end loop regardless when limit is not hit break - if start_time is None or end_time is None: + if ( + start_time is None + or end_time is None + or next_end_time >= nanos_to_millis(time.time_ns()) + ): break else: last = response[-1] @@ -832,7 +841,7 @@ async def query_historical_trades( """ Query historical trades for symbol. """ - return await self._endpoint_historical_trades._get( + return await self._endpoint_historical_trades.get( parameters=self._endpoint_historical_trades.GetParameters( symbol=BinanceSymbol(symbol), limit=limit, @@ -874,7 +883,7 @@ async def query_klines( """ Query klines for a symbol over an interval. """ - return await self._endpoint_klines._get( + return await self._endpoint_klines.get( parameters=self._endpoint_klines.GetParameters( symbol=BinanceSymbol(symbol), interval=interval, diff --git a/nautilus_trader/adapters/binance/http/user.py b/nautilus_trader/adapters/binance/http/user.py index 75bc7d44b02c..8546a8555643 100644 --- a/nautilus_trader/adapters/binance/http/user.py +++ b/nautilus_trader/adapters/binance/http/user.py @@ -24,7 +24,7 @@ from nautilus_trader.adapters.binance.http.client import BinanceHttpClient from nautilus_trader.adapters.binance.http.endpoint import BinanceHttpEndpoint from nautilus_trader.core.correctness import PyCondition -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpMethod class BinanceListenKeyHttp(BinanceHttpEndpoint): diff --git a/nautilus_trader/adapters/binance/spot/enums.py b/nautilus_trader/adapters/binance/spot/enums.py index 201f7ba7ebb8..ca590bc2f939 100644 --- a/nautilus_trader/adapters/binance/spot/enums.py +++ b/nautilus_trader/adapters/binance/spot/enums.py @@ -59,6 +59,18 @@ class BinanceSpotPermissions(Enum): TRD_GRP_018 = "TRD_GRP_018" TRD_GRP_019 = "TRD_GRP_019" TRD_GRP_020 = "TRD_GRP_020" + TRD_GRP_021 = "TRD_GRP_021" + TRD_GRP_022 = "TRD_GRP_022" + TRD_GRP_023 = "TRD_GRP_023" + TRD_GRP_024 = "TRD_GRP_024" + TRD_GRP_025 = "TRD_GRP_025" + TRD_GRP_026 = "TRD_GRP_026" + TRD_GRP_027 = "TRD_GRP_027" + TRD_GRP_028 = "TRD_GRP_028" + TRD_GRP_029 = "TRD_GRP_029" + TRD_GRP_030 = "TRD_GRP_030" + TRD_GRP_031 = "TRD_GRP_031" + TRD_GRP_032 = "TRD_GRP_032" @unique diff --git a/nautilus_trader/adapters/binance/spot/execution.py b/nautilus_trader/adapters/binance/spot/execution.py index 96f9d14f62b2..9b0c030ee90e 100644 --- a/nautilus_trader/adapters/binance/spot/execution.py +++ b/nautilus_trader/adapters/binance/spot/execution.py @@ -38,6 +38,7 @@ from nautilus_trader.common.logging import Logger from nautilus_trader.core.correctness import PyCondition from nautilus_trader.core.datetime import millis_to_nanos +from nautilus_trader.execution.messages import BatchCancelOrders from nautilus_trader.execution.reports import PositionStatusReport from nautilus_trader.model.enums import OrderType from nautilus_trader.model.enums import order_type_to_str @@ -201,6 +202,11 @@ def _check_order_validity(self, order: Order) -> None: ) return + async def _batch_cancel_orders(self, command: BatchCancelOrders) -> None: + self._log.error( + "Cannot batch cancel orders: not supported by the Binance Spot/Margin exchange. ", + ) + # -- WEBSOCKET EVENT HANDLERS -------------------------------------------------------------------- def _handle_user_ws_message(self, raw: bytes) -> None: diff --git a/nautilus_trader/adapters/binance/spot/http/account.py b/nautilus_trader/adapters/binance/spot/http/account.py index 4edf013289b6..264e4b279ddb 100644 --- a/nautilus_trader/adapters/binance/spot/http/account.py +++ b/nautilus_trader/adapters/binance/spot/http/account.py @@ -31,7 +31,7 @@ from nautilus_trader.adapters.binance.spot.schemas.account import BinanceSpotAccountInfo from nautilus_trader.adapters.binance.spot.schemas.account import BinanceSpotOrderOco from nautilus_trader.common.clock import LiveClock -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpMethod class BinanceSpotOpenOrdersHttp(BinanceOpenOrdersHttp): @@ -293,12 +293,12 @@ class DeleteParameters(msgspec.Struct, omit_defaults=True, frozen=True): newClientOrderId: Optional[str] = None recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> BinanceSpotOrderOco: + async def get(self, parameters: GetParameters) -> BinanceSpotOrderOco: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._resp_decoder.decode(raw) - async def _delete(self, parameters: DeleteParameters) -> BinanceSpotOrderOco: + async def delete(self, parameters: DeleteParameters) -> BinanceSpotOrderOco: method_type = HttpMethod.DELETE raw = await self._method(method_type, parameters) return self._resp_decoder.decode(raw) @@ -366,7 +366,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): limit: Optional[int] = None recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> list[BinanceSpotOrderOco]: + async def get(self, parameters: GetParameters) -> list[BinanceSpotOrderOco]: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._resp_decoder.decode(raw) @@ -416,7 +416,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): timestamp: str recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> list[BinanceSpotOrderOco]: + async def get(self, parameters: GetParameters) -> list[BinanceSpotOrderOco]: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._resp_decoder.decode(raw) @@ -466,7 +466,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): timestamp: str recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> BinanceSpotAccountInfo: + async def get(self, parameters: GetParameters) -> BinanceSpotAccountInfo: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._resp_decoder.decode(raw) @@ -516,7 +516,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): timestamp: str recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> list[BinanceRateLimit]: + async def get(self, parameters: GetParameters) -> list[BinanceRateLimit]: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._resp_decoder.decode(raw) @@ -640,7 +640,7 @@ async def query_spot_oco( raise RuntimeError( "Either orderListId or origClientOrderId must be provided.", ) - return await self._endpoint_spot_order_list._get( + return await self._endpoint_spot_order_list.get( parameters=self._endpoint_spot_order_list.GetParameters( timestamp=self._timestamp(), orderListId=order_list_id, @@ -684,7 +684,7 @@ async def cancel_spot_oco( raise RuntimeError( "Either orderListId or listClientOrderId must be provided.", ) - return await self._endpoint_spot_order_list._delete( + return await self._endpoint_spot_order_list.delete( parameters=self._endpoint_spot_order_list.DeleteParameters( timestamp=self._timestamp(), symbol=BinanceSymbol(symbol), @@ -710,7 +710,7 @@ async def query_spot_all_oco( raise RuntimeError( "Cannot specify both fromId and a startTime/endTime.", ) - return await self._endpoint_spot_all_order_list._get( + return await self._endpoint_spot_all_order_list.get( parameters=self._endpoint_spot_all_order_list.GetParameters( timestamp=self._timestamp(), fromId=from_id, @@ -728,7 +728,7 @@ async def query_spot_all_open_oco( """ Check all OPEN spot OCO orders' information. """ - return await self._endpoint_spot_open_order_list._get( + return await self._endpoint_spot_open_order_list.get( parameters=self._endpoint_spot_open_order_list.GetParameters( timestamp=self._timestamp(), recvWindow=recv_window, @@ -742,7 +742,7 @@ async def query_spot_account_info( """ Check SPOT/MARGIN Binance account information. """ - return await self._endpoint_spot_account._get( + return await self._endpoint_spot_account.get( parameters=self._endpoint_spot_account.GetParameters( timestamp=self._timestamp(), recvWindow=recv_window, @@ -756,7 +756,7 @@ async def query_spot_order_rate_limit( """ Check SPOT/MARGIN order count/rateLimit. """ - return await self._endpoint_spot_order_rate_limit._get( + return await self._endpoint_spot_order_rate_limit.get( parameters=self._endpoint_spot_order_rate_limit.GetParameters( timestamp=self._timestamp(), recvWindow=recv_window, diff --git a/nautilus_trader/adapters/binance/spot/http/market.py b/nautilus_trader/adapters/binance/spot/http/market.py index e2b0ee01f167..ca06e8e5144d 100644 --- a/nautilus_trader/adapters/binance/spot/http/market.py +++ b/nautilus_trader/adapters/binance/spot/http/market.py @@ -27,7 +27,7 @@ from nautilus_trader.adapters.binance.spot.enums import BinanceSpotPermissions from nautilus_trader.adapters.binance.spot.schemas.market import BinanceSpotAvgPrice from nautilus_trader.adapters.binance.spot.schemas.market import BinanceSpotExchangeInfo -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpMethod class BinanceSpotExchangeInfoHttp(BinanceHttpEndpoint): @@ -77,7 +77,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): symbols: Optional[BinanceSymbols] = None permissions: Optional[BinanceSpotPermissions] = None - async def _get(self, parameters: Optional[GetParameters] = None) -> BinanceSpotExchangeInfo: + async def get(self, parameters: Optional[GetParameters] = None) -> BinanceSpotExchangeInfo: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) @@ -124,7 +124,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): symbol: BinanceSymbol = None - async def _get(self, parameters: GetParameters) -> BinanceSpotAvgPrice: + async def get(self, parameters: GetParameters) -> BinanceSpotAvgPrice: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) return self._get_resp_decoder.decode(raw) @@ -172,7 +172,7 @@ async def query_spot_exchange_info( """ if symbol and symbols: raise ValueError("`symbol` and `symbols` cannot be sent together") - return await self._endpoint_spot_exchange_info._get( + return await self._endpoint_spot_exchange_info.get( parameters=self._endpoint_spot_exchange_info.GetParameters( symbol=BinanceSymbol(symbol), symbols=BinanceSymbols(symbols), @@ -184,7 +184,7 @@ async def query_spot_average_price(self, symbol: str) -> BinanceSpotAvgPrice: """ Check average price for a provided symbol on the Spot exchange. """ - return await self._endpoint_spot_average_price._get( + return await self._endpoint_spot_average_price.get( parameters=self._endpoint_spot_average_price.GetParameters( symbol=BinanceSymbol(symbol), ), diff --git a/nautilus_trader/adapters/binance/spot/http/wallet.py b/nautilus_trader/adapters/binance/spot/http/wallet.py index 62307f6dce13..46a36a4691d4 100644 --- a/nautilus_trader/adapters/binance/spot/http/wallet.py +++ b/nautilus_trader/adapters/binance/spot/http/wallet.py @@ -24,7 +24,7 @@ from nautilus_trader.adapters.binance.http.endpoint import BinanceHttpEndpoint from nautilus_trader.adapters.binance.spot.schemas.wallet import BinanceSpotTradeFee from nautilus_trader.common.clock import LiveClock -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpMethod class BinanceSpotTradeFeeHttp(BinanceHttpEndpoint): @@ -74,7 +74,7 @@ class GetParameters(msgspec.Struct, omit_defaults=True, frozen=True): symbol: Optional[BinanceSymbol] = None recvWindow: Optional[str] = None - async def _get(self, parameters: GetParameters) -> list[BinanceSpotTradeFee]: + async def get(self, parameters: GetParameters) -> list[BinanceSpotTradeFee]: method_type = HttpMethod.GET raw = await self._method(method_type, parameters) if parameters.symbol is not None: @@ -122,7 +122,7 @@ async def query_spot_trade_fees( symbol: Optional[str] = None, recv_window: Optional[str] = None, ) -> list[BinanceSpotTradeFee]: - fees = await self._endpoint_spot_trade_fee._get( + fees = await self._endpoint_spot_trade_fee.get( parameters=self._endpoint_spot_trade_fee.GetParameters( timestamp=self._timestamp(), symbol=BinanceSymbol(symbol) if symbol is not None else None, diff --git a/nautilus_trader/adapters/binance/websocket/client.py b/nautilus_trader/adapters/binance/websocket/client.py index 970ea2e40435..87a4a3e84448 100644 --- a/nautilus_trader/adapters/binance/websocket/client.py +++ b/nautilus_trader/adapters/binance/websocket/client.py @@ -14,14 +14,15 @@ # ------------------------------------------------------------------------------------------------- import asyncio -from typing import Callable, Optional +import json +from typing import Any, Callable, Optional from nautilus_trader.adapters.binance.common.schemas.symbol import BinanceSymbol from nautilus_trader.common.clock import LiveClock from nautilus_trader.common.enums import LogColor from nautilus_trader.common.logging import Logger from nautilus_trader.common.logging import LoggerAdapter -from nautilus_trader.core.nautilus_pyo3.network import WebSocketClient +from nautilus_trader.core.nautilus_pyo3 import WebSocketClient class BinanceWebSocketClient: @@ -38,6 +39,8 @@ class BinanceWebSocketClient: The base URL for the WebSocket connection. handler : Callable[[bytes], None] The callback handler for message events. + loop : asyncio.AbstractEventLoop + The event loop for the client. References ---------- @@ -51,6 +54,7 @@ def __init__( logger: Logger, base_url: str, handler: Callable[[bytes], None], + loop: asyncio.AbstractEventLoop, ) -> None: self._clock = clock self._logger = logger @@ -58,9 +62,12 @@ def __init__( self._base_url: str = base_url self._handler: Callable[[bytes], None] = handler + self._loop = loop - self._streams_connecting: set[str] = set() - self._streams: dict[str, WebSocketClient] = {} + self._streams: list[str] = [] + self._inner: Optional[WebSocketClient] = None + self._is_connecting = False + self._msg_id: int = 0 @property def url(self) -> str: @@ -84,7 +91,7 @@ def subscriptions(self) -> list[str]: str """ - return list(self._streams.keys()) + return self._streams.copy() @property def has_subscriptions(self) -> bool: @@ -98,42 +105,73 @@ def has_subscriptions(self) -> bool: """ return bool(self._streams) - async def _connect(self, stream: str) -> None: - if stream not in self._streams and stream not in self._streams_connecting: - self._streams_connecting.add(stream) - await self.connect(stream) - - async def connect(self, stream: str) -> None: + async def connect(self) -> None: """ - Connect a websocket client to the server for the given `stream`. + Connect a websocket client to the server. """ - ws_url = self._base_url + f"/stream?streams={stream}" + if not self._streams: + self._log.error("Cannot connect: no streams for initial connection.") + return + + # Binance expects at least one stream for the initial connection + initial_stream = self._streams[0] + ws_url = self._base_url + f"/stream?streams={initial_stream}" self._log.debug(f"Connecting to {ws_url}...") - client = await WebSocketClient.connect( + self._is_connecting = True + self._inner = await WebSocketClient.connect( url=ws_url, handler=self._handler, heartbeat=60, + post_reconnection=self.reconnect, ) - self._log.info(f"Connected to {ws_url}.", LogColor.BLUE) + self._is_connecting = False + self._log.info(f"Connected to {self._base_url}.", LogColor.BLUE) + self._log.info(f"Subscribed to {initial_stream}.", LogColor.BLUE) + + # TODO: Temporarily synch + def reconnect(self) -> None: + """ + Reconnect the client to the server and resubscribe to all streams. + """ + if not self._streams: + self._log.error("Cannot reconnect: no streams for initial connection.") + return + + self._log.warning(f"Reconnected to {self._base_url}.") - self._streams[stream] = client - self._streams_connecting.discard(stream) + # Re-subscribe to all streams + self._loop.create_task(self._subscribe_all()) async def disconnect(self) -> None: """ Disconnect the client from the server. """ - client_disconnects = [] - for stream, client in self._streams.items(): - self._log.info(f"Disconnecting {stream}...") - client_disconnects.append(client.disconnect()) + if self._inner is None: + self._log.warning("Cannot disconnect: not connected.") + return - await asyncio.gather(*client_disconnects) + self._log.debug("Disconnecting...") + await self._inner.disconnect() + self._inner = None + + self._log.info("Disconnected.") + + async def subscribe_listen_key(self, listen_key: str) -> None: + """ + Subscribe to user data stream. + """ + await self._subscribe(listen_key) + + async def unsubscribe_listen_key(self, listen_key: str) -> None: + """ + Unsubscribe from user data stream. + """ + await self._unsubscribe(listen_key) async def subscribe_agg_trades(self, symbol: str) -> None: """ - Aggregate Trade Streams. + Subscribe to aggregate trade stream. The Aggregate Trade Streams push trade information that is aggregated for a single taker order. Stream Name: @aggTrade @@ -141,11 +179,18 @@ async def subscribe_agg_trades(self, symbol: str) -> None: """ stream = f"{BinanceSymbol(symbol).lower()}@aggTrade" - await self._connect(stream) + await self._subscribe(stream) + + async def unsubscribe_agg_trades(self, symbol: str) -> None: + """ + Unsubscribe from aggregate trade stream. + """ + stream = f"{BinanceSymbol(symbol).lower()}@aggTrade" + await self._unsubscribe(stream) async def subscribe_trades(self, symbol: str) -> None: """ - Trade Streams. + Subscribe to trade stream. The Trade Streams push raw trade information; each trade has a unique buyer and seller. Stream Name: @trade @@ -153,7 +198,14 @@ async def subscribe_trades(self, symbol: str) -> None: """ stream = f"{BinanceSymbol(symbol).lower()}@trade" - await self._connect(stream) + await self._subscribe(stream) + + async def unsubscribe_trades(self, symbol: str) -> None: + """ + Unsubscribe from trade stream. + """ + stream = f"{BinanceSymbol(symbol).lower()}@trade" + await self._unsubscribe(stream) async def subscribe_bars( self, @@ -186,14 +238,25 @@ async def subscribe_bars( """ stream = f"{BinanceSymbol(symbol).lower()}@kline_{interval}" - await self._connect(stream) + await self._subscribe(stream) + + async def unsubscribe_bars( + self, + symbol: str, + interval: str, + ) -> None: + """ + Unsubscribe from bar (kline/candlestick) stream. + """ + stream = f"{BinanceSymbol(symbol).lower()}@kline_{interval}" + await self._unsubscribe(stream) async def subscribe_mini_ticker( self, symbol: Optional[str] = None, ) -> None: """ - Individual symbol or all symbols mini ticker. + Subscribe to individual symbol or all symbols mini ticker stream. 24hr rolling window mini-ticker statistics. These are NOT the statistics of the UTC day, but a 24hr rolling window for the previous 24hrs @@ -206,14 +269,27 @@ async def subscribe_mini_ticker( stream = "!miniTicker@arr" else: stream = f"{BinanceSymbol(symbol).lower()}@miniTicker" - await self._connect(stream) + await self._subscribe(stream) + + async def unsubscribe_mini_ticker( + self, + symbol: Optional[str] = None, + ) -> None: + """ + Unsubscribe to individual symbol or all symbols mini ticker stream. + """ + if symbol is None: + stream = "!miniTicker@arr" + else: + stream = f"{BinanceSymbol(symbol).lower()}@miniTicker" + await self._unsubscribe(stream) async def subscribe_ticker( self, symbol: Optional[str] = None, ) -> None: """ - Individual symbol or all symbols ticker. + Subscribe to individual symbol or all symbols ticker stream. 24hr rolling window ticker statistics for a single symbol. These are NOT the statistics of the UTC day, but a 24hr rolling window for the previous 24hrs. @@ -226,14 +302,27 @@ async def subscribe_ticker( stream = "!ticker@arr" else: stream = f"{BinanceSymbol(symbol).lower()}@ticker" - await self._connect(stream) + await self._subscribe(stream) + + async def unsubscribe_ticker( + self, + symbol: Optional[str] = None, + ) -> None: + """ + Unsubscribe from individual symbol or all symbols ticker stream. + """ + if symbol is None: + stream = "!ticker@arr" + else: + stream = f"{BinanceSymbol(symbol).lower()}@ticker" + await self._unsubscribe(stream) async def subscribe_book_ticker( self, symbol: Optional[str] = None, ) -> None: """ - Individual symbol or all book ticker. + Subscribe to individual symbol or all book tickers stream. Pushes any update to the best bid or ask's price or quantity in real-time for a specified symbol. Stream Name: @bookTicker or @@ -245,7 +334,20 @@ async def subscribe_book_ticker( stream = "!bookTicker" else: stream = f"{BinanceSymbol(symbol).lower()}@bookTicker" - await self._connect(stream) + await self._subscribe(stream) + + async def unsubscribe_book_ticker( + self, + symbol: Optional[str] = None, + ) -> None: + """ + Unsubscribe from individual symbol or all book tickers. + """ + if symbol is None: + stream = "!bookTicker" + else: + stream = f"{BinanceSymbol(symbol).lower()}@bookTicker" + await self._unsubscribe(stream) async def subscribe_partial_book_depth( self, @@ -254,7 +356,7 @@ async def subscribe_partial_book_depth( speed: int, ) -> None: """ - Partial Book Depth Streams. + Subscribe to partial book depth stream. Top bids and asks, Valid are 5, 10, or 20. Stream Names: @depth OR @depth@100ms. @@ -262,7 +364,19 @@ async def subscribe_partial_book_depth( """ stream = f"{BinanceSymbol(symbol).lower()}@depth{depth}@{speed}ms" - await self._connect(stream) + await self._subscribe(stream) + + async def unsubscribe_partial_book_depth( + self, + symbol: str, + depth: int, + speed: int, + ) -> None: + """ + Unsubscribe from partial book depth stream. + """ + stream = f"{BinanceSymbol(symbol).lower()}@depth{depth}@{speed}ms" + await self._subscribe(stream) async def subscribe_diff_book_depth( self, @@ -270,7 +384,7 @@ async def subscribe_diff_book_depth( speed: int, ) -> None: """ - Diff book depth stream. + Subscribe to diff book depth stream. Stream Name: @depth OR @depth@100ms Update Speed: 1000ms or 100ms @@ -278,7 +392,18 @@ async def subscribe_diff_book_depth( """ stream = f"{BinanceSymbol(symbol).lower()}@depth@{speed}ms" - await self._connect(stream) + await self._subscribe(stream) + + async def unsubscribe_diff_book_depth( + self, + symbol: str, + speed: int, + ) -> None: + """ + Unsubscribe from diff book depth stream. + """ + stream = f"{BinanceSymbol(symbol).lower()}@depth@{speed}ms" + await self._unsubscribe(stream) async def subscribe_mark_price( self, @@ -286,12 +411,23 @@ async def subscribe_mark_price( speed: Optional[int] = None, ) -> None: """ - Aggregate Trade Streams. - - The Aggregate Trade Streams push trade information that is aggregated for a single taker order. - Stream Name: @aggTrade - Update Speed: 3000ms or 1000ms + Subscribe to aggregate mark price stream. + """ + if speed not in (1000, 3000): + raise ValueError(f"`speed` options are 1000ms or 3000ms only, was {speed}") + if symbol is None: + stream = "!markPrice@arr" + else: + stream = f"{BinanceSymbol(symbol).lower()}@markPrice@{int(speed / 1000)}s" + await self._subscribe(stream) + async def unsubscribe_mark_price( + self, + symbol: Optional[str] = None, + speed: Optional[int] = None, + ) -> None: + """ + Unsubscribe from aggregate mark price stream. """ if speed not in (1000, 3000): raise ValueError(f"`speed` options are 1000ms or 3000ms only, was {speed}") @@ -299,4 +435,72 @@ async def subscribe_mark_price( stream = "!markPrice@arr" else: stream = f"{BinanceSymbol(symbol).lower()}@markPrice@{int(speed / 1000)}s" - await self._connect(stream) + await self._unsubscribe(stream) + + async def _subscribe(self, stream: str) -> None: + if stream in self._streams: + self._log.warning(f"Cannot subscribe to {stream}: already subscribed.") + return # Already subscribed + + self._streams.append(stream) + + while self._is_connecting and not self._inner: + await asyncio.sleep(0.01) + + if self._inner is None: + # Make initial connection + await self.connect() + return + + message = self._create_subscribe_msg(streams=[stream]) + self._log.debug(f"SENDING: {message}") + + self._inner.send_text(json.dumps(message)) + self._log.info(f"Subscribed to {stream}.", LogColor.BLUE) + + async def _subscribe_all(self) -> None: + if self._inner is None: + self._log.error("Cannot subscribe all: no connected.") + return + + message = self._create_subscribe_msg(streams=self._streams) + self._log.debug(f"SENDING: {message}") + + self._inner.send_text(json.dumps(message)) + for stream in self._streams: + self._log.info(f"Subscribed to {stream}.", LogColor.BLUE) + + async def _unsubscribe(self, stream: str) -> None: + if stream not in self._streams: + self._log.warning(f"Cannot unsubscribe from {stream}: never subscribed.") + return # Not subscribed + + self._streams.remove(stream) + + if self._inner is None: + self._log.error(f"Cannot unsubscribe from {stream}: not connected.") + return + + message = self._create_unsubscribe_msg(streams=[stream]) + self._log.debug(f"SENDING: {message}") + + self._inner.send_text(json.dumps(message)) + self._log.info(f"Unsubscribed from {stream}.", LogColor.BLUE) + + def _create_subscribe_msg(self, streams: list[str]) -> dict[str, Any]: + message = { + "method": "SUBSCRIBE", + "params": streams, + "id": self._msg_id, + } + self._msg_id += 1 + return message + + def _create_unsubscribe_msg(self, streams: list[str]) -> dict[str, Any]: + message = { + "method": "UNSUBSCRIBE", + "params": streams, + "id": self._msg_id, + } + self._msg_id += 1 + return message diff --git a/nautilus_trader/adapters/interactive_brokers/client/client.py b/nautilus_trader/adapters/interactive_brokers/client/client.py index a24c1d9e132e..12faab83e582 100644 --- a/nautilus_trader/adapters/interactive_brokers/client/client.py +++ b/nautilus_trader/adapters/interactive_brokers/client/client.py @@ -20,9 +20,9 @@ from inspect import iscoroutinefunction from typing import Callable, Optional, Union -import pandas as pd - # fmt: off +import pandas as pd +import pytz from ibapi import comm from ibapi import decoder from ibapi.account_summary_tags import AccountSummaryTags @@ -49,6 +49,9 @@ from ibapi.utils import current_fn_name from ibapi.wrapper import EWrapper +from nautilus_trader import PYPROJECT_PATH +from nautilus_trader import get_package_version_from_toml +from nautilus_trader import get_package_version_installed from nautilus_trader.adapters.interactive_brokers.client.common import AccountOrderRef from nautilus_trader.adapters.interactive_brokers.client.common import IBPosition from nautilus_trader.adapters.interactive_brokers.client.common import Requests @@ -79,6 +82,16 @@ # fmt: on +# Check ibapi package versioning +ibapi_package = "nautilus_ibapi" +ibapi_version_specified = get_package_version_from_toml(PYPROJECT_PATH, ibapi_package, True) +ibapi_version_installed = get_package_version_installed(ibapi_package) + +if ibapi_version_specified != ibapi_version_installed: + raise RuntimeError( + f"Expected `{ibapi_package}` version {ibapi_version_specified}, but found {ibapi_version_installed}", + ) + class InteractiveBrokersClient(Component, EWrapper): """ @@ -107,8 +120,6 @@ def __init__( # Config self._loop = loop self._cache = cache - # self._clock = clock - # self._logger = logger self._contract_for_probe = instrument_id_to_ib_contract( InstrumentId.from_str("EUR/CHF.IDEALPRO"), ) @@ -730,7 +741,8 @@ def tickByTickBidAsk( # : Override the EWrapper instrument_id = InstrumentId.from_str(subscription.name[0]) instrument = self._cache.instrument(instrument_id) - ts_event = pd.Timestamp.fromtimestamp(time, "UTC").value + ts_event = pd.Timestamp.fromtimestamp(time, tz=pytz.utc).value + quote_tick = QuoteTick( instrument_id=instrument_id, bid_price=instrument.make_price(bid_price), @@ -738,11 +750,9 @@ def tickByTickBidAsk( # : Override the EWrapper bid_size=instrument.make_qty(bid_size), ask_size=instrument.make_qty(ask_size), ts_event=ts_event, - ts_init=max( - self._clock.timestamp_ns(), - ts_event, - ), # fix for failed invariant: `ts_event` > `ts_init` + ts_init=max(self._clock.timestamp_ns(), ts_event), # `ts_event` <= `ts_init` ) + self._handle_data(quote_tick) def tickByTickAllLast( # : Override the EWrapper @@ -766,7 +776,8 @@ def tickByTickAllLast( # : Override the EWrapper instrument_id = InstrumentId.from_str(subscription.name[0]) instrument = self._cache.instrument(instrument_id) - ts_event = pd.Timestamp.fromtimestamp(time, "UTC").value + ts_event = pd.Timestamp.fromtimestamp(time, tz=pytz.utc).value + trade_tick = TradeTick( instrument_id=instrument_id, price=instrument.make_price(price), @@ -774,11 +785,9 @@ def tickByTickAllLast( # : Override the EWrapper aggressor_side=AggressorSide.NO_AGGRESSOR, trade_id=generate_trade_id(ts_event=ts_event, price=price, size=size), ts_event=ts_event, - ts_init=max( - self._clock.timestamp_ns(), - ts_event, - ), # fix for failed invariant: `ts_event` > `ts_init` + ts_init=max(self._clock.timestamp_ns(), ts_event), # `ts_event` <= `ts_init` ) + self._handle_data(trade_tick) # -- Options ----------------------------------------------------------------------------------------- @@ -1115,24 +1124,27 @@ async def get_historical_bars( def historicalData(self, req_id: int, bar: BarData): # : Override the EWrapper self.logAnswer(current_fn_name(), vars()) if request := self.requests.get(req_id=req_id): - is_request = True + bar_type = BarType.from_str(request.name) + bar = self._ib_bar_to_nautilus_bar( + bar_type=bar_type, + bar=bar, + ts_init=self._ib_bar_to_ts_init(bar, bar_type), + ) + if bar: + request.result.append(bar) elif request := self.subscriptions.get(req_id=req_id): - is_request = False + bar = self._process_bar_data( + bar_type_str=request.name, + bar=bar, + handle_revised_bars=False, + historical=True, + ) + if bar: + self._handle_data(bar) else: self._log.debug(f"Received {bar=} on {req_id=}") return - bar = self._process_bar_data( - bar_type_str=request.name, - bar=bar, - handle_revised_bars=False, - historical=True, - ) - if bar and is_request: - request.result.append(bar) - elif bar: - self._handle_data(bar) - def historicalDataEnd(self, req_id: int, start: str, end: str): # : Override the EWrapper self.logAnswer(current_fn_name(), vars()) self._end_request(req_id) @@ -1237,15 +1249,36 @@ def _process_bar_data( return None # Wait for bar to close if historical: - ts_init = ( - pd.Timestamp.fromtimestamp(int(bar.date), "UTC").value - + pd.Timedelta(bar_type.spec.timedelta).value - ) + ts_init = self._ib_bar_to_ts_init(bar, bar_type) if ts_init >= self._clock.timestamp_ns(): return None # The bar is incomplete # Process the bar + bar = self._ib_bar_to_nautilus_bar( + bar_type=bar_type, + bar=bar, + ts_init=ts_init, + is_revision=not is_new_bar, + ) + return bar + + @staticmethod + def _ib_bar_to_ts_init(bar: BarData, bar_type: BarType) -> int: + ts_init = ( + pd.Timestamp.fromtimestamp(int(bar.date), tz=pytz.utc).value + + pd.Timedelta(bar_type.spec.timedelta).value + ) + return ts_init + + def _ib_bar_to_nautilus_bar( + self, + bar_type: BarType, + bar: BarData, + ts_init: int, + is_revision: bool = False, + ) -> Bar: instrument = self._cache.instrument(bar_type.instrument_id) + bar = Bar( bar_type=bar_type, open=instrument.make_price(bar.open), @@ -1253,10 +1286,11 @@ def _process_bar_data( low=instrument.make_price(bar.low), close=instrument.make_price(bar.close), volume=instrument.make_qty(0 if bar.volume == -1 else bar.volume), - ts_event=pd.Timestamp.fromtimestamp(int(bar.date), "UTC").value, + ts_event=pd.Timestamp.fromtimestamp(int(bar.date), tz=pytz.utc).value, ts_init=ts_init, - is_revision=not is_new_bar, + is_revision=is_revision, ) + return bar async def get_historical_ticks( @@ -1297,18 +1331,20 @@ def historicalTicksBidAsk(self, req_id: int, ticks: list, done: bool): if request := self.requests.get(req_id=req_id): instrument_id = InstrumentId.from_str(request.name[0]) instrument = self._cache.instrument(instrument_id) + for tick in ticks: - ts_event = pd.Timestamp.fromtimestamp(tick.time, "UTC").value + ts_event = pd.Timestamp.fromtimestamp(tick.time, tz=pytz.utc).value quote_tick = QuoteTick( instrument_id=instrument_id, bid_price=instrument.make_price(tick.priceBid), ask_price=instrument.make_price(tick.priceAsk), - bid_size=instrument.make_qty(tick.sizeBid), - ask_size=instrument.make_qty(tick.sizeAsk), + bid_size=instrument.make_price(tick.sizeBid), + ask_size=instrument.make_price(tick.sizeAsk), ts_event=ts_event, ts_init=ts_event, ) request.result.append(quote_tick) + self._end_request(req_id) def historicalTicksLast(self, req_id: int, ticks: list, done: bool): @@ -1323,8 +1359,9 @@ def _process_trade_ticks(self, req_id: int, ticks: list): if request := self.requests.get(req_id=req_id): instrument_id = InstrumentId.from_str(request.name[0]) instrument = self._cache.instrument(instrument_id) + for tick in ticks: - ts_event = pd.Timestamp.fromtimestamp(tick.time, "UTC").value + ts_event = pd.Timestamp.fromtimestamp(tick.time, tz=pytz.utc).value trade_tick = TradeTick( instrument_id=instrument_id, price=instrument.make_price(tick.price), @@ -1396,6 +1433,7 @@ def realtimeBar( # : Override the EWrapper return bar_type = BarType.from_str(subscription.name) instrument = self._cache.instrument(bar_type.instrument_id) + bar = Bar( bar_type=bar_type, open=instrument.make_price(open_), @@ -1403,10 +1441,11 @@ def realtimeBar( # : Override the EWrapper low=instrument.make_price(low), close=instrument.make_price(close), volume=instrument.make_qty(0 if volume == -1 else volume), - ts_event=pd.Timestamp.fromtimestamp(time, "UTC").value, + ts_event=pd.Timestamp.fromtimestamp(time, tz=pytz.utc).value, ts_init=self._clock.timestamp_ns(), is_revision=False, ) + self._handle_data(bar) # -- Fundamental Data -------------------------------------------------------------------------------- diff --git a/nautilus_trader/adapters/interactive_brokers/data.py b/nautilus_trader/adapters/interactive_brokers/data.py index 7027b5b5861c..3ccbd37d3700 100644 --- a/nautilus_trader/adapters/interactive_brokers/data.py +++ b/nautilus_trader/adapters/interactive_brokers/data.py @@ -24,10 +24,10 @@ from nautilus_trader.adapters.interactive_brokers.common import IB_VENUE from nautilus_trader.adapters.interactive_brokers.common import IBContract from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersDataClientConfig +from nautilus_trader.adapters.interactive_brokers.parsing.data import timedelta_to_duration_str from nautilus_trader.adapters.interactive_brokers.providers import InteractiveBrokersInstrumentProvider from nautilus_trader.cache.cache import Cache from nautilus_trader.common.clock import LiveClock -from nautilus_trader.common.enums import LogColor from nautilus_trader.common.logging import Logger from nautilus_trader.core.uuid import UUID4 from nautilus_trader.live.data_client import LiveMarketDataClient @@ -223,7 +223,7 @@ async def _subscribe_bars(self, bar_type: BarType): handle_revised_bars=self._handle_revised_bars, ) - async def _subscribe_instrument_status_updates(self, instrument_id: InstrumentId) -> None: + async def _subscribe_instrument_status(self, instrument_id: InstrumentId) -> None: pass # Subscribed as part of orderbook async def _subscribe_instrument_close(self, instrument_id: InstrumentId) -> None: @@ -271,7 +271,7 @@ async def _unsubscribe_bars(self, bar_type: BarType) -> None: else: await self._client.unsubscribe_historical_bars(bar_type) - async def _unsubscribe_instrument_status_updates(self, instrument_id: InstrumentId) -> None: + async def _unsubscribe_instrument_status(self, instrument_id: InstrumentId) -> None: pass # Subscribed as part of orderbook async def _unsubscribe_instrument_close(self, instrument_id: InstrumentId) -> None: @@ -401,31 +401,26 @@ async def _request_bars( ) return - if bar_type.is_internally_aggregated(): - self._log.error( - f"Cannot request {bar_type}: " - f"only historical bars with EXTERNAL aggregation available from InteractiveBrokers.", - ) - return - if not bar_type.spec.is_time_aggregated(): self._log.error( f"Cannot request {bar_type}: only time bars are aggregated by InteractiveBrokers.", ) return - if not start: - limit = self._cache.bar_capacity + if not start and limit == 0: + limit = 1000 if not end: end = pd.Timestamp.utcnow() - duration_str = "7 D" if bar_type.spec.timedelta.total_seconds() >= 60 else "1 D" + if start: + duration = end - start + duration_str = timedelta_to_duration_str(duration) + else: + duration_str = "7 D" if bar_type.spec.timedelta.total_seconds() >= 60 else "1 D" + bars: list[Bar] = [] - while (start and end > start) or (len(bars) < limit): - self._log.info(f"{start=}", LogColor.MAGENTA) - self._log.info(f"{end=}", LogColor.MAGENTA) - self._log.info(f"{limit=}", LogColor.MAGENTA) + while (start and end > start) or (len(bars) < limit > 0): bars_part = await self._client.get_historical_bars( bar_type=bar_type, contract=IBContract(**instrument.info["contract"]), @@ -433,11 +428,10 @@ async def _request_bars( end_date_time=end.strftime("%Y%m%d %H:%M:%S %Z"), duration=duration_str, ) - if not bars_part: - break bars.extend(bars_part) + if not bars_part or start: + break end = pd.Timestamp(min(bars, key=attrgetter("ts_event")).ts_event, tz="UTC") - self._log.info(f"NEW {end=}", LogColor.MAGENTA) if bars: bars = list(set(bars)) diff --git a/nautilus_trader/adapters/interactive_brokers/execution.py b/nautilus_trader/adapters/interactive_brokers/execution.py index ff3513b4c14d..104cf9983e98 100644 --- a/nautilus_trader/adapters/interactive_brokers/execution.py +++ b/nautilus_trader/adapters/interactive_brokers/execution.py @@ -287,7 +287,7 @@ async def _parse_ib_order_to_order_status_report(self, ib_order: IBOrder): order_status = map_order_status[ib_order.order_state.status] ts_init = self._clock.timestamp_ns() price = ( - None if ib_order.lmtPrice == UNSET_DOUBLE else Price.from_str(str(ib_order.lmtPrice)) + None if ib_order.lmtPrice == UNSET_DOUBLE else instrument.make_price(ib_order.lmtPrice) ) expire_time = ( timestring_to_timestamp(ib_order.goodTillDate) if ib_order.tif == "GTD" else None @@ -314,7 +314,7 @@ async def _parse_ib_order_to_order_status_report(self, ib_order: IBOrder): # contingency_type=, expire_time=expire_time, price=price, - trigger_price=Price.from_str(str(ib_order.auxPrice)), + trigger_price=instrument.make_price(ib_order.auxPrice), trigger_type=TriggerType.BID_ASK, # limit_offset=, # trailing_offset=, @@ -648,10 +648,11 @@ def _on_account_summary(self, tag: str, value: str, currency: str): continue if self._account_summary_tags - set(self._account_summary[currency].keys()) == set(): self._log.info(f"{self._account_summary}", LogColor.GREEN) - free = self._account_summary[currency]["FullAvailableFunds"] + # free = self._account_summary[currency]["FullAvailableFunds"] locked = self._account_summary[currency]["FullMaintMarginReq"] - # total = self._account_summary[currency]["NetLiquidation"] - total = 400000 # TODO: Bug; Cannot recalculate balance when no current balance + total = self._account_summary[currency]["NetLiquidation"] + if total - locked < locked: + total = 400000 # TODO: Bug; Cannot recalculate balance when no current balance free = total - locked account_balance = AccountBalance( total=Money(total, Currency.from_str(currency)), @@ -732,6 +733,10 @@ def _handle_order_event( ts_event=self._clock.timestamp_ns(), ) + async def handle_order_status_report(self, ib_order: IBOrder): + report = await self._parse_ib_order_to_order_status_report(ib_order) + self._send_order_status_report(report) + def _on_open_order(self, order_ref: str, order: IBOrder, order_state: IBOrderState): if not order.orderRef: self._log.warning( @@ -739,10 +744,7 @@ def _on_open_order(self, order_ref: str, order: IBOrder, order_state: IBOrderSta ) return if not (nautilus_order := self._cache.order(ClientOrderId(order_ref))): - # report = await self._parse_ib_order_to_order_status_report(order) - self._log.warning( - "Placeholder to claim external Orders during runtime using OrderStatusReport.", - ) + self.create_task(self.handle_order_status_report(order)) return if order.whatIf and order_state.status == "PreSubmitted": diff --git a/nautilus_trader/persistence/external/__init__.py b/nautilus_trader/adapters/interactive_brokers/historic/__init__.py similarity index 100% rename from nautilus_trader/persistence/external/__init__.py rename to nautilus_trader/adapters/interactive_brokers/historic/__init__.py diff --git a/nautilus_trader/adapters/interactive_brokers/historic/async_actor.py b/nautilus_trader/adapters/interactive_brokers/historic/async_actor.py new file mode 100644 index 000000000000..af12449de364 --- /dev/null +++ b/nautilus_trader/adapters/interactive_brokers/historic/async_actor.py @@ -0,0 +1,140 @@ +#!/usr/bin/env python3 +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import asyncio +import functools + +# fmt: off +from collections.abc import Coroutine +from typing import Callable, Optional + +import async_timeout + +from nautilus_trader.common.actor import Actor +from nautilus_trader.common.actor import ActorConfig +from nautilus_trader.common.clock import LiveClock +from nautilus_trader.config.common import Environment +from nautilus_trader.core.rust.common import LogColor +from nautilus_trader.core.uuid import UUID4 + + +# fmt: on + + +class AsyncActor(Actor): + def __init__(self, config: ActorConfig): + super().__init__(config) + + self.environment: Optional[Environment] = Environment.BACKTEST + + # Hot Cache + self._pending_async_requests: dict[UUID4, asyncio.Event] = {} + + # Initialized in on_start + self._loop: Optional[asyncio.AbstractEventLoop] = None + + def on_start(self): + if isinstance(self.clock, LiveClock): + self.environment = Environment.LIVE + + if self.environment == Environment.LIVE: + self._loop = asyncio.get_running_loop() + self.create_task(self._on_start()) + else: + asyncio.run(self._on_start()) + + async def _on_start(self): + raise NotImplementedError( # pragma: no cover + "implement the `_on_start` coroutine", # pragma: no cover + ) + + def _finish_response(self, request_id: UUID4): + super()._finish_response(request_id) + if request_id in self._pending_async_requests.keys(): + self._pending_async_requests[request_id].set() + + async def await_request(self, request_id: UUID4, timeout: int = 30): + self._pending_async_requests[request_id] = asyncio.Event() + try: + async with async_timeout.timeout(timeout): + await self._pending_async_requests[request_id].wait() + except asyncio.TimeoutError: + self.log.error(f"Failed to download data for {request_id}") + del self._pending_async_requests[request_id] + + def create_task( + self, + coro: Coroutine, + log_msg: Optional[str] = None, + actions: Optional[Callable] = None, + success: Optional[str] = None, + ) -> asyncio.Task: + """ + Run the given coroutine with error handling and optional callback actions when + done. + + Parameters + ---------- + coro : Coroutine + The coroutine to run. + log_msg : str, optional + The log message for the task. + actions : Callable, optional + The actions callback to run when the coroutine is done. + success : str, optional + The log message to write on actions success. + + Returns + ------- + asyncio.Task + + """ + log_msg = log_msg or coro.__name__ + self._log.debug(f"Creating task {log_msg}.") + task = self._loop.create_task( + coro, + name=coro.__name__, + ) + task.add_done_callback( + functools.partial( + self._on_task_completed, + actions, + success, + ), + ) + return task + + def _on_task_completed( + self, + actions: Optional[Callable], + success: Optional[str], + task: asyncio.Task, + ) -> None: + if task.exception(): + self._log.error( + f"Error on `{task.get_name()}`: " f"{task.exception()!r}", + ) + else: + if actions: + try: + actions() + except Exception as e: + self._log.error( + f"Failed triggering action {actions.__name__} on `{task.get_name()}`: " + f"{e!r}", + ) + if success: + self._log.info(success, LogColor.GREEN) diff --git a/nautilus_trader/adapters/interactive_brokers/historic/bar_data.py b/nautilus_trader/adapters/interactive_brokers/historic/bar_data.py new file mode 100644 index 000000000000..75a9d724f5ad --- /dev/null +++ b/nautilus_trader/adapters/interactive_brokers/historic/bar_data.py @@ -0,0 +1,115 @@ +#!/usr/bin/env python3 +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +from typing import Callable, Optional + +import pandas as pd + +# fmt: off +from nautilus_trader.adapters.interactive_brokers.historic.async_actor import AsyncActor +from nautilus_trader.common.actor import ActorConfig +from nautilus_trader.core.correctness import PyCondition +from nautilus_trader.model.data.bar import Bar +from nautilus_trader.model.data.bar import BarType + + +# fmt: on + + +class BarDataDownloaderConfig(ActorConfig): + """ + Configuration for `BarDataDownloader` instances. + """ + + start_iso_ts: str + end_iso_ts: str + bar_types: list[str] + handler: Callable + freq: str = "1W" + + +class BarDataDownloader(AsyncActor): + def __init__(self, config: BarDataDownloaderConfig): + super().__init__(config) + try: + self.start_time: pd.Timestamp = pd.to_datetime( + config.start_iso_ts, + format="%Y-%m-%dT%H:%M:%S%z", + ) + self.end_time: pd.Timestamp = pd.to_datetime( + config.end_iso_ts, + format="%Y-%m-%dT%H:%M:%S%z", + ) + except ValueError: + raise ValueError("`start_iso_ts` and `end_iso_ts` must be like '%Y-%m-%dT%H:%M:%S%z'") + + self.bar_types: list[BarType] = [] + for bar_type in config.bar_types: + self.bar_types.append(BarType.from_str(bar_type)) + + self.handler: Optional[Callable] = config.handler + self.freq: str = config.freq + + async def _on_start(self): + instrument_ids = {bar_type.instrument_id for bar_type in self.bar_types} + for instrument_id in instrument_ids: + request_id = self.request_instrument(instrument_id) + await self.await_request(request_id) + + request_dates = list(pd.date_range(self.start_time, self.end_time, freq=self.freq)) + + for request_date in request_dates: + for bar_type in self.bar_types: + request_id = self.request_bars( + bar_type=bar_type, + start=request_date, + end=request_date + pd.Timedelta(self.freq), + ) + await self.await_request(request_id) + + self.stop() + + def handle_bars(self, bars: list): + """ + Handle the given historical bar data by handling each bar individually. + + Parameters + ---------- + bars : list[Bar] + The bars to handle. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + PyCondition.not_none(bars, "bars") # Can be empty + + length = len(bars) + first: Bar = bars[0] if length > 0 else None + last: Bar = bars[length - 1] if length > 0 else None + + if length > 0: + self._log.info(f"Received data for {first.bar_type}.") + else: + self._log.error(f"Received data for unknown bar type.") + return + + if length > 0 and first.ts_init > last.ts_init: + raise RuntimeError(f"cannot handle data: incorrectly sorted") + + # Send Bars response as a whole to handler + self.handler(bars) diff --git a/nautilus_trader/adapters/interactive_brokers/parsing/instruments.py b/nautilus_trader/adapters/interactive_brokers/parsing/instruments.py index a861ec72b988..41a424e30882 100644 --- a/nautilus_trader/adapters/interactive_brokers/parsing/instruments.py +++ b/nautilus_trader/adapters/interactive_brokers/parsing/instruments.py @@ -208,7 +208,7 @@ def parse_options_contract( multiplier=Quantity.from_str(details.contract.multiplier), lot_size=Quantity.from_int(1), underlying=details.underSymbol, - strike_price=Price.from_str(str(details.contract.strike)), + strike_price=Price(details.contract.strike, price_precision), expiry_date=datetime.datetime.strptime( details.contract.lastTradeDateOrContractMonth, "%Y%m%d", diff --git a/nautilus_trader/adapters/sandbox/config.py b/nautilus_trader/adapters/sandbox/config.py index 0751193dc613..29eab0af57d9 100644 --- a/nautilus_trader/adapters/sandbox/config.py +++ b/nautilus_trader/adapters/sandbox/config.py @@ -16,7 +16,7 @@ from nautilus_trader.config import LiveExecClientConfig -class SandboxExecutionClientConfig(LiveExecClientConfig, frozen=True): +class SandboxExecutionClientConfig(LiveExecClientConfig, frozen=True, kw_only=True): """ Configuration for ``SandboxExecClient`` instances. @@ -31,6 +31,6 @@ class SandboxExecutionClientConfig(LiveExecClientConfig, frozen=True): """ - venue: str # type: ignore - currency: str # type: ignore - balance: int # type: ignore + venue: str + currency: str + balance: int diff --git a/tests/unit_tests/persistence/external/__init__.py b/nautilus_trader/adapters/tardis/__init__.py similarity index 92% rename from tests/unit_tests/persistence/external/__init__.py rename to nautilus_trader/adapters/tardis/__init__.py index ca16b56e4794..eac6f851d935 100644 --- a/tests/unit_tests/persistence/external/__init__.py +++ b/nautilus_trader/adapters/tardis/__init__.py @@ -12,3 +12,6 @@ # See the License for the specific language governing permissions and # limitations under the License. # ------------------------------------------------------------------------------------------------- +""" +Provides a data integration for Tardis https://tardis.dev/. +""" diff --git a/nautilus_trader/adapters/tardis/loaders.py b/nautilus_trader/adapters/tardis/loaders.py new file mode 100644 index 000000000000..b5b81b15c9fd --- /dev/null +++ b/nautilus_trader/adapters/tardis/loaders.py @@ -0,0 +1,95 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +from __future__ import annotations + +from datetime import datetime +from os import PathLike + +import pandas as pd + + +def _ts_parser(time_in_secs: str) -> datetime: + return datetime.utcfromtimestamp(int(time_in_secs) / 1_000_000.0) + + +class TardisTradeDataLoader: + """ + Provides a means of loading trade data pandas DataFrames from Tardis CSV files. + """ + + @staticmethod + def load(file_path: PathLike[str] | str) -> pd.DataFrame: + """ + Return the trade pandas.DataFrame loaded from the given csv file. + + Parameters + ---------- + file_path : str, path object or file-like object + The path to the CSV file. + + Returns + ------- + pd.DataFrame + + """ + df = pd.read_csv(file_path) + df["local_timestamp"] = df["local_timestamp"].apply(_ts_parser) + df = df.set_index("local_timestamp") + + df = df.rename(columns={"id": "trade_id", "amount": "quantity"}) + df["side"] = df.side.str.upper() + df = df[["symbol", "trade_id", "price", "quantity", "side"]] + + assert isinstance(df, pd.DataFrame) + + return df + + +class TardisQuoteDataLoader: + """ + Provides a means of loading quote tick data pandas DataFrames from Tardis CSV files. + """ + + @staticmethod + def load(file_path: PathLike[str] | str) -> pd.DataFrame: + """ + Return the quote pandas.DataFrame loaded from the given csv file. + + Parameters + ---------- + file_path : str, path object or file-like object + The path to the CSV file. + + Returns + ------- + pd.DataFrame + + """ + df = pd.read_csv(file_path) + df["local_timestamp"] = df["local_timestamp"].apply(_ts_parser) + df = df.set_index("local_timestamp") + + df = df.rename( + columns={ + "ask_amount": "ask_size", + "bid_amount": "bid_size", + }, + ) + + df = df[["bid_price", "ask_price", "bid_size", "ask_size"]] + assert isinstance(df, pd.DataFrame) + + return df diff --git a/nautilus_trader/analysis/reporter.py b/nautilus_trader/analysis/reporter.py index b8ff2fd7ba10..21f3ac2ebf3c 100644 --- a/nautilus_trader/analysis/reporter.py +++ b/nautilus_trader/analysis/reporter.py @@ -20,8 +20,8 @@ from nautilus_trader.accounting.accounts.base import Account from nautilus_trader.core.datetime import unix_nanos_to_dt -from nautilus_trader.model.enums import OrderStatus from nautilus_trader.model.events import AccountState +from nautilus_trader.model.events import OrderFilled from nautilus_trader.model.orders import Order from nautilus_trader.model.position import Position @@ -58,6 +58,8 @@ def generate_order_fills_report(orders: list[Order]) -> pd.DataFrame: """ Generate an order fills report. + This report provides a row per order. + Parameters ---------- orders : list[Order] @@ -71,7 +73,7 @@ def generate_order_fills_report(orders: list[Order]) -> pd.DataFrame: if not orders: return pd.DataFrame() - filled_orders = [o.to_dict() for o in orders if o.status == OrderStatus.FILLED] + filled_orders = [o.to_dict() for o in orders if o.filled_qty > 0] if not filled_orders: return pd.DataFrame() @@ -81,6 +83,39 @@ def generate_order_fills_report(orders: list[Order]) -> pd.DataFrame: return report + @staticmethod + def generate_fills_report(orders: list[Order]) -> pd.DataFrame: + """ + Generate a fills report. + + This report provides a row per individual fill event. + + Parameters + ---------- + orders : list[Order] + The orders for the report. + + Returns + ------- + pd.DataFrame + + """ + if not orders: + return pd.DataFrame() + + fills = [ + OrderFilled.to_dict(e) for o in orders for e in o.events if isinstance(e, OrderFilled) + ] + if not fills: + return pd.DataFrame() + + report = pd.DataFrame(data=fills).set_index("client_order_id").sort_index() + report["ts_event"] = [unix_nanos_to_dt(ts_last or 0) for ts_last in report["ts_event"]] + report["ts_init"] = [unix_nanos_to_dt(ts_init) for ts_init in report["ts_init"]] + del report["type"] + + return report + @staticmethod def generate_positions_report(positions: list[Position]) -> pd.DataFrame: """ diff --git a/nautilus_trader/backtest/data_client.pyx b/nautilus_trader/backtest/data_client.pyx index cf31054c7c67..0a013a187c5c 100644 --- a/nautilus_trader/backtest/data_client.pyx +++ b/nautilus_trader/backtest/data_client.pyx @@ -267,16 +267,16 @@ cdef class BacktestMarketDataClient(MarketDataClient): self._add_subscription_bars(bar_type) # Do nothing else for backtest - cpdef void subscribe_venue_status_updates(self, Venue venue): + cpdef void subscribe_venue_status(self, Venue venue): Condition.not_none(venue, "venue") - self._add_subscription_venue_status_updates(venue) + self._add_subscription_venue_status(venue) # Do nothing else for backtest - cpdef void subscribe_instrument_status_updates(self, InstrumentId instrument_id): + cpdef void subscribe_instrument_status(self, InstrumentId instrument_id): Condition.not_none(instrument_id, "instrument_id") - self._add_subscription_instrument_status_updates(instrument_id) + self._add_subscription_instrument_status(instrument_id) # Do nothing else for backtest cpdef void subscribe_instrument_close(self, InstrumentId instrument_id): @@ -331,16 +331,16 @@ cdef class BacktestMarketDataClient(MarketDataClient): self._remove_subscription_bars(bar_type) # Do nothing else for backtest - cpdef void unsubscribe_instrument_status_updates(self, InstrumentId instrument_id): + cpdef void unsubscribe_instrument_status(self, InstrumentId instrument_id): Condition.not_none(instrument_id, "instrument_id") - self._remove_subscription_instrument_status_updates(instrument_id) + self._remove_subscription_instrument_status(instrument_id) # Do nothing else for backtest - cpdef void unsubscribe_venue_status_updates(self, Venue venue): + cpdef void unsubscribe_venue_status(self, Venue venue): Condition.not_none(venue, "venue") - self._remove_subscription_venue_status_updates(venue) + self._remove_subscription_venue_status(venue) cpdef void unsubscribe_instrument_close(self, InstrumentId instrument_id): Condition.not_none(instrument_id, "instrument_id") diff --git a/nautilus_trader/backtest/engine.pyx b/nautilus_trader/backtest/engine.pyx index 191e0af313f9..efb4d16a1f74 100644 --- a/nautilus_trader/backtest/engine.pyx +++ b/nautilus_trader/backtest/engine.pyx @@ -29,7 +29,9 @@ from nautilus_trader.config import DataEngineConfig from nautilus_trader.config import ExecEngineConfig from nautilus_trader.config import RiskEngineConfig from nautilus_trader.config.error import InvalidConfiguration +from nautilus_trader.model.data import NAUTILUS_PYO3_DATA_TYPES from nautilus_trader.system.kernel import NautilusKernel +from nautilus_trader.trading.trader import Trader from cpython.datetime cimport datetime from libc.stdint cimport uint64_t @@ -69,10 +71,10 @@ from nautilus_trader.model.data.bar cimport Bar from nautilus_trader.model.data.base cimport GenericData from nautilus_trader.model.data.book cimport OrderBookDelta from nautilus_trader.model.data.book cimport OrderBookDeltas +from nautilus_trader.model.data.status cimport InstrumentStatus +from nautilus_trader.model.data.status cimport VenueStatus from nautilus_trader.model.data.tick cimport QuoteTick from nautilus_trader.model.data.tick cimport TradeTick -from nautilus_trader.model.data.venue cimport InstrumentStatusUpdate -from nautilus_trader.model.data.venue cimport VenueStatusUpdate from nautilus_trader.model.enums_c cimport AccountType from nautilus_trader.model.enums_c cimport AggregationSource from nautilus_trader.model.enums_c cimport BookType @@ -87,7 +89,6 @@ from nautilus_trader.model.objects cimport Currency from nautilus_trader.model.objects cimport Money from nautilus_trader.portfolio.base cimport PortfolioFacade from nautilus_trader.trading.strategy cimport Strategy -from nautilus_trader.trading.trader cimport Trader cdef class BacktestEngine: @@ -354,7 +355,7 @@ cdef class BacktestEngine: modules: Optional[list[SimulationModule]] = None, fill_model: Optional[FillModel] = None, latency_model: Optional[LatencyModel] = None, - book_type: BookType = BookType.L1_TBBO, + book_type: BookType = BookType.L1_MBP, routing: bool = False, frozen_account: bool = False, bar_execution: bool = True, @@ -390,7 +391,7 @@ cdef class BacktestEngine: The fill model for the exchange. latency_model : LatencyModel, optional The latency model for the exchange. - book_type : BookType, default ``BookType.L1_TBBO`` + book_type : BookType, default ``BookType.L1_MBP`` The default order book type for fill modelling. routing : bool, default False If multi-venue routing should be enabled for the execution client. @@ -545,7 +546,13 @@ cdef class BacktestEngine: self._log.info(f"Added {instrument.id} Instrument.") - def add_data(self, list data, ClientId client_id = None) -> None: + def add_data( + self, + list data, + ClientId client_id = None, + bint validate = True, + bint sort = True, + ) -> None: """ Add the given data to the backtest engine. @@ -555,6 +562,12 @@ cdef class BacktestEngine: The data to add. client_id : ClientId, optional The data client ID to associate with generic data. + validate : bool, default True + If `data` should be validated + (recommended when adding data directly to the engine). + sort : bool, default True + If `data` should be sorted by `ts_init` with the rest of the stream after adding + (recommended when adding data directly to the engine). Raises ------ @@ -566,54 +579,69 @@ cdef class BacktestEngine: If `instrument_id` for the data is not found in the cache. ValueError If `data` elements do not have an `instrument_id` and `client_id` is ``None``. + TypeError + If `data` is a type provided by Rust pyo3 (cannot add directly to engine yet). Warnings -------- Assumes all data elements are of the same type. Adding lists of varying data types could result in incorrect backtest logic. + Caution if adding data without `sort` being True, as this could lead to running backtests + on a stream which does not have monotonically increasing timestamps. + """ Condition.not_empty(data, "data") Condition.list_type(data, Data, "data") - first = data[0] - - cdef str data_prepend_str = "" - if hasattr(first, "instrument_id"): - Condition.true( - first.instrument_id in self.kernel.cache.instrument_ids(), - f"`Instrument` {first.instrument_id} for the given data not found in the cache. " - "Add the instrument through `add_instrument()` prior to adding related data.", - ) - # Check client has been registered - self._add_market_data_client_if_not_exists(first.instrument_id.venue) - data_prepend_str = f"{first.instrument_id} " - elif isinstance(first, Bar): - Condition.true( - first.bar_type.instrument_id in self.kernel.cache.instrument_ids(), - f"`Instrument` {first.bar_type.instrument_id} for the given data not found in the cache. " - "Add the instrument through `add_instrument()` prior to adding related data.", + if isinstance(data[0], NAUTILUS_PYO3_DATA_TYPES): + raise TypeError( + f"Cannot add data of type `{type(data[0]).__name__}` from pyo3 directly to engine. " + "This will supported in a future release.", ) - Condition.equal( - first.bar_type.aggregation_source, - AggregationSource.EXTERNAL, - "bar_type.aggregation_source", - "required source", - ) - data_prepend_str = f"{first.bar_type} " - else: - Condition.not_none(client_id, "client_id") - # Check client has been registered - self._add_data_client_if_not_exists(client_id) - if isinstance(first, GenericData): - data_prepend_str = f"{type(data[0].data).__name__} " + + cdef str data_added_str = "data" + + if validate: + first = data[0] + + if hasattr(first, "instrument_id"): + Condition.true( + first.instrument_id in self.kernel.cache.instrument_ids(), + f"`Instrument` {first.instrument_id} for the given data not found in the cache. " + "Add the instrument through `add_instrument()` prior to adding related data.", + ) + # Check client has been registered + self._add_market_data_client_if_not_exists(first.instrument_id.venue) + data_added_str = f"{first.instrument_id} {type(first).__name__}" + elif isinstance(first, Bar): + Condition.true( + first.bar_type.instrument_id in self.kernel.cache.instrument_ids(), + f"`Instrument` {first.bar_type.instrument_id} for the given data not found in the cache. " + "Add the instrument through `add_instrument()` prior to adding related data.", + ) + Condition.equal( + first.bar_type.aggregation_source, + AggregationSource.EXTERNAL, + "bar_type.aggregation_source", + "required source", + ) + data_added_str = f"{first.bar_type} {type(first).__name__}" + else: + Condition.not_none(client_id, "client_id") + # Check client has been registered + self._add_data_client_if_not_exists(client_id) + if isinstance(first, GenericData): + data_added_str = f"{type(first.data).__name__} " # Add data - self._data = sorted(self._data + data, key=lambda x: x.ts_init) + self._data.extend(data) + + if sort: + self._data = sorted(self._data, key=lambda x: x.ts_init) self._log.info( - f"Added {len(data):,} {data_prepend_str}" - f"{type(first).__name__} element{'' if len(data) == 1 else 's'}.", + f"Added {len(data):,} {data_added_str} element{'' if len(data) == 1 else 's'}.", ) def dump_pickled_data(self) -> bytes: @@ -1026,6 +1054,7 @@ cdef class BacktestEngine: cdef uint64_t raw_handlers_count = 0 cdef Data data = self._next() cdef CVec raw_handlers + cdef SimulatedExchange venue try: while data is not None: if data.ts_init > end_ns: @@ -1038,19 +1067,26 @@ cdef class BacktestEngine: # Process data through venue if isinstance(data, OrderBookDelta): - self._venues[data.instrument_id.venue].process_order_book_delta(data) + venue = self._venues[data.instrument_id.venue] + venue.process_order_book_delta(data) elif isinstance(data, OrderBookDeltas): - self._venues[data.instrument_id.venue].process_order_book_deltas(data) + venue = self._venues[data.instrument_id.venue] + venue.process_order_book_deltas(data) elif isinstance(data, QuoteTick): - self._venues[data.instrument_id.venue].process_quote_tick(data) + venue = self._venues[data.instrument_id.venue] + venue.process_quote_tick(data) elif isinstance(data, TradeTick): - self._venues[data.instrument_id.venue].process_trade_tick(data) + venue = self._venues[data.instrument_id.venue] + venue.process_trade_tick(data) elif isinstance(data, Bar): - self._venues[data.bar_type.instrument_id.venue].process_bar(data) - elif isinstance(data, VenueStatusUpdate): - self._venues[data.venue].process_venue_status(data) - elif isinstance(data, InstrumentStatusUpdate): - self._venues[data.instrument_id.venue].process_instrument_status(data) + venue = self._venues[data.bar_type.instrument_id.venue] + venue.process_bar(data) + elif isinstance(data, VenueStatus): + venue = self._venues[data.venue] + venue.process_venue_status(data) + elif isinstance(data, InstrumentStatus): + venue = self._venues[data.instrument_id.venue] + venue.process_instrument_status(data) self._data_engine.process(data) diff --git a/nautilus_trader/backtest/exchange.pxd b/nautilus_trader/backtest/exchange.pxd index b53902584b2a..e0190bb2518c 100644 --- a/nautilus_trader/backtest/exchange.pxd +++ b/nautilus_trader/backtest/exchange.pxd @@ -29,10 +29,10 @@ from nautilus_trader.model.currency cimport Currency from nautilus_trader.model.data.bar cimport Bar from nautilus_trader.model.data.book cimport OrderBookDelta from nautilus_trader.model.data.book cimport OrderBookDeltas +from nautilus_trader.model.data.status cimport InstrumentStatus +from nautilus_trader.model.data.status cimport VenueStatus from nautilus_trader.model.data.tick cimport QuoteTick from nautilus_trader.model.data.tick cimport TradeTick -from nautilus_trader.model.data.venue cimport InstrumentStatusUpdate -from nautilus_trader.model.data.venue cimport VenueStatusUpdate from nautilus_trader.model.enums_c cimport AccountType from nautilus_trader.model.enums_c cimport BookType from nautilus_trader.model.enums_c cimport OmsType @@ -131,8 +131,8 @@ cdef class SimulatedExchange: cpdef void process_quote_tick(self, QuoteTick tick) cpdef void process_trade_tick(self, TradeTick tick) cpdef void process_bar(self, Bar bar) - cpdef void process_venue_status(self, VenueStatusUpdate update) - cpdef void process_instrument_status(self, InstrumentStatusUpdate update) + cpdef void process_venue_status(self, VenueStatus data) + cpdef void process_instrument_status(self, InstrumentStatus data) cpdef void process(self, uint64_t ts_now) cpdef void reset(self) diff --git a/nautilus_trader/backtest/exchange.pyx b/nautilus_trader/backtest/exchange.pyx index 7cd6bd4a2db3..25dcb46154f5 100644 --- a/nautilus_trader/backtest/exchange.pyx +++ b/nautilus_trader/backtest/exchange.pyx @@ -32,16 +32,17 @@ from nautilus_trader.cache.base cimport CacheFacade from nautilus_trader.common.clock cimport TestClock from nautilus_trader.common.logging cimport Logger from nautilus_trader.core.correctness cimport Condition +from nautilus_trader.execution.messages cimport BatchCancelOrders from nautilus_trader.execution.messages cimport CancelAllOrders from nautilus_trader.execution.messages cimport CancelOrder from nautilus_trader.execution.messages cimport ModifyOrder from nautilus_trader.execution.messages cimport SubmitOrder from nautilus_trader.execution.messages cimport SubmitOrderList from nautilus_trader.execution.messages cimport TradingCommand +from nautilus_trader.model.data.status cimport InstrumentStatus +from nautilus_trader.model.data.status cimport VenueStatus from nautilus_trader.model.data.tick cimport QuoteTick from nautilus_trader.model.data.tick cimport TradeTick -from nautilus_trader.model.data.venue cimport InstrumentStatusUpdate -from nautilus_trader.model.data.venue cimport VenueStatusUpdate from nautilus_trader.model.enums_c cimport AccountType from nautilus_trader.model.enums_c cimport BookType from nautilus_trader.model.enums_c cimport OmsType @@ -141,7 +142,7 @@ cdef class SimulatedExchange: Logger logger not None, FillModel fill_model not None, LatencyModel latency_model = None, - BookType book_type = BookType.L1_TBBO, + BookType book_type = BookType.L1_MBP, bint frozen_account = False, bint bar_execution = True, bint reject_stop_orders = True, @@ -621,7 +622,7 @@ cdef class SimulatedExchange: ts = command.ts_init + self.latency_model.insert_latency_nanos elif isinstance(command, ModifyOrder): ts = command.ts_init + self.latency_model.update_latency_nanos - elif isinstance(command, (CancelOrder, CancelAllOrders)): + elif isinstance(command, (CancelOrder, CancelAllOrders, BatchCancelOrders)): ts = command.ts_init + self.latency_model.cancel_latency_nanos else: raise ValueError(f"invalid `TradingCommand`, was {command}") # pragma: no cover (design-time error) @@ -643,6 +644,10 @@ cdef class SimulatedExchange: """ Condition.not_none(delta, "delta") + cdef SimulationModule module + for module in self.modules: + module.pre_process(delta) + cdef OrderMatchingEngine matching_engine = self._matching_engines.get(delta.instrument_id) if matching_engine is None: raise RuntimeError(f"No matching engine found for {delta.instrument_id}") @@ -661,6 +666,10 @@ cdef class SimulatedExchange: """ Condition.not_none(deltas, "deltas") + cdef SimulationModule module + for module in self.modules: + module.pre_process(deltas) + cdef OrderMatchingEngine matching_engine = self._matching_engines.get(deltas.instrument_id) if matching_engine is None: raise RuntimeError(f"No matching engine found for {deltas.instrument_id}") @@ -681,6 +690,10 @@ cdef class SimulatedExchange: """ Condition.not_none(tick, "tick") + cdef SimulationModule module + for module in self.modules: + module.pre_process(tick) + cdef OrderMatchingEngine matching_engine = self._matching_engines.get(tick.instrument_id) if matching_engine is None: raise RuntimeError(f"No matching engine found for {tick.instrument_id}") @@ -701,6 +714,10 @@ cdef class SimulatedExchange: """ Condition.not_none(tick, "tick") + cdef SimulationModule module + for module in self.modules: + module.pre_process(tick) + cdef OrderMatchingEngine matching_engine = self._matching_engines.get(tick.instrument_id) if matching_engine is None: raise RuntimeError(f"No matching engine found for {tick.instrument_id}") @@ -721,45 +738,57 @@ cdef class SimulatedExchange: """ Condition.not_none(bar, "bar") + cdef SimulationModule module + for module in self.modules: + module.pre_process(bar) + cdef OrderMatchingEngine matching_engine = self._matching_engines.get(bar.bar_type.instrument_id) if matching_engine is None: raise RuntimeError(f"No matching engine found for {bar.bar_type.instrument_id}") matching_engine.process_bar(bar) - cpdef void process_venue_status(self, VenueStatusUpdate update): + cpdef void process_venue_status(self, VenueStatus data): """ Process the exchange for the given status. Parameters ---------- - update : VenueStatusUpdate - The status to process. + data : VenueStatus + The status update to process. """ - Condition.not_none(update, "status") + Condition.not_none(data, "data") + + cdef SimulationModule module + for module in self.modules: + module.pre_process(data) cdef OrderMatchingEngine matching_engine for matching_engine in self._matching_engines.values(): - matching_engine.process_status(update.status) + matching_engine.process_status(data.status) - cpdef void process_instrument_status(self, InstrumentStatusUpdate update): + cpdef void process_instrument_status(self, InstrumentStatus data): """ Process a specific instrument status. Parameters ---------- - update : VenueStatusUpdate - The status to process. + data : VenueStatus + The status update to process. """ - Condition.not_none(update, "status") + Condition.not_none(data, "data") + + cdef SimulationModule module + for module in self.modules: + module.pre_process(data) - cdef OrderMatchingEngine matching_engine = self._matching_engines.get(update.instrument_id) + cdef OrderMatchingEngine matching_engine = self._matching_engines.get(data.instrument_id) if matching_engine is None: - raise RuntimeError(f"No matching engine found for {update.instrument_id}") + raise RuntimeError(f"No matching engine found for {data.instrument_id}") - matching_engine.process_status(update.status) + matching_engine.process_status(data.status) cpdef void process(self, uint64_t ts_now): """ @@ -804,6 +833,8 @@ cdef class SimulatedExchange: self._matching_engines[command.instrument_id].process_cancel(command, self.exec_client.account_id) elif isinstance(command, CancelAllOrders): self._matching_engines[command.instrument_id].process_cancel_all(command, self.exec_client.account_id) + elif isinstance(command, BatchCancelOrders): + self._matching_engines[command.instrument_id].process_batch_cancel(command, self.exec_client.account_id) # Iterate over modules cdef SimulationModule module diff --git a/nautilus_trader/backtest/execution_client.pyx b/nautilus_trader/backtest/execution_client.pyx index eb9047dabd88..f1a969e77ceb 100644 --- a/nautilus_trader/backtest/execution_client.pyx +++ b/nautilus_trader/backtest/execution_client.pyx @@ -21,6 +21,7 @@ from nautilus_trader.common.clock cimport TestClock from nautilus_trader.common.logging cimport Logger from nautilus_trader.core.correctness cimport Condition from nautilus_trader.execution.client cimport ExecutionClient +from nautilus_trader.execution.messages cimport BatchCancelOrders from nautilus_trader.execution.messages cimport CancelAllOrders from nautilus_trader.execution.messages cimport CancelOrder from nautilus_trader.execution.messages cimport ModifyOrder @@ -137,3 +138,8 @@ cdef class BacktestExecClient(ExecutionClient): Condition.true(self.is_connected, "not connected") self._exchange.send(command) + + cpdef void batch_cancel_orders(self, BatchCancelOrders command): + Condition.true(self.is_connected, "not connected") + + self._exchange.send(command) diff --git a/nautilus_trader/backtest/matching_engine.pxd b/nautilus_trader/backtest/matching_engine.pxd index 835dc4af2840..83dc061c04f2 100644 --- a/nautilus_trader/backtest/matching_engine.pxd +++ b/nautilus_trader/backtest/matching_engine.pxd @@ -23,6 +23,7 @@ from nautilus_trader.common.clock cimport Clock from nautilus_trader.common.logging cimport LoggerAdapter from nautilus_trader.core.data cimport Data from nautilus_trader.execution.matching_core cimport MatchingCore +from nautilus_trader.execution.messages cimport BatchCancelOrders from nautilus_trader.execution.messages cimport CancelAllOrders from nautilus_trader.execution.messages cimport CancelOrder from nautilus_trader.execution.messages cimport ModifyOrder @@ -143,6 +144,7 @@ cdef class OrderMatchingEngine: cpdef void process_modify(self, ModifyOrder command, AccountId account_id) cpdef void process_cancel(self, CancelOrder command, AccountId account_id) cpdef void process_cancel_all(self, CancelAllOrders command, AccountId account_id) + cpdef void process_batch_cancel(self, BatchCancelOrders command, AccountId account_id) cdef void _process_market_order(self, MarketOrder order) cdef void _process_market_to_limit_order(self, MarketToLimitOrder order) cdef void _process_limit_order(self, LimitOrder order) diff --git a/nautilus_trader/backtest/matching_engine.pyx b/nautilus_trader/backtest/matching_engine.pyx index 216bdd624bad..d0b2982a2071 100644 --- a/nautilus_trader/backtest/matching_engine.pyx +++ b/nautilus_trader/backtest/matching_engine.pyx @@ -38,6 +38,10 @@ from nautilus_trader.core.rust.model cimport trade_id_new from nautilus_trader.core.string cimport pystr_to_cstr from nautilus_trader.core.uuid cimport UUID4 from nautilus_trader.execution.matching_core cimport MatchingCore +from nautilus_trader.execution.messages cimport BatchCancelOrders +from nautilus_trader.execution.messages cimport CancelAllOrders +from nautilus_trader.execution.messages cimport CancelOrder +from nautilus_trader.execution.messages cimport ModifyOrder from nautilus_trader.execution.trailing cimport TrailingStopCalculator from nautilus_trader.model.data.book cimport BookOrder from nautilus_trader.model.data.tick cimport QuoteTick @@ -399,7 +403,7 @@ cdef class OrderMatchingEngine: if not self._log.is_bypassed: self._log.debug(f"Processing {repr(tick)}...") - if self.book_type == BookType.L1_TBBO: + if self.book_type == BookType.L1_MBP: self._book.update_quote_tick(tick) self.iterate(tick.ts_init) @@ -421,7 +425,7 @@ cdef class OrderMatchingEngine: if not self._log.is_bypassed: self._log.debug(f"Processing {repr(tick)}...") - if self.book_type == BookType.L1_TBBO: + if self.book_type == BookType.L1_MBP: self._book.update_trade_tick(tick) self._core.set_last_raw(tick._mem.price.raw) @@ -448,7 +452,7 @@ cdef class OrderMatchingEngine: if not self._log.is_bypassed: self._log.debug(f"Processing {repr(bar)}...") - if self.book_type != BookType.L1_TBBO: + if self.book_type != BookType.L1_MBP: return # Can only process an L1 book with bars cdef PriceType price_type = bar.bar_type.spec.price_type @@ -621,6 +625,9 @@ cdef class OrderMatchingEngine: self._book.update_quote_tick(tick) self.iterate(tick.ts_init) + self._last_bid_bar = None + self._last_ask_bar = None + # -- TRADING COMMANDS ----------------------------------------------------------------------------- cpdef void process_order(self, Order order, AccountId account_id): @@ -718,6 +725,11 @@ cdef class OrderMatchingEngine: if order.is_inflight_c() or order.is_open_c(): self.cancel_order(order) + cpdef void process_batch_cancel(self, BatchCancelOrders command, AccountId account_id): + cdef CancelOrder cancel + for cancel in command.cancels: + self.process_cancel(cancel, account_id) + cpdef void process_cancel_all(self, CancelAllOrders command, AccountId account_id): cdef Order order for order in self.cache.orders_open(venue=None, instrument_id=command.instrument_id): @@ -1209,7 +1221,7 @@ cdef class OrderMatchingEngine: if ( fills and triggered_price is not None - and self._book.book_type == BookType.L1_TBBO + and self._book.book_type == BookType.L1_MBP and order.liquidity_side == LiquiditySide.TAKER ): ######################################################################## @@ -1236,7 +1248,7 @@ cdef class OrderMatchingEngine: cdef Price initial_fill_price if ( fills - and self._book.book_type == BookType.L1_TBBO + and self._book.book_type == BookType.L1_MBP and order.liquidity_side == LiquiditySide.MAKER ): ######################################################################## @@ -1301,7 +1313,7 @@ cdef class OrderMatchingEngine: cdef Price price cdef Price triggered_price - if self._book.book_type == BookType.L1_TBBO and fills: + if self._book.book_type == BookType.L1_MBP and fills: triggered_price = order.get_triggered_price_c() if order.order_type == OrderType.MARKET or order.order_type == OrderType.MARKET_TO_LIMIT or order.order_type == OrderType.MARKET_IF_TOUCHED: if order.side == OrderSide.BUY: @@ -1510,7 +1522,7 @@ cdef class OrderMatchingEngine: self.cancel_order(order) return - if self.book_type == BookType.L1_TBBO and self._fill_model.is_slipped(): + if self.book_type == BookType.L1_MBP and self._fill_model.is_slipped(): if order.side == OrderSide.BUY: fill_px = fill_px.add(self.instrument.price_increment) elif order.side == OrderSide.SELL: @@ -1553,7 +1565,7 @@ cdef class OrderMatchingEngine: if ( order.is_open_c() - and self.book_type == BookType.L1_TBBO + and self.book_type == BookType.L1_MBP and ( order.order_type == OrderType.MARKET or order.order_type == OrderType.MARKET_IF_TOUCHED diff --git a/nautilus_trader/backtest/modules.pxd b/nautilus_trader/backtest/modules.pxd index 98686a4d522e..897bb989730d 100644 --- a/nautilus_trader/backtest/modules.pxd +++ b/nautilus_trader/backtest/modules.pxd @@ -20,12 +20,14 @@ from nautilus_trader.accounting.calculators cimport RolloverInterestCalculator from nautilus_trader.backtest.exchange cimport SimulatedExchange from nautilus_trader.common.actor cimport Actor from nautilus_trader.common.logging cimport LoggerAdapter +from nautilus_trader.core.data cimport Data cdef class SimulationModule(Actor): cdef readonly SimulatedExchange exchange cpdef void register_venue(self, SimulatedExchange exchange) + cpdef void pre_process(self, Data data) cpdef void process(self, uint64_t ts_now) cpdef void log_diagnostics(self, LoggerAdapter log) cpdef void reset(self) diff --git a/nautilus_trader/backtest/modules.pyx b/nautilus_trader/backtest/modules.pyx index e0c595d979ca..15753fe97e45 100644 --- a/nautilus_trader/backtest/modules.pyx +++ b/nautilus_trader/backtest/modules.pyx @@ -24,6 +24,7 @@ from libc.stdint cimport uint64_t from nautilus_trader.accounting.calculators cimport RolloverInterestCalculator from nautilus_trader.backtest.exchange cimport SimulatedExchange from nautilus_trader.core.correctness cimport Condition +from nautilus_trader.core.data cimport Data from nautilus_trader.model.currency cimport Currency from nautilus_trader.model.enums_c cimport AssetClass from nautilus_trader.model.enums_c cimport PriceType @@ -69,6 +70,10 @@ cdef class SimulationModule(Actor): self.exchange = exchange + cpdef void pre_process(self, Data data): + """Abstract method (implement in subclass).""" + pass + cpdef void process(self, uint64_t ts_now): """Abstract method (implement in subclass).""" raise NotImplementedError("method must be implemented in the subclass") # pragma: no cover diff --git a/nautilus_trader/backtest/node.py b/nautilus_trader/backtest/node.py index 05adba8d9c97..ee2877bd6d4d 100644 --- a/nautilus_trader/backtest/node.py +++ b/nautilus_trader/backtest/node.py @@ -28,19 +28,17 @@ from nautilus_trader.config import BacktestVenueConfig from nautilus_trader.core.correctness import PyCondition from nautilus_trader.core.inspect import is_nautilus_class +from nautilus_trader.core.nautilus_pyo3 import DataBackendSession from nautilus_trader.model.currency import Currency -from nautilus_trader.model.data import DataType -from nautilus_trader.model.data import GenericData +from nautilus_trader.model.data import Bar +from nautilus_trader.model.data.base import capsule_to_list from nautilus_trader.model.enums import AccountType from nautilus_trader.model.enums import OmsType from nautilus_trader.model.enums import book_type_from_str -from nautilus_trader.model.identifiers import ClientId from nautilus_trader.model.identifiers import InstrumentId from nautilus_trader.model.identifiers import Venue from nautilus_trader.model.objects import Money -from nautilus_trader.persistence.streaming.engine import StreamingEngine -from nautilus_trader.persistence.streaming.engine import extract_generic_data_client_ids -from nautilus_trader.persistence.streaming.engine import groupby_datatype +from nautilus_trader.persistence.catalog.types import CatalogDataResult class BacktestNode: @@ -137,7 +135,7 @@ def run(self) -> list[BacktestResult]: return results - def _validate_configs(self, configs: list[BacktestRunConfig]): + def _validate_configs(self, configs: list[BacktestRunConfig]) -> None: venue_ids: list[Venue] = [] for config in configs: venue_ids += [Venue(c.name) for c in config.venues] @@ -204,15 +202,15 @@ def _create_engine( return engine - def _load_engine_data(self, engine: BacktestEngine, data) -> None: - if is_nautilus_class(data["type"]): - engine.add_data(data=data["data"]) + def _load_engine_data(self, engine: BacktestEngine, result: CatalogDataResult) -> None: + if is_nautilus_class(result.data_cls): + engine.add_data(data=result.data) else: - if "client_id" not in data: + if not result.client_id: raise ValueError( - f"Data type {data['type']} not setup for loading into backtest engine", + f"Data type {result.data_cls} not setup for loading into `BacktestEngine`", ) - engine.add_data(data=data["data"], client_id=data["client_id"]) + engine.add_data(data=result.data, client_id=result.client_id) def _run( self, @@ -256,25 +254,41 @@ def _run_streaming( data_configs: list[BacktestDataConfig], batch_size_bytes: int, ) -> None: - data_client_ids = extract_generic_data_client_ids(data_configs=data_configs) + # Create session for entire stream + session = DataBackendSession(chunk_size=batch_size_bytes) - streaming_engine = StreamingEngine( - data_configs=data_configs, - target_batch_size_bytes=batch_size_bytes, - ) + # Add query for all data configs + for config in data_configs: + catalog = config.catalog() + if config.data_type == Bar: + # TODO: Temporary hack - improve bars config and decide implementation with `filter_expr` + assert config.instrument_id, "No `instrument_id` for Bar data config" + assert config.bar_spec, "No `bar_spec` for Bar data config" + bar_type = config.instrument_id + "-" + config.bar_spec + "-EXTERNAL" + else: + bar_type = None + session = catalog.backend_session( + data_cls=config.data_type, + instrument_ids=[config.instrument_id] + if config.instrument_id and not bar_type + else [], + bar_types=[bar_type] if bar_type else [], + start=config.start_time, + end=config.end_time, + session=session, + ) - for batch in streaming_engine: - engine.clear_data() - grouped = groupby_datatype(batch) - for data in grouped: - if data["type"] in data_client_ids: - # Generic data - manually re-add client_id as it gets lost in the streaming join - data.update({"client_id": ClientId(data_client_ids[data["type"]])}) - data["data"] = [ - GenericData(data_type=DataType(data["type"]), data=d) for d in data["data"] - ] - self._load_engine_data(engine=engine, data=data) - engine.run(run_config_id=run_config_id, streaming=True) + # Stream data + for chunk in session.to_query_result(): + engine.add_data( + data=capsule_to_list(chunk), + validate=False, # Cannot validate mixed type stream + sort=False, # Already sorted from kmerge + ) + engine.run( + run_config_id=run_config_id, + streaming=True, + ) engine.end() engine.dispose() @@ -291,21 +305,21 @@ def _run_oneshot( engine._log.info( f"Reading {config.data_type} data for instrument={config.instrument_id}.", ) - d = config.load() - if config.instrument_id and d["instrument"] is None: + result: CatalogDataResult = config.load() + if config.instrument_id and result.instrument is None: engine._log.warning( - f"Requested instrument_id={d['instrument']} from data_config not found in catalog", + f"Requested instrument_id={result.instrument} from data_config not found in catalog", ) continue - if not d["data"]: + if not result.data: engine._log.warning(f"No data found for {config}") continue t1 = pd.Timestamp.now() engine._log.info( - f"Read {len(d['data']):,} events from parquet in {pd.Timedelta(t1 - t0)}s.", + f"Read {len(result.data):,} events from parquet in {pd.Timedelta(t1 - t0)}s.", ) - self._load_engine_data(engine=engine, data=d) + self._load_engine_data(engine=engine, result=result) t2 = pd.Timestamp.now() engine._log.info(f"Engine load took {pd.Timedelta(t2 - t1)}s") diff --git a/nautilus_trader/cache/base.pxd b/nautilus_trader/cache/base.pxd index d268eb10e8f6..c70d0d611ab2 100644 --- a/nautilus_trader/cache/base.pxd +++ b/nautilus_trader/cache/base.pxd @@ -132,6 +132,7 @@ cdef class CacheFacade: cpdef bint is_order_closed(self, ClientOrderId client_order_id) cpdef bint is_order_emulated(self, ClientOrderId client_order_id) cpdef bint is_order_inflight(self, ClientOrderId client_order_id) + cpdef bint is_order_pending_cancel_local(self, ClientOrderId client_order_id) cpdef int orders_open_count(self, Venue venue=*, InstrumentId instrument_id=*, StrategyId strategy_id=*, OrderSide side=*) cpdef int orders_closed_count(self, Venue venue=*, InstrumentId instrument_id=*, StrategyId strategy_id=*, OrderSide side=*) cpdef int orders_emulated_count(self, Venue venue=*, InstrumentId instrument_id=*, StrategyId strategy_id=*, OrderSide side=*) diff --git a/nautilus_trader/cache/base.pyx b/nautilus_trader/cache/base.pyx index ed2b7b3cf726..0c93ae701d19 100644 --- a/nautilus_trader/cache/base.pyx +++ b/nautilus_trader/cache/base.pyx @@ -300,6 +300,10 @@ cdef class CacheFacade: """Abstract method (implement in subclass).""" raise NotImplementedError("method must be implemented in the subclass") # pragma: no cover + cpdef bint is_order_pending_cancel_local(self, ClientOrderId client_order_id): + """Abstract method (implement in subclass).""" + raise NotImplementedError("method must be implemented in the subclass") # pragma: no cover + cpdef int orders_open_count(self, Venue venue = None, InstrumentId instrument_id = None, StrategyId strategy_id = None, OrderSide side = OrderSide.NO_ORDER_SIDE): """Abstract method (implement in subclass).""" raise NotImplementedError("method must be implemented in the subclass") # pragma: no cover diff --git a/nautilus_trader/cache/cache.pxd b/nautilus_trader/cache/cache.pxd index 01c019778aa9..71b0fa8cca1b 100644 --- a/nautilus_trader/cache/cache.pxd +++ b/nautilus_trader/cache/cache.pxd @@ -94,6 +94,7 @@ cdef class Cache(CacheFacade): cdef set _index_orders_closed cdef set _index_orders_emulated cdef set _index_orders_inflight + cdef set _index_orders_pending_cancel cdef set _index_positions cdef set _index_positions_open cdef set _index_positions_closed @@ -162,11 +163,12 @@ cdef class Cache(CacheFacade): cpdef void add_position_id(self, PositionId position_id, Venue venue, ClientOrderId client_order_id, StrategyId strategy_id) cpdef void add_position(self, Position position, OmsType oms_type) cpdef void snapshot_position(self, Position position) - cpdef void snapshot_position_state(self, Position position, uint64_t ts_snapshot) + cpdef void snapshot_position_state(self, Position position, uint64_t ts_snapshot, bint open_only=*) cpdef void snapshot_order_state(self, Order order) cpdef void update_account(self, Account account) cpdef void update_order(self, Order order) + cpdef void update_order_pending_cancel_local(self, Order order) cpdef void update_position(self, Position position) cpdef void update_actor(self, Actor actor) cpdef void delete_actor(self, Actor actor) diff --git a/nautilus_trader/cache/cache.pyx b/nautilus_trader/cache/cache.pyx index 846aa720ce09..fe90c5b7d1f8 100644 --- a/nautilus_trader/cache/cache.pyx +++ b/nautilus_trader/cache/cache.pyx @@ -149,6 +149,7 @@ cdef class Cache(CacheFacade): self._index_orders_closed: set[ClientOrderId] = set() self._index_orders_emulated: set[ClientOrderId] = set() self._index_orders_inflight: set[ClientOrderId] = set() + self._index_orders_pending_cancel: set[ClientOrderId] = set() self._index_positions: set[PositionId] = set() self._index_positions_open: set[PositionId] = set() self._index_positions_closed: set[PositionId] = set() @@ -696,6 +697,7 @@ cdef class Cache(CacheFacade): self._index_orders_closed.clear() self._index_orders_emulated.clear() self._index_orders_inflight.clear() + self._index_orders_pending_cancel.clear() self._index_positions.clear() self._index_positions_open.clear() self._index_positions_closed.clear() @@ -1687,7 +1689,12 @@ cdef class Cache(CacheFacade): self._log.debug(f"Snapshot {repr(copied_position)}.") - cpdef void snapshot_position_state(self, Position position, uint64_t ts_snapshot): + cpdef void snapshot_position_state( + self, + Position position, + uint64_t ts_snapshot, + bint open_only=True, + ): """ Snapshot the state dictionary for the given `position`. @@ -1699,10 +1706,16 @@ cdef class Cache(CacheFacade): The position to snapshot the state for. ts_snapshot : uint64_t The UNIX timestamp (nanoseconds) when the snapshot was taken. + open_only : bool, default True + If only open positions should be snapshot, this flag helps to avoid race conditions + where a position is snapshot when no longer open. """ Condition.not_none(position, "position") + if open_only and not position.is_open_c(): + return # Only snapshot open positions + if self._database is None: self._log.warning( "Cannot snapshot position state for {position.id:r!} (no database configured).", @@ -1781,6 +1794,7 @@ cdef class Cache(CacheFacade): self._index_orders_open.add(order.client_order_id) elif order.is_closed_c(): self._index_orders_open.discard(order.client_order_id) + self._index_orders_pending_cancel.discard(order.client_order_id) self._index_orders_closed.add(order.client_order_id) # Update emulation @@ -1797,6 +1811,20 @@ cdef class Cache(CacheFacade): if self.snapshot_orders: self._database.snapshot_order_state(order) + cpdef void update_order_pending_cancel_local(self, Order order): + """ + Update the given `order` as pending cancel locally. + + Parameters + ---------- + order : Order + The order to update. + + """ + Condition.not_none(order, "order") + + self._index_orders_pending_cancel.add(order.client_order_id) + cpdef void update_position(self, Position position): """ Update the given position in the cache. @@ -3337,6 +3365,24 @@ cdef class Cache(CacheFacade): return client_order_id in self._index_orders_inflight + cpdef bint is_order_pending_cancel_local(self, ClientOrderId client_order_id): + """ + Return a value indicating whether an order with the given ID is pending cancel locally. + + Parameters + ---------- + client_order_id : ClientOrderId + The client order ID to check. + + Returns + ------- + bool + + """ + Condition.not_none(client_order_id, "client_order_id") + + return client_order_id in self._index_orders_pending_cancel + cpdef int orders_open_count( self, Venue venue = None, diff --git a/nautilus_trader/common/actor.pxd b/nautilus_trader/common/actor.pxd index 2002b78dc40c..dd058727b89e 100644 --- a/nautilus_trader/common/actor.pxd +++ b/nautilus_trader/common/actor.pxd @@ -29,16 +29,17 @@ from nautilus_trader.core.uuid cimport UUID4 from nautilus_trader.data.messages cimport DataCommand from nautilus_trader.data.messages cimport DataRequest from nautilus_trader.data.messages cimport DataResponse +from nautilus_trader.indicators.base.indicator cimport Indicator from nautilus_trader.model.data.bar cimport Bar from nautilus_trader.model.data.bar cimport BarType from nautilus_trader.model.data.base cimport DataType from nautilus_trader.model.data.book cimport OrderBookDeltas +from nautilus_trader.model.data.status cimport InstrumentClose +from nautilus_trader.model.data.status cimport InstrumentStatus +from nautilus_trader.model.data.status cimport VenueStatus from nautilus_trader.model.data.tick cimport QuoteTick from nautilus_trader.model.data.tick cimport TradeTick from nautilus_trader.model.data.ticker cimport Ticker -from nautilus_trader.model.data.venue cimport InstrumentClose -from nautilus_trader.model.data.venue cimport InstrumentStatusUpdate -from nautilus_trader.model.data.venue cimport VenueStatusUpdate from nautilus_trader.model.enums_c cimport BookType from nautilus_trader.model.identifiers cimport ClientId from nautilus_trader.model.identifiers cimport InstrumentId @@ -54,6 +55,10 @@ cdef class Actor(Component): cdef set _warning_events cdef dict _signal_classes cdef dict _pending_requests + cdef list _indicators + cdef dict _indicators_for_quotes + cdef dict _indicators_for_trades + cdef dict _indicators_for_bars cdef readonly config """The actors configuration.\n\n:returns: `NautilusConfig`""" @@ -66,6 +71,8 @@ cdef class Actor(Component): cdef readonly CacheFacade cache """The read-only cache for the actor.\n\n:returns: `CacheFacade`""" + cpdef bint indicators_initialized(self) + # -- ABSTRACT METHODS ----------------------------------------------------------------------------- cpdef dict on_save(self) @@ -77,9 +84,9 @@ cdef class Actor(Component): cpdef void on_dispose(self) cpdef void on_degrade(self) cpdef void on_fault(self) - cpdef void on_venue_status_update(self, VenueStatusUpdate update) - cpdef void on_instrument_status_update(self, InstrumentStatusUpdate update) - cpdef void on_instrument_close(self, InstrumentClose update) + cpdef void on_venue_status(self, VenueStatus data) + cpdef void on_instrument_status(self, InstrumentStatus data) + cpdef void on_instrument_close(self, InstrumentClose data) cpdef void on_instrument(self, Instrument instrument) cpdef void on_order_book_deltas(self, OrderBookDeltas deltas) cpdef void on_order_book(self, OrderBook order_book) @@ -104,6 +111,9 @@ cdef class Actor(Component): cpdef void register_executor(self, loop, executor) cpdef void register_warning_event(self, type event) cpdef void deregister_warning_event(self, type event) + cpdef void register_indicator_for_quote_ticks(self, InstrumentId instrument_id, Indicator indicator) + cpdef void register_indicator_for_trade_ticks(self, InstrumentId instrument_id, Indicator indicator) + cpdef void register_indicator_for_bars(self, BarType bar_type, Indicator indicator) # -- ACTOR COMMANDS ------------------------------------------------------------------------------- @@ -146,9 +156,9 @@ cdef class Actor(Component): cpdef void subscribe_ticker(self, InstrumentId instrument_id, ClientId client_id=*) cpdef void subscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=*) cpdef void subscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=*) - cpdef void subscribe_bars(self, BarType bar_type, ClientId client_id=*) - cpdef void subscribe_venue_status_updates(self, Venue venue, ClientId client_id=*) - cpdef void subscribe_instrument_status_updates(self, InstrumentId instrument_id, ClientId client_id=*) + cpdef void subscribe_bars(self, BarType bar_type, ClientId client_id=*, bint await_partial=*) + cpdef void subscribe_venue_status(self, Venue venue, ClientId client_id=*) + cpdef void subscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=*) cpdef void subscribe_instrument_close(self, InstrumentId instrument_id, ClientId client_id=*) cpdef void unsubscribe_data(self, DataType data_type, ClientId client_id=*) cpdef void unsubscribe_instruments(self, Venue venue, ClientId client_id=*) @@ -159,8 +169,8 @@ cdef class Actor(Component): cpdef void unsubscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=*) cpdef void unsubscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=*) cpdef void unsubscribe_bars(self, BarType bar_type, ClientId client_id=*) - cpdef void unsubscribe_venue_status_updates(self, Venue venue, ClientId client_id=*) - cpdef void unsubscribe_instrument_status_updates(self, InstrumentId instrument_id, ClientId client_id=*) + cpdef void unsubscribe_venue_status(self, Venue venue, ClientId client_id=*) + cpdef void unsubscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=*) cpdef void publish_data(self, DataType data_type, Data data) cpdef void publish_signal(self, str name, value, uint64_t ts_event=*) @@ -211,12 +221,14 @@ cdef class Actor(Component): cpdef void handle_bar(self, Bar bar) cpdef void handle_bars(self, list bars) cpdef void handle_data(self, Data data) - cpdef void handle_venue_status_update(self, VenueStatusUpdate update) - cpdef void handle_instrument_status_update(self, InstrumentStatusUpdate update) - cpdef void handle_instrument_close(self, InstrumentClose update) + cpdef void handle_venue_status(self, VenueStatus data) + cpdef void handle_instrument_status(self, InstrumentStatus data) + cpdef void handle_instrument_close(self, InstrumentClose data) cpdef void handle_historical_data(self, Data data) cpdef void handle_event(self, Event event) +# -- HANDLERS ------------------------------------------------------------------------------------- + cpdef void _handle_data_response(self, DataResponse response) cpdef void _handle_instrument_response(self, DataResponse response) cpdef void _handle_instruments_response(self, DataResponse response) @@ -224,6 +236,9 @@ cdef class Actor(Component): cpdef void _handle_trade_ticks_response(self, DataResponse response) cpdef void _handle_bars_response(self, DataResponse response) cpdef void _finish_response(self, UUID4 request_id) + cpdef void _handle_indicators_for_quote(self, list indicators, QuoteTick tick) + cpdef void _handle_indicators_for_trade(self, list indicators, TradeTick tick) + cpdef void _handle_indicators_for_bar(self, list indicators, Bar bar) # -- EGRESS --------------------------------------------------------------------------------------- diff --git a/nautilus_trader/common/actor.pyx b/nautilus_trader/common/actor.pyx index 3d64a20320b6..b4969fe5c179 100644 --- a/nautilus_trader/common/actor.pyx +++ b/nautilus_trader/common/actor.pyx @@ -34,7 +34,7 @@ from nautilus_trader.common.executor import ActorExecutor from nautilus_trader.common.executor import TaskId from nautilus_trader.config import ActorConfig from nautilus_trader.config import ImportableActorConfig -from nautilus_trader.persistence.streaming.writer import generate_signal_class +from nautilus_trader.persistence.writer import generate_signal_class from cpython.datetime cimport datetime from libc.stdint cimport uint64_t @@ -57,17 +57,18 @@ from nautilus_trader.data.messages cimport DataRequest from nautilus_trader.data.messages cimport DataResponse from nautilus_trader.data.messages cimport Subscribe from nautilus_trader.data.messages cimport Unsubscribe +from nautilus_trader.indicators.base.indicator cimport Indicator from nautilus_trader.model.data.bar cimport Bar from nautilus_trader.model.data.bar cimport BarType from nautilus_trader.model.data.base cimport DataType from nautilus_trader.model.data.book cimport OrderBookDelta from nautilus_trader.model.data.book cimport OrderBookDeltas +from nautilus_trader.model.data.status cimport InstrumentClose +from nautilus_trader.model.data.status cimport InstrumentStatus +from nautilus_trader.model.data.status cimport VenueStatus from nautilus_trader.model.data.tick cimport QuoteTick from nautilus_trader.model.data.tick cimport TradeTick from nautilus_trader.model.data.ticker cimport Ticker -from nautilus_trader.model.data.venue cimport InstrumentClose -from nautilus_trader.model.data.venue cimport InstrumentStatusUpdate -from nautilus_trader.model.data.venue cimport VenueStatusUpdate from nautilus_trader.model.enums_c cimport BookType from nautilus_trader.model.identifiers cimport ClientId from nautilus_trader.model.identifiers cimport ComponentId @@ -118,6 +119,12 @@ cdef class Actor(Component): self._signal_classes: dict[str, type] = {} self._pending_requests: dict[UUID4, Callable[[UUID4], None] | None] = {} + # Indicators + self._indicators: list[Indicator] = [] + self._indicators_for_quotes: dict[InstrumentId, list[Indicator]] = {} + self._indicators_for_trades: dict[InstrumentId, list[Indicator]] = {} + self._indicators_for_bars: dict[BarType, list[Indicator]] = {} + # Configuration self.config = config @@ -293,14 +300,14 @@ cdef class Actor(Component): """ # Optionally override in subclass - cpdef void on_venue_status_update(self, VenueStatusUpdate update): + cpdef void on_venue_status(self, VenueStatus data): """ Actions to be performed when running and receives a venue status update. Parameters ---------- - update : VenueStatusUpdate - The update received. + data : VenueStatus + The venue status update received. Warnings -------- @@ -309,15 +316,15 @@ cdef class Actor(Component): """ # Optionally override in subclass - cpdef void on_instrument_status_update(self, InstrumentStatusUpdate update): + cpdef void on_instrument_status(self, InstrumentStatus data): """ Actions to be performed when running and receives an instrument status update. Parameters ---------- - update : InstrumentStatusUpdate - The update received. + data : InstrumentStatus + The instrument status update received. Warnings -------- @@ -334,7 +341,7 @@ cdef class Actor(Component): Parameters ---------- update : InstrumentClose - The update received. + The instrument close received. Warnings -------- @@ -503,6 +510,37 @@ cdef class Actor(Component): """ # Optionally override in subclass + @property + def registered_indicators(self): + """ + Return the registered indicators for the strategy. + + Returns + ------- + list[Indicator] + + """ + return self._indicators.copy() + + cpdef bint indicators_initialized(self): + """ + Return a value indicating whether all indicators are initialized. + + Returns + ------- + bool + True if all initialized, else False + + """ + if not self._indicators: + return False + + cdef Indicator indicator + for indicator in self._indicators: + if not indicator.initialized: + return False + return True + # -- REGISTRATION --------------------------------------------------------------------------------- cpdef void register_base( @@ -603,6 +641,90 @@ cdef class Actor(Component): self._log.debug(f"Deregistered `{event.__name__}` from warning log levels.") + cpdef void register_indicator_for_quote_ticks(self, InstrumentId instrument_id, Indicator indicator): + """ + Register the given indicator with the actor/strategy to receive quote tick + data for the given instrument ID. + + Parameters + ---------- + instrument_id : InstrumentId + The instrument ID for tick updates. + indicator : Indicator + The indicator to register. + + """ + Condition.not_none(instrument_id, "instrument_id") + Condition.not_none(indicator, "indicator") + + if indicator not in self._indicators: + self._indicators.append(indicator) + + if instrument_id not in self._indicators_for_quotes: + self._indicators_for_quotes[instrument_id] = [] # type: list[Indicator] + + if indicator not in self._indicators_for_quotes[instrument_id]: + self._indicators_for_quotes[instrument_id].append(indicator) + self.log.info(f"Registered Indicator {indicator} for {instrument_id} quote ticks.") + else: + self.log.error(f"Indicator {indicator} already registered for {instrument_id} quote ticks.") + + cpdef void register_indicator_for_trade_ticks(self, InstrumentId instrument_id, Indicator indicator): + """ + Register the given indicator with the actor/strategy to receive trade tick + data for the given instrument ID. + + Parameters + ---------- + instrument_id : InstrumentId + The instrument ID for tick updates. + indicator : indicator + The indicator to register. + + """ + Condition.not_none(instrument_id, "instrument_id") + Condition.not_none(indicator, "indicator") + + if indicator not in self._indicators: + self._indicators.append(indicator) + + if instrument_id not in self._indicators_for_trades: + self._indicators_for_trades[instrument_id] = [] # type: list[Indicator] + + if indicator not in self._indicators_for_trades[instrument_id]: + self._indicators_for_trades[instrument_id].append(indicator) + self.log.info(f"Registered Indicator {indicator} for {instrument_id} trade ticks.") + else: + self.log.error(f"Indicator {indicator} already registered for {instrument_id} trade ticks.") + + cpdef void register_indicator_for_bars(self, BarType bar_type, Indicator indicator): + """ + Register the given indicator with the actor/strategy to receive bar data for the + given bar type. + + Parameters + ---------- + bar_type : BarType + The bar type for bar updates. + indicator : Indicator + The indicator to register. + + """ + Condition.not_none(bar_type, "bar_type") + Condition.not_none(indicator, "indicator") + + if indicator not in self._indicators: + self._indicators.append(indicator) + + if bar_type not in self._indicators_for_bars: + self._indicators_for_bars[bar_type] = [] # type: list[Indicator] + + if indicator not in self._indicators_for_bars[bar_type]: + self._indicators_for_bars[bar_type].append(indicator) + self.log.info(f"Registered Indicator {indicator} for {bar_type} bars.") + else: + self.log.error(f"Indicator {indicator} already registered for {bar_type} bars.") + # -- ACTOR COMMANDS ------------------------------------------------------------------------------- cpdef dict save(self): @@ -935,6 +1057,8 @@ cdef class Actor(Component): self.on_start() cpdef void _stop(self): + self.on_stop() + # Clean up clock cdef list timer_names = self._clock.timer_names self._clock.cancel_timers() @@ -947,15 +1071,19 @@ cdef class Actor(Component): self._log.info(f"Canceling executor tasks...") self._executor.cancel_all_tasks() - self.on_stop() - cpdef void _resume(self): self.on_resume() cpdef void _reset(self): - self._pending_requests.clear() self.on_reset() + self._pending_requests.clear() + + self._indicators.clear() + self._indicators_for_quotes.clear() + self._indicators_for_trades.clear() + self._indicators_for_bars.clear() + cpdef void _dispose(self): self.on_dispose() @@ -1081,7 +1209,7 @@ cdef class Actor(Component): ---------- instrument_id : InstrumentId The order book instrument ID to subscribe to. - book_type : BookType {``L1_TBBO``, ``L2_MBP``, ``L3_MBO``} + book_type : BookType {``L1_MBP``, ``L2_MBP``, ``L3_MBO``} The order book type. depth : int, optional The maximum depth for the order book. A depth of 0 is maximum depth. @@ -1137,7 +1265,7 @@ cdef class Actor(Component): ---------- instrument_id : InstrumentId The order book instrument ID to subscribe to. - book_type : BookType {``L1_TBBO``, ``L2_MBP``, ``L3_MBO``} + book_type : BookType {``L1_MBP``, ``L2_MBP``, ``L3_MBO``} The order book type. depth : int, optional The maximum depth for the order book. A depth of 0 is maximum depth. @@ -1162,7 +1290,7 @@ cdef class Actor(Component): Condition.not_negative(interval_ms, "interval_ms") Condition.true(self.trader_id is not None, "The actor has not been registered") - if book_type == BookType.L1_TBBO and depth > 1: + if book_type == BookType.L1_MBP and depth > 1: self._log.error( "Cannot subscribe to order book snapshots: " f"L1 TBBO book subscription depth > 1, was {depth}", @@ -1292,7 +1420,12 @@ cdef class Actor(Component): self._send_data_cmd(command) - cpdef void subscribe_bars(self, BarType bar_type, ClientId client_id = None): + cpdef void subscribe_bars( + self, + BarType bar_type, + ClientId client_id = None, + bint await_partial = False, + ): """ Subscribe to streaming `Bar` data for the given bar type. @@ -1303,6 +1436,9 @@ cdef class Actor(Component): client_id : ClientId, optional The specific client ID for the command. If ``None`` then will be inferred from the venue in the instrument ID. + await_partial : bool, default False + If the bar aggregator should await the arrival of a historical partial bar prior + to activaely aggregating new bars. """ Condition.not_none(bar_type, "bar_type") @@ -1313,17 +1449,22 @@ cdef class Actor(Component): handler=self.handle_bar, ) + cdef dict metadata = { + "bar_type": bar_type, + "await_partial": await_partial, + } + cdef Subscribe command = Subscribe( client_id=client_id, venue=bar_type.instrument_id.venue, - data_type=DataType(Bar, metadata={"bar_type": bar_type}), + data_type=DataType(Bar, metadata=metadata), command_id=UUID4(), ts_init=self._clock.timestamp_ns(), ) self._send_data_cmd(command) - cpdef void subscribe_venue_status_updates(self, Venue venue, ClientId client_id = None): + cpdef void subscribe_venue_status(self, Venue venue, ClientId client_id = None): """ Subscribe to status updates for the given venue. @@ -1341,20 +1482,20 @@ cdef class Actor(Component): self._msgbus.subscribe( topic=f"data.status.{venue.to_str()}", - handler=self.handle_venue_status_update, + handler=self.handle_venue_status, ) cdef Subscribe command = Subscribe( client_id=client_id, venue=venue, - data_type=DataType(VenueStatusUpdate), + data_type=DataType(VenueStatus), command_id=UUID4(), ts_init=self._clock.timestamp_ns(), ) self._send_data_cmd(command) - cpdef void subscribe_instrument_status_updates(self, InstrumentId instrument_id, ClientId client_id = None): + cpdef void subscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id = None): """ Subscribe to status updates for the given instrument ID. @@ -1372,19 +1513,19 @@ cdef class Actor(Component): self._msgbus.subscribe( topic=f"data.status.{instrument_id.venue}.{instrument_id.symbol}", - handler=self.handle_instrument_status_update, + handler=self.handle_instrument_status, ) cdef Subscribe command = Subscribe( client_id=client_id, venue=instrument_id.venue, - data_type=DataType(InstrumentStatusUpdate, metadata={"instrument_id": instrument_id}), + data_type=DataType(InstrumentStatus, metadata={"instrument_id": instrument_id}), command_id=UUID4(), ts_init=self._clock.timestamp_ns(), ) self._send_data_cmd(command) - self._log.info(f"Subscribed to {instrument_id} InstrumentStatusUpdate.") + self._log.info(f"Subscribed to {instrument_id} InstrumentStatus.") cpdef void subscribe_instrument_close(self, InstrumentId instrument_id, ClientId client_id = None): """ @@ -1725,7 +1866,7 @@ cdef class Actor(Component): self._send_data_cmd(command) self._log.info(f"Unsubscribed from {bar_type} bar data.") - cpdef void unsubscribe_venue_status_updates(self, Venue venue, ClientId client_id = None): + cpdef void unsubscribe_venue_status(self, Venue venue, ClientId client_id = None): """ Unsubscribe to status updates for the given venue. @@ -1743,20 +1884,20 @@ cdef class Actor(Component): self._msgbus.unsubscribe( topic=f"data.status.{venue.to_str()}", - handler=self.handle_venue_status_update, + handler=self.handle_venue_status, ) cdef Unsubscribe command = Unsubscribe( client_id=client_id, venue=venue, - data_type=DataType(VenueStatusUpdate), + data_type=DataType(VenueStatus), command_id=UUID4(), ts_init=self._clock.timestamp_ns(), ) self._send_data_cmd(command) - cpdef void unsubscribe_instrument_status_updates(self, InstrumentId instrument_id, ClientId client_id = None): + cpdef void unsubscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id = None): """ Unsubscribe to status updates of the given venue. @@ -1774,18 +1915,18 @@ cdef class Actor(Component): self._msgbus.unsubscribe( topic=f"data.status.{instrument_id.venue}.{instrument_id.symbol}", - handler=self.handle_venue_status_update, + handler=self.handle_venue_status, ) cdef Unsubscribe command = Unsubscribe( client_id=client_id, venue=instrument_id.venue, - data_type=DataType(InstrumentStatusUpdate), + data_type=DataType(InstrumentStatus), command_id=UUID4(), ts_init=self._clock.timestamp_ns(), ) self._send_data_cmd(command) - self._log.info(f"Unsubscribed from {instrument_id} InstrumentStatusUpdate.") + self._log.info(f"Unsubscribed from {instrument_id} InstrumentStatus.") cpdef void publish_data(self, DataType data_type, Data data): @@ -2386,11 +2527,16 @@ cdef class Actor(Component): """ Condition.not_none(tick, "tick") + # Update indicators + cdef list indicators = self._indicators_for_quotes.get(tick.instrument_id) + if indicators: + self._handle_indicators_for_quote(indicators, tick) + if self._fsm.state == ComponentState.RUNNING: try: self.on_quote_tick(tick) except Exception as e: - self._log.exception(f"Error on handling {repr(tick)}", e) + self.log.exception(f"Error on handling {repr(tick)}", e) raise @cython.boundscheck(False) @@ -2419,10 +2565,19 @@ cdef class Actor(Component): self._log.info(f"Received data for {instrument_id}.") else: self._log.warning("Received data with no ticks.") + return - cdef int i + # Update indicators + cdef list indicators = self._indicators_for_quotes.get(first.instrument_id) + + cdef: + int i + QuoteTick tick for i in range(length): - self.handle_historical_data(ticks[i]) + tick = ticks[i] + if indicators: + self._handle_indicators_for_quote(indicators, tick) + self.handle_historical_data(tick) cpdef void handle_trade_tick(self, TradeTick tick): """ @@ -2442,18 +2597,23 @@ cdef class Actor(Component): """ Condition.not_none(tick, "tick") + # Update indicators + cdef list indicators = self._indicators_for_trades.get(tick.instrument_id) + if indicators: + self._handle_indicators_for_trade(indicators, tick) + if self._fsm.state == ComponentState.RUNNING: try: self.on_trade_tick(tick) except Exception as e: - self._log.exception(f"Error on handling {repr(tick)}", e) + self.log.exception(f"Error on handling {repr(tick)}", e) raise @cython.boundscheck(False) @cython.wraparound(False) cpdef void handle_trade_ticks(self, list ticks): """ - Handle the given tick data by handling each tick individually. + Handle the given historical trade tick data by handling each tick individually. Parameters ---------- @@ -2475,10 +2635,19 @@ cdef class Actor(Component): self._log.info(f"Received data for {instrument_id}.") else: self._log.warning("Received data with no ticks.") + return - cdef int i + # Update indicators + cdef list indicators = self._indicators_for_trades.get(first.instrument_id) + + cdef: + int i + TradeTick tick for i in range(length): - self.handle_historical_data(ticks[i]) + tick = ticks[i] + if indicators: + self._handle_indicators_for_trade(indicators, tick) + self.handle_historical_data(tick) cpdef void handle_bar(self, Bar bar): """ @@ -2498,11 +2667,16 @@ cdef class Actor(Component): """ Condition.not_none(bar, "bar") + # Update indicators + cdef list indicators = self._indicators_for_bars.get(bar.bar_type) + if indicators: + self._handle_indicators_for_bar(indicators, bar) + if self._fsm.state == ComponentState.RUNNING: try: self.on_bar(bar) except Exception as e: - self._log.exception(f"Error on handling {repr(bar)}", e) + self.log.exception(f"Error on handling {repr(bar)}", e) raise @cython.boundscheck(False) @@ -2536,58 +2710,66 @@ cdef class Actor(Component): if length > 0 and first.ts_init > last.ts_init: raise RuntimeError(f"cannot handle data: incorrectly sorted") - cdef int i + # Update indicators + cdef list indicators = self._indicators_for_bars.get(first.bar_type) + + cdef: + int i + Bar bar for i in range(length): - self.handle_historical_data(bars[i]) + bar = bars[i] + if indicators: + self._handle_indicators_for_bar(indicators, bar) + self.handle_historical_data(bar) - cpdef void handle_venue_status_update(self, VenueStatusUpdate update): + cpdef void handle_venue_status(self, VenueStatus data): """ Handle the given venue status update. - If state is ``RUNNING`` then passes to `on_venue_status_update`. + If state is ``RUNNING`` then passes to `on_venue_status`. Parameters ---------- - update : VenueStatusUpdate - The update received. + data : VenueStatus + The status update received. Warnings -------- System method (not intended to be called by user code). """ - Condition.not_none(update, "update") + Condition.not_none(data, "data") if self._fsm.state == ComponentState.RUNNING: try: - self.on_venue_status_update(update) + self.on_venue_status(data) except Exception as e: - self._log.exception(f"Error on handling {repr(update)}", e) + self._log.exception(f"Error on handling {repr(data)}", e) raise - cpdef void handle_instrument_status_update(self, InstrumentStatusUpdate update): + cpdef void handle_instrument_status(self, InstrumentStatus data): """ Handle the given instrument status update. - If state is ``RUNNING`` then passes to `on_instrument_status_update`. + If state is ``RUNNING`` then passes to `on_instrument_status`. Parameters ---------- - update : InstrumentStatusUpdate - The update received. + data : InstrumentStatus + The status update received. Warnings -------- System method (not intended to be called by user code). """ - Condition.not_none(update, "update") + Condition.not_none(data, "data") if self._fsm.state == ComponentState.RUNNING: try: - self.on_instrument_status_update(update) + self.on_instrument_status(data) except Exception as e: - self._log.exception(f"Error on handling {repr(update)}", e) + self._log.exception(f"Error on handling {repr(data)}", e) raise cpdef void handle_instrument_close(self, InstrumentClose update): @@ -2721,6 +2903,21 @@ cdef class Actor(Component): if callback is not None: callback(request_id) + cpdef void _handle_indicators_for_quote(self, list indicators, QuoteTick tick): + cdef Indicator indicator + for indicator in indicators: + indicator.handle_quote_tick(tick) + + cpdef void _handle_indicators_for_trade(self, list indicators, TradeTick tick): + cdef Indicator indicator + for indicator in indicators: + indicator.handle_trade_tick(tick) + + cpdef void _handle_indicators_for_bar(self, list indicators, Bar bar): + cdef Indicator indicator + for indicator in indicators: + indicator.handle_bar(bar) + # -- EGRESS --------------------------------------------------------------------------------------- cdef void _send_data_cmd(self, DataCommand command): diff --git a/nautilus_trader/common/clock.pyx b/nautilus_trader/common/clock.pyx index a65ac21704cb..27840445e90c 100644 --- a/nautilus_trader/common/clock.pyx +++ b/nautilus_trader/common/clock.pyx @@ -496,6 +496,7 @@ cdef class TestClock(Clock): ): Condition.valid_string(name, "name") Condition.not_in(name, self.timer_names, "name", "self.timer_names") + Condition.positive_int(interval_ns, "interval_ns") cdef uint64_t ts_now = self.timestamp_ns() diff --git a/nautilus_trader/common/executor.py b/nautilus_trader/common/executor.py index 0a8bebb0fb08..bc38a9331f81 100644 --- a/nautilus_trader/common/executor.py +++ b/nautilus_trader/common/executor.py @@ -31,7 +31,7 @@ @dataclass(frozen=True) class TaskId: """ - Represents a unique identifier for a task managed by the ActorExecutor. + Represents a unique identifier for a task managed by the `ActorExecutor`. This ID can be associated with a task that is either queued for execution or actively executing as an `asyncio.Future`. @@ -60,7 +60,7 @@ class ActorExecutor: """ Provides an executor for `Actor` and `Strategy` classes. - Provides an executor designed to handle asynchronous tasks for `Actor` and `Strategy` classes. + The executor is designed to handle asynchronous tasks for `Actor` and `Strategy` classes. This custom executor queues and executes tasks within a given event loop and is tailored for single-threaded applications. diff --git a/nautilus_trader/config/backtest.py b/nautilus_trader/config/backtest.py index db6fb86a9316..e12e078fcb1a 100644 --- a/nautilus_trader/config/backtest.py +++ b/nautilus_trader/config/backtest.py @@ -17,7 +17,7 @@ import importlib import sys from decimal import Decimal -from typing import Callable, Optional, Union +from typing import Any, Callable, Optional, Union import msgspec import pandas as pd @@ -32,6 +32,8 @@ from nautilus_trader.core.datetime import maybe_dt_to_unix_nanos from nautilus_trader.model.data import Bar from nautilus_trader.model.identifiers import ClientId +from nautilus_trader.persistence.catalog.parquet import ParquetDataCatalog +from nautilus_trader.persistence.catalog.types import CatalogDataResult class BacktestVenueConfig(NautilusConfig, frozen=True): @@ -46,7 +48,7 @@ class BacktestVenueConfig(NautilusConfig, frozen=True): base_currency: Optional[str] = None default_leverage: float = 1.0 leverages: Optional[dict[str, float]] = None - book_type: str = "L1_TBBO" + book_type: str = "L1_MBP" routing: bool = False frozen_account: bool = False bar_execution: bool = True @@ -75,11 +77,10 @@ class BacktestDataConfig(NautilusConfig, frozen=True): client_id: Optional[str] = None metadata: Optional[dict] = None bar_spec: Optional[str] = None - use_rust: Optional[bool] = False batch_size: Optional[int] = 10_000 @property - def data_type(self): + def data_type(self) -> type: if isinstance(self.data_cls, str): mod_path, cls_name = self.data_cls.rsplit(":", maxsplit=1) mod = importlib.import_module(mod_path) @@ -88,22 +89,20 @@ def data_type(self): return self.data_cls @property - def query(self): + def query(self) -> dict[str, Any]: if self.data_cls is Bar and self.bar_spec: bar_type = f"{self.instrument_id}-{self.bar_spec}-EXTERNAL" - filter_expr = f'field("bar_type") == "{bar_type}"' + filter_expr: Optional[str] = f'field("bar_type") == "{bar_type}"' else: filter_expr = self.filter_expr return { - "cls": self.data_type, + "data_cls": self.data_type, "instrument_ids": [self.instrument_id] if self.instrument_id else None, "start": self.start_time, "end": self.end_time, "filter_expr": parse_filters_expr(filter_expr), - "as_nautilus": True, "metadata": self.metadata, - "use_rust": self.use_rust, } @property @@ -118,7 +117,7 @@ def end_time_nanos(self) -> int: return sys.maxsize return maybe_dt_to_unix_nanos(pd.Timestamp(self.end_time)) - def catalog(self): + def catalog(self) -> ParquetDataCatalog: from nautilus_trader.persistence.catalog.parquet import ParquetDataCatalog return ParquetDataCatalog( @@ -131,31 +130,28 @@ def load( self, start_time: Optional[pd.Timestamp] = None, end_time: Optional[pd.Timestamp] = None, - as_nautilus: bool = True, - ): + ) -> CatalogDataResult: query = self.query query.update( { "start": start_time or query["start"], "end": end_time or query["end"], - "as_nautilus": as_nautilus, }, ) catalog = self.catalog() - instruments = catalog.instruments( - instrument_ids=[self.instrument_id] if self.instrument_id else None, - as_nautilus=True, + instruments = ( + catalog.instruments(instrument_ids=[self.instrument_id]) if self.instrument_id else None + ) + if self.instrument_id and not instruments: + return CatalogDataResult(data_cls=self.data_type, data=[]) + + return CatalogDataResult( + data_cls=self.data_type, + data=catalog.query(**query), + instrument=instruments[0] if instruments else None, + client_id=ClientId(self.client_id) if self.client_id else None, ) - if not instruments: - return {"data": [], "instrument": None} - data = catalog.query(**query) - return { - "type": query["cls"], - "data": data, - "instrument": instruments[0] if self.instrument_id else None, - "client_id": ClientId(self.client_id) if self.client_id else None, - } class BacktestEngineConfig(NautilusKernelConfig, frozen=True): @@ -183,9 +179,13 @@ class BacktestEngineConfig(NautilusKernelConfig, frozen=True): streaming : StreamingConfig, optional The configuration for streaming to feather files. strategies : list[ImportableStrategyConfig] - The strategy configurations for the node. + The strategy configurations for the kernel. actors : list[ImportableActorConfig] - The actor configurations for the node. + The actor configurations for the kernel. + exec_algorithms : list[ImportableExecAlgorithmConfig] + The execution algorithm configurations for the kernel. + controller : ImportableControllerConfig, optional + The trader controller for the kernel. load_state : bool, default True If trading strategy state should be loaded from the database on start. save_state : bool, default True @@ -214,20 +214,22 @@ class BacktestRunConfig(NautilusConfig, frozen=True): Parameters ---------- - engine : BacktestEngineConfig, optional - The backtest engine configuration (represents the core system kernel). venues : list[BacktestVenueConfig] The venue configurations for the backtest run. + A valid configuration must include at least one venue config. data : list[BacktestDataConfig] The data configurations for the backtest run. + A valid configuration must include at least one data config. + engine : BacktestEngineConfig + The backtest engine configuration (the core system kernel). batch_size_bytes : optional The batch block size in bytes (will then run in streaming mode). """ + venues: list[BacktestVenueConfig] + data: list[BacktestDataConfig] engine: Optional[BacktestEngineConfig] = None - venues: Optional[list[BacktestVenueConfig]] = None - data: Optional[list[BacktestDataConfig]] = None batch_size_bytes: Optional[int] = None @property diff --git a/nautilus_trader/config/common.py b/nautilus_trader/config/common.py index 39b7139d9874..4efe534d7dce 100644 --- a/nautilus_trader/config/common.py +++ b/nautilus_trader/config/common.py @@ -349,15 +349,12 @@ class DataCatalogConfig(NautilusConfig, frozen=True): The fsspec file system protocol for the data catalog. fs_storage_options : dict, optional The fsspec storage options for the data catalog. - use_rust : bool, default False - If queries will be for Rust schema versions (when implemented). """ path: str fs_protocol: Optional[str] = None fs_storage_options: Optional[dict] = None - use_rust: bool = False class ActorConfig(NautilusConfig, kw_only=True, frozen=True): @@ -443,6 +440,9 @@ class StrategyConfig(NautilusConfig, kw_only=True, frozen=True): external_order_claims : list[str], optional The external order claim instrument IDs. External orders for matching instrument IDs will be associated with (claimed by) the strategy. + manage_gtd_expiry : bool, default False + If all order GTD time in force expirations should be managed by the strategy. + If True then will ensure open orders have their GTD timers re-activated on start. """ @@ -450,6 +450,7 @@ class StrategyConfig(NautilusConfig, kw_only=True, frozen=True): order_id_tag: Optional[str] = None oms_type: Optional[str] = None external_order_claims: Optional[list[str]] = None + manage_gtd_expiry: bool = False class ImportableStrategyConfig(NautilusConfig, frozen=True): @@ -503,6 +504,55 @@ def create(config: ImportableStrategyConfig): return strategy_cls(config=config_cls(**config.config)) +class ImportableControllerConfig(NautilusConfig, frozen=True): + """ + Configuration for a controller instance. + + Parameters + ---------- + controller_path : str + The fully qualified name of the controller class. + config_path : str + The fully qualified name of the config class. + config : dict[str, Any] + The controller configuration. + + """ + + controller_path: str + config_path: str + config: dict + + +class ControllerConfig(NautilusConfig, kw_only=True, frozen=True): + """ + The base model for all trading strategy configurations. + """ + + +class ControllerFactory: + """ + Provides controller creation from importable configurations. + """ + + @staticmethod + def create( + config: ImportableControllerConfig, + trader, + ): + from nautilus_trader.trading.trader import Trader + + PyCondition.type(trader, Trader, "trader") + + controller_cls = resolve_path(config.controller_path) + config_cls = resolve_path(config.config_path) + config = config_cls(**config.config) + return controller_cls( + config=config, + trader=trader, + ) + + class ExecAlgorithmConfig(NautilusConfig, kw_only=True, frozen=True): """ The base model for all execution algorithm configurations. @@ -666,6 +716,10 @@ class NautilusKernelConfig(NautilusConfig, frozen=True): The actor configurations for the kernel. strategies : list[ImportableStrategyConfig] The strategy configurations for the kernel. + exec_algorithms : list[ImportableExecAlgorithmConfig] + The execution algorithm configurations for the kernel. + controller : ImportableControllerConfig, optional + The trader controller for the kernel. load_state : bool, default True If trading strategy state should be loaded from the database on start. save_state : bool, default True @@ -699,6 +753,7 @@ class NautilusKernelConfig(NautilusConfig, frozen=True): actors: list[ImportableActorConfig] = [] strategies: list[ImportableStrategyConfig] = [] exec_algorithms: list[ImportableExecAlgorithmConfig] = [] + controller: Optional[ImportableControllerConfig] = None load_state: bool = False save_state: bool = False loop_debug: bool = False diff --git a/nautilus_trader/core/correctness.pxd b/nautilus_trader/core/correctness.pxd index d6c49bc65a9c..2e41bbbe1536 100644 --- a/nautilus_trader/core/correctness.pxd +++ b/nautilus_trader/core/correctness.pxd @@ -13,6 +13,9 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +from libc.stdint cimport int64_t + + cdef inline Exception make_exception(ex_default, ex_type, str msg): if type(ex_type) == type(Exception): return ex_type(msg) @@ -119,13 +122,13 @@ cdef class Condition: cdef void positive(double value, str param, ex_type=*) @staticmethod - cdef void positive_int(int value, str param, ex_type=*) + cdef void positive_int(int64_t value, str param, ex_type=*) @staticmethod cdef void not_negative(double value, str param, ex_type=*) @staticmethod - cdef void not_negative_int(int value, str param, ex_type=*) + cdef void not_negative_int(int64_t value, str param, ex_type=*) @staticmethod cdef void in_range( @@ -138,9 +141,9 @@ cdef class Condition: @staticmethod cdef void in_range_int( - int value, - int start, - int end, + int64_t value, + int64_t start, + int64_t end, str param, ex_type=*, ) diff --git a/nautilus_trader/core/correctness.pyx b/nautilus_trader/core/correctness.pyx index a7983a778011..346e1980a7d1 100644 --- a/nautilus_trader/core/correctness.pyx +++ b/nautilus_trader/core/correctness.pyx @@ -19,6 +19,7 @@ to help ensure software correctness. """ from cpython.object cimport PyCallable_Check +from libc.stdint cimport int64_t cdef class Condition: @@ -600,13 +601,13 @@ cdef class Condition: ) @staticmethod - cdef void positive_int(int value, str param, ex_type = None): + cdef void positive_int(int64_t value, str param, ex_type = None): """ Check the integer value is a positive integer (> 0). Parameters ---------- - value : int + value : int64_t The value to check. param : str The name of the values parameter. @@ -658,13 +659,13 @@ cdef class Condition: ) @staticmethod - cdef void not_negative_int(int value, str param, ex_type = None): + cdef void not_negative_int(int64_t value, str param, ex_type = None): """ Check the integer value is not negative (< 0). Parameters ---------- - value : int + value : int64_t The value to check. param : str The name of the values parameter. @@ -728,9 +729,9 @@ cdef class Condition: @staticmethod cdef void in_range_int( - int value, - int start, - int end, + int64_t value, + int64_t start, + int64_t end, str param, ex_type = None, ): @@ -739,11 +740,11 @@ cdef class Condition: Parameters ---------- - value : int + value : int64_t The value to check. - start : int + start : int64_t The start of the range. - end : int + end : int64_t The end of the range. param : str The name of the values parameter. @@ -1203,13 +1204,13 @@ class PyCondition: Condition.positive(value, param, ex_type) @staticmethod - def positive_int(int value, str param, ex_type = None): + def positive_int(int64_t value, str param, ex_type = None): """ Check the integer value is a positive integer (> 0). Parameters ---------- - value : int + value : int64_t The value to check. param : str The name of the value parameter. @@ -1247,13 +1248,13 @@ class PyCondition: Condition.not_negative(value, param, ex_type) @staticmethod - def not_negative_int(int value, str param, ex_type = None): + def not_negative_int(int64_t value, str param, ex_type = None): """ Check the integer value is not negative (< 0). Parameters ---------- - value : int + value : int64_t The value to check. param : str The name of the value parameter. @@ -1295,17 +1296,17 @@ class PyCondition: Condition.in_range(value, start, end, param, ex_type) @staticmethod - def in_range_int(int value, int start, int end, param, ex_type = None): + def in_range_int(int64_t value, int64_t start, int64_t end, param, ex_type = None): """ Check the integer value is within the specified range (inclusive). Parameters ---------- - value : int + value : int64_t The value to check. - start : int + start : int64_t The start of the range. - end : int + end : int64_t The end of the range. param : str The name of the value parameter. diff --git a/nautilus_trader/core/datetime.pxd b/nautilus_trader/core/datetime.pxd index d3c4ab2f990e..524b904edee0 100644 --- a/nautilus_trader/core/datetime.pxd +++ b/nautilus_trader/core/datetime.pxd @@ -19,13 +19,6 @@ from cpython.datetime cimport datetime from libc.stdint cimport uint64_t -cpdef uint64_t secs_to_nanos(double seconds) -cpdef uint64_t secs_to_millis(double secs) -cpdef uint64_t millis_to_nanos(double millis) -cpdef uint64_t micros_to_nanos(double micros) -cpdef double nanos_to_secs(uint64_t nanos) -cpdef uint64_t nanos_to_millis(uint64_t nanos) -cpdef uint64_t nanos_to_micros(uint64_t nanos) cpdef unix_nanos_to_dt(uint64_t nanos) cpdef dt_to_unix_nanos(dt: pd.Timestamp) cpdef maybe_unix_nanos_to_dt(nanos) diff --git a/nautilus_trader/core/datetime.pyx b/nautilus_trader/core/datetime.pyx index 63d296dd688e..2d647d8f2481 100644 --- a/nautilus_trader/core/datetime.pyx +++ b/nautilus_trader/core/datetime.pyx @@ -22,19 +22,21 @@ Functions include awareness/tz checks and conversions, as well as ISO 8601 conve import pandas as pd import pytz +# Re-exports +from nautilus_trader.core.nautilus_pyo3 import micros_to_nanos as micros_to_nanos +from nautilus_trader.core.nautilus_pyo3 import millis_to_nanos as millis_to_nanos +from nautilus_trader.core.nautilus_pyo3 import nanos_to_micros as nanos_to_micros +from nautilus_trader.core.nautilus_pyo3 import nanos_to_millis as nanos_to_millis +from nautilus_trader.core.nautilus_pyo3 import nanos_to_secs as nanos_to_secs +from nautilus_trader.core.nautilus_pyo3 import secs_to_millis as secs_to_millis +from nautilus_trader.core.nautilus_pyo3 import secs_to_nanos as secs_to_nanos + cimport cpython.datetime from cpython.datetime cimport datetime_tzinfo from cpython.unicode cimport PyUnicode_Contains from libc.stdint cimport uint64_t from nautilus_trader.core.correctness cimport Condition -from nautilus_trader.core.rust.core cimport micros_to_nanos as rust_micros_to_nanos -from nautilus_trader.core.rust.core cimport millis_to_nanos as rust_millis_to_nanos -from nautilus_trader.core.rust.core cimport nanos_to_micros as rust_nanos_to_micros -from nautilus_trader.core.rust.core cimport nanos_to_millis as rust_nanos_to_millis -from nautilus_trader.core.rust.core cimport nanos_to_secs as rust_nanos_to_secs -from nautilus_trader.core.rust.core cimport secs_to_millis as rust_secs_to_millis -from nautilus_trader.core.rust.core cimport secs_to_nanos as rust_secs_to_nanos # UNIX epoch is the UTC time at 00:00:00 on 1/1/1970 @@ -42,125 +44,6 @@ from nautilus_trader.core.rust.core cimport secs_to_nanos as rust_secs_to_nanos cdef datetime UNIX_EPOCH = pd.Timestamp("1970-01-01", tz=pytz.utc) -cpdef uint64_t secs_to_nanos(double secs): - """ - Return round nanoseconds (ns) converted from the given seconds. - - Parameters - ---------- - secs : double - The seconds to convert. - - Returns - ------- - uint64_t - - """ - return rust_secs_to_nanos(secs) - - -cpdef uint64_t secs_to_millis(double secs): - """ - Return round milliseconds (ms) converted from the given seconds. - - Parameters - ---------- - secs : double - The seconds to convert. - - Returns - ------- - uint64_t - - """ - return rust_secs_to_millis(secs) - - -cpdef uint64_t millis_to_nanos(double millis): - """ - Return round nanoseconds (ns) converted from the given milliseconds (ms). - - Parameters - ---------- - millis : double - The milliseconds to convert. - - Returns - ------- - uint64_t - - """ - return rust_millis_to_nanos(millis) - - -cpdef uint64_t micros_to_nanos(double micros): - """ - Return round nanoseconds (ns) converted from the given microseconds (μs). - - Parameters - ---------- - micros : double - The microseconds to convert. - - Returns - ------- - uint64_t - - """ - return rust_micros_to_nanos(micros) - - -cpdef double nanos_to_secs(uint64_t nanos): - """ - Return seconds converted from the given nanoseconds (ns). - - Parameters - ---------- - nanos : uint64_t - The nanoseconds to convert. - - Returns - ------- - double - - """ - return rust_nanos_to_secs(nanos) - - -cpdef uint64_t nanos_to_millis(uint64_t nanos): - """ - Return round milliseconds (ms) converted from the given nanoseconds (ns). - - Parameters - ---------- - nanos : uint64_t - The nanoseconds to convert. - - Returns - ------- - uint64_t - - """ - return rust_nanos_to_millis(nanos) - - -cpdef uint64_t nanos_to_micros(uint64_t nanos): - """ - Return round microseconds (μs) converted from the given nanoseconds (ns). - - Parameters - ---------- - nanos : uint64_t - The nanoseconds to convert. - - Returns - ------- - uint64_t - - """ - return rust_nanos_to_micros(nanos) - - cpdef unix_nanos_to_dt(uint64_t nanos): """ Return the datetime (UTC) from the given UNIX time (nanoseconds). @@ -184,12 +67,12 @@ cpdef dt_to_unix_nanos(dt: pd.Timestamp): Parameters ---------- - dt : pd.Timestamp, optional + dt : pd.Timestamp The datetime to convert. Returns ------- - uint64_t or ``None`` + uint64_t Warnings -------- @@ -209,7 +92,7 @@ cpdef maybe_unix_nanos_to_dt(nanos): """ Return the datetime (UTC) from the given UNIX time (nanoseconds), or ``None``. - If nanos is ``None``, then will return None. + If nanos is ``None``, then will return ``None``. Parameters ---------- @@ -231,7 +114,7 @@ cpdef maybe_dt_to_unix_nanos(dt: pd.Timestamp): """ Return the UNIX time (nanoseconds) from the given datetime, or ``None``. - If dt is ``None``, then will return None. + If dt is ``None``, then will return ``None``. Parameters ---------- diff --git a/nautilus_trader/core/includes/backtest.h b/nautilus_trader/core/includes/backtest.h index 42cca2d8b4a5..1b5e0a970d04 100644 --- a/nautilus_trader/core/includes/backtest.h +++ b/nautilus_trader/core/includes/backtest.h @@ -1,4 +1,4 @@ -/* Generated with cbindgen:0.24.5 */ +/* Generated with cbindgen:0.26.0 */ /* Warning, this file is autogenerated by cbindgen. Don't modify this manually. */ diff --git a/nautilus_trader/core/includes/common.h b/nautilus_trader/core/includes/common.h index 81e81713b0e5..03c9903f5763 100644 --- a/nautilus_trader/core/includes/common.h +++ b/nautilus_trader/core/includes/common.h @@ -1,4 +1,4 @@ -/* Generated with cbindgen:0.24.5 */ +/* Generated with cbindgen:0.26.0 */ /* Warning, this file is autogenerated by cbindgen. Don't modify this manually. */ @@ -284,13 +284,53 @@ typedef struct TimeEventHandler_t { PyObject *callback_ptr; } TimeEventHandler_t; +const char *component_state_to_cstr(enum ComponentState value); + +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +enum ComponentState component_state_from_cstr(const char *ptr); + +const char *component_trigger_to_cstr(enum ComponentTrigger value); + +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +enum ComponentTrigger component_trigger_from_cstr(const char *ptr); + +const char *log_level_to_cstr(enum LogLevel value); + +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +enum LogLevel log_level_from_cstr(const char *ptr); + +const char *log_color_to_cstr(enum LogColor value); + +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +enum LogColor log_color_from_cstr(const char *ptr); + struct TestClock_API test_clock_new(void); void test_clock_drop(struct TestClock_API clock); /** * # Safety - * - Assumes `callback_ptr` is a valid PyCallable pointer. + * - Assumes `callback_ptr` is a valid `PyCallable` pointer. */ void test_clock_register_default_handler(struct TestClock_API *clock, PyObject *callback_ptr); @@ -312,7 +352,7 @@ uintptr_t test_clock_timer_count(struct TestClock_API *clock); * # Safety * * - Assumes `name_ptr` is a valid C string pointer. - * - Assumes `callback_ptr` is a valid PyCallable pointer. + * - Assumes `callback_ptr` is a valid `PyCallable` pointer. */ void test_clock_set_time_alert_ns(struct TestClock_API *clock, const char *name_ptr, @@ -323,7 +363,7 @@ void test_clock_set_time_alert_ns(struct TestClock_API *clock, * # Safety * * - Assumes `name_ptr` is a valid C string pointer. - * - Assumes `callback_ptr` is a valid PyCallable pointer. + * - Assumes `callback_ptr` is a valid `PyCallable` pointer. */ void test_clock_set_timer_ns(struct TestClock_API *clock, const char *name_ptr, @@ -369,46 +409,6 @@ uint64_t live_clock_timestamp_us(struct LiveClock_API *clock); uint64_t live_clock_timestamp_ns(struct LiveClock_API *clock); -const char *component_state_to_cstr(enum ComponentState value); - -/** - * Returns an enum from a Python string. - * - * # Safety - * - Assumes `ptr` is a valid C string pointer. - */ -enum ComponentState component_state_from_cstr(const char *ptr); - -const char *component_trigger_to_cstr(enum ComponentTrigger value); - -/** - * Returns an enum from a Python string. - * - * # Safety - * - Assumes `ptr` is a valid C string pointer. - */ -enum ComponentTrigger component_trigger_from_cstr(const char *ptr); - -const char *log_level_to_cstr(enum LogLevel value); - -/** - * Returns an enum from a Python string. - * - * # Safety - * - Assumes `ptr` is a valid C string pointer. - */ -enum LogLevel log_level_from_cstr(const char *ptr); - -const char *log_color_to_cstr(enum LogColor value); - -/** - * Returns an enum from a Python string. - * - * # Safety - * - Assumes `ptr` is a valid C string pointer. - */ -enum LogColor log_color_from_cstr(const char *ptr); - /** * Creates a new logger. * @@ -455,8 +455,6 @@ void logger_log(struct Logger_API *logger, const char *component_ptr, const char *message_ptr); -struct TimeEventHandler_t dummy(struct TimeEventHandler_t v); - /** * # Safety * @@ -471,3 +469,5 @@ struct TimeEvent_t time_event_new(const char *name_ptr, * Returns a [`TimeEvent`] as a C string pointer. */ const char *time_event_to_cstr(const struct TimeEvent_t *event); + +struct TimeEventHandler_t dummy(struct TimeEventHandler_t v); diff --git a/nautilus_trader/core/includes/core.h b/nautilus_trader/core/includes/core.h index c8da10f4e57d..445ef95b43b4 100644 --- a/nautilus_trader/core/includes/core.h +++ b/nautilus_trader/core/includes/core.h @@ -1,4 +1,4 @@ -/* Generated with cbindgen:0.24.5 */ +/* Generated with cbindgen:0.26.0 */ /* Warning, this file is autogenerated by cbindgen. Don't modify this manually. */ @@ -29,14 +29,14 @@ typedef struct CVec { uintptr_t cap; } CVec; +/** + * Represents a pseudo-random UUID (universally unique identifier) + * version 4 based on a 128-bit label as specified in RFC 4122. + */ typedef struct UUID4_t { uint8_t value[37]; } UUID4_t; -void cvec_drop(struct CVec cvec); - -struct CVec cvec_new(void); - /** * Converts seconds to nanoseconds (ns). */ @@ -72,6 +72,35 @@ uint64_t nanos_to_millis(uint64_t nanos); */ uint64_t nanos_to_micros(uint64_t nanos); +/** + * Returns the current seconds since the UNIX epoch. + */ +double unix_timestamp(void); + +/** + * Returns the current milliseconds since the UNIX epoch. + */ +uint64_t unix_timestamp_ms(void); + +/** + * Returns the current microseconds since the UNIX epoch. + */ +uint64_t unix_timestamp_us(void); + +/** + * Returns the current nanoseconds since the UNIX epoch. + */ +uint64_t unix_timestamp_ns(void); + +void cvec_drop(struct CVec cvec); + +struct CVec cvec_new(void); + +/** + * Converts a UNIX nanoseconds timestamp to an ISO 8601 formatted C string pointer. + */ +const char *unix_nanos_to_iso8601_cstr(uint64_t timestamp_ns); + /** * Return the decimal precision inferred from the given C string. * @@ -98,26 +127,6 @@ uint8_t precision_from_cstr(const char *ptr); */ void cstr_drop(const char *ptr); -/** - * Returns the current seconds since the UNIX epoch. - */ -double unix_timestamp(void); - -/** - * Returns the current milliseconds since the UNIX epoch. - */ -uint64_t unix_timestamp_ms(void); - -/** - * Returns the current microseconds since the UNIX epoch. - */ -uint64_t unix_timestamp_us(void); - -/** - * Returns the current nanoseconds since the UNIX epoch. - */ -uint64_t unix_timestamp_ns(void); - struct UUID4_t uuid4_new(void); /** diff --git a/nautilus_trader/core/includes/model.h b/nautilus_trader/core/includes/model.h index c721e2cc388c..17790636f580 100644 --- a/nautilus_trader/core/includes/model.h +++ b/nautilus_trader/core/includes/model.h @@ -1,4 +1,4 @@ -/* Generated with cbindgen:0.24.5 */ +/* Generated with cbindgen:0.26.0 */ /* Warning, this file is autogenerated by cbindgen. Don't modify this manually. */ @@ -176,7 +176,7 @@ typedef enum BookType { /** * Top-of-book best bid/offer, one level per side. */ - L1_TBBO = 1, + L1_MBP = 1, /** * Market by price, one order per level (aggregated). */ @@ -223,8 +223,30 @@ typedef enum CurrencyType { * A type of currency issued by governments which is not backed by a commodity. */ FIAT = 2, + /** + * A type of currency that is based on the value of an underlying commodity. + */ + COMMODITY_BACKED = 3, } CurrencyType; +/** + * The reason for a venue or market halt. + */ +typedef enum HaltReason { + /** + * The venue or market session is not halted. + */ + NOT_HALTED = 1, + /** + * Trading halt is imposed for purely regulatory reasons with/without volatility halt. + */ + GENERAL = 2, + /** + * Trading halt is imposed by the venue to protect against extreme volatility. + */ + VOLATILITY = 3, +} HaltReason; + /** * The type of event for an instrument close. */ @@ -262,25 +284,33 @@ typedef enum LiquiditySide { */ typedef enum MarketStatus { /** - * The market is closed. + * The market session is in the pre-open. + */ + PRE_OPEN = 1, + /** + * The market session is open. */ - CLOSED = 1, + OPEN = 2, /** - * The market is in the pre-open session. + * The market session is paused. */ - PRE_OPEN = 2, + PAUSE = 3, /** - * The market is open for the normal session. + * The market session is halted. */ - OPEN = 3, + HALT = 4, /** - * The market session is paused. + * The market session has reopened after a pause or halt. + */ + REOPEN = 5, + /** + * The market session is in the pre-close. */ - PAUSE = 4, + PRE_CLOSE = 6, /** - * The market is in the pre-close session. + * The market session is closed. */ - PRE_CLOSE = 5, + CLOSED = 7, } MarketStatus; /** @@ -628,6 +658,9 @@ typedef enum TriggerType { typedef struct Level Level; +/** + * Provides an order book which can handle L1/L2/L3 granularity data. + */ typedef struct OrderBook OrderBook; /** @@ -636,16 +669,39 @@ typedef struct OrderBook OrderBook; */ typedef struct SyntheticInstrument SyntheticInstrument; +/** + * Represents a valid ticker symbol ID for a tradable financial market instrument. + */ typedef struct Symbol_t { + /** + * The ticker symbol ID value. + */ char* value; } Symbol_t; +/** + * Represents a valid trading venue ID. + */ typedef struct Venue_t { + /** + * The venue ID value. + */ char* value; } Venue_t; +/** + * Represents a valid instrument ID. + * + * The symbol and venue combination should uniquely identify the instrument. + */ typedef struct InstrumentId_t { + /** + * The instruments ticker symbol. + */ struct Symbol_t symbol; + /** + * The instruments trading venue. + */ struct Venue_t venue; } InstrumentId_t; @@ -749,7 +805,18 @@ typedef struct QuoteTick_t { uint64_t ts_init; } QuoteTick_t; +/** + * Represents a valid trade match ID (assigned by a trading venue). + * + * Can correspond to the `TradeID <1003> field` of the FIX protocol. + * + * The unique ID assigned to the trade entity once it is received or matched by + * the exchange or central counterparty. + */ typedef struct TradeId_t { + /** + * The trade match ID value. + */ char* value; } TradeId_t; @@ -888,6 +955,21 @@ typedef struct Data_t { }; } Data_t; +/** + * Provides a C compatible Foreign Function Interface (FFI) for an underlying + * [`SyntheticInstrument`]. + * + * This struct wraps `SyntheticInstrument` in a way that makes it compatible with C function + * calls, enabling interaction with `SyntheticInstrument` in a C environment. + * + * It implements the `Deref` trait, allowing instances of `SyntheticInstrument_API` to be + * dereferenced to `SyntheticInstrument`, providing access to `SyntheticInstruments`'s methods without + * having to manually access the underlying instance. + */ +typedef struct SyntheticInstrument_API { + struct SyntheticInstrument *_0; +} SyntheticInstrument_API; + /** * Represents a single quote tick in a financial market. */ @@ -906,15 +988,50 @@ typedef struct Ticker { uint64_t ts_init; } Ticker; +/** + * Represents a valid trader ID. + * + * Must be correctly formatted with two valid strings either side of a hyphen. + * It is expected a trader ID is the abbreviated name of the trader + * with an order ID tag number separated by a hyphen. + * + * Example: "TESTER-001". + * The reason for the numerical component of the ID is so that order and position IDs + * do not collide with those from another node instance. + */ typedef struct TraderId_t { + /** + * The trader ID value. + */ char* value; } TraderId_t; +/** + * Represents a valid strategy ID. + * + * Must be correctly formatted with two valid strings either side of a hyphen. + * It is expected a strategy ID is the class name of the strategy, + * with an order ID tag number separated by a hyphen. + * + * Example: "EMACross-001". + * + * The reason for the numerical component of the ID is so that order and position IDs + * do not collide with those from another strategy within the node instance. + */ typedef struct StrategyId_t { + /** + * The strategy ID value. + */ char* value; } StrategyId_t; +/** + * Represents a valid client order ID (assigned by the Nautilus system). + */ typedef struct ClientOrderId_t { + /** + * The client order ID value. + */ char* value; } ClientOrderId_t; @@ -950,7 +1067,19 @@ typedef struct OrderReleased_t { uint64_t ts_init; } OrderReleased_t; +/** + * Represents a valid account ID. + * + * Must be correctly formatted with two valid strings either side of a hyphen '-'. + * It is expected an account ID is the name of the issuer with an account number + * separated by a hyphen. + * + * Example: "IB-D02851908". + */ typedef struct AccountId_t { + /** + * The account ID value. + */ char* value; } AccountId_t; @@ -965,7 +1094,13 @@ typedef struct OrderSubmitted_t { uint64_t ts_init; } OrderSubmitted_t; +/** + * Represents a valid venue order ID (assigned by a trading venue). + */ typedef struct VenueOrderId_t { + /** + * The venue assigned order ID value. + */ char* value; } VenueOrderId_t; @@ -995,41 +1130,56 @@ typedef struct OrderRejected_t { uint8_t reconciliation; } OrderRejected_t; +/** + * Represents a system client ID. + */ typedef struct ClientId_t { + /** + * The client ID value. + */ char* value; } ClientId_t; +/** + * Represents a valid component ID. + */ typedef struct ComponentId_t { + /** + * The component ID value. + */ char* value; } ComponentId_t; +/** + * Represents a valid execution algorithm ID. + */ typedef struct ExecAlgorithmId_t { + /** + * The execution algorithm ID value. + */ char* value; } ExecAlgorithmId_t; +/** + * Represents a valid order list ID (assigned by the Nautilus system). + */ typedef struct OrderListId_t { + /** + * The order list ID value. + */ char* value; } OrderListId_t; +/** + * Represents a valid position ID. + */ typedef struct PositionId_t { + /** + * The position ID value. + */ char* value; } PositionId_t; -/** - * Provides a C compatible Foreign Function Interface (FFI) for an underlying - * [`SyntheticInstrument`]. - * - * This struct wraps `SyntheticInstrument` in a way that makes it compatible with C function - * calls, enabling interaction with `SyntheticInstrument` in a C environment. - * - * It implements the `Deref` trait, allowing instances of `SyntheticInstrument_API` to be - * dereferenced to `SyntheticInstrument`, providing access to `SyntheticInstruments`'s methods without - * having to manually access the underlying instance. - */ -typedef struct SyntheticInstrument_API { - struct SyntheticInstrument *_0; -} SyntheticInstrument_API; - /** * Provides a C compatible Foreign Function Interface (FFI) for an underlying [`OrderBook`]. * @@ -1080,167 +1230,117 @@ typedef struct Money_t { struct Data_t data_clone(const struct Data_t *data); -struct BarSpecification_t bar_specification_new(uintptr_t step, - uint8_t aggregation, - uint8_t price_type); +const char *account_type_to_cstr(enum AccountType value); /** - * Returns a [`BarSpecification`] as a C string pointer. + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. */ -const char *bar_specification_to_cstr(const struct BarSpecification_t *bar_spec); +enum AccountType account_type_from_cstr(const char *ptr); -uint64_t bar_specification_hash(const struct BarSpecification_t *bar_spec); +const char *aggregation_source_to_cstr(enum AggregationSource value); -uint8_t bar_specification_eq(const struct BarSpecification_t *lhs, - const struct BarSpecification_t *rhs); +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +enum AggregationSource aggregation_source_from_cstr(const char *ptr); -uint8_t bar_specification_lt(const struct BarSpecification_t *lhs, - const struct BarSpecification_t *rhs); +const char *aggressor_side_to_cstr(enum AggressorSide value); -uint8_t bar_specification_le(const struct BarSpecification_t *lhs, - const struct BarSpecification_t *rhs); +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +enum AggressorSide aggressor_side_from_cstr(const char *ptr); -uint8_t bar_specification_gt(const struct BarSpecification_t *lhs, - const struct BarSpecification_t *rhs); +const char *asset_class_to_cstr(enum AssetClass value); -uint8_t bar_specification_ge(const struct BarSpecification_t *lhs, - const struct BarSpecification_t *rhs); +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +enum AssetClass asset_class_from_cstr(const char *ptr); -struct BarType_t bar_type_new(struct InstrumentId_t instrument_id, - struct BarSpecification_t spec, - uint8_t aggregation_source); +const char *asset_type_to_cstr(enum AssetType value); -uint8_t bar_type_eq(const struct BarType_t *lhs, const struct BarType_t *rhs); +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +enum AssetType asset_type_from_cstr(const char *ptr); -uint8_t bar_type_lt(const struct BarType_t *lhs, const struct BarType_t *rhs); +const char *bar_aggregation_to_cstr(uint8_t value); -uint8_t bar_type_le(const struct BarType_t *lhs, const struct BarType_t *rhs); +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +uint8_t bar_aggregation_from_cstr(const char *ptr); -uint8_t bar_type_gt(const struct BarType_t *lhs, const struct BarType_t *rhs); +const char *book_action_to_cstr(enum BookAction value); -uint8_t bar_type_ge(const struct BarType_t *lhs, const struct BarType_t *rhs); +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +enum BookAction book_action_from_cstr(const char *ptr); -uint64_t bar_type_hash(const struct BarType_t *bar_type); +const char *book_type_to_cstr(enum BookType value); /** - * Returns a [`BarType`] as a C string pointer. + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. */ -const char *bar_type_to_cstr(const struct BarType_t *bar_type); +enum BookType book_type_from_cstr(const char *ptr); -struct Bar_t bar_new(struct BarType_t bar_type, - struct Price_t open, - struct Price_t high, - struct Price_t low, - struct Price_t close, - struct Quantity_t volume, - uint64_t ts_event, - uint64_t ts_init); +const char *contingency_type_to_cstr(enum ContingencyType value); -struct Bar_t bar_new_from_raw(struct BarType_t bar_type, - int64_t open, - int64_t high, - int64_t low, - int64_t close, - uint8_t price_prec, - uint64_t volume, - uint8_t size_prec, - uint64_t ts_event, - uint64_t ts_init); +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +enum ContingencyType contingency_type_from_cstr(const char *ptr); -uint8_t bar_eq(const struct Bar_t *lhs, const struct Bar_t *rhs); +const char *currency_type_to_cstr(enum CurrencyType value); -uint64_t bar_hash(const struct Bar_t *bar); +/** + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. + */ +enum CurrencyType currency_type_from_cstr(const char *ptr); /** - * Returns a [`Bar`] as a C string. + * Returns an enum from a Python string. + * + * # Safety + * - Assumes `ptr` is a valid C string pointer. */ -const char *bar_to_cstr(const struct Bar_t *bar); +enum InstrumentCloseType instrument_close_type_from_cstr(const char *ptr); -struct OrderBookDelta_t orderbook_delta_new(struct InstrumentId_t instrument_id, - enum BookAction action, - struct BookOrder_t order, - uint8_t flags, - uint64_t sequence, - uint64_t ts_event, - uint64_t ts_init); +const char *instrument_close_type_to_cstr(enum InstrumentCloseType value); -uint8_t orderbook_delta_eq(const struct OrderBookDelta_t *lhs, const struct OrderBookDelta_t *rhs); - -uint64_t orderbook_delta_hash(const struct OrderBookDelta_t *delta); - -struct BookOrder_t book_order_from_raw(enum OrderSide order_side, - int64_t price_raw, - uint8_t price_prec, - uint64_t size_raw, - uint8_t size_prec, - uint64_t order_id); - -uint8_t book_order_eq(const struct BookOrder_t *lhs, const struct BookOrder_t *rhs); - -uint64_t book_order_hash(const struct BookOrder_t *order); - -double book_order_exposure(const struct BookOrder_t *order); - -double book_order_signed_size(const struct BookOrder_t *order); - -/** - * Returns a [`BookOrder`] display string as a C string pointer. - */ -const char *book_order_display_to_cstr(const struct BookOrder_t *order); - -/** - * Returns a [`BookOrder`] debug string as a C string pointer. - */ -const char *book_order_debug_to_cstr(const struct BookOrder_t *order); - -struct QuoteTick_t quote_tick_new(struct InstrumentId_t instrument_id, - int64_t bid_price_raw, - int64_t ask_price_raw, - uint8_t bid_price_prec, - uint8_t ask_price_prec, - uint64_t bid_size_raw, - uint64_t ask_size_raw, - uint8_t bid_size_prec, - uint8_t ask_size_prec, - uint64_t ts_event, - uint64_t ts_init); - -uint8_t quote_tick_eq(const struct QuoteTick_t *lhs, const struct QuoteTick_t *rhs); - -uint64_t quote_tick_hash(const struct QuoteTick_t *delta); - -/** - * Returns a [`QuoteTick`] as a C string pointer. - */ -const char *quote_tick_to_cstr(const struct QuoteTick_t *tick); - -struct Ticker ticker_new(struct InstrumentId_t instrument_id, uint64_t ts_event, uint64_t ts_init); - -/** - * Returns a [`Ticker`] as a C string pointer. - */ -const char *ticker_to_cstr(const struct Ticker *ticker); - -struct TradeTick_t trade_tick_new(struct InstrumentId_t instrument_id, - int64_t price_raw, - uint8_t price_prec, - uint64_t size_raw, - uint8_t size_prec, - enum AggressorSide aggressor_side, - struct TradeId_t trade_id, - uint64_t ts_event, - uint64_t ts_init); - -uint8_t trade_tick_eq(const struct TradeTick_t *lhs, const struct TradeTick_t *rhs); - -uint64_t trade_tick_hash(const struct TradeTick_t *delta); - -/** - * Returns a [`TradeTick`] as a C string pointer. - */ -const char *trade_tick_to_cstr(const struct TradeTick_t *tick); - -const char *account_type_to_cstr(enum AccountType value); +const char *liquidity_side_to_cstr(enum LiquiditySide value); /** * Returns an enum from a Python string. @@ -1248,9 +1348,9 @@ const char *account_type_to_cstr(enum AccountType value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum AccountType account_type_from_cstr(const char *ptr); +enum LiquiditySide liquidity_side_from_cstr(const char *ptr); -const char *aggregation_source_to_cstr(enum AggregationSource value); +const char *market_status_to_cstr(enum MarketStatus value); /** * Returns an enum from a Python string. @@ -1258,9 +1358,9 @@ const char *aggregation_source_to_cstr(enum AggregationSource value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum AggregationSource aggregation_source_from_cstr(const char *ptr); +enum MarketStatus market_status_from_cstr(const char *ptr); -const char *aggressor_side_to_cstr(enum AggressorSide value); +const char *halt_reason_to_cstr(enum HaltReason value); /** * Returns an enum from a Python string. @@ -1268,9 +1368,9 @@ const char *aggressor_side_to_cstr(enum AggressorSide value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum AggressorSide aggressor_side_from_cstr(const char *ptr); +enum HaltReason halt_reason_from_cstr(const char *ptr); -const char *asset_class_to_cstr(enum AssetClass value); +const char *oms_type_to_cstr(enum OmsType value); /** * Returns an enum from a Python string. @@ -1278,9 +1378,9 @@ const char *asset_class_to_cstr(enum AssetClass value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum AssetClass asset_class_from_cstr(const char *ptr); +enum OmsType oms_type_from_cstr(const char *ptr); -const char *asset_type_to_cstr(enum AssetType value); +const char *option_kind_to_cstr(enum OptionKind value); /** * Returns an enum from a Python string. @@ -1288,9 +1388,9 @@ const char *asset_type_to_cstr(enum AssetType value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum AssetType asset_type_from_cstr(const char *ptr); +enum OptionKind option_kind_from_cstr(const char *ptr); -const char *bar_aggregation_to_cstr(uint8_t value); +const char *order_side_to_cstr(enum OrderSide value); /** * Returns an enum from a Python string. @@ -1298,9 +1398,9 @@ const char *bar_aggregation_to_cstr(uint8_t value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -uint8_t bar_aggregation_from_cstr(const char *ptr); +enum OrderSide order_side_from_cstr(const char *ptr); -const char *book_action_to_cstr(enum BookAction value); +const char *order_status_to_cstr(enum OrderStatus value); /** * Returns an enum from a Python string. @@ -1308,9 +1408,9 @@ const char *book_action_to_cstr(enum BookAction value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum BookAction book_action_from_cstr(const char *ptr); +enum OrderStatus order_status_from_cstr(const char *ptr); -const char *book_type_to_cstr(enum BookType value); +const char *order_type_to_cstr(enum OrderType value); /** * Returns an enum from a Python string. @@ -1318,9 +1418,9 @@ const char *book_type_to_cstr(enum BookType value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum BookType book_type_from_cstr(const char *ptr); +enum OrderType order_type_from_cstr(const char *ptr); -const char *contingency_type_to_cstr(enum ContingencyType value); +const char *position_side_to_cstr(enum PositionSide value); /** * Returns an enum from a Python string. @@ -1328,9 +1428,9 @@ const char *contingency_type_to_cstr(enum ContingencyType value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum ContingencyType contingency_type_from_cstr(const char *ptr); +enum PositionSide position_side_from_cstr(const char *ptr); -const char *currency_type_to_cstr(enum CurrencyType value); +const char *price_type_to_cstr(enum PriceType value); /** * Returns an enum from a Python string. @@ -1338,7 +1438,9 @@ const char *currency_type_to_cstr(enum CurrencyType value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum CurrencyType currency_type_from_cstr(const char *ptr); +enum PriceType price_type_from_cstr(const char *ptr); + +const char *time_in_force_to_cstr(enum TimeInForce value); /** * Returns an enum from a Python string. @@ -1346,11 +1448,9 @@ enum CurrencyType currency_type_from_cstr(const char *ptr); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum InstrumentCloseType instrument_close_type_from_cstr(const char *ptr); - -const char *instrument_close_type_to_cstr(enum InstrumentCloseType value); +enum TimeInForce time_in_force_from_cstr(const char *ptr); -const char *liquidity_side_to_cstr(enum LiquiditySide value); +const char *trading_state_to_cstr(enum TradingState value); /** * Returns an enum from a Python string. @@ -1358,9 +1458,9 @@ const char *liquidity_side_to_cstr(enum LiquiditySide value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum LiquiditySide liquidity_side_from_cstr(const char *ptr); +enum TradingState trading_state_from_cstr(const char *ptr); -const char *market_status_to_cstr(enum MarketStatus value); +const char *trailing_offset_type_to_cstr(enum TrailingOffsetType value); /** * Returns an enum from a Python string. @@ -1368,9 +1468,9 @@ const char *market_status_to_cstr(enum MarketStatus value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum MarketStatus market_status_from_cstr(const char *ptr); +enum TrailingOffsetType trailing_offset_type_from_cstr(const char *ptr); -const char *oms_type_to_cstr(enum OmsType value); +const char *trigger_type_to_cstr(enum TriggerType value); /** * Returns an enum from a Python string. @@ -1378,107 +1478,237 @@ const char *oms_type_to_cstr(enum OmsType value); * # Safety * - Assumes `ptr` is a valid C string pointer. */ -enum OmsType oms_type_from_cstr(const char *ptr); +enum TriggerType trigger_type_from_cstr(const char *ptr); -const char *option_kind_to_cstr(enum OptionKind value); +void interned_string_stats(void); /** - * Returns an enum from a Python string. - * * # Safety - * - Assumes `ptr` is a valid C string pointer. + * + * - Assumes `components_ptr` is a valid C string pointer of a JSON format list of strings. + * - Assumes `formula_ptr` is a valid C string pointer. */ -enum OptionKind option_kind_from_cstr(const char *ptr); +struct SyntheticInstrument_API synthetic_instrument_new(struct Symbol_t symbol, + uint8_t price_precision, + const char *components_ptr, + const char *formula_ptr, + uint64_t ts_event, + uint64_t ts_init); -const char *order_side_to_cstr(enum OrderSide value); +void synthetic_instrument_drop(struct SyntheticInstrument_API synth); + +struct InstrumentId_t synthetic_instrument_id(const struct SyntheticInstrument_API *synth); + +uint8_t synthetic_instrument_price_precision(const struct SyntheticInstrument_API *synth); + +struct Price_t synthetic_instrument_price_increment(const struct SyntheticInstrument_API *synth); + +const char *synthetic_instrument_formula_to_cstr(const struct SyntheticInstrument_API *synth); + +const char *synthetic_instrument_components_to_cstr(const struct SyntheticInstrument_API *synth); + +uintptr_t synthetic_instrument_components_count(const struct SyntheticInstrument_API *synth); + +uint64_t synthetic_instrument_ts_event(const struct SyntheticInstrument_API *synth); + +uint64_t synthetic_instrument_ts_init(const struct SyntheticInstrument_API *synth); /** - * Returns an enum from a Python string. + * # Safety * + * - Assumes `formula_ptr` is a valid C string pointer. + */ +uint8_t synthetic_instrument_is_valid_formula(const struct SyntheticInstrument_API *synth, + const char *formula_ptr); + +/** * # Safety - * - Assumes `ptr` is a valid C string pointer. + * + * - Assumes `formula_ptr` is a valid C string pointer. */ -enum OrderSide order_side_from_cstr(const char *ptr); +void synthetic_instrument_change_formula(struct SyntheticInstrument_API *synth, + const char *formula_ptr); -const char *order_status_to_cstr(enum OrderStatus value); +struct Price_t synthetic_instrument_calculate(struct SyntheticInstrument_API *synth, + const CVec *inputs_ptr); + +struct BarSpecification_t bar_specification_new(uintptr_t step, + uint8_t aggregation, + uint8_t price_type); /** - * Returns an enum from a Python string. - * - * # Safety - * - Assumes `ptr` is a valid C string pointer. + * Returns a [`BarSpecification`] as a C string pointer. */ -enum OrderStatus order_status_from_cstr(const char *ptr); +const char *bar_specification_to_cstr(const struct BarSpecification_t *bar_spec); -const char *order_type_to_cstr(enum OrderType value); +uint64_t bar_specification_hash(const struct BarSpecification_t *bar_spec); + +uint8_t bar_specification_eq(const struct BarSpecification_t *lhs, + const struct BarSpecification_t *rhs); + +uint8_t bar_specification_lt(const struct BarSpecification_t *lhs, + const struct BarSpecification_t *rhs); + +uint8_t bar_specification_le(const struct BarSpecification_t *lhs, + const struct BarSpecification_t *rhs); + +uint8_t bar_specification_gt(const struct BarSpecification_t *lhs, + const struct BarSpecification_t *rhs); + +uint8_t bar_specification_ge(const struct BarSpecification_t *lhs, + const struct BarSpecification_t *rhs); + +struct BarType_t bar_type_new(struct InstrumentId_t instrument_id, + struct BarSpecification_t spec, + uint8_t aggregation_source); /** - * Returns an enum from a Python string. + * Returns any [`BarType`] parsing error from the provided C string pointer. * * # Safety + * * - Assumes `ptr` is a valid C string pointer. */ -enum OrderType order_type_from_cstr(const char *ptr); - -const char *position_side_to_cstr(enum PositionSide value); +const char *bar_type_check_parsing(const char *ptr); /** - * Returns an enum from a Python string. + * Returns a [`BarType`] from a C string pointer. * * # Safety + * * - Assumes `ptr` is a valid C string pointer. */ -enum PositionSide position_side_from_cstr(const char *ptr); +struct BarType_t bar_type_from_cstr(const char *ptr); -const char *price_type_to_cstr(enum PriceType value); +uint8_t bar_type_eq(const struct BarType_t *lhs, const struct BarType_t *rhs); + +uint8_t bar_type_lt(const struct BarType_t *lhs, const struct BarType_t *rhs); + +uint8_t bar_type_le(const struct BarType_t *lhs, const struct BarType_t *rhs); + +uint8_t bar_type_gt(const struct BarType_t *lhs, const struct BarType_t *rhs); + +uint8_t bar_type_ge(const struct BarType_t *lhs, const struct BarType_t *rhs); + +uint64_t bar_type_hash(const struct BarType_t *bar_type); /** - * Returns an enum from a Python string. - * - * # Safety - * - Assumes `ptr` is a valid C string pointer. + * Returns a [`BarType`] as a C string pointer. */ -enum PriceType price_type_from_cstr(const char *ptr); +const char *bar_type_to_cstr(const struct BarType_t *bar_type); -const char *time_in_force_to_cstr(enum TimeInForce value); +struct Bar_t bar_new(struct BarType_t bar_type, + struct Price_t open, + struct Price_t high, + struct Price_t low, + struct Price_t close, + struct Quantity_t volume, + uint64_t ts_event, + uint64_t ts_init); + +struct Bar_t bar_new_from_raw(struct BarType_t bar_type, + int64_t open, + int64_t high, + int64_t low, + int64_t close, + uint8_t price_prec, + uint64_t volume, + uint8_t size_prec, + uint64_t ts_event, + uint64_t ts_init); + +uint8_t bar_eq(const struct Bar_t *lhs, const struct Bar_t *rhs); + +uint64_t bar_hash(const struct Bar_t *bar); /** - * Returns an enum from a Python string. - * - * # Safety - * - Assumes `ptr` is a valid C string pointer. + * Returns a [`Bar`] as a C string. */ -enum TimeInForce time_in_force_from_cstr(const char *ptr); +const char *bar_to_cstr(const struct Bar_t *bar); -const char *trading_state_to_cstr(enum TradingState value); +struct OrderBookDelta_t orderbook_delta_new(struct InstrumentId_t instrument_id, + enum BookAction action, + struct BookOrder_t order, + uint8_t flags, + uint64_t sequence, + uint64_t ts_event, + uint64_t ts_init); + +uint8_t orderbook_delta_eq(const struct OrderBookDelta_t *lhs, const struct OrderBookDelta_t *rhs); + +uint64_t orderbook_delta_hash(const struct OrderBookDelta_t *delta); + +struct BookOrder_t book_order_from_raw(enum OrderSide order_side, + int64_t price_raw, + uint8_t price_prec, + uint64_t size_raw, + uint8_t size_prec, + uint64_t order_id); + +uint8_t book_order_eq(const struct BookOrder_t *lhs, const struct BookOrder_t *rhs); + +uint64_t book_order_hash(const struct BookOrder_t *order); + +double book_order_exposure(const struct BookOrder_t *order); + +double book_order_signed_size(const struct BookOrder_t *order); /** - * Returns an enum from a Python string. - * - * # Safety - * - Assumes `ptr` is a valid C string pointer. + * Returns a [`BookOrder`] display string as a C string pointer. */ -enum TradingState trading_state_from_cstr(const char *ptr); +const char *book_order_display_to_cstr(const struct BookOrder_t *order); -const char *trailing_offset_type_to_cstr(enum TrailingOffsetType value); +/** + * Returns a [`BookOrder`] debug string as a C string pointer. + */ +const char *book_order_debug_to_cstr(const struct BookOrder_t *order); + +struct QuoteTick_t quote_tick_new(struct InstrumentId_t instrument_id, + int64_t bid_price_raw, + int64_t ask_price_raw, + uint8_t bid_price_prec, + uint8_t ask_price_prec, + uint64_t bid_size_raw, + uint64_t ask_size_raw, + uint8_t bid_size_prec, + uint8_t ask_size_prec, + uint64_t ts_event, + uint64_t ts_init); + +uint8_t quote_tick_eq(const struct QuoteTick_t *lhs, const struct QuoteTick_t *rhs); + +uint64_t quote_tick_hash(const struct QuoteTick_t *delta); /** - * Returns an enum from a Python string. - * - * # Safety - * - Assumes `ptr` is a valid C string pointer. + * Returns a [`QuoteTick`] as a C string pointer. */ -enum TrailingOffsetType trailing_offset_type_from_cstr(const char *ptr); +const char *quote_tick_to_cstr(const struct QuoteTick_t *tick); -const char *trigger_type_to_cstr(enum TriggerType value); +struct Ticker ticker_new(struct InstrumentId_t instrument_id, uint64_t ts_event, uint64_t ts_init); /** - * Returns an enum from a Python string. - * - * # Safety - * - Assumes `ptr` is a valid C string pointer. + * Returns a [`Ticker`] as a C string pointer. */ -enum TriggerType trigger_type_from_cstr(const char *ptr); +const char *ticker_to_cstr(const struct Ticker *ticker); + +struct TradeTick_t trade_tick_new(struct InstrumentId_t instrument_id, + int64_t price_raw, + uint8_t price_prec, + uint64_t size_raw, + uint8_t size_prec, + enum AggressorSide aggressor_side, + struct TradeId_t trade_id, + uint64_t ts_event, + uint64_t ts_init); + +uint8_t trade_tick_eq(const struct TradeTick_t *lhs, const struct TradeTick_t *rhs); + +uint64_t trade_tick_hash(const struct TradeTick_t *delta); + +/** + * Returns a [`TradeTick`] as a C string pointer. + */ +const char *trade_tick_to_cstr(const struct TradeTick_t *tick); /** * # Safety @@ -1550,8 +1780,6 @@ struct OrderRejected_t order_rejected_new(struct TraderId_t trader_id, uint64_t ts_init, uint8_t reconciliation); -void interned_string_stats(void); - /** * Returns a Nautilus identifier from a C string pointer. * @@ -1609,6 +1837,15 @@ uint64_t exec_algorithm_id_hash(const struct ExecAlgorithmId_t *id); struct InstrumentId_t instrument_id_new(struct Symbol_t symbol, struct Venue_t venue); +/** + * Returns any [`InstrumentId`] parsing error from the provided C string pointer. + * + * # Safety + * + * - Assumes `ptr` is a valid C string pointer. + */ +const char *instrument_id_check_parsing(const char *ptr); + /** * Returns a Nautilus identifier from a C string pointer. * @@ -1616,7 +1853,7 @@ struct InstrumentId_t instrument_id_new(struct Symbol_t symbol, struct Venue_t v * * - Assumes `ptr` is a valid C string pointer. */ -struct InstrumentId_t instrument_id_new_from_cstr(const char *ptr); +struct InstrumentId_t instrument_id_from_cstr(const char *ptr); /** * Returns an [`InstrumentId`] as a C string pointer. @@ -1717,56 +1954,6 @@ struct VenueOrderId_t venue_order_id_new(const char *ptr); uint64_t venue_order_id_hash(const struct VenueOrderId_t *id); -/** - * # Safety - * - * - Assumes `components_ptr` is a valid C string pointer of a JSON format list of strings. - * - Assumes `formula_ptr` is a valid C string pointer. - */ -struct SyntheticInstrument_API synthetic_instrument_new(struct Symbol_t symbol, - uint8_t price_precision, - const char *components_ptr, - const char *formula_ptr, - uint64_t ts_event, - uint64_t ts_init); - -void synthetic_instrument_drop(struct SyntheticInstrument_API synth); - -struct InstrumentId_t synthetic_instrument_id(const struct SyntheticInstrument_API *synth); - -uint8_t synthetic_instrument_price_precision(const struct SyntheticInstrument_API *synth); - -struct Price_t synthetic_instrument_price_increment(const struct SyntheticInstrument_API *synth); - -const char *synthetic_instrument_formula_to_cstr(const struct SyntheticInstrument_API *synth); - -const char *synthetic_instrument_components_to_cstr(const struct SyntheticInstrument_API *synth); - -uintptr_t synthetic_instrument_components_count(const struct SyntheticInstrument_API *synth); - -uint64_t synthetic_instrument_ts_event(const struct SyntheticInstrument_API *synth); - -uint64_t synthetic_instrument_ts_init(const struct SyntheticInstrument_API *synth); - -/** - * # Safety - * - * - Assumes `formula_ptr` is a valid C string pointer. - */ -uint8_t synthetic_instrument_is_valid_formula(const struct SyntheticInstrument_API *synth, - const char *formula_ptr); - -/** - * # Safety - * - * - Assumes `formula_ptr` is a valid C string pointer. - */ -void synthetic_instrument_change_formula(struct SyntheticInstrument_API *synth, - const char *formula_ptr); - -struct Price_t synthetic_instrument_calculate(struct SyntheticInstrument_API *synth, - const CVec *inputs_ptr); - struct OrderBook_API orderbook_new(struct InstrumentId_t instrument_id, enum BookType book_type); void orderbook_drop(struct OrderBook_API book); @@ -1830,6 +2017,10 @@ double orderbook_get_avg_px_for_quantity(struct OrderBook_API *book, struct Quantity_t qty, enum OrderSide order_side); +double orderbook_get_quantity_for_price(struct OrderBook_API *book, + struct Price_t price, + enum OrderSide order_side); + void orderbook_update_quote_tick(struct OrderBook_API *book, const struct QuoteTick_t *tick); void orderbook_update_trade_tick(struct OrderBook_API *book, const struct TradeTick_t *tick); @@ -1855,7 +2046,7 @@ struct Price_t level_price(const struct Level_API *level); CVec level_orders(const struct Level_API *level); -double level_volume(const struct Level_API *level); +double level_size(const struct Level_API *level); double level_exposure(const struct Level_API *level); diff --git a/nautilus_trader/core/inspect.py b/nautilus_trader/core/inspect.py index e41395f9b11a..3d0f05e27bd3 100644 --- a/nautilus_trader/core/inspect.py +++ b/nautilus_trader/core/inspect.py @@ -24,7 +24,9 @@ def is_nautilus_class(cls: type) -> bool: """ if cls.__module__.startswith("nautilus_trader.model"): return True - elif cls.__module__.startswith("nautilus_trader.test_kit"): + if cls.__module__.startswith("nautilus_trader.common"): + return True + if cls.__module__.startswith("nautilus_trader.test_kit"): return False return bool(any(base.__module__.startswith("nautilus_trader.model") for base in cls.__bases__)) diff --git a/nautilus_trader/core/nautilus_pyo3.pyi b/nautilus_trader/core/nautilus_pyo3.pyi new file mode 100644 index 000000000000..f6e060e99ebe --- /dev/null +++ b/nautilus_trader/core/nautilus_pyo3.pyi @@ -0,0 +1,788 @@ +# ruff: noqa: UP007 PYI021 PYI044 PYI053 +# fmt: off +from __future__ import annotations + +import datetime as dt +from collections.abc import Awaitable +from collections.abc import Callable +from decimal import Decimal +from enum import Enum +from typing import Any + +from pyarrow import RecordBatch + +from nautilus_trader.core.data import Data + + +# Python Interface typing: +# We will eventually separate these into separate .pyi files per module, for now this at least +# provides import resolution as well as docstring. + +################################################################################################### +# Core +################################################################################################### + +class UUID4: ... +class LogGuard: ... + +def set_global_log_collector( + stdout_level: str | None, + stderr_level: str | None, + file_level: tuple[str, str, str] | None, +) -> LogGuard: ... +def secs_to_nanos(secs: float) -> int: + """ + Return round nanoseconds (ns) converted from the given seconds. + + Parameters + ---------- + secs : float + The seconds to convert. + + Returns + ------- + int + + """ + +def secs_to_millis(secs: float) -> int: + """ + Return round milliseconds (ms) converted from the given seconds. + + Parameters + ---------- + secs : float + The seconds to convert. + + Returns + ------- + int + + """ + +def millis_to_nanos(millis: float) -> int: + """ + Return round nanoseconds (ns) converted from the given milliseconds (ms). + + Parameters + ---------- + millis : float + The milliseconds to convert. + + Returns + ------- + int + + """ + +def micros_to_nanos(micros: float) -> int: + """ + Return round nanoseconds (ns) converted from the given microseconds (μs). + + Parameters + ---------- + micros : float + The microseconds to convert. + + Returns + ------- + int + + """ + +def nanos_to_secs(nanos: int) -> float: + """ + Return seconds converted from the given nanoseconds (ns). + + Parameters + ---------- + nanos : int + The nanoseconds to convert. + + Returns + ------- + float + + """ + +def nanos_to_millis(nanos: int) -> int: + """ + Return round milliseconds (ms) converted from the given nanoseconds (ns). + + Parameters + ---------- + nanos : int + The nanoseconds to convert. + + Returns + ------- + int + + """ + +def nanos_to_micros(nanos: int) -> int: + """ + Return round microseconds (μs) converted from the given nanoseconds (ns). + + Parameters + ---------- + nanos : int + The nanoseconds to convert. + + Returns + ------- + int + + """ + +def convert_to_snake_case(s: str) -> str: + """ + Convert the given string from any common case (PascalCase, camelCase, kebab-case, etc.) + to *lower* snake_case. + + This function uses the `heck` crate under the hood. + + Parameters + ---------- + s : str + The input string to convert. + + Returns + ------- + str + + """ + +################################################################################################### +# Model +################################################################################################### + +### Data types + +class BarSpecification: + def __init__( + self, + step: int, + aggregation: BarAggregation, + price_type: PriceType, + ) -> None: ... + @property + def step(self) -> int: ... + @property + def aggregation(self) -> BarAggregation: ... + @property + def price_type(self) -> PriceType: ... + @property + def timedelta(self) -> dt.timedelta: ... + @classmethod + def from_str(cls, value: str) -> BarSpecification: ... + +class BarType: + def __init__( + self, + instrument_id: InstrumentId, + bar_spec: BarSpecification, + aggregation_source: AggregationSource | None = None, + ) -> None: ... + @property + def instrument_id(self) -> InstrumentId: ... + @property + def spec(self) -> BarSpecification: ... + @property + def aggregation_source(self) -> AggregationSource: ... + @classmethod + def from_str(cls, value: str) -> BarType: ... + +class Bar: + @staticmethod + def get_fields() -> dict[str, str]: ... + +class BookOrder: ... + +class OrderBookDelta: + @staticmethod + def get_fields() -> dict[str, str]: ... + +class QuoteTick: + @staticmethod + def get_fields() -> dict[str, str]: ... + +class TradeTick: + @staticmethod + def get_fields() -> dict[str, str]: ... + @classmethod + def from_dict(cls, values: dict[str, str]) -> TradeTick: ... + +### Enums + +class AccountType(Enum): + CASH = "CASH" + MARGIN = "MARGIN" + BETTING = "BETTING" + +class AggregationSource(Enum): + EXTERNAL = "EXTERNAL" + INTERNAL = "INTERNAL" + +class AggressorSide(Enum): + BUYER = "BUYER" + SELLER = "SELLER" + +class AssetClass(Enum): + EQUITY = "EQUITY" + COMMODITY = "COMMODITY" + METAL = "METAL" + ENERGY = "ENERGY" + BOND = "BOND" + INDEX = "INDEX" + CRYPTO_CURRENCY = "CRYPTO_CURRENCY" + SPORTS_BETTING = "SPORTS_BETTING" + +class AssetType(Enum): + SPOT = "SPOT" + SWAP = "SWAP" + FUTURE = "FUTURE" + FORWARD = "FORWARD" + CFD = "CFD" + OPTION = "OPTION" + WARRANT = "WARRANT" + +class BarAggregation(Enum): + TICK = "TICK" + TICK_IMBALANCE = "TICK_IMBALANCE" + TICK_RUNS = "TICK_RUNS" + VOLUME = "VOLUME" + VOLUME_IMBALANCE = "VOLUME_IMBALANCE" + VOLUME_RUNS = "VOLUME_RUNS" + VALUE = "VALUE" + VALUE_IMBALANCE = "VALUE_IMBALANCE" + VALUE_RUNS = "VALUE_RUNS" + MILLISECOND = "MILLISECOND" + SECOND = "SECOND" + MINUTE = "MINUTE" + HOUR = "HOUR" + DAY = "DAY" + WEEK = "WEEK" + MONTH = "MONTH" + +class BookAction(Enum): + ADD = "ADD" + UPDATE = "UPDATE" + DELETE = "DELETE" + CLEAR = "CLEAR" + +class BookType(Enum): + L1_MBP = "L1_MBP" + L2_MBP = "L2_MBP" + L3_MBO = "L3_MBO" + +class ContingencyType(Enum): + OCO = "OCO" + OTO = "OTO" + OUO = "OUO" + +class CurrencyType(Enum): + CRYPTO = "CRYPTO" + FIAT = "FIAT" + COMMODITY_BACKED = "COMMODITY_BACKED" + +class InstrumentCloseType(Enum): + END_OF_SESSION = "END_OF_SESSION" + CONTRACT_EXPIRED = "CONTRACT_EXPIRED" + +class LiquiditySide(Enum): + MAKER = "MAKER" + TAKER = "TAKER" + +class MarketStatus(Enum): + PRE_OPEN = "PRE_OPEN" + OPEN = "OPEN" + PAUSE = "PAUSE" + HALT = "HALT" + REOPEN = "REOPEN" + PRE_CLOSE = "PRE_CLOSE" + CLOSED = "CLOSED" + +class HaltReason(Enum): + NOT_HALTED = "NOT_HALTED" + GENERAL = "GENERAL" + VOLATILITY = "VOLATILITY" + +class OmsType(Enum): + UNSPECIFIED = "UNSPECIFIED" + NETTING = "NETTING" + HEDGING = "HEDGIN" + +class OptionKind(Enum): + CALL = "CALL" + PUT = "PUT" + +class OrderSide(Enum): + NO_ORDER_SIDE = "NO_ORDER_SIDE" + BUY = "BUY" + SELL = "SELL" + +class OrderStatus(Enum): + INITIALIZED = "INITIALIZED" + DENIED = "DENIED" + EMULATED = "EMULATED" + RELEASED = "RELEASED" + SUBMITTED = "SUBMITTED" + ACCEPTED = "ACCEPTED" + REJECTED = "REJECTED" + CANCELED = "CANCELED" + EXPIRED = "EXPIRED" + TRIGGERED = "TRIGGERED" + PENDING_UPDATE = "PENDING_UPDATE" + PENDING_CANCEL = "PENDING_CANCEL" + PARTIALLY_FILLED = "PARTIALLY_FILLED" + FILLED = "FILLED" + +class OrderType(Enum): + MARKET = "MARKET" + LIMIT = "LIMIT" + STOP_MARKET = "STOP_MARKET" + STOP_LIMIT = "STOP_LIMIT" + MARKET_TO_LIMIT = "MARKET_TO_LIMIT" + MARKET_IF_TOUCHED = "MARKET_IF_TOUCHED" + LIMIT_IF_TOUCHED = "LIMIT_IF_TOUCHED" + TRAILING_STOP_MARKET = "TRAILING_STOP_MARKET" + TRAILING_STOP_LIMIT = "TRAILING_STOP_LIMIT" + +class PositionSide(Enum): + FLAT = "FLAT" + LONG = "LONG" + SHORT = "SHORT" + +class PriceType(Enum): + BID = "BID" + ASK = "ASK" + MID = "MID" + LAST = "LAST" + +class TimeInForce(Enum): + GTC = "GTC" + IOC = "IOC" + FOK = "FOK" + GTD = "GTD" + DAY = "DAY" + AT_THE_OPEN = "AT_THE_OPEN" + AT_THE_CLOSE = "AT_THE_CLOSE" + +class TradingState(Enum): + ACTIVE = "ACTIVE" + HALTED = "HALTED" + REDUCING = "REDUCING" + +class TrailingOffsetType(Enum): + PRICE = "PRICE" + BASIS_POINTS = "BASIS_POINTS" + TICKS = "TICKS" + PRICE_TIER = "PRICE_TIER" + +class TriggerType(Enum): + DEFAULT = "DEFAULT" + BID_ASK = "BID_ASK" + LAST_TRADE = "LAST_TRADE" + DOUBLE_LAST = "DOUBLE_LAST" + DOUBLE_BID_ASK = "DOUBLE_BID_ASK" + LAST_OR_BID_ASK = "LAST_OR_BID_ASK" + MID_POINT = "MID_POINT" + MARK_PRICE = "MARK_PRICE" + INDEX_PRICE = "INDEX_PRICE" + +### Identifiers + +class AccountId: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class ClientId: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class ClientOrderId: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class ComponentId: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class ExecAlgorithmId: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class InstrumentId: + def __init__(self, symbol: Symbol, venue: Venue) -> None: ... + @classmethod + def from_str(cls, value: str) -> InstrumentId: ... + @property + def symbol(self) -> Symbol: ... + @property + def venue(self) -> Venue: ... + def value(self) -> str: ... + +class OrderListId: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class PositionId: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class StrategyId: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class Symbol: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class TradeId: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class TraderId: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class Venue: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +class VenueOrderId: + def __init__(self, value: str) -> None: ... + def value(self) -> str: ... + +### Orders + +class LimitOrder: ... +class LimitIfTouchedOrder: ... + +class MarketOrder: + def __init__( + self, + trader_id: TraderId, + strategy_id: StrategyId, + instrument_id: InstrumentId, + client_order_id: ClientOrderId, + order_side: OrderSide, + quantity: Quantity, + init_id: UUID4, + ts_init: int, + time_in_force: TimeInForce = ..., + reduce_only: bool = False, + quote_quantity: bool = False, + contingency_type: ContingencyType | None = None, + order_list_id: OrderListId | None = None, + linked_order_ids: list[ClientOrderId] | None = None, + parent_order_id: ClientOrderId | None = None, + exec_algorithm_id: ExecAlgorithmId | None = None, + exec_algorithm_params: dict[str, str] | None = None, + exec_spawn_id: ClientOrderId | None = None, + tags: str | None = None, + ) -> None: ... + @staticmethod + def opposite_side(side: OrderSide) -> OrderSide: ... + @staticmethod + def closing_side(side: PositionSide) -> OrderSide: ... + def signed_decimal_qty(self) -> Decimal: ... + def would_reduce_only(self, side: PositionSide, position_qty: Quantity) -> bool: ... + def commission(self, currency: Currency) -> Money | None: ... + def commissions(self) -> dict[Currency, Money]: ... + +class MarketToLimitOrder: ... +class StopLimitOrder: ... +class StopMarketOrder: ... +class TrailingStopLimitOrder: ... +class TrailingStopMarketOrder: ... + +### Objects + +class Currency: + def __init__( + self, + code: str, + precision: int, + iso4217: int, + name: str, + currency_type: CurrencyType, + ) -> None: ... + @property + def code(self) -> str: ... + @property + def precision(self) -> int: ... + @property + def iso4217(self) -> int: ... + @property + def name(self) -> str: ... + @property + def currency_type(self) -> CurrencyType: ... + @staticmethod + def is_fiat(code: str) -> bool: ... + @staticmethod + def is_crypto(code: str) -> bool: ... + @staticmethod + def is_commodity_backed(code: str) -> bool: ... + @staticmethod + def from_str(value: str, strict: bool = False) -> Currency: ... + @staticmethod + def register(currency: Currency, overwrite: bool = False) -> None: ... + +class Money: + def __init__(self, value: float, currency: Currency) -> None: ... + @property + def raw(self) -> int: ... + @property + def currency(self) -> Currency: ... + @staticmethod + def zero(currency: Currency) -> Money: ... + @staticmethod + def from_raw(raw: int, currency: Currency) -> Money: ... + @staticmethod + def from_str(value: str) -> Money: ... + def is_zero(self) -> bool: ... + def as_decimal(self) -> Decimal: ... + def as_double(self) -> float: ... + def to_formatted_str(self) -> str: ... + +class Price: + def __init__(self, value: float, precision: int) -> None: ... + @property + def raw(self) -> int: ... + @property + def precision(self) -> int: ... + @staticmethod + def from_raw(raw: int, precision: int) -> Price: ... + @staticmethod + def zero(precision: int = 0) -> Price: ... + @staticmethod + def from_int(value: int) -> Price: ... + @staticmethod + def from_str(value: str) -> Price: ... + def is_zero(self) -> bool: ... + def is_positive(self) -> bool: ... + def as_double(self) -> float: ... + def as_decimal(self) -> Decimal: ... + def to_formatted_str(self) -> str: ... + +class Quantity: + def __init__(self, value: float, precision: int) -> None: ... + @property + def raw(self) -> int: ... + @property + def precision(self) -> int: ... + @staticmethod + def from_raw(raw: int, precision: int) -> Quantity: ... + @staticmethod + def zero(precision: int = 0) -> Quantity: ... + @staticmethod + def from_int(value: int) -> Quantity: ... + @staticmethod + def from_str(value: str) -> Quantity: ... + def is_zero(self) -> bool: ... + def is_positive(self) -> bool: ... + def as_decimal(self) -> Decimal: ... + def as_double(self) -> float: ... + def to_formatted_str(self) -> str: ... + +### Instruments + +class CryptoFuture: ... +class CryptoPerpetual: ... +class CurrenyPair: ... +class Equity: ... +class FuturesContract: ... +class OptionsContract: ... +class SyntheticInstrument: ... + +################################################################################################### +# Network +################################################################################################### + +class HttpClient: + def __init__( + self, + header_keys: list[str] = [], + keyed_quotas: list[tuple[str, Quota]] = [], + default_quota: Quota | None = None, + ) -> None: ... + async def request( + self, + method: HttpMethod, + url: str, + headers: dict[str, str] | None = None, + body: bytes | None = None, + keys: list[str] | None = None, + ) -> HttpResponse: ... + +class HttpMethod(Enum): + GET = "GET" + POST = "POST" + PUT = "PUT" + DELETE = "DELETE" + PATCH = "PATCH" + +class HttpResponse: + @property + def status(self) -> int: ... + @property + def body(self) -> bytes: ... + @property + def headers(self) -> dict[str, str]: ... + +class Quota: + @classmethod + def rate_per_second(cls, max_burst: int) -> Quota: ... + @classmethod + def rate_per_minute(cls, max_burst: int) -> Quota: ... + @classmethod + def rate_per_hour(cls, max_burst: int) -> Quota: ... + +class WebSocketClient: + @classmethod + def connect( + cls, + url: str, + handler: Callable[[Any], Any], + heartbeat: int | None = None, + post_connection: Callable[..., None] | None = None, + post_reconnection: Callable[..., None] | None = None, + post_disconnection: Callable[..., None] | None = None, + ) -> Awaitable[WebSocketClient]: ... + def disconnect(self) -> Any: ... + @property + def is_alive(self) -> bool: ... + def send_text(self, data: str) -> Awaitable[None]: ... + def send(self, data: bytes) -> Awaitable[None]: ... + +class SocketClient: + @classmethod + def connect( + cls, + config: SocketConfig, + post_connection: Callable[..., None] | None = None, + post_reconnection: Callable[..., None] | None = None, + post_disconnection: Callable[..., None] | None = None, + ) -> Awaitable[SocketClient]: ... + def disconnect(self) -> None: ... + @property + def is_alive(self) -> bool: ... + def send(self, data: bytes) -> Awaitable[None]: ... + +class SocketConfig: + def __init__( + self, + url: str, + ssl: bool, + suffix: list[int], + handler: Callable[..., Any], + heartbeat: tuple[int, list[int]] | None = None, + ) -> None: ... + +################################################################################################### +# Persistence +################################################################################################### + +class NautilusDataType(Enum): + OrderBookDelta = 1 + QuoteTick = 2 + TradeTick = 3 + Bar = 4 + +class DataBackendSession: + def __init__(self, chunk_size: int = 5000) -> None: ... + def add_file( + self, + data_type: NautilusDataType, + table_name: str, + file_path: str, + sql_query: str | None = None, + ) -> None: ... + def to_query_result(self) -> DataQueryResult: ... + +class QueryResult: + def next(self) -> Data | None: ... + +class DataQueryResult: + def __init__(self, result: QueryResult, size: int) -> None: ... + def drop_chunk(self) -> None: ... + def __iter__(self) -> DataQueryResult: ... + def __next__(self) -> Any | None: ... + +class DataTransformer: + @staticmethod + def get_schema_map(data_cls: type) -> dict[str, str]: ... + @staticmethod + def pyobjects_to_batches_bytes(data: list[Data]) -> bytes: ... + @staticmethod + def pyo3_order_book_deltas_to_batches_bytes(data: list[OrderBookDelta]) -> bytes: ... + @staticmethod + def pyo3_quote_ticks_to_batches_bytes(data: list[QuoteTick]) -> bytes: ... + @staticmethod + def pyo3_trade_ticks_to_batches_bytes(data: list[TradeTick]) -> bytes: ... + @staticmethod + def pyo3_bars_to_batches_bytes(data: list[Bar]) -> bytes: ... + @staticmethod + def record_batches_to_pybytes(batches: list[RecordBatch], schema: Any) -> bytes: ... + +class BarDataWrangler: + def __init__( + self, + bar_type: str, + price_precision: int, + size_precision: int, + ) -> None: ... + @property + def bar_type(self) -> str: ... + @property + def price_precision(self) -> int: ... + @property + def size_precision(self) -> int: ... + def process_record_batches_bytes(self, data: bytes) -> list[Bar]: ... + +class OrderBookDeltaDataWrangler: + def __init__( + self, + instrument_id: str, + price_precision: int, + size_precision: int, + ) -> None: ... + @property + def instrument_id(self) -> str: ... + @property + def price_precision(self) -> int: ... + @property + def size_precision(self) -> int: ... + def process_record_batches_bytes(self, data: bytes) -> list[OrderBookDelta]: ... + +class QuoteTickDataWrangler: + def __init__( + self, + instrument_id: str, + price_precision: int, + size_precision: int, + ) -> None: ... + @property + def instrument_id(self) -> str: ... + @property + def price_precision(self) -> int: ... + @property + def size_precision(self) -> int: ... + def process_record_batches_bytes(self, data: bytes) -> list[QuoteTick]: ... + +class TradeTickDataWrangler: + def __init__( + self, + instrument_id: str, + price_precision: int, + size_precision: int, + ) -> None: ... + @property + def instrument_id(self) -> str: ... + @property + def price_precision(self) -> int: ... + @property + def size_precision(self) -> int: ... + def process_record_batches_bytes(self, data: bytes) -> list[TradeTick]: ... diff --git a/nautilus_trader/core/rust/common.pxd b/nautilus_trader/core/rust/common.pxd index d2c8c4d505b8..587960153b72 100644 --- a/nautilus_trader/core/rust/common.pxd +++ b/nautilus_trader/core/rust/common.pxd @@ -165,12 +165,44 @@ cdef extern from "../includes/common.h": # The event ID. PyObject *callback_ptr; + const char *component_state_to_cstr(ComponentState value); + + # Returns an enum from a Python string. + # + # # Safety + # - Assumes `ptr` is a valid C string pointer. + ComponentState component_state_from_cstr(const char *ptr); + + const char *component_trigger_to_cstr(ComponentTrigger value); + + # Returns an enum from a Python string. + # + # # Safety + # - Assumes `ptr` is a valid C string pointer. + ComponentTrigger component_trigger_from_cstr(const char *ptr); + + const char *log_level_to_cstr(LogLevel value); + + # Returns an enum from a Python string. + # + # # Safety + # - Assumes `ptr` is a valid C string pointer. + LogLevel log_level_from_cstr(const char *ptr); + + const char *log_color_to_cstr(LogColor value); + + # Returns an enum from a Python string. + # + # # Safety + # - Assumes `ptr` is a valid C string pointer. + LogColor log_color_from_cstr(const char *ptr); + TestClock_API test_clock_new(); void test_clock_drop(TestClock_API clock); # # Safety - # - Assumes `callback_ptr` is a valid PyCallable pointer. + # - Assumes `callback_ptr` is a valid `PyCallable` pointer. void test_clock_register_default_handler(TestClock_API *clock, PyObject *callback_ptr); void test_clock_set_time(TestClock_API *clock, uint64_t to_time_ns); @@ -190,7 +222,7 @@ cdef extern from "../includes/common.h": # # Safety # # - Assumes `name_ptr` is a valid C string pointer. - # - Assumes `callback_ptr` is a valid PyCallable pointer. + # - Assumes `callback_ptr` is a valid `PyCallable` pointer. void test_clock_set_time_alert_ns(TestClock_API *clock, const char *name_ptr, uint64_t alert_time_ns, @@ -199,7 +231,7 @@ cdef extern from "../includes/common.h": # # Safety # # - Assumes `name_ptr` is a valid C string pointer. - # - Assumes `callback_ptr` is a valid PyCallable pointer. + # - Assumes `callback_ptr` is a valid `PyCallable` pointer. void test_clock_set_timer_ns(TestClock_API *clock, const char *name_ptr, uint64_t interval_ns, @@ -238,38 +270,6 @@ cdef extern from "../includes/common.h": uint64_t live_clock_timestamp_ns(LiveClock_API *clock); - const char *component_state_to_cstr(ComponentState value); - - # Returns an enum from a Python string. - # - # # Safety - # - Assumes `ptr` is a valid C string pointer. - ComponentState component_state_from_cstr(const char *ptr); - - const char *component_trigger_to_cstr(ComponentTrigger value); - - # Returns an enum from a Python string. - # - # # Safety - # - Assumes `ptr` is a valid C string pointer. - ComponentTrigger component_trigger_from_cstr(const char *ptr); - - const char *log_level_to_cstr(LogLevel value); - - # Returns an enum from a Python string. - # - # # Safety - # - Assumes `ptr` is a valid C string pointer. - LogLevel log_level_from_cstr(const char *ptr); - - const char *log_color_to_cstr(LogColor value); - - # Returns an enum from a Python string. - # - # # Safety - # - Assumes `ptr` is a valid C string pointer. - LogColor log_color_from_cstr(const char *ptr); - # Creates a new logger. # # # Safety @@ -312,8 +312,6 @@ cdef extern from "../includes/common.h": const char *component_ptr, const char *message_ptr); - TimeEventHandler_t dummy(TimeEventHandler_t v); - # # Safety # # - Assumes `name_ptr` is borrowed from a valid Python UTF-8 `str`. @@ -324,3 +322,5 @@ cdef extern from "../includes/common.h": # Returns a [`TimeEvent`] as a C string pointer. const char *time_event_to_cstr(const TimeEvent_t *event); + + TimeEventHandler_t dummy(TimeEventHandler_t v); diff --git a/nautilus_trader/core/rust/core.pxd b/nautilus_trader/core/rust/core.pxd index f6885c65c212..5766848b791e 100644 --- a/nautilus_trader/core/rust/core.pxd +++ b/nautilus_trader/core/rust/core.pxd @@ -19,13 +19,11 @@ cdef extern from "../includes/core.h": # Used when deallocating the memory uintptr_t cap; + # Represents a pseudo-random UUID (universally unique identifier) + # version 4 based on a 128-bit label as specified in RFC 4122. cdef struct UUID4_t: uint8_t value[37]; - void cvec_drop(CVec cvec); - - CVec cvec_new(); - # Converts seconds to nanoseconds (ns). uint64_t secs_to_nanos(double secs); @@ -47,6 +45,25 @@ cdef extern from "../includes/core.h": # Converts nanoseconds (ns) to microseconds (μs). uint64_t nanos_to_micros(uint64_t nanos); + # Returns the current seconds since the UNIX epoch. + double unix_timestamp(); + + # Returns the current milliseconds since the UNIX epoch. + uint64_t unix_timestamp_ms(); + + # Returns the current microseconds since the UNIX epoch. + uint64_t unix_timestamp_us(); + + # Returns the current nanoseconds since the UNIX epoch. + uint64_t unix_timestamp_ns(); + + void cvec_drop(CVec cvec); + + CVec cvec_new(); + + # Converts a UNIX nanoseconds timestamp to an ISO 8601 formatted C string pointer. + const char *unix_nanos_to_iso8601_cstr(uint64_t timestamp_ns); + # Return the decimal precision inferred from the given C string. # # # Safety @@ -69,18 +86,6 @@ cdef extern from "../includes/core.h": # - If `ptr` is null. void cstr_drop(const char *ptr); - # Returns the current seconds since the UNIX epoch. - double unix_timestamp(); - - # Returns the current milliseconds since the UNIX epoch. - uint64_t unix_timestamp_ms(); - - # Returns the current microseconds since the UNIX epoch. - uint64_t unix_timestamp_us(); - - # Returns the current nanoseconds since the UNIX epoch. - uint64_t unix_timestamp_ns(); - UUID4_t uuid4_new(); # Returns a [`UUID4`] from C string pointer. diff --git a/nautilus_trader/core/rust/model.pxd b/nautilus_trader/core/rust/model.pxd index 1d3b9b45886f..82af7984c1f7 100644 --- a/nautilus_trader/core/rust/model.pxd +++ b/nautilus_trader/core/rust/model.pxd @@ -98,7 +98,7 @@ cdef extern from "../includes/model.h": # The order book type, representing the type of levels granularity and delta updating heuristics. cpdef enum BookType: # Top-of-book best bid/offer, one level per side. - L1_TBBO # = 1, + L1_MBP # = 1, # Market by price, one order per level (aggregated). L2_MBP # = 2, # Market by order, multiple orders per level (full granularity). @@ -123,6 +123,17 @@ cdef extern from "../includes/model.h": CRYPTO # = 1, # A type of currency issued by governments which is not backed by a commodity. FIAT # = 2, + # A type of currency that is based on the value of an underlying commodity. + COMMODITY_BACKED # = 3, + + # The reason for a venue or market halt. + cpdef enum HaltReason: + # The venue or market session is not halted. + NOT_HALTED # = 1, + # Trading halt is imposed for purely regulatory reasons with/without volatility halt. + GENERAL # = 2, + # Trading halt is imposed by the venue to protect against extreme volatility. + VOLATILITY # = 3, # The type of event for an instrument close. cpdef enum InstrumentCloseType: @@ -142,16 +153,20 @@ cdef extern from "../includes/model.h": # The status of an individual market on a trading venue. cpdef enum MarketStatus: - # The market is closed. - CLOSED # = 1, - # The market is in the pre-open session. - PRE_OPEN # = 2, - # The market is open for the normal session. - OPEN # = 3, + # The market session is in the pre-open. + PRE_OPEN # = 1, + # The market session is open. + OPEN # = 2, # The market session is paused. - PAUSE # = 4, - # The market is in the pre-close session. - PRE_CLOSE # = 5, + PAUSE # = 3, + # The market session is halted. + HALT # = 4, + # The market session has reopened after a pause or halt. + REOPEN # = 5, + # The market session is in the pre-close. + PRE_CLOSE # = 6, + # The market session is closed. + CLOSED # = 7, # The order management system (OMS) type for a trading venue or trading strategy. cpdef enum OmsType: @@ -338,6 +353,7 @@ cdef extern from "../includes/model.h": cdef struct Level: pass + # Provides an order book which can handle L1/L2/L3 granularity data. cdef struct OrderBook: pass @@ -346,14 +362,23 @@ cdef extern from "../includes/model.h": cdef struct SyntheticInstrument: pass + # Represents a valid ticker symbol ID for a tradable financial market instrument. cdef struct Symbol_t: + # The ticker symbol ID value. char* value; + # Represents a valid trading venue ID. cdef struct Venue_t: + # The venue ID value. char* value; + # Represents a valid instrument ID. + # + # The symbol and venue combination should uniquely identify the instrument. cdef struct InstrumentId_t: + # The instruments ticker symbol. Symbol_t symbol; + # The instruments trading venue. Venue_t venue; cdef struct Price_t: @@ -409,7 +434,14 @@ cdef extern from "../includes/model.h": # The UNIX timestamp (nanoseconds) when the data object was initialized. uint64_t ts_init; + # Represents a valid trade match ID (assigned by a trading venue). + # + # Can correspond to the `TradeID <1003> field` of the FIX protocol. + # + # The unique ID assigned to the trade entity once it is received or matched by + # the exchange or central counterparty. cdef struct TradeId_t: + # The trade match ID value. char* value; # Represents a single trade tick in a financial market. @@ -481,6 +513,18 @@ cdef extern from "../includes/model.h": TradeTick_t trade; Bar_t bar; + # Provides a C compatible Foreign Function Interface (FFI) for an underlying + # [`SyntheticInstrument`]. + # + # This struct wraps `SyntheticInstrument` in a way that makes it compatible with C function + # calls, enabling interaction with `SyntheticInstrument` in a C environment. + # + # It implements the `Deref` trait, allowing instances of `SyntheticInstrument_API` to be + # dereferenced to `SyntheticInstrument`, providing access to `SyntheticInstruments`'s methods without + # having to manually access the underlying instance. + cdef struct SyntheticInstrument_API: + SyntheticInstrument *_0; + # Represents a single quote tick in a financial market. cdef struct Ticker: # The quotes instrument ID. @@ -490,13 +534,36 @@ cdef extern from "../includes/model.h": # The UNIX timestamp (nanoseconds) when the data object was initialized. uint64_t ts_init; + # Represents a valid trader ID. + # + # Must be correctly formatted with two valid strings either side of a hyphen. + # It is expected a trader ID is the abbreviated name of the trader + # with an order ID tag number separated by a hyphen. + # + # Example: "TESTER-001". + # The reason for the numerical component of the ID is so that order and position IDs + # do not collide with those from another node instance. cdef struct TraderId_t: + # The trader ID value. char* value; + # Represents a valid strategy ID. + # + # Must be correctly formatted with two valid strings either side of a hyphen. + # It is expected a strategy ID is the class name of the strategy, + # with an order ID tag number separated by a hyphen. + # + # Example: "EMACross-001". + # + # The reason for the numerical component of the ID is so that order and position IDs + # do not collide with those from another strategy within the node instance. cdef struct StrategyId_t: + # The strategy ID value. char* value; + # Represents a valid client order ID (assigned by the Nautilus system). cdef struct ClientOrderId_t: + # The client order ID value. char* value; cdef struct OrderDenied_t: @@ -528,7 +595,15 @@ cdef extern from "../includes/model.h": uint64_t ts_event; uint64_t ts_init; + # Represents a valid account ID. + # + # Must be correctly formatted with two valid strings either side of a hyphen '-'. + # It is expected an account ID is the name of the issuer with an account number + # separated by a hyphen. + # + # Example: "IB-D02851908". cdef struct AccountId_t: + # The account ID value. char* value; cdef struct OrderSubmitted_t: @@ -541,7 +616,9 @@ cdef extern from "../includes/model.h": uint64_t ts_event; uint64_t ts_init; + # Represents a valid venue order ID (assigned by a trading venue). cdef struct VenueOrderId_t: + # The venue assigned order ID value. char* value; cdef struct OrderAccepted_t: @@ -568,33 +645,31 @@ cdef extern from "../includes/model.h": uint64_t ts_init; uint8_t reconciliation; + # Represents a system client ID. cdef struct ClientId_t: + # The client ID value. char* value; + # Represents a valid component ID. cdef struct ComponentId_t: + # The component ID value. char* value; + # Represents a valid execution algorithm ID. cdef struct ExecAlgorithmId_t: + # The execution algorithm ID value. char* value; + # Represents a valid order list ID (assigned by the Nautilus system). cdef struct OrderListId_t: + # The order list ID value. char* value; + # Represents a valid position ID. cdef struct PositionId_t: + # The position ID value. char* value; - # Provides a C compatible Foreign Function Interface (FFI) for an underlying - # [`SyntheticInstrument`]. - # - # This struct wraps `SyntheticInstrument` in a way that makes it compatible with C function - # calls, enabling interaction with `SyntheticInstrument` in a C environment. - # - # It implements the `Deref` trait, allowing instances of `SyntheticInstrument_API` to be - # dereferenced to `SyntheticInstrument`, providing access to `SyntheticInstruments`'s methods without - # having to manually access the underlying instance. - cdef struct SyntheticInstrument_API: - SyntheticInstrument *_0; - # Provides a C compatible Foreign Function Interface (FFI) for an underlying [`OrderBook`]. # # This struct wraps `OrderBook` in a way that makes it compatible with C function @@ -635,145 +710,6 @@ cdef extern from "../includes/model.h": Data_t data_clone(const Data_t *data); - BarSpecification_t bar_specification_new(uintptr_t step, - uint8_t aggregation, - uint8_t price_type); - - # Returns a [`BarSpecification`] as a C string pointer. - const char *bar_specification_to_cstr(const BarSpecification_t *bar_spec); - - uint64_t bar_specification_hash(const BarSpecification_t *bar_spec); - - uint8_t bar_specification_eq(const BarSpecification_t *lhs, const BarSpecification_t *rhs); - - uint8_t bar_specification_lt(const BarSpecification_t *lhs, const BarSpecification_t *rhs); - - uint8_t bar_specification_le(const BarSpecification_t *lhs, const BarSpecification_t *rhs); - - uint8_t bar_specification_gt(const BarSpecification_t *lhs, const BarSpecification_t *rhs); - - uint8_t bar_specification_ge(const BarSpecification_t *lhs, const BarSpecification_t *rhs); - - BarType_t bar_type_new(InstrumentId_t instrument_id, - BarSpecification_t spec, - uint8_t aggregation_source); - - uint8_t bar_type_eq(const BarType_t *lhs, const BarType_t *rhs); - - uint8_t bar_type_lt(const BarType_t *lhs, const BarType_t *rhs); - - uint8_t bar_type_le(const BarType_t *lhs, const BarType_t *rhs); - - uint8_t bar_type_gt(const BarType_t *lhs, const BarType_t *rhs); - - uint8_t bar_type_ge(const BarType_t *lhs, const BarType_t *rhs); - - uint64_t bar_type_hash(const BarType_t *bar_type); - - # Returns a [`BarType`] as a C string pointer. - const char *bar_type_to_cstr(const BarType_t *bar_type); - - Bar_t bar_new(BarType_t bar_type, - Price_t open, - Price_t high, - Price_t low, - Price_t close, - Quantity_t volume, - uint64_t ts_event, - uint64_t ts_init); - - Bar_t bar_new_from_raw(BarType_t bar_type, - int64_t open, - int64_t high, - int64_t low, - int64_t close, - uint8_t price_prec, - uint64_t volume, - uint8_t size_prec, - uint64_t ts_event, - uint64_t ts_init); - - uint8_t bar_eq(const Bar_t *lhs, const Bar_t *rhs); - - uint64_t bar_hash(const Bar_t *bar); - - # Returns a [`Bar`] as a C string. - const char *bar_to_cstr(const Bar_t *bar); - - OrderBookDelta_t orderbook_delta_new(InstrumentId_t instrument_id, - BookAction action, - BookOrder_t order, - uint8_t flags, - uint64_t sequence, - uint64_t ts_event, - uint64_t ts_init); - - uint8_t orderbook_delta_eq(const OrderBookDelta_t *lhs, const OrderBookDelta_t *rhs); - - uint64_t orderbook_delta_hash(const OrderBookDelta_t *delta); - - BookOrder_t book_order_from_raw(OrderSide order_side, - int64_t price_raw, - uint8_t price_prec, - uint64_t size_raw, - uint8_t size_prec, - uint64_t order_id); - - uint8_t book_order_eq(const BookOrder_t *lhs, const BookOrder_t *rhs); - - uint64_t book_order_hash(const BookOrder_t *order); - - double book_order_exposure(const BookOrder_t *order); - - double book_order_signed_size(const BookOrder_t *order); - - # Returns a [`BookOrder`] display string as a C string pointer. - const char *book_order_display_to_cstr(const BookOrder_t *order); - - # Returns a [`BookOrder`] debug string as a C string pointer. - const char *book_order_debug_to_cstr(const BookOrder_t *order); - - QuoteTick_t quote_tick_new(InstrumentId_t instrument_id, - int64_t bid_price_raw, - int64_t ask_price_raw, - uint8_t bid_price_prec, - uint8_t ask_price_prec, - uint64_t bid_size_raw, - uint64_t ask_size_raw, - uint8_t bid_size_prec, - uint8_t ask_size_prec, - uint64_t ts_event, - uint64_t ts_init); - - uint8_t quote_tick_eq(const QuoteTick_t *lhs, const QuoteTick_t *rhs); - - uint64_t quote_tick_hash(const QuoteTick_t *delta); - - # Returns a [`QuoteTick`] as a C string pointer. - const char *quote_tick_to_cstr(const QuoteTick_t *tick); - - Ticker ticker_new(InstrumentId_t instrument_id, uint64_t ts_event, uint64_t ts_init); - - # Returns a [`Ticker`] as a C string pointer. - const char *ticker_to_cstr(const Ticker *ticker); - - TradeTick_t trade_tick_new(InstrumentId_t instrument_id, - int64_t price_raw, - uint8_t price_prec, - uint64_t size_raw, - uint8_t size_prec, - AggressorSide aggressor_side, - TradeId_t trade_id, - uint64_t ts_event, - uint64_t ts_init); - - uint8_t trade_tick_eq(const TradeTick_t *lhs, const TradeTick_t *rhs); - - uint64_t trade_tick_hash(const TradeTick_t *delta); - - # Returns a [`TradeTick`] as a C string pointer. - const char *trade_tick_to_cstr(const TradeTick_t *tick); - const char *account_type_to_cstr(AccountType value); # Returns an enum from a Python string. @@ -878,6 +814,14 @@ cdef extern from "../includes/model.h": # - Assumes `ptr` is a valid C string pointer. MarketStatus market_status_from_cstr(const char *ptr); + const char *halt_reason_to_cstr(HaltReason value); + + # Returns an enum from a Python string. + # + # # Safety + # - Assumes `ptr` is a valid C string pointer. + HaltReason halt_reason_from_cstr(const char *ptr); + const char *oms_type_to_cstr(OmsType value); # Returns an enum from a Python string. @@ -966,6 +910,204 @@ cdef extern from "../includes/model.h": # - Assumes `ptr` is a valid C string pointer. TriggerType trigger_type_from_cstr(const char *ptr); + void interned_string_stats(); + + # # Safety + # + # - Assumes `components_ptr` is a valid C string pointer of a JSON format list of strings. + # - Assumes `formula_ptr` is a valid C string pointer. + SyntheticInstrument_API synthetic_instrument_new(Symbol_t symbol, + uint8_t price_precision, + const char *components_ptr, + const char *formula_ptr, + uint64_t ts_event, + uint64_t ts_init); + + void synthetic_instrument_drop(SyntheticInstrument_API synth); + + InstrumentId_t synthetic_instrument_id(const SyntheticInstrument_API *synth); + + uint8_t synthetic_instrument_price_precision(const SyntheticInstrument_API *synth); + + Price_t synthetic_instrument_price_increment(const SyntheticInstrument_API *synth); + + const char *synthetic_instrument_formula_to_cstr(const SyntheticInstrument_API *synth); + + const char *synthetic_instrument_components_to_cstr(const SyntheticInstrument_API *synth); + + uintptr_t synthetic_instrument_components_count(const SyntheticInstrument_API *synth); + + uint64_t synthetic_instrument_ts_event(const SyntheticInstrument_API *synth); + + uint64_t synthetic_instrument_ts_init(const SyntheticInstrument_API *synth); + + # # Safety + # + # - Assumes `formula_ptr` is a valid C string pointer. + uint8_t synthetic_instrument_is_valid_formula(const SyntheticInstrument_API *synth, + const char *formula_ptr); + + # # Safety + # + # - Assumes `formula_ptr` is a valid C string pointer. + void synthetic_instrument_change_formula(SyntheticInstrument_API *synth, + const char *formula_ptr); + + Price_t synthetic_instrument_calculate(SyntheticInstrument_API *synth, const CVec *inputs_ptr); + + BarSpecification_t bar_specification_new(uintptr_t step, + uint8_t aggregation, + uint8_t price_type); + + # Returns a [`BarSpecification`] as a C string pointer. + const char *bar_specification_to_cstr(const BarSpecification_t *bar_spec); + + uint64_t bar_specification_hash(const BarSpecification_t *bar_spec); + + uint8_t bar_specification_eq(const BarSpecification_t *lhs, const BarSpecification_t *rhs); + + uint8_t bar_specification_lt(const BarSpecification_t *lhs, const BarSpecification_t *rhs); + + uint8_t bar_specification_le(const BarSpecification_t *lhs, const BarSpecification_t *rhs); + + uint8_t bar_specification_gt(const BarSpecification_t *lhs, const BarSpecification_t *rhs); + + uint8_t bar_specification_ge(const BarSpecification_t *lhs, const BarSpecification_t *rhs); + + BarType_t bar_type_new(InstrumentId_t instrument_id, + BarSpecification_t spec, + uint8_t aggregation_source); + + # Returns any [`BarType`] parsing error from the provided C string pointer. + # + # # Safety + # + # - Assumes `ptr` is a valid C string pointer. + const char *bar_type_check_parsing(const char *ptr); + + # Returns a [`BarType`] from a C string pointer. + # + # # Safety + # + # - Assumes `ptr` is a valid C string pointer. + BarType_t bar_type_from_cstr(const char *ptr); + + uint8_t bar_type_eq(const BarType_t *lhs, const BarType_t *rhs); + + uint8_t bar_type_lt(const BarType_t *lhs, const BarType_t *rhs); + + uint8_t bar_type_le(const BarType_t *lhs, const BarType_t *rhs); + + uint8_t bar_type_gt(const BarType_t *lhs, const BarType_t *rhs); + + uint8_t bar_type_ge(const BarType_t *lhs, const BarType_t *rhs); + + uint64_t bar_type_hash(const BarType_t *bar_type); + + # Returns a [`BarType`] as a C string pointer. + const char *bar_type_to_cstr(const BarType_t *bar_type); + + Bar_t bar_new(BarType_t bar_type, + Price_t open, + Price_t high, + Price_t low, + Price_t close, + Quantity_t volume, + uint64_t ts_event, + uint64_t ts_init); + + Bar_t bar_new_from_raw(BarType_t bar_type, + int64_t open, + int64_t high, + int64_t low, + int64_t close, + uint8_t price_prec, + uint64_t volume, + uint8_t size_prec, + uint64_t ts_event, + uint64_t ts_init); + + uint8_t bar_eq(const Bar_t *lhs, const Bar_t *rhs); + + uint64_t bar_hash(const Bar_t *bar); + + # Returns a [`Bar`] as a C string. + const char *bar_to_cstr(const Bar_t *bar); + + OrderBookDelta_t orderbook_delta_new(InstrumentId_t instrument_id, + BookAction action, + BookOrder_t order, + uint8_t flags, + uint64_t sequence, + uint64_t ts_event, + uint64_t ts_init); + + uint8_t orderbook_delta_eq(const OrderBookDelta_t *lhs, const OrderBookDelta_t *rhs); + + uint64_t orderbook_delta_hash(const OrderBookDelta_t *delta); + + BookOrder_t book_order_from_raw(OrderSide order_side, + int64_t price_raw, + uint8_t price_prec, + uint64_t size_raw, + uint8_t size_prec, + uint64_t order_id); + + uint8_t book_order_eq(const BookOrder_t *lhs, const BookOrder_t *rhs); + + uint64_t book_order_hash(const BookOrder_t *order); + + double book_order_exposure(const BookOrder_t *order); + + double book_order_signed_size(const BookOrder_t *order); + + # Returns a [`BookOrder`] display string as a C string pointer. + const char *book_order_display_to_cstr(const BookOrder_t *order); + + # Returns a [`BookOrder`] debug string as a C string pointer. + const char *book_order_debug_to_cstr(const BookOrder_t *order); + + QuoteTick_t quote_tick_new(InstrumentId_t instrument_id, + int64_t bid_price_raw, + int64_t ask_price_raw, + uint8_t bid_price_prec, + uint8_t ask_price_prec, + uint64_t bid_size_raw, + uint64_t ask_size_raw, + uint8_t bid_size_prec, + uint8_t ask_size_prec, + uint64_t ts_event, + uint64_t ts_init); + + uint8_t quote_tick_eq(const QuoteTick_t *lhs, const QuoteTick_t *rhs); + + uint64_t quote_tick_hash(const QuoteTick_t *delta); + + # Returns a [`QuoteTick`] as a C string pointer. + const char *quote_tick_to_cstr(const QuoteTick_t *tick); + + Ticker ticker_new(InstrumentId_t instrument_id, uint64_t ts_event, uint64_t ts_init); + + # Returns a [`Ticker`] as a C string pointer. + const char *ticker_to_cstr(const Ticker *ticker); + + TradeTick_t trade_tick_new(InstrumentId_t instrument_id, + int64_t price_raw, + uint8_t price_prec, + uint64_t size_raw, + uint8_t size_prec, + AggressorSide aggressor_side, + TradeId_t trade_id, + uint64_t ts_event, + uint64_t ts_init); + + uint8_t trade_tick_eq(const TradeTick_t *lhs, const TradeTick_t *rhs); + + uint64_t trade_tick_hash(const TradeTick_t *delta); + + # Returns a [`TradeTick`] as a C string pointer. + const char *trade_tick_to_cstr(const TradeTick_t *tick); + # # Safety # # - Assumes valid C string pointers. @@ -1032,8 +1174,6 @@ cdef extern from "../includes/model.h": uint64_t ts_init, uint8_t reconciliation); - void interned_string_stats(); - # Returns a Nautilus identifier from a C string pointer. # # # Safety @@ -1081,12 +1221,19 @@ cdef extern from "../includes/model.h": InstrumentId_t instrument_id_new(Symbol_t symbol, Venue_t venue); + # Returns any [`InstrumentId`] parsing error from the provided C string pointer. + # + # # Safety + # + # - Assumes `ptr` is a valid C string pointer. + const char *instrument_id_check_parsing(const char *ptr); + # Returns a Nautilus identifier from a C string pointer. # # # Safety # # - Assumes `ptr` is a valid C string pointer. - InstrumentId_t instrument_id_new_from_cstr(const char *ptr); + InstrumentId_t instrument_id_from_cstr(const char *ptr); # Returns an [`InstrumentId`] as a C string pointer. const char *instrument_id_to_cstr(const InstrumentId_t *instrument_id); @@ -1169,49 +1316,6 @@ cdef extern from "../includes/model.h": uint64_t venue_order_id_hash(const VenueOrderId_t *id); - # # Safety - # - # - Assumes `components_ptr` is a valid C string pointer of a JSON format list of strings. - # - Assumes `formula_ptr` is a valid C string pointer. - SyntheticInstrument_API synthetic_instrument_new(Symbol_t symbol, - uint8_t price_precision, - const char *components_ptr, - const char *formula_ptr, - uint64_t ts_event, - uint64_t ts_init); - - void synthetic_instrument_drop(SyntheticInstrument_API synth); - - InstrumentId_t synthetic_instrument_id(const SyntheticInstrument_API *synth); - - uint8_t synthetic_instrument_price_precision(const SyntheticInstrument_API *synth); - - Price_t synthetic_instrument_price_increment(const SyntheticInstrument_API *synth); - - const char *synthetic_instrument_formula_to_cstr(const SyntheticInstrument_API *synth); - - const char *synthetic_instrument_components_to_cstr(const SyntheticInstrument_API *synth); - - uintptr_t synthetic_instrument_components_count(const SyntheticInstrument_API *synth); - - uint64_t synthetic_instrument_ts_event(const SyntheticInstrument_API *synth); - - uint64_t synthetic_instrument_ts_init(const SyntheticInstrument_API *synth); - - # # Safety - # - # - Assumes `formula_ptr` is a valid C string pointer. - uint8_t synthetic_instrument_is_valid_formula(const SyntheticInstrument_API *synth, - const char *formula_ptr); - - # # Safety - # - # - Assumes `formula_ptr` is a valid C string pointer. - void synthetic_instrument_change_formula(SyntheticInstrument_API *synth, - const char *formula_ptr); - - Price_t synthetic_instrument_calculate(SyntheticInstrument_API *synth, const CVec *inputs_ptr); - OrderBook_API orderbook_new(InstrumentId_t instrument_id, BookType book_type); void orderbook_drop(OrderBook_API book); @@ -1275,6 +1379,10 @@ cdef extern from "../includes/model.h": Quantity_t qty, OrderSide order_side); + double orderbook_get_quantity_for_price(OrderBook_API *book, + Price_t price, + OrderSide order_side); + void orderbook_update_quote_tick(OrderBook_API *book, const QuoteTick_t *tick); void orderbook_update_trade_tick(OrderBook_API *book, const TradeTick_t *tick); @@ -1298,7 +1406,7 @@ cdef extern from "../includes/model.h": CVec level_orders(const Level_API *level); - double level_volume(const Level_API *level); + double level_size(const Level_API *level); double level_exposure(const Level_API *level); diff --git a/nautilus_trader/core/uuid.pyx b/nautilus_trader/core/uuid.pyx index 2e18ce80e15c..2cc239e4a296 100644 --- a/nautilus_trader/core/uuid.pyx +++ b/nautilus_trader/core/uuid.pyx @@ -44,10 +44,8 @@ cdef class UUID4: def __init__(self, str value = None): if value is None: - # Create a new UUID4 from Rust - self._mem = uuid4_new() # `UUID4_t` owned from Rust + self._mem = uuid4_new() else: - # `value` borrowed by Rust, `UUID4_t` owned from Rust self._mem = uuid4_from_cstr(pystr_to_cstr(value)) def __getstate__(self): diff --git a/nautilus_trader/data/aggregation.pxd b/nautilus_trader/data/aggregation.pxd index fa575a5a2655..4464ab183271 100644 --- a/nautilus_trader/data/aggregation.pxd +++ b/nautilus_trader/data/aggregation.pxd @@ -62,12 +62,14 @@ cdef class BarAggregator: cdef LoggerAdapter _log cdef BarBuilder _builder cdef object _handler + cdef bint _await_partial cdef readonly BarType bar_type """The aggregators bar type.\n\n:returns: `BarType`""" cpdef void handle_quote_tick(self, QuoteTick tick) cpdef void handle_trade_tick(self, TradeTick tick) + cpdef void set_partial(self, Bar partial_bar) cdef void _apply_update(self, Price price, Quantity size, uint64_t ts_event) cdef void _build_now_and_send(self) cdef void _build_and_send(self, uint64_t ts_event, uint64_t ts_init) @@ -105,7 +107,6 @@ cdef class TimeBarAggregator(BarAggregator): """The aggregators next closing time.\n\n:returns: `uint64_t`""" cpdef datetime get_start_time(self) - cpdef void set_partial(self, Bar partial_bar) cpdef void stop(self) cdef timedelta _get_interval(self) cdef uint64_t _get_interval_ns(self) diff --git a/nautilus_trader/data/aggregation.pyx b/nautilus_trader/data/aggregation.pyx index 3e92c46cf3f2..eef26fc37025 100644 --- a/nautilus_trader/data/aggregation.pyx +++ b/nautilus_trader/data/aggregation.pyx @@ -237,6 +237,8 @@ cdef class BarAggregator: The bar handler for the aggregator. logger : Logger The logger for the aggregator. + await_partial : bool, default False + If the aggregator should await an initial partial bar prior to aggregating. Raises ------ @@ -250,11 +252,13 @@ cdef class BarAggregator: BarType bar_type not None, handler not None: Callable[[Bar], None], Logger logger not None, + bint await_partial = False, ): Condition.equal(instrument.id, bar_type.instrument_id, "instrument.id", "bar_type.instrument_id") self.bar_type = bar_type self._handler = handler + self._await_partial = await_partial self._log = LoggerAdapter( component_name=type(self).__name__, logger=logger, @@ -264,6 +268,9 @@ cdef class BarAggregator: bar_type=self.bar_type, ) + def set_await_partial(self, bint value): + self._await_partial = value + cpdef void handle_quote_tick(self, QuoteTick tick): """ Update the aggregator with the given tick. @@ -276,11 +283,12 @@ cdef class BarAggregator: """ Condition.not_none(tick, "tick") - self._apply_update( - price=tick.extract_price(self.bar_type.spec.price_type), - size=tick.extract_volume(self.bar_type.spec.price_type), - ts_event=tick.ts_event, - ) + if not self._await_partial: + self._apply_update( + price=tick.extract_price(self.bar_type.spec.price_type), + size=tick.extract_volume(self.bar_type.spec.price_type), + ts_event=tick.ts_event, + ) cpdef void handle_trade_tick(self, TradeTick tick): """ @@ -294,11 +302,26 @@ cdef class BarAggregator: """ Condition.not_none(tick, "tick") - self._apply_update( - price=tick.price, - size=tick.size, - ts_event=tick.ts_event, - ) + if not self._await_partial: + self._apply_update( + price=tick.price, + size=tick.size, + ts_event=tick.ts_event, + ) + + cpdef void set_partial(self, Bar partial_bar): + """ + Set the initial values for a partially completed bar. + + This method can only be called once per instance. + + Parameters + ---------- + partial_bar : Bar + The partial bar with values to set. + + """ + self._builder.set_partial(partial_bar) cdef void _apply_update(self, Price price, Quantity size, uint64_t ts_event): raise NotImplementedError("method must be implemented in the subclass") # pragma: no cover @@ -638,20 +661,6 @@ cdef class TimeBarAggregator(BarAggregator): return start_time - cpdef void set_partial(self, Bar partial_bar): - """ - Set the initial values for a partially completed bar. - - This method can only be called once per instance. - - Parameters - ---------- - partial_bar : Bar - The partial bar with values to set. - - """ - self._builder.set_partial(partial_bar) - cpdef void stop(self): """ Stop the bar aggregator. diff --git a/nautilus_trader/data/client.pxd b/nautilus_trader/data/client.pxd index bb6954c77c75..05bb70bf44d4 100644 --- a/nautilus_trader/data/client.pxd +++ b/nautilus_trader/data/client.pxd @@ -66,8 +66,8 @@ cdef class MarketDataClient(DataClient): cdef set _subscriptions_quote_tick cdef set _subscriptions_trade_tick cdef set _subscriptions_bar - cdef set _subscriptions_venue_status_update - cdef set _subscriptions_instrument_status_update + cdef set _subscriptions_venue_status + cdef set _subscriptions_instrument_status cdef set _subscriptions_instrument_close cdef set _subscriptions_instrument @@ -82,8 +82,8 @@ cdef class MarketDataClient(DataClient): cpdef list subscribed_quote_ticks(self) cpdef list subscribed_trade_ticks(self) cpdef list subscribed_bars(self) - cpdef list subscribed_venue_status_updates(self) - cpdef list subscribed_instrument_status_updates(self) + cpdef list subscribed_venue_status(self) + cpdef list subscribed_instrument_status(self) cpdef list subscribed_instrument_close(self) cpdef void subscribe_instruments(self) @@ -94,8 +94,8 @@ cdef class MarketDataClient(DataClient): cpdef void subscribe_quote_ticks(self, InstrumentId instrument_id) cpdef void subscribe_trade_ticks(self, InstrumentId instrument_id) cpdef void subscribe_bars(self, BarType bar_type) - cpdef void subscribe_venue_status_updates(self, Venue venue) - cpdef void subscribe_instrument_status_updates(self, InstrumentId instrument_id) + cpdef void subscribe_venue_status(self, Venue venue) + cpdef void subscribe_instrument_status(self, InstrumentId instrument_id) cpdef void subscribe_instrument_close(self, InstrumentId instrument_id) cpdef void unsubscribe_instruments(self) cpdef void unsubscribe_instrument(self, InstrumentId instrument_id) @@ -105,8 +105,8 @@ cdef class MarketDataClient(DataClient): cpdef void unsubscribe_quote_ticks(self, InstrumentId instrument_id) cpdef void unsubscribe_trade_ticks(self, InstrumentId instrument_id) cpdef void unsubscribe_bars(self, BarType bar_type) - cpdef void unsubscribe_instrument_status_updates(self, InstrumentId instrument_id) - cpdef void unsubscribe_venue_status_updates(self, Venue venue) + cpdef void unsubscribe_instrument_status(self, InstrumentId instrument_id) + cpdef void unsubscribe_venue_status(self, Venue venue) cpdef void unsubscribe_instrument_close(self, InstrumentId instrument_id) cpdef void _add_subscription_instrument(self, InstrumentId instrument_id) @@ -116,8 +116,8 @@ cdef class MarketDataClient(DataClient): cpdef void _add_subscription_quote_ticks(self, InstrumentId instrument_id) cpdef void _add_subscription_trade_ticks(self, InstrumentId instrument_id) cpdef void _add_subscription_bars(self, BarType bar_type) - cpdef void _add_subscription_venue_status_updates(self, Venue venue) - cpdef void _add_subscription_instrument_status_updates(self, InstrumentId instrument_id) + cpdef void _add_subscription_venue_status(self, Venue venue) + cpdef void _add_subscription_instrument_status(self, InstrumentId instrument_id) cpdef void _add_subscription_instrument_close(self, InstrumentId instrument_id) cpdef void _remove_subscription_instrument(self, InstrumentId instrument_id) cpdef void _remove_subscription_order_book_deltas(self, InstrumentId instrument_id) @@ -126,8 +126,8 @@ cdef class MarketDataClient(DataClient): cpdef void _remove_subscription_quote_ticks(self, InstrumentId instrument_id) cpdef void _remove_subscription_trade_ticks(self, InstrumentId instrument_id) cpdef void _remove_subscription_bars(self, BarType bar_type) - cpdef void _remove_subscription_venue_status_updates(self, Venue venue) - cpdef void _remove_subscription_instrument_status_updates(self, InstrumentId instrument_id) + cpdef void _remove_subscription_venue_status(self, Venue venue) + cpdef void _remove_subscription_instrument_status(self, InstrumentId instrument_id) cpdef void _remove_subscription_instrument_close(self, InstrumentId instrument_id) # -- REQUEST HANDLERS ----------------------------------------------------------------------------- diff --git a/nautilus_trader/data/client.pyx b/nautilus_trader/data/client.pyx index af3840f7f36a..001566d81c38 100644 --- a/nautilus_trader/data/client.pyx +++ b/nautilus_trader/data/client.pyx @@ -250,16 +250,16 @@ cdef class MarketDataClient(DataClient): ) # Subscriptions - self._subscriptions_order_book_delta = set() # type: set[InstrumentId] - self._subscriptions_order_book_snapshot = set() # type: set[InstrumentId] - self._subscriptions_ticker = set() # type: set[InstrumentId] - self._subscriptions_quote_tick = set() # type: set[InstrumentId] - self._subscriptions_trade_tick = set() # type: set[InstrumentId] - self._subscriptions_bar = set() # type: set[BarType] - self._subscriptions_venue_status_update = set() # type: set[Venue] - self._subscriptions_instrument_status_update = set() # type: set[InstrumentId] - self._subscriptions_instrument_close = set() # type: set[InstrumentId] - self._subscriptions_instrument = set() # type: set[InstrumentId] + self._subscriptions_order_book_delta = set() # type: set[InstrumentId] + self._subscriptions_order_book_snapshot = set() # type: set[InstrumentId] + self._subscriptions_ticker = set() # type: set[InstrumentId] + self._subscriptions_quote_tick = set() # type: set[InstrumentId] + self._subscriptions_trade_tick = set() # type: set[InstrumentId] + self._subscriptions_bar = set() # type: set[BarType] + self._subscriptions_venue_status = set() # type: set[Venue] + self._subscriptions_instrument_status = set() # type: set[InstrumentId] + self._subscriptions_instrument_close = set() # type: set[InstrumentId] + self._subscriptions_instrument = set() # type: set[InstrumentId] # Tasks self._update_instruments_task = None @@ -354,7 +354,7 @@ cdef class MarketDataClient(DataClient): """ return sorted(list(self._subscriptions_bar)) - cpdef list subscribed_venue_status_updates(self): + cpdef list subscribed_venue_status(self): """ Return the status update instruments subscribed to. @@ -363,9 +363,9 @@ cdef class MarketDataClient(DataClient): list[InstrumentId] """ - return sorted(list(self._subscriptions_venue_status_update)) + return sorted(list(self._subscriptions_venue_status)) - cpdef list subscribed_instrument_status_updates(self): + cpdef list subscribed_instrument_status(self): """ Return the status update instruments subscribed to. @@ -374,7 +374,7 @@ cdef class MarketDataClient(DataClient): list[InstrumentId] """ - return sorted(list(self._subscriptions_instrument_status_update)) + return sorted(list(self._subscriptions_instrument_status)) cpdef list subscribed_instrument_close(self): """ @@ -433,7 +433,7 @@ cdef class MarketDataClient(DataClient): ---------- instrument_id : InstrumentId The order book instrument to subscribe to. - book_type : BookType {``L1_TBBO``, ``L2_MBP``, ``L3_MBO``} + book_type : BookType {``L1_MBP``, ``L2_MBP``, ``L3_MBO``} The order book type. depth : int, optional, default None The maximum depth for the subscription. @@ -455,7 +455,7 @@ cdef class MarketDataClient(DataClient): ---------- instrument_id : InstrumentId The order book instrument to subscribe to. - book_type : BookType {``L1_TBBO``, ``L2_MBP``, ``L3_MBO``} + book_type : BookType {``L1_MBP``, ``L2_MBP``, ``L3_MBO``} The order book level. depth : int, optional The maximum depth for the order book. A depth of 0 is maximum depth. @@ -517,9 +517,9 @@ cdef class MarketDataClient(DataClient): ) raise NotImplementedError("method must be implemented in the subclass") - cpdef void subscribe_venue_status_updates(self, Venue venue): + cpdef void subscribe_venue_status(self, Venue venue): """ - Subscribe to `InstrumentStatusUpdate` data for the venue. + Subscribe to `InstrumentStatus` data for the venue. Parameters ---------- @@ -528,14 +528,14 @@ cdef class MarketDataClient(DataClient): """ self._log.error( # pragma: no cover - f"Cannot subscribe to `VenueStatusUpdate` data for {venue}: not implemented. " # pragma: no cover - f"You can implement by overriding the `subscribe_venue_status_updates` method for this client.", # pragma: no cover + f"Cannot subscribe to `VenueStatus` data for {venue}: not implemented. " # pragma: no cover + f"You can implement by overriding the `subscribe_venue_status` method for this client.", # pragma: no cover ) raise NotImplementedError("method must be implemented in the subclass") - cpdef void subscribe_instrument_status_updates(self, InstrumentId instrument_id): + cpdef void subscribe_instrument_status(self, InstrumentId instrument_id): """ - Subscribe to `InstrumentStatusUpdates` data for the given instrument ID. + Subscribe to `InstrumentStatus` data for the given instrument ID. Parameters ---------- @@ -544,8 +544,8 @@ cdef class MarketDataClient(DataClient): """ self._log.error( # pragma: no cover - f"Cannot subscribe to `InstrumentStatusUpdates` data for {instrument_id}: not implemented. " # pragma: no cover - f"You can implement by overriding the `subscribe_instrument_status_updates` method for this client.", # pragma: no cover + f"Cannot subscribe to `InstrumentStatus` data for {instrument_id}: not implemented. " # pragma: no cover + f"You can implement by overriding the `subscribe_instrument_status` method for this client.", # pragma: no cover ) raise NotImplementedError("method must be implemented in the subclass") @@ -719,9 +719,9 @@ cdef class MarketDataClient(DataClient): ) raise NotImplementedError("method must be implemented in the subclass") - cpdef void unsubscribe_venue_status_updates(self, Venue venue): + cpdef void unsubscribe_venue_status(self, Venue venue): """ - Unsubscribe from `InstrumentStatusUpdate` data for the given venue. + Unsubscribe from `InstrumentStatus` data for the given venue. Parameters ---------- @@ -730,14 +730,14 @@ cdef class MarketDataClient(DataClient): """ self._log.error( # pragma: no cover - f"Cannot unsubscribe from `VenueStatusUpdates` data for {venue}: not implemented. " # pragma: no cover - f"You can implement by overriding the `unsubscribe_venue_status_updates` method for this client.", # pragma: no cover + f"Cannot unsubscribe from `VenueStatus` data for {venue}: not implemented. " # pragma: no cover + f"You can implement by overriding the `unsubscribe_venue_status` method for this client.", # pragma: no cover ) raise NotImplementedError("method must be implemented in the subclass") - cpdef void unsubscribe_instrument_status_updates(self, InstrumentId instrument_id): + cpdef void unsubscribe_instrument_status(self, InstrumentId instrument_id): """ - Unsubscribe from `InstrumentStatusUpdate` data for the given instrument ID. + Unsubscribe from `InstrumentStatus` data for the given instrument ID. Parameters ---------- @@ -746,8 +746,8 @@ cdef class MarketDataClient(DataClient): """ self._log.error( # pragma: no cover - f"Cannot unsubscribe from `InstrumentStatusUpdates` data for {instrument_id}: not implemented. " # pragma: no cover - f"You can implement by overriding the `unsubscribe_instrument_status_updates` method for this client.", # pragma: no cover + f"Cannot unsubscribe from `InstrumentStatus` data for {instrument_id}: not implemented. " # pragma: no cover + f"You can implement by overriding the `unsubscribe_instrument_status` method for this client.", # pragma: no cover ) raise NotImplementedError("method must be implemented in the subclass") @@ -807,15 +807,15 @@ cdef class MarketDataClient(DataClient): self._subscriptions_bar.add(bar_type) - cpdef void _add_subscription_venue_status_updates(self, Venue venue): + cpdef void _add_subscription_venue_status(self, Venue venue): Condition.not_none(venue, "venue") - self._subscriptions_venue_status_update.add(venue) + self._subscriptions_venue_status.add(venue) - cpdef void _add_subscription_instrument_status_updates(self, InstrumentId instrument_id): + cpdef void _add_subscription_instrument_status(self, InstrumentId instrument_id): Condition.not_none(instrument_id, "instrument_id") - self._subscriptions_instrument_status_update.add(instrument_id) + self._subscriptions_instrument_status.add(instrument_id) cpdef void _add_subscription_instrument_close(self, InstrumentId instrument_id): Condition.not_none(instrument_id, "instrument_id") @@ -862,15 +862,15 @@ cdef class MarketDataClient(DataClient): self._subscriptions_bar.discard(bar_type) - cpdef void _remove_subscription_venue_status_updates(self, Venue venue): + cpdef void _remove_subscription_venue_status(self, Venue venue): Condition.not_none(venue, "venue") - self._subscriptions_venue_status_update.discard(venue) + self._subscriptions_venue_status.discard(venue) - cpdef void _remove_subscription_instrument_status_updates(self, InstrumentId instrument_id): + cpdef void _remove_subscription_instrument_status(self, InstrumentId instrument_id): Condition.not_none(instrument_id, "instrument_id") - self._subscriptions_instrument_status_update.discard(instrument_id) + self._subscriptions_instrument_status.discard(instrument_id) cpdef void _remove_subscription_instrument_close(self, InstrumentId instrument_id): Condition.not_none(instrument_id, "instrument_id") diff --git a/nautilus_trader/data/engine.pxd b/nautilus_trader/data/engine.pxd index fc42b62d9079..87bba28901e5 100644 --- a/nautilus_trader/data/engine.pxd +++ b/nautilus_trader/data/engine.pxd @@ -30,12 +30,12 @@ from nautilus_trader.model.data.base cimport DataType from nautilus_trader.model.data.base cimport GenericData from nautilus_trader.model.data.book cimport OrderBookDelta from nautilus_trader.model.data.book cimport OrderBookDeltas +from nautilus_trader.model.data.status cimport InstrumentClose +from nautilus_trader.model.data.status cimport InstrumentStatus +from nautilus_trader.model.data.status cimport VenueStatus from nautilus_trader.model.data.tick cimport QuoteTick from nautilus_trader.model.data.tick cimport TradeTick from nautilus_trader.model.data.ticker cimport Ticker -from nautilus_trader.model.data.venue cimport InstrumentClose -from nautilus_trader.model.data.venue cimport InstrumentStatusUpdate -from nautilus_trader.model.data.venue cimport VenueStatusUpdate from nautilus_trader.model.identifiers cimport InstrumentId from nautilus_trader.model.identifiers cimport Venue from nautilus_trader.model.instruments.base cimport Instrument @@ -48,7 +48,6 @@ cdef class DataEngine(Component): cdef readonly Cache _cache cdef readonly DataClient _default_client cdef readonly object _catalog - cdef readonly bint _use_rust cdef readonly dict _clients cdef readonly dict _routing_map @@ -98,7 +97,7 @@ cdef class DataEngine(Component): cpdef list subscribed_quote_ticks(self) cpdef list subscribed_trade_ticks(self) cpdef list subscribed_bars(self) - cpdef list subscribed_instrument_status_updates(self) + cpdef list subscribed_instrument_status(self) cpdef list subscribed_instrument_close(self) cpdef list subscribed_synthetic_quotes(self) cpdef list subscribed_synthetic_trades(self) @@ -124,10 +123,10 @@ cdef class DataEngine(Component): cpdef void _handle_subscribe_synthetic_quote_ticks(self, InstrumentId instrument_id) cpdef void _handle_subscribe_trade_ticks(self, MarketDataClient client, InstrumentId instrument_id) cpdef void _handle_subscribe_synthetic_trade_ticks(self, InstrumentId instrument_id) - cpdef void _handle_subscribe_bars(self, MarketDataClient client, BarType bar_type) + cpdef void _handle_subscribe_bars(self, MarketDataClient client, BarType bar_type, bint await_partial) cpdef void _handle_subscribe_data(self, DataClient client, DataType data_type) - cpdef void _handle_subscribe_venue_status_updates(self, MarketDataClient client, Venue venue) - cpdef void _handle_subscribe_instrument_status_updates(self, MarketDataClient client, InstrumentId instrument_id) + cpdef void _handle_subscribe_venue_status(self, MarketDataClient client, Venue venue) + cpdef void _handle_subscribe_instrument_status(self, MarketDataClient client, InstrumentId instrument_id) cpdef void _handle_subscribe_instrument_close(self, MarketDataClient client, InstrumentId instrument_id) cpdef void _handle_unsubscribe_instrument(self, MarketDataClient client, InstrumentId instrument_id) cpdef void _handle_unsubscribe_order_book_deltas(self, MarketDataClient client, InstrumentId instrument_id, dict metadata) # noqa @@ -151,8 +150,8 @@ cdef class DataEngine(Component): cpdef void _handle_trade_tick(self, TradeTick tick) cpdef void _handle_bar(self, Bar bar) cpdef void _handle_generic_data(self, GenericData data) - cpdef void _handle_venue_status_update(self, VenueStatusUpdate data) - cpdef void _handle_instrument_status_update(self, InstrumentStatusUpdate data) + cpdef void _handle_venue_status(self, VenueStatus data) + cpdef void _handle_instrument_status(self, InstrumentStatus data) cpdef void _handle_close_price(self, InstrumentClose data) # -- RESPONSE HANDLERS ---------------------------------------------------------------------------- @@ -168,7 +167,7 @@ cdef class DataEngine(Component): cpdef void _internal_update_instruments(self, list instruments) cpdef void _update_order_book(self, Data data) cpdef void _snapshot_order_book(self, TimeEvent snap_event) - cpdef void _start_bar_aggregator(self, MarketDataClient client, BarType bar_type) + cpdef void _start_bar_aggregator(self, MarketDataClient client, BarType bar_type, bint await_partial) cpdef void _stop_bar_aggregator(self, MarketDataClient client, BarType bar_type) cpdef void _update_synthetics_with_quote(self, list synthetics, QuoteTick update) cpdef void _update_synthetic_with_quote(self, SyntheticInstrument synthetic, QuoteTick update) diff --git a/nautilus_trader/data/engine.pyx b/nautilus_trader/data/engine.pyx index a5d76db73f4e..c8f162e9babe 100644 --- a/nautilus_trader/data/engine.pyx +++ b/nautilus_trader/data/engine.pyx @@ -69,11 +69,11 @@ from nautilus_trader.model.data.bar cimport BarType from nautilus_trader.model.data.base cimport DataType from nautilus_trader.model.data.book cimport OrderBookDelta from nautilus_trader.model.data.book cimport OrderBookDeltas +from nautilus_trader.model.data.status cimport InstrumentClose +from nautilus_trader.model.data.status cimport InstrumentStatus +from nautilus_trader.model.data.status cimport VenueStatus from nautilus_trader.model.data.tick cimport QuoteTick from nautilus_trader.model.data.tick cimport TradeTick -from nautilus_trader.model.data.venue cimport InstrumentClose -from nautilus_trader.model.data.venue cimport InstrumentStatusUpdate -from nautilus_trader.model.data.venue cimport VenueStatusUpdate from nautilus_trader.model.enums_c cimport BarAggregation from nautilus_trader.model.enums_c cimport PriceType from nautilus_trader.model.identifiers cimport ClientId @@ -131,7 +131,6 @@ cdef class DataEngine(Component): self._routing_map: dict[Venue, DataClient] = {} self._default_client: Optional[DataClient] = None self._catalog: Optional[ParquetDataCatalog] = None - self._use_rust: bool = False self._order_book_intervals: dict[(InstrumentId, int), list[Callable[[Bar], None]]] = {} self._bar_aggregators: dict[BarType, BarAggregator] = {} self._synthetic_quote_feeds: dict[InstrumentId, list[SyntheticInstrument]] = {} @@ -229,7 +228,7 @@ cdef class DataEngine(Component): # --REGISTRATION ---------------------------------------------------------------------------------- - def register_catalog(self, catalog: ParquetDataCatalog, bint use_rust=False) -> None: + def register_catalog(self, catalog: ParquetDataCatalog) -> None: """ Register the given data catalog with the engine. @@ -242,7 +241,6 @@ cdef class DataEngine(Component): Condition.not_none(catalog, "catalog") self._catalog = catalog - self._use_rust = use_rust cpdef void register_client(self, DataClient client): """ @@ -456,7 +454,7 @@ cdef class DataEngine(Component): subscriptions += client.subscribed_bars() return subscriptions + list(self._bar_aggregators.keys()) - cpdef list subscribed_instrument_status_updates(self): + cpdef list subscribed_instrument_status(self): """ Return the status update instruments subscribed to. @@ -468,7 +466,7 @@ cdef class DataEngine(Component): cdef list subscriptions = [] cdef MarketDataClient client for client in [c for c in self._clients.values() if isinstance(c, MarketDataClient)]: - subscriptions += client.subscribed_instrument_status_updates() + subscriptions += client.subscribed_instrument_status() return subscriptions cpdef list subscribed_instrument_close(self): @@ -685,14 +683,15 @@ cdef class DataEngine(Component): self._handle_subscribe_bars( client, command.data_type.metadata.get("bar_type"), + command.data_type.metadata.get("await_partial"), ) - elif command.data_type.type == VenueStatusUpdate: - self._handle_subscribe_venue_status_updates( + elif command.data_type.type == VenueStatus: + self._handle_subscribe_venue_status( client, command.data_type.metadata.get("instrument_id"), ) - elif command.data_type.type == InstrumentStatusUpdate: - self._handle_subscribe_instrument_status_updates( + elif command.data_type.type == InstrumentStatus: + self._handle_subscribe_instrument_status( client, command.data_type.metadata.get("instrument_id"), ) @@ -981,6 +980,7 @@ cdef class DataEngine(Component): self, MarketDataClient client, BarType bar_type, + bint await_partial, ): Condition.not_none(client, "client") Condition.not_none(bar_type, "bar_type") @@ -988,7 +988,7 @@ cdef class DataEngine(Component): if bar_type.is_internally_aggregated(): # Internal aggregation if bar_type not in self._bar_aggregators: - self._start_bar_aggregator(client, bar_type) + self._start_bar_aggregator(client, bar_type, await_partial) else: # External aggregation if bar_type.instrument_id.is_synthetic(): @@ -1018,7 +1018,7 @@ cdef class DataEngine(Component): ) return - cpdef void _handle_subscribe_venue_status_updates( + cpdef void _handle_subscribe_venue_status( self, MarketDataClient client, Venue venue, @@ -1026,10 +1026,10 @@ cdef class DataEngine(Component): Condition.not_none(client, "client") Condition.not_none(venue, "venue") - if venue not in client.subscribed_venue_status_updates(): - client.subscribe_venue_status_updates(venue) + if venue not in client.subscribed_venue_status(): + client.subscribe_venue_status(venue) - cpdef void _handle_subscribe_instrument_status_updates( + cpdef void _handle_subscribe_instrument_status( self, MarketDataClient client, InstrumentId instrument_id, @@ -1039,12 +1039,12 @@ cdef class DataEngine(Component): if instrument_id.is_synthetic(): self._log.error( - "Cannot subscribe for synthetic instrument `InstrumentStatusUpdate` data.", + "Cannot subscribe for synthetic instrument `InstrumentStatus` data.", ) return - if instrument_id not in client.subscribed_instrument_status_updates(): - client.subscribe_instrument_status_updates(instrument_id) + if instrument_id not in client.subscribed_instrument_status(): + client.subscribe_instrument_status(instrument_id) cpdef void _handle_subscribe_instrument_close( self, @@ -1302,25 +1302,18 @@ cdef class DataEngine(Component): if instrument_id is None: data = self._catalog.instruments(as_nautilus=True) else: - data = self._catalog.instruments( - instrument_ids=[str(instrument_id)], - as_nautilus=True, - ) + data = self._catalog.instruments(instrument_ids=[str(instrument_id)]) elif request.data_type.type == QuoteTick: data = self._catalog.quote_ticks( instrument_ids=[str(request.data_type.metadata.get("instrument_id"))], start=ts_start, end=ts_end, - as_nautilus=True, - use_rust=self._use_rust, ) elif request.data_type.type == TradeTick: data = self._catalog.trade_ticks( instrument_ids=[str(request.data_type.metadata.get("instrument_id"))], start=ts_start, end=ts_end, - as_nautilus=True, - use_rust=self._use_rust, ) elif request.data_type.type == Bar: bar_type = request.data_type.metadata.get("bar_type") @@ -1332,16 +1325,12 @@ cdef class DataEngine(Component): bar_type=str(bar_type), start=ts_start, end=ts_end, - as_nautilus=True, - use_rust=False, # Until implemented ) elif request.data_type.type == InstrumentClose: data = self._catalog.instrument_closes( instrument_ids=[str(request.data_type.metadata.get("instrument_id"))], start=ts_start, end=ts_end, - as_nautilus=True, - use_rust=False, # Until implemented ) else: data = self._catalog.generic_data( @@ -1349,7 +1338,6 @@ cdef class DataEngine(Component): metadata=request.data_type.metadata, start=ts_start, end=ts_end, - as_nautilus=True, ) # Validation data is not from the future @@ -1389,10 +1377,10 @@ cdef class DataEngine(Component): self._handle_bar(data) elif isinstance(data, Instrument): self._handle_instrument(data) - elif isinstance(data, VenueStatusUpdate): - self._handle_venue_status_update(data) - elif isinstance(data, InstrumentStatusUpdate): - self._handle_instrument_status_update(data) + elif isinstance(data, VenueStatus): + self._handle_venue_status(data) + elif isinstance(data, InstrumentStatus): + self._handle_instrument_status(data) elif isinstance(data, InstrumentClose): self._handle_close_price(data) elif isinstance(data, GenericData): @@ -1507,10 +1495,10 @@ cdef class DataEngine(Component): self._msgbus.publish_c(topic=f"data.bars.{bar_type}", msg=bar) - cpdef void _handle_venue_status_update(self, VenueStatusUpdate data): + cpdef void _handle_venue_status(self, VenueStatus data): self._msgbus.publish_c(topic=f"data.status.{data.venue}", msg=data) - cpdef void _handle_instrument_status_update(self, InstrumentStatusUpdate data): + cpdef void _handle_instrument_status(self, InstrumentStatus data): self._msgbus.publish_c(topic=f"data.status.{data.instrument_id.venue}.{data.instrument_id.symbol}", msg=data) cpdef void _handle_close_price(self, InstrumentClose data): @@ -1554,10 +1542,12 @@ cdef class DataEngine(Component): cpdef void _handle_bars(self, list bars, Bar partial): self._cache.add_bars(bars) - cdef TimeBarAggregator aggregator + cdef BarAggregator aggregator if partial is not None and partial.bar_type.is_internally_aggregated(): # Update partial time bar aggregator = self._bar_aggregators.get(partial.bar_type) + aggregator.set_await_partial(False) + if aggregator: self._log.debug(f"Applying partial bar {partial} for {partial.bar_type}.") aggregator.set_partial(partial) @@ -1613,7 +1603,12 @@ cdef class DataEngine(Component): f"no order book found, {snap_event}.", ) - cpdef void _start_bar_aggregator(self, MarketDataClient client, BarType bar_type): + cpdef void _start_bar_aggregator( + self, + MarketDataClient client, + BarType bar_type, + bint await_partial, + ): cdef Instrument instrument = self._cache.instrument(bar_type.instrument_id) if instrument is None: self._log.error( @@ -1660,6 +1655,9 @@ cdef class DataEngine(Component): f"not supported in open-source" # pragma: no cover (design-time error) ) + # Set if awaiting initial partial bar + aggregator.set_await_partial(await_partial) + # Add aggregator self._bar_aggregators[bar_type] = aggregator self._log.debug(f"Added {aggregator} for {bar_type} bars.") diff --git a/nautilus_trader/examples/strategies/ema_cross.py b/nautilus_trader/examples/strategies/ema_cross.py index e43496efb490..ce486f899e62 100644 --- a/nautilus_trader/examples/strategies/ema_cross.py +++ b/nautilus_trader/examples/strategies/ema_cross.py @@ -15,6 +15,8 @@ from decimal import Decimal +import pandas as pd + from nautilus_trader.common.enums import LogColor from nautilus_trader.config import StrategyConfig from nautilus_trader.core.correctness import PyCondition @@ -129,7 +131,7 @@ def on_start(self) -> None: self.register_indicator_for_bars(self.bar_type, self.slow_ema) # Get historical data - self.request_bars(self.bar_type) + self.request_bars(self.bar_type, start=self._clock.utc_now() - pd.Timedelta(days=1)) # self.request_quote_ticks(self.instrument_id) # self.request_trade_ticks(self.instrument_id) diff --git a/nautilus_trader/examples/strategies/ema_cross_bracket.py b/nautilus_trader/examples/strategies/ema_cross_bracket.py index b9111bc828d1..c28b2bb364a4 100644 --- a/nautilus_trader/examples/strategies/ema_cross_bracket.py +++ b/nautilus_trader/examples/strategies/ema_cross_bracket.py @@ -64,14 +64,14 @@ class EMACrossBracketConfig(StrategyConfig, frozen=True): emulation_trigger : str, default 'NO_TRIGGER' The emulation trigger for submitting emulated orders. If ``None`` then orders will not be emulated. - manage_gtd_expiry : bool, default True - If the expiry for orders with a time in force of 'GTD' will be managed by the strategy. order_id_tag : str The unique order ID tag for the strategy. Must be unique amongst all running strategies for a particular trader ID. oms_type : OmsType The order management system type for the strategy. This will determine how the `ExecutionEngine` handles position IDs (see docs). + manage_gtd_expiry : bool, default True + If all order GTD time in force expirations should be managed by the strategy. """ @@ -83,7 +83,6 @@ class EMACrossBracketConfig(StrategyConfig, frozen=True): slow_ema_period: int = 20 bracket_distance_atr: float = 3.0 emulation_trigger: str = "NO_TRIGGER" - manage_gtd_expiry: bool = True class EMACrossBracket(Strategy): @@ -229,7 +228,7 @@ def buy(self, last_bar: Bar) -> None: emulation_trigger=self.emulation_trigger, ) - self.submit_order_list(order_list, manage_gtd_expiry=True) + self.submit_order_list(order_list) def sell(self, last_bar: Bar) -> None: """ @@ -254,7 +253,7 @@ def sell(self, last_bar: Bar) -> None: emulation_trigger=self.emulation_trigger, ) - self.submit_order_list(order_list, manage_gtd_expiry=True) + self.submit_order_list(order_list) def on_data(self, data: Data) -> None: """ diff --git a/nautilus_trader/examples/strategies/ema_cross_bracket_algo.py b/nautilus_trader/examples/strategies/ema_cross_bracket_algo.py index 6d5360eb114d..30869a952604 100644 --- a/nautilus_trader/examples/strategies/ema_cross_bracket_algo.py +++ b/nautilus_trader/examples/strategies/ema_cross_bracket_algo.py @@ -66,8 +66,6 @@ class EMACrossBracketAlgoConfig(StrategyConfig, frozen=True): emulation_trigger : str, default 'NO_TRIGGER' The emulation trigger for submitting emulated orders. If ``None`` then orders will not be emulated. - manage_gtd_expiry : bool, default True - If the expiry for orders with a time in force of 'GTD' will be managed by the strategy. entry_exec_algorithm_id : str, optional The execution algorithm for entry orders. entry_exec_algorithm_params : dict[str, Any], optional @@ -88,6 +86,8 @@ class EMACrossBracketAlgoConfig(StrategyConfig, frozen=True): oms_type : OmsType The order management system type for the strategy. This will determine how the `ExecutionEngine` handles position IDs (see docs). + manage_gtd_expiry : bool, default True + If all order GTD time in force expirations should be managed by the strategy. """ @@ -99,7 +99,6 @@ class EMACrossBracketAlgoConfig(StrategyConfig, frozen=True): slow_ema_period: int = 20 bracket_distance_atr: float = 3.0 emulation_trigger: str = "NO_TRIGGER" - manage_gtd_expiry: bool = True entry_exec_algorithm_id: Optional[str] = None entry_exec_algorithm_params: Optional[dict[str, Any]] = None sl_exec_algorithm_id: Optional[str] = None @@ -282,7 +281,7 @@ def buy(self, last_bar: Bar) -> None: tp_exec_algorithm_params=self.tp_exec_algorithm_params, ) - self.submit_order_list(order_list, manage_gtd_expiry=True) + self.submit_order_list(order_list) def sell(self, last_bar: Bar) -> None: """ @@ -314,7 +313,7 @@ def sell(self, last_bar: Bar) -> None: tp_exec_algorithm_params=self.tp_exec_algorithm_params, ) - self.submit_order_list(order_list, manage_gtd_expiry=True) + self.submit_order_list(order_list) def on_data(self, data: Data) -> None: """ diff --git a/nautilus_trader/examples/strategies/orderbook_imbalance.py b/nautilus_trader/examples/strategies/orderbook_imbalance.py index ab01dd8f2c22..575a6237e6c3 100644 --- a/nautilus_trader/examples/strategies/orderbook_imbalance.py +++ b/nautilus_trader/examples/strategies/orderbook_imbalance.py @@ -13,11 +13,11 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +import datetime from decimal import Decimal from typing import Optional from nautilus_trader.config import StrategyConfig -from nautilus_trader.model.data import BookOrder from nautilus_trader.model.data import OrderBookDeltas from nautilus_trader.model.data import QuoteTick from nautilus_trader.model.enums import BookType @@ -26,6 +26,7 @@ from nautilus_trader.model.enums import book_type_from_str from nautilus_trader.model.identifiers import InstrumentId from nautilus_trader.model.instruments import Instrument +from nautilus_trader.model.objects import Quantity from nautilus_trader.model.orderbook import OrderBook from nautilus_trader.trading.strategy import Strategy @@ -44,13 +45,21 @@ class OrderBookImbalanceConfig(StrategyConfig, frozen=True): The instrument ID for the strategy. max_trade_size : str The max position size per trade (volume on the level can be less). - trigger_min_size : float + trigger_min_size : float, default 100.0 The minimum size on the larger side to trigger an order. - trigger_imbalance_ratio : float + trigger_imbalance_ratio : float, default 0.20 The ratio of bid:ask volume required to trigger an order (smaller value / larger value) ie given a trigger_imbalance_ratio=0.2, and a bid volume of 100, we will send a buy order if the ask volume is < 20). + min_seconds_between_triggers : float, default 0.0 + The minimum time between triggers. + book_type : str, default 'L2_MBP' + The order book type for the strategy. + use_quote_ticks : bool, default False + If quote ticks should be used. + subscribe_ticker : bool, default False + If tickers should be subscribed to. order_id_tag : str The unique order ID tag for the strategy. Must be unique amongst all running strategies for a particular trader ID. @@ -64,6 +73,7 @@ class OrderBookImbalanceConfig(StrategyConfig, frozen=True): max_trade_size: Decimal trigger_min_size: float = 100.0 trigger_imbalance_ratio: float = 0.20 + min_seconds_between_triggers: float = 0.0 book_type: str = "L2_MBP" use_quote_ticks: bool = False subscribe_ticker: bool = False @@ -92,11 +102,12 @@ def __init__(self, config: OrderBookImbalanceConfig) -> None: self.max_trade_size = Decimal(config.max_trade_size) self.trigger_min_size = config.trigger_min_size self.trigger_imbalance_ratio = config.trigger_imbalance_ratio + self.min_seconds_between_triggers = config.min_seconds_between_triggers + self._last_trigger_timestamp: Optional[datetime.datetime] = None self.instrument: Optional[Instrument] = None if self.config.use_quote_ticks: - assert self.config.book_type == "L1_TBBO" + assert self.config.book_type == "L1_MBP" self.book_type: BookType = book_type_from_str(self.config.book_type) - self._book = None # type: Optional[OrderBook] def on_start(self) -> None: """ @@ -109,104 +120,98 @@ def on_start(self) -> None: return if self.config.use_quote_ticks: - book_type = BookType.L1_TBBO + self.book_type = BookType.L1_MBP self.subscribe_quote_ticks(self.instrument.id) else: - book_type = book_type_from_str(self.config.book_type) - self.subscribe_order_book_deltas(self.instrument.id, book_type) + self.book_type = book_type_from_str(self.config.book_type) + self.subscribe_order_book_deltas(self.instrument.id, self.book_type) + if self.config.subscribe_ticker: self.subscribe_ticker(self.instrument.id) - self._book = OrderBook( - instrument_id=self.instrument.id, - book_type=book_type, - ) + + self._last_trigger_timestamp = self.clock.utc_now() def on_order_book_deltas(self, deltas: OrderBookDeltas) -> None: """ Actions to be performed when order book deltas are received. """ - if not self._book: - self.log.error("No book being maintained.") - return - - self._book.apply_deltas(deltas) - if self._book.spread(): - self.check_trigger() + self.check_trigger() def on_quote_tick(self, tick: QuoteTick) -> None: """ Actions to be performed when a delta is received. """ - bid = BookOrder( - price=tick.bid_price.as_double(), - size=tick.bid_size.as_double(), - side=OrderSide.BUY, - ) - ask = BookOrder( - price=tick.ask_price.as_double(), - size=tick.ask_size.as_double(), - side=OrderSide.SELL, - ) - - self._book.clear() - self._book.update(bid) - self._book.update(ask) - if self._book.spread(): - self.check_trigger() + self.check_trigger() def on_order_book(self, order_book: OrderBook) -> None: """ Actions to be performed when an order book update is received. """ - self._book = order_book - if self._book.spread(): - self.check_trigger() + self.check_trigger() def check_trigger(self) -> None: """ Check for trigger conditions. """ - if not self._book: + if not self.instrument: + self.log.error("No instrument loaded.") + return + + # Fetch book from the cache being maintained by the `DataEngine` + book = self.cache.order_book(self.instrument_id) + if not book: self.log.error("No book being maintained.") return - if not self.instrument: - self.log.error("No instrument loaded.") + if not book.spread(): return - bid_size = self._book.best_bid_size() - ask_size = self._book.best_ask_size() - if not (bid_size and ask_size): + # Uncomment for debugging + # self.log.info("\n" + book.pprint()) + + bid_size: Optional[Quantity] = book.best_bid_size() + ask_size: Optional[Quantity] = book.best_ask_size() + if (bid_size is None or bid_size <= 0) or (ask_size is None or ask_size <= 0): + self.log.warning("No market yet.") return smaller = min(bid_size, ask_size) larger = max(bid_size, ask_size) ratio = smaller / larger self.log.info( - f"Book: {self._book.best_bid_price()} @ {self._book.best_ask_price()} ({ratio=:0.2f})", + f"Book: {book.best_bid_price()} @ {book.best_ask_price()} ({ratio=:0.2f})", ) + seconds_since_last_trigger = ( + self.clock.utc_now() - self._last_trigger_timestamp + ).total_seconds() + if larger > self.trigger_min_size and ratio < self.trigger_imbalance_ratio: if len(self.cache.orders_inflight(strategy_id=self.id)) > 0: - pass + self.log.info("Already have orders in flight - skipping.") + elif seconds_since_last_trigger < self.min_seconds_between_triggers: + self.log.info("Time since last order < min_seconds_between_triggers - skipping.") elif bid_size > ask_size: order = self.order_factory.limit( instrument_id=self.instrument.id, - price=self.instrument.make_price(self._book.best_ask_price()), + price=self.instrument.make_price(book.best_ask_price()), order_side=OrderSide.BUY, quantity=self.instrument.make_qty(ask_size), post_only=False, time_in_force=TimeInForce.FOK, ) + self._last_trigger_timestamp = self.clock.utc_now() self.submit_order(order) + else: order = self.order_factory.limit( instrument_id=self.instrument.id, - price=self.instrument.make_price(self._book.best_bid_price()), + price=self.instrument.make_price(book.best_bid_price()), order_side=OrderSide.SELL, quantity=self.instrument.make_qty(bid_size), post_only=False, time_in_force=TimeInForce.FOK, ) + self._last_trigger_timestamp = self.clock.utc_now() self.submit_order(order) def on_stop(self) -> None: @@ -215,5 +220,6 @@ def on_stop(self) -> None: """ if self.instrument is None: return + self.cancel_all_orders(self.instrument.id) self.close_all_positions(self.instrument.id) diff --git a/nautilus_trader/examples/strategies/volatility_market_maker.py b/nautilus_trader/examples/strategies/volatility_market_maker.py index 54d57937b241..83d66b499dfd 100644 --- a/nautilus_trader/examples/strategies/volatility_market_maker.py +++ b/nautilus_trader/examples/strategies/volatility_market_maker.py @@ -16,6 +16,8 @@ from decimal import Decimal from typing import Optional, Union +import pandas as pd + from nautilus_trader.common.enums import LogColor from nautilus_trader.config import StrategyConfig from nautilus_trader.core.data import Data @@ -301,7 +303,8 @@ def create_buy_order(self, last: QuoteTick) -> None: order_side=OrderSide.BUY, quantity=self.instrument.make_qty(self.trade_size), price=self.instrument.make_price(price), - time_in_force=TimeInForce.GTC, + time_in_force=TimeInForce.GTD, + expire_time=self.clock.utc_now() + pd.Timedelta(minutes=10), post_only=True, # default value is True # display_qty=self.instrument.make_qty(self.trade_size / 2), # iceberg emulation_trigger=self.emulation_trigger, @@ -324,7 +327,8 @@ def create_sell_order(self, last: QuoteTick) -> None: order_side=OrderSide.SELL, quantity=self.instrument.make_qty(self.trade_size), price=self.instrument.make_price(price), - time_in_force=TimeInForce.GTC, + time_in_force=TimeInForce.GTD, + expire_time=self.clock.utc_now() + pd.Timedelta(minutes=10), post_only=True, # default value is True # display_qty=self.instrument.make_qty(self.trade_size / 2), # iceberg emulation_trigger=self.emulation_trigger, @@ -368,6 +372,10 @@ def on_stop(self) -> None: # Unsubscribe from data self.unsubscribe_bars(self.bar_type) self.unsubscribe_quote_ticks(self.instrument_id) + # self.unsubscribe_trade_ticks(self.instrument_id) + # self.unsubscribe_ticker(self.instrument_id) # For debugging + # self.unsubscribe_order_book_deltas(self.instrument_id) # For debugging + # self.unsubscribe_order_book_snapshots(self.instrument_id) # For debugging def on_reset(self) -> None: """ diff --git a/nautilus_trader/execution/algorithm.pxd b/nautilus_trader/execution/algorithm.pxd index efa2316def85..873ef5719da0 100644 --- a/nautilus_trader/execution/algorithm.pxd +++ b/nautilus_trader/execution/algorithm.pxd @@ -29,10 +29,28 @@ from nautilus_trader.execution.messages cimport TradingCommand from nautilus_trader.model.enums_c cimport ContingencyType from nautilus_trader.model.enums_c cimport TimeInForce from nautilus_trader.model.enums_c cimport TriggerType +from nautilus_trader.model.events.order cimport Event +from nautilus_trader.model.events.order cimport OrderAccepted from nautilus_trader.model.events.order cimport OrderCanceled +from nautilus_trader.model.events.order cimport OrderCancelRejected +from nautilus_trader.model.events.order cimport OrderDenied +from nautilus_trader.model.events.order cimport OrderEmulated from nautilus_trader.model.events.order cimport OrderEvent +from nautilus_trader.model.events.order cimport OrderExpired +from nautilus_trader.model.events.order cimport OrderFilled +from nautilus_trader.model.events.order cimport OrderInitialized +from nautilus_trader.model.events.order cimport OrderModifyRejected from nautilus_trader.model.events.order cimport OrderPendingCancel from nautilus_trader.model.events.order cimport OrderPendingUpdate +from nautilus_trader.model.events.order cimport OrderRejected +from nautilus_trader.model.events.order cimport OrderReleased +from nautilus_trader.model.events.order cimport OrderSubmitted +from nautilus_trader.model.events.order cimport OrderTriggered +from nautilus_trader.model.events.order cimport OrderUpdated +from nautilus_trader.model.events.position cimport PositionChanged +from nautilus_trader.model.events.position cimport PositionClosed +from nautilus_trader.model.events.position cimport PositionEvent +from nautilus_trader.model.events.position cimport PositionOpened from nautilus_trader.model.identifiers cimport ClientId from nautilus_trader.model.identifiers cimport ClientOrderId from nautilus_trader.model.identifiers cimport PositionId @@ -82,10 +100,30 @@ cdef class ExecAlgorithm(Actor): # -- EVENT HANDLERS ------------------------------------------------------------------------------- - cdef void _handle_order_event(self, OrderEvent event) + cdef void _handle_event(self, Event event) cpdef void on_order(self, Order order) cpdef void on_order_list(self, OrderList order_list) cpdef void on_order_event(self, OrderEvent event) + cpdef void on_order_initialized(self, OrderInitialized event) + cpdef void on_order_denied(self, OrderDenied event) + cpdef void on_order_emulated(self, OrderEmulated event) + cpdef void on_order_released(self, OrderReleased event) + cpdef void on_order_submitted(self, OrderSubmitted event) + cpdef void on_order_rejected(self, OrderRejected event) + cpdef void on_order_accepted(self, OrderAccepted event) + cpdef void on_order_canceled(self, OrderCanceled event) + cpdef void on_order_expired(self, OrderExpired event) + cpdef void on_order_triggered(self, OrderTriggered event) + cpdef void on_order_pending_update(self, OrderPendingUpdate event) + cpdef void on_order_pending_cancel(self, OrderPendingCancel event) + cpdef void on_order_modify_rejected(self, OrderModifyRejected event) + cpdef void on_order_cancel_rejected(self, OrderCancelRejected event) + cpdef void on_order_updated(self, OrderUpdated event) + cpdef void on_order_filled(self, OrderFilled event) + cpdef void on_position_event(self, PositionEvent event) + cpdef void on_position_opened(self, PositionOpened event) + cpdef void on_position_changed(self, PositionChanged event) + cpdef void on_position_closed(self, PositionClosed event) # -- TRADING COMMANDS ----------------------------------------------------------------------------- diff --git a/nautilus_trader/execution/algorithm.pyx b/nautilus_trader/execution/algorithm.pyx index cbb29aa6b2e8..b1aedc9249bb 100644 --- a/nautilus_trader/execution/algorithm.pyx +++ b/nautilus_trader/execution/algorithm.pyx @@ -44,15 +44,27 @@ from nautilus_trader.model.enums_c cimport ContingencyType from nautilus_trader.model.enums_c cimport OrderStatus from nautilus_trader.model.enums_c cimport TimeInForce from nautilus_trader.model.enums_c cimport TriggerType +from nautilus_trader.model.events.order cimport OrderAccepted from nautilus_trader.model.events.order cimport OrderCanceled +from nautilus_trader.model.events.order cimport OrderCancelRejected +from nautilus_trader.model.events.order cimport OrderDenied +from nautilus_trader.model.events.order cimport OrderEmulated from nautilus_trader.model.events.order cimport OrderEvent from nautilus_trader.model.events.order cimport OrderExpired from nautilus_trader.model.events.order cimport OrderFilled +from nautilus_trader.model.events.order cimport OrderInitialized +from nautilus_trader.model.events.order cimport OrderModifyRejected from nautilus_trader.model.events.order cimport OrderPendingCancel from nautilus_trader.model.events.order cimport OrderPendingUpdate from nautilus_trader.model.events.order cimport OrderRejected +from nautilus_trader.model.events.order cimport OrderReleased +from nautilus_trader.model.events.order cimport OrderSubmitted +from nautilus_trader.model.events.order cimport OrderTriggered from nautilus_trader.model.events.order cimport OrderUpdated +from nautilus_trader.model.events.position cimport PositionChanged +from nautilus_trader.model.events.position cimport PositionClosed from nautilus_trader.model.events.position cimport PositionEvent +from nautilus_trader.model.events.position cimport PositionOpened from nautilus_trader.model.identifiers cimport ClientId from nautilus_trader.model.identifiers cimport ClientOrderId from nautilus_trader.model.identifiers cimport ExecAlgorithmId @@ -263,7 +275,8 @@ cdef class ExecAlgorithm(Actor): return # Already subscribed self._log.info(f"Subscribing to {command.strategy_id} order events.", LogColor.BLUE) - self._msgbus.subscribe(topic=f"events.order.{command.strategy_id.to_str()}", handler=self._handle_order_event) + self._msgbus.subscribe(topic=f"events.order.{command.strategy_id.to_str()}", handler=self._handle_event) + self._msgbus.subscribe(topic=f"events.position.{command.strategy_id.to_str()}", handler=self._handle_event) self._subscribed_strategies.add(command.strategy_id) cdef void _handle_submit_order(self, SubmitOrder command): @@ -294,6 +307,9 @@ cdef class ExecAlgorithm(Actor): ) return + if self.cache.is_order_pending_cancel_local(command.client_order_id): + return # Already pending cancel locally + if order.is_closed_c(): self._log.warning(f"Order already canceled for {command}.") return @@ -317,18 +333,81 @@ cdef class ExecAlgorithm(Actor): # -- EVENT HANDLERS ------------------------------------------------------------------------------- - cdef void _handle_order_event(self, OrderEvent event): - cdef Order order = self.cache.order(event.client_order_id) - if order is None: - return - if order.exec_algorithm_id is None or order.exec_algorithm_id != self.id: - return # Not for this algorithm + cdef void _handle_event(self, Event event): + cdef Order order + + if isinstance(event, OrderEvent): + order = self.cache.order(event.client_order_id) + if order is None: + return + if order.exec_algorithm_id is None or order.exec_algorithm_id != self.id: + return # Not for this algorithm if self._fsm.state != ComponentState.RUNNING: return try: - self.on_order_event(event) + # Send to specific event handler + if isinstance(event, OrderInitialized): + self.on_order_initialized(event) + self.on_order_event(event) + elif isinstance(event, OrderDenied): + self.on_order_denied(event) + self.on_order_event(event) + elif isinstance(event, OrderEmulated): + self.on_order_emulated(event) + self.on_order_event(event) + elif isinstance(event, OrderReleased): + self.on_order_released(event) + self.on_order_event(event) + elif isinstance(event, OrderSubmitted): + self.on_order_submitted(event) + self.on_order_event(event) + elif isinstance(event, OrderRejected): + self.on_order_rejected(event) + self.on_order_event(event) + elif isinstance(event, OrderAccepted): + self.on_order_accepted(event) + self.on_order_event(event) + elif isinstance(event, OrderCanceled): + self.on_order_canceled(event) + self.on_order_event(event) + elif isinstance(event, OrderExpired): + self.on_order_expired(event) + self.on_order_event(event) + elif isinstance(event, OrderTriggered): + self.on_order_triggered(event) + self.on_order_event(event) + elif isinstance(event, OrderPendingUpdate): + self.on_order_pending_update(event) + self.on_order_event(event) + elif isinstance(event, OrderPendingCancel): + self.on_order_pending_cancel(event) + self.on_order_event(event) + elif isinstance(event, OrderModifyRejected): + self.on_order_modify_rejected(event) + self.on_order_event(event) + elif isinstance(event, OrderCancelRejected): + self.on_order_cancel_rejected(event) + self.on_order_event(event) + elif isinstance(event, OrderUpdated): + self.on_order_updated(event) + self.on_order_event(event) + elif isinstance(event, OrderFilled): + self.on_order_filled(event) + self.on_order_event(event) + elif isinstance(event, PositionOpened): + self.on_position_opened(event) + self.on_position_event(event) + elif isinstance(event, PositionChanged): + self.on_position_changed(event) + self.on_position_event(event) + elif isinstance(event, PositionClosed): + self.on_position_closed(event) + self.on_position_event(event) + + # Always send to general event handler + self.on_event(event) except Exception as e: # pragma: no cover self.log.exception(f"Error on handling {repr(event)}", e) raise @@ -372,7 +451,247 @@ cdef class ExecAlgorithm(Actor): Parameters ---------- event : OrderEvent - The order event to be handled. + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_initialized(self, OrderInitialized event): + """ + Actions to be performed when running and receives an order initialized event. + + Parameters + ---------- + event : OrderInitialized + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_denied(self, OrderDenied event): + """ + Actions to be performed when running and receives an order denied event. + + Parameters + ---------- + event : OrderDenied + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_emulated(self, OrderEmulated event): + """ + Actions to be performed when running and receives an order initialized event. + + Parameters + ---------- + event : OrderEmulated + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_released(self, OrderReleased event): + """ + Actions to be performed when running and receives an order released event. + + Parameters + ---------- + event : OrderReleased + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_submitted(self, OrderSubmitted event): + """ + Actions to be performed when running and receives an order submitted event. + + Parameters + ---------- + event : OrderSubmitted + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_rejected(self, OrderRejected event): + """ + Actions to be performed when running and receives an order rejected event. + + Parameters + ---------- + event : OrderRejected + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_accepted(self, OrderAccepted event): + """ + Actions to be performed when running and receives an order accepted event. + + Parameters + ---------- + event : OrderAccepted + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_canceled(self, OrderCanceled event): + """ + Actions to be performed when running and receives an order canceled event. + + Parameters + ---------- + event : OrderCanceled + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_expired(self, OrderExpired event): + """ + Actions to be performed when running and receives an order expired event. + + Parameters + ---------- + event : OrderExpired + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_triggered(self, OrderTriggered event): + """ + Actions to be performed when running and receives an order triggered event. + + Parameters + ---------- + event : OrderTriggered + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_pending_update(self, OrderPendingUpdate event): + """ + Actions to be performed when running and receives an order pending update event. + + Parameters + ---------- + event : OrderPendingUpdate + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_pending_cancel(self, OrderPendingCancel event): + """ + Actions to be performed when running and receives an order pending cancel event. + + Parameters + ---------- + event : OrderPendingCancel + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_modify_rejected(self, OrderModifyRejected event): + """ + Actions to be performed when running and receives an order modify rejected event. + + Parameters + ---------- + event : OrderModifyRejected + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_cancel_rejected(self, OrderCancelRejected event): + """ + Actions to be performed when running and receives an order cancel rejected event. + + Parameters + ---------- + event : OrderCancelRejected + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_updated(self, OrderUpdated event): + """ + Actions to be performed when running and receives an order updated event. + + Parameters + ---------- + event : OrderUpdated + The event received. Warnings -------- @@ -381,6 +700,87 @@ cdef class ExecAlgorithm(Actor): """ # Optionally override in subclass + cpdef void on_order_filled(self, OrderFilled event): + """ + Actions to be performed when running and receives an order filled event. + + Parameters + ---------- + event : OrderFilled + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_position_event(self, PositionEvent event): + """ + Actions to be performed when running and receives a position event. + + Parameters + ---------- + event : PositionEvent + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_position_opened(self, PositionOpened event): + """ + Actions to be performed when running and receives a position opened event. + + Parameters + ---------- + event : PositionOpened + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_position_changed(self, PositionChanged event): + """ + Actions to be performed when running and receives a position changed event. + + Parameters + ---------- + event : PositionChanged + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_position_closed(self, PositionClosed event): + """ + Actions to be performed when running and receives a position closed event. + + Parameters + ---------- + event : PositionClosed + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + # -- TRADING COMMANDS ----------------------------------------------------------------------------- cpdef MarketOrder spawn_market( diff --git a/nautilus_trader/execution/client.pxd b/nautilus_trader/execution/client.pxd index e6e0c13d3e77..5f1e3c768a00 100644 --- a/nautilus_trader/execution/client.pxd +++ b/nautilus_trader/execution/client.pxd @@ -18,6 +18,7 @@ from libc.stdint cimport uint64_t from nautilus_trader.accounting.accounts.base cimport Account from nautilus_trader.cache.cache cimport Cache from nautilus_trader.common.component cimport Component +from nautilus_trader.execution.messages cimport BatchCancelOrders from nautilus_trader.execution.messages cimport CancelAllOrders from nautilus_trader.execution.messages cimport CancelOrder from nautilus_trader.execution.messages cimport ModifyOrder @@ -73,6 +74,7 @@ cdef class ExecutionClient(Component): cpdef void modify_order(self, ModifyOrder command) cpdef void cancel_order(self, CancelOrder command) cpdef void cancel_all_orders(self, CancelAllOrders command) + cpdef void batch_cancel_orders(self, BatchCancelOrders command) cpdef void query_order(self, QueryOrder command) # -- EVENT HANDLERS ------------------------------------------------------------------------------- diff --git a/nautilus_trader/execution/client.pyx b/nautilus_trader/execution/client.pyx index 857d05af9f01..da8b44375ee1 100644 --- a/nautilus_trader/execution/client.pyx +++ b/nautilus_trader/execution/client.pyx @@ -245,6 +245,22 @@ cdef class ExecutionClient(Component): ) raise NotImplementedError("method must be implemented in the subclass") + cpdef void batch_cancel_orders(self, BatchCancelOrders command): + """ + Batch cancel orders for the instrument ID contained in the given command. + + Parameters + ---------- + command : BatchCancelOrders + The command to execute. + + """ + self._log.error( # pragma: no cover + f"Cannot execute command {command}: not implemented. " # pragma: no cover + f"You can implement by overriding the `batch_cancel_orders` method for this client.", # pragma: no cover # noqa + ) + raise NotImplementedError("method must be implemented in the subclass") + cpdef void query_order(self, QueryOrder command): """ Initiate a reconciliation for the queried order which will generate an diff --git a/nautilus_trader/execution/emulator.pyx b/nautilus_trader/execution/emulator.pyx index 42c11764d8b3..d350326eba28 100644 --- a/nautilus_trader/execution/emulator.pyx +++ b/nautilus_trader/execution/emulator.pyx @@ -215,11 +215,13 @@ cdef class OrderEmulator(Actor): if parent_order is None: self._log.error("Cannot handle order: parent {order.parent_order_id!r} not found.") continue - if parent_order.is_closed_c(): + position_id = parent_order.position_id + if parent_order.is_closed_c() and (position_id is None or self.cache.is_position_closed(position_id)): self._manager.cancel_order(order=order) continue # Parent already closed - if parent_order.contingency_type == ContingencyType.OTO and parent_order.is_emulated_c(): - continue # Process contingency order later once parent triggered + if parent_order.contingency_type == ContingencyType.OTO: + if parent_order.is_active_local_c() or parent_order.filled_qty == 0: + continue # Process contingency order later once parent triggered position_id = self.cache.position_id(order.client_order_id) client_id = self.cache.client_id(order.client_order_id) @@ -536,9 +538,7 @@ cdef class OrderEmulator(Actor): cdef InstrumentId trigger_instrument_id = order.instrument_id if order.trigger_instrument_id is None else order.trigger_instrument_id cdef MatchingCore matching_core = self._matching_cores.get(trigger_instrument_id) if matching_core is None: - self._log.error( - f"Cannot handle `CancelOrder`: no matching core for trigger instrument {trigger_instrument_id}.", - ) + self._manager.cancel_order(order) return if not matching_core.order_exists(order.client_order_id) and order.is_open_c() and not order.is_pending_cancel_c(): diff --git a/nautilus_trader/execution/engine.pxd b/nautilus_trader/execution/engine.pxd index 72784e738113..c3206e853118 100644 --- a/nautilus_trader/execution/engine.pxd +++ b/nautilus_trader/execution/engine.pxd @@ -18,6 +18,7 @@ from nautilus_trader.common.component cimport Component from nautilus_trader.common.generators cimport PositionIdGenerator from nautilus_trader.execution.algorithm cimport ExecAlgorithm from nautilus_trader.execution.client cimport ExecutionClient +from nautilus_trader.execution.messages cimport BatchCancelOrders from nautilus_trader.execution.messages cimport CancelAllOrders from nautilus_trader.execution.messages cimport CancelOrder from nautilus_trader.execution.messages cimport ModifyOrder @@ -105,6 +106,7 @@ cdef class ExecutionEngine(Component): cpdef void _handle_modify_order(self, ExecutionClient client, ModifyOrder command) cpdef void _handle_cancel_order(self, ExecutionClient client, CancelOrder command) cpdef void _handle_cancel_all_orders(self, ExecutionClient client, CancelAllOrders command) + cpdef void _handle_batch_cancel_orders(self, ExecutionClient client, BatchCancelOrders command) cpdef void _handle_query_order(self, ExecutionClient client, QueryOrder command) # -- EVENT HANDLERS ------------------------------------------------------------------------------- diff --git a/nautilus_trader/execution/engine.pyx b/nautilus_trader/execution/engine.pyx index cd529898af29..4ecdc88348b9 100644 --- a/nautilus_trader/execution/engine.pyx +++ b/nautilus_trader/execution/engine.pyx @@ -55,6 +55,7 @@ from nautilus_trader.core.rust.core cimport unix_timestamp_ms from nautilus_trader.core.uuid cimport UUID4 from nautilus_trader.execution.algorithm cimport ExecAlgorithm from nautilus_trader.execution.client cimport ExecutionClient +from nautilus_trader.execution.messages cimport BatchCancelOrders from nautilus_trader.execution.messages cimport CancelAllOrders from nautilus_trader.execution.messages cimport CancelOrder from nautilus_trader.execution.messages cimport ModifyOrder @@ -749,6 +750,8 @@ cdef class ExecutionEngine(Component): self._handle_cancel_order(client, command) elif isinstance(command, CancelAllOrders): self._handle_cancel_all_orders(client, command) + elif isinstance(command, BatchCancelOrders): + self._handle_batch_cancel_orders(client, command) elif isinstance(command, QueryOrder): self._handle_query_order(client, command) else: @@ -829,6 +832,9 @@ cdef class ExecutionEngine(Component): cpdef void _handle_cancel_all_orders(self, ExecutionClient client, CancelAllOrders command): client.cancel_all_orders(command) + cpdef void _handle_batch_cancel_orders(self, ExecutionClient client, BatchCancelOrders command): + client.batch_cancel_orders(command) + cpdef void _handle_query_order(self, ExecutionClient client, QueryOrder command): client.query_order(command) diff --git a/nautilus_trader/execution/manager.pxd b/nautilus_trader/execution/manager.pxd index 781558ce6b2b..459c40399818 100644 --- a/nautilus_trader/execution/manager.pxd +++ b/nautilus_trader/execution/manager.pxd @@ -55,8 +55,6 @@ cdef class OrderManager: cdef object _submit_order_handler cdef object _cancel_order_handler - cdef set _pending_cancels - cpdef dict get_submit_order_commands(self) cpdef void cache_submit_order_command(self, SubmitOrder command) cpdef SubmitOrder pop_submit_order_command(self, ClientOrderId client_order_id) diff --git a/nautilus_trader/execution/manager.pyx b/nautilus_trader/execution/manager.pyx index 22fc5a6d6d88..a1cfd4f6bdeb 100644 --- a/nautilus_trader/execution/manager.pyx +++ b/nautilus_trader/execution/manager.pyx @@ -111,7 +111,6 @@ cdef class OrderManager: self._cancel_order_handler: Callable[[Order], None] = cancel_order_handler self._submit_order_commands: dict[ClientOrderId, SubmitOrder] = {} - self._pending_cancels = set() cpdef dict get_submit_order_commands(self): """ @@ -162,7 +161,6 @@ cdef class OrderManager: Reset the manager, clearing all stateful values. """ self._submit_order_commands.clear() - self._pending_cancels.clear() cpdef void cancel_order(self, Order order): """ @@ -176,13 +174,15 @@ cdef class OrderManager: """ Condition.not_none(order, "order") - if order.client_order_id in self._pending_cancels: - return # Already local pending cancel + if self._cache.is_order_pending_cancel_local(order.client_order_id): + return # Already pending cancel locally if order.is_closed_c(): - self._log.error("Cannot cancel order: already closed.") + self._log.warning("Cannot cancel order: already closed.") return + self._cache.update_order_pending_cancel_local(order) + if self.debug: self._log.info(f"Cancelling order {order}.", LogColor.MAGENTA) @@ -191,8 +191,6 @@ cdef class OrderManager: if self._cancel_order_handler is not None: self._cancel_order_handler(order) - self._pending_cancels.add(order.client_order_id) - # Generate event cdef uint64_t ts_now = self._clock.timestamp_ns() cdef OrderCanceled event = OrderCanceled( @@ -287,8 +285,6 @@ cdef class OrderManager: ) return - self._pending_cancels.discard(order.client_order_id) - if order.contingency_type != ContingencyType.NO_CONTINGENCY: self.handle_contingencies(order) @@ -440,6 +436,11 @@ cdef class OrderManager: self.cancel_order(contingent_order) elif filled_qty._mem.raw > 0 and filled_qty._mem.raw != contingent_order.quantity._mem.raw: self.update_order_quantity(contingent_order, filled_qty) + elif order.contingency_type == ContingencyType.OCO: + if self.debug: + self._log.info(f"Processing OCO contingent order {client_order_id}.", LogColor.MAGENTA) + if order.is_closed_c() and (order.exec_spawn_id is None or not is_spawn_active): + self.cancel_order(contingent_order) elif order.contingency_type == ContingencyType.OUO: if self.debug: self._log.info(f"Processing OUO contingent order {client_order_id}, {leaves_qty=}, {contingent_order.leaves_qty=}.", LogColor.MAGENTA) diff --git a/nautilus_trader/execution/matching_core.pyx b/nautilus_trader/execution/matching_core.pyx index bd5e3dae0fb6..76145bd9d0c1 100644 --- a/nautilus_trader/execution/matching_core.pyx +++ b/nautilus_trader/execution/matching_core.pyx @@ -17,6 +17,7 @@ from typing import Callable, Optional from libc.stdint cimport uint64_t +from nautilus_trader.core.correctness cimport Condition from nautilus_trader.model.enums_c cimport LiquiditySide from nautilus_trader.model.enums_c cimport OrderSide from nautilus_trader.model.enums_c cimport OrderType @@ -158,9 +159,11 @@ cdef class MatchingCore: # -- QUERIES -------------------------------------------------------------------------------------- cpdef Order get_order(self, ClientOrderId client_order_id): + Condition.not_none(client_order_id, "client_order_id") return self._orders.get(client_order_id) cpdef bint order_exists(self, ClientOrderId client_order_id): + Condition.not_none(client_order_id, "client_order_id") return client_order_id in self._orders cpdef list get_orders(self): @@ -198,6 +201,8 @@ cdef class MatchingCore: self.is_last_initialized = False cpdef void add_order(self, Order order): + Condition.not_none(order, "order") + # Needed as closures not supported in cpdef functions self._add_order(order) @@ -221,6 +226,8 @@ cdef class MatchingCore: self._orders_ask.sort(key=order_sort_key) cpdef void delete_order(self, Order order): + Condition.not_none(order, "order") + self._orders.pop(order.client_order_id, None) if order.side == OrderSide.BUY: @@ -258,6 +265,8 @@ cdef class MatchingCore: If the `order.order_type` is an invalid type for the core (e.g. `MARKET`). """ + Condition.not_none(order, "order") + if ( order.order_type == OrderType.LIMIT or order.order_type == OrderType.MARKET_TO_LIMIT @@ -281,17 +290,23 @@ cdef class MatchingCore: raise TypeError(f"invalid `OrderType` was {order.order_type}") # pragma: no cover (design-time error) cpdef void match_limit_order(self, Order order): + Condition.not_none(order, "order") + if self.is_limit_matched(order.side, order.price): order.liquidity_side = LiquiditySide.MAKER self._fill_limit_order(order) cpdef void match_stop_market_order(self, Order order): + Condition.not_none(order, "order") + if self.is_stop_triggered(order.side, order.trigger_price): order.set_triggered_price_c(order.trigger_price) # Triggered stop places market order self._fill_market_order(order) cpdef void match_stop_limit_order(self, Order order, bint initial): + Condition.not_none(order, "order") + if order.is_triggered: if self.is_limit_matched(order.side, order.price): order.liquidity_side = LiquiditySide.MAKER @@ -314,12 +329,16 @@ cdef class MatchingCore: self._fill_limit_order(order) cpdef void match_market_if_touched_order(self, Order order): + Condition.not_none(order, "order") + if self.is_touch_triggered(order.side, order.trigger_price): order.set_triggered_price_c(order.trigger_price) # Triggered stop places market order self._fill_market_order(order) cpdef void match_limit_if_touched_order(self, Order order, bint initial): + Condition.not_none(order, "order") + if order.is_triggered: if self.is_limit_matched(order.side, order.price): order.liquidity_side = LiquiditySide.MAKER @@ -343,6 +362,8 @@ cdef class MatchingCore: self._fill_limit_order(order) cpdef bint is_limit_matched(self, OrderSide side, Price price): + Condition.not_none(price, "price") + if side == OrderSide.BUY: if not self.is_ask_initialized: return False # No market @@ -355,6 +376,8 @@ cdef class MatchingCore: raise ValueError(f"invalid `OrderSide`, was {side}") # pragma: no cover (design-time error) cpdef bint is_stop_triggered(self, OrderSide side, Price trigger_price): + Condition.not_none(trigger_price, "trigger_price") + if side == OrderSide.BUY: if not self.is_ask_initialized: return False # No market @@ -367,6 +390,8 @@ cdef class MatchingCore: raise ValueError(f"invalid `OrderSide`, was {side}") # pragma: no cover (design-time error) cpdef bint is_touch_triggered(self, OrderSide side, Price trigger_price): + Condition.not_none(trigger_price, "trigger_price") + if side == OrderSide.BUY: if not self.is_ask_initialized: return False # No market diff --git a/nautilus_trader/execution/messages.pxd b/nautilus_trader/execution/messages.pxd index 8d1e0f3f6d6d..b924c3eb0010 100644 --- a/nautilus_trader/execution/messages.pxd +++ b/nautilus_trader/execution/messages.pxd @@ -115,6 +115,16 @@ cdef class CancelAllOrders(TradingCommand): cdef dict to_dict_c(CancelAllOrders obj) +cdef class BatchCancelOrders(TradingCommand): + cdef readonly list cancels + + @staticmethod + cdef BatchCancelOrders from_dict_c(dict values) + + @staticmethod + cdef dict to_dict_c(BatchCancelOrders obj) + + cdef class QueryOrder(TradingCommand): cdef readonly ClientOrderId client_order_id """The client order ID for the order to query.\n\n:returns: `ClientOrderId`""" diff --git a/nautilus_trader/execution/messages.pyx b/nautilus_trader/execution/messages.pyx index 4ae1bc80fed8..a18c1759ee01 100644 --- a/nautilus_trader/execution/messages.pyx +++ b/nautilus_trader/execution/messages.pyx @@ -761,6 +761,135 @@ cdef class CancelAllOrders(TradingCommand): return CancelAllOrders.to_dict_c(obj) +cdef class BatchCancelOrders(TradingCommand): + """ + Represents a command to batch cancel orders working on a venue for an instrument. + + Parameters + ---------- + trader_id : TraderId + The trader ID for the command. + strategy_id : StrategyId + The strategy ID for the command. + instrument_id : InstrumentId + The instrument ID for the command. + cancels : list[CancelOrder] + The inner list of cancel order commands. + command_id : UUID4 + The command ID. + ts_init : uint64_t + The UNIX timestamp (nanoseconds) when the object was initialized. + client_id : ClientId, optional + The execution client ID for the command. + + Raises + ------ + ValueError + If `cancels` is empty. + ValueError + If `cancels` contains a type other than `CancelOrder`. + """ + + def __init__( + self, + TraderId trader_id not None, + StrategyId strategy_id not None, + InstrumentId instrument_id not None, + list cancels, + UUID4 command_id not None, + uint64_t ts_init, + ClientId client_id = None, + ): + Condition.not_empty(cancels, "cancels") + Condition.list_type(cancels, CancelOrder, "cancels") + super().__init__( + client_id=client_id, + trader_id=trader_id, + strategy_id=strategy_id, + instrument_id=instrument_id, + command_id=command_id, + ts_init=ts_init, + ) + + self.cancels = cancels + + def __str__(self) -> str: + return ( + f"{type(self).__name__}(" + f"instrument_id={self.instrument_id.to_str()}, " + f"cancels={self.cancels})" + ) + + def __repr__(self) -> str: + return ( + f"{type(self).__name__}(" + f"client_id={self.client_id}, " # Can be None + f"trader_id={self.trader_id.to_str()}, " + f"strategy_id={self.strategy_id.to_str()}, " + f"instrument_id={self.instrument_id.to_str()}, " + f"cancels={self.cancels}, " + f"command_id={self.id.to_str()}, " + f"ts_init={self.ts_init})" + ) + + @staticmethod + cdef BatchCancelOrders from_dict_c(dict values): + Condition.not_none(values, "values") + cdef str client_id = values["client_id"] + return BatchCancelOrders( + client_id=ClientId(client_id) if client_id is not None else None, + trader_id=TraderId(values["trader_id"]), + strategy_id=StrategyId(values["strategy_id"]), + instrument_id=InstrumentId.from_str_c(values["instrument_id"]), + cancels=[CancelOrder.from_dict_c(cancel) for cancel in values["cancels"]], + command_id=UUID4(values["command_id"]), + ts_init=values["ts_init"], + ) + + @staticmethod + cdef dict to_dict_c(BatchCancelOrders obj): + Condition.not_none(obj, "obj") + return { + "type": "BatchCancelOrders", + "client_id": obj.client_id.to_str() if obj.client_id is not None else None, + "trader_id": obj.trader_id.to_str(), + "strategy_id": obj.strategy_id.to_str(), + "instrument_id": obj.instrument_id.to_str(), + "cancels": [CancelOrder.to_dict_c(cancel) for cancel in obj.cancels], + "command_id": obj.id.to_str(), + "ts_init": obj.ts_init, + } + + @staticmethod + def from_dict(dict values) -> BatchCancelOrders: + """ + Return a batch cancel order command from the given dict values. + + Parameters + ---------- + values : dict[str, object] + The values for initialization. + + Returns + ------- + BatchCancelOrders + + """ + return BatchCancelOrders.from_dict_c(values) + + @staticmethod + def to_dict(BatchCancelOrders obj): + """ + Return a dictionary representation of this object. + + Returns + ------- + dict[str, object] + + """ + return BatchCancelOrders.to_dict_c(obj) + + cdef class QueryOrder(TradingCommand): """ Represents a command to query an order. diff --git a/nautilus_trader/live/data_client.py b/nautilus_trader/live/data_client.py index 654f97da3488..6b49c8a7166a 100644 --- a/nautilus_trader/live/data_client.py +++ b/nautilus_trader/live/data_client.py @@ -24,6 +24,7 @@ import asyncio import functools +import traceback from asyncio import Task from collections.abc import Coroutine from typing import Any, Callable @@ -167,18 +168,21 @@ def _on_task_completed( success: str | None, task: Task, ) -> None: - if task.exception(): + e: BaseException | None = task.exception() + if e: + tb_str = "".join(traceback.format_exception(type(e), e, e.__traceback__)) self._log.error( - f"Error on `{task.get_name()}`: " f"{task.exception()!r}", + f"Error on `{task.get_name()}`: " f"{task.exception()!r}\n{tb_str}", ) else: if actions: try: actions() except Exception as e: + tb_str = "".join(traceback.format_exception(type(e), e, e.__traceback__)) self._log.error( f"Failed triggering action {actions.__name__} on `{task.get_name()}`: " - f"{e!r}", + f"{e!r}\n{tb_str}", ) if success: self._log.info(success, LogColor.GREEN) @@ -512,11 +516,11 @@ def subscribe_bars(self, bar_type: BarType) -> None: actions=lambda: self._add_subscription_bars(bar_type), ) - def subscribe_instrument_status_updates(self, instrument_id: InstrumentId) -> None: + def subscribe_instrument_status(self, instrument_id: InstrumentId) -> None: self.create_task( - self._subscribe_instrument_status_updates(instrument_id), - log_msg=f"subscribe: instrument_status_updates {instrument_id}", - actions=lambda: self._add_subscription_instrument_status_updates(instrument_id), + self._subscribe_instrument_status(instrument_id), + log_msg=f"subscribe: instrument_status {instrument_id}", + actions=lambda: self._add_subscription_instrument_status(instrument_id), ) def subscribe_instrument_close(self, instrument_id: InstrumentId) -> None: @@ -589,11 +593,11 @@ def unsubscribe_bars(self, bar_type: BarType) -> None: actions=lambda: self._remove_subscription_bars(bar_type), ) - def unsubscribe_instrument_status_updates(self, instrument_id: InstrumentId) -> None: + def unsubscribe_instrument_status(self, instrument_id: InstrumentId) -> None: self.create_task( - self._unsubscribe_instrument_status_updates(instrument_id), - log_msg=f"unsubscribe: instrument_status_updates {instrument_id}", - actions=lambda: self._remove_subscription_instrument_status_updates(instrument_id), + self._unsubscribe_instrument_status(instrument_id), + log_msg=f"unsubscribe: instrument_status {instrument_id}", + actions=lambda: self._remove_subscription_instrument_status(instrument_id), ) def unsubscribe_instrument_close(self, instrument_id: InstrumentId) -> None: @@ -750,9 +754,9 @@ async def _subscribe_bars(self, bar_type: BarType) -> None: "implement the `_subscribe_bars` coroutine", # pragma: no cover ) - async def _subscribe_instrument_status_updates(self, instrument_id: InstrumentId) -> None: + async def _subscribe_instrument_status(self, instrument_id: InstrumentId) -> None: raise NotImplementedError( # pragma: no cover - "implement the `_subscribe_instrument_status_updates` coroutine", # pragma: no cover + "implement the `_subscribe_instrument_status` coroutine", # pragma: no cover ) async def _subscribe_instrument_close(self, instrument_id: InstrumentId) -> None: @@ -805,9 +809,9 @@ async def _unsubscribe_bars(self, bar_type: BarType) -> None: "implement the `_unsubscribe_bars` coroutine", # pragma: no cover ) - async def _unsubscribe_instrument_status_updates(self, instrument_id: InstrumentId) -> None: + async def _unsubscribe_instrument_status(self, instrument_id: InstrumentId) -> None: raise NotImplementedError( # pragma: no cover - "implement the `_unsubscribe_instrument_status_updates` coroutine", # pragma: no cover + "implement the `_unsubscribe_instrument_status` coroutine", # pragma: no cover ) async def _unsubscribe_instrument_close(self, instrument_id: InstrumentId) -> None: diff --git a/nautilus_trader/live/data_engine.py b/nautilus_trader/live/data_engine.py index 475e68f42e9b..a9892d8949e1 100644 --- a/nautilus_trader/live/data_engine.py +++ b/nautilus_trader/live/data_engine.py @@ -369,6 +369,7 @@ def _on_start(self) -> None: def _on_stop(self) -> None: if self._kill: return # Avoids queuing redundant sentinel messages + # This will stop the queues processing as soon as they see the sentinel message self._enqueue_sentinels() @@ -384,6 +385,8 @@ async def _run_cmd_queue(self) -> None: self._execute_command(command) except asyncio.CancelledError: self._log.warning("DataCommand message queue canceled.") + except RuntimeError as ex: + self._log.error(f"RuntimeError: {ex}.") finally: stopped_msg = "DataCommand message queue stopped" if not self._cmd_queue.empty(): @@ -403,6 +406,8 @@ async def _run_req_queue(self) -> None: self._handle_request(request) except asyncio.CancelledError: self._log.warning("DataRequest message queue canceled.") + except RuntimeError as ex: + self._log.error(f"RuntimeError: {ex}.") finally: stopped_msg = "DataRequest message queue stopped" if not self._req_queue.empty(): @@ -422,6 +427,8 @@ async def _run_res_queue(self) -> None: self._handle_response(response) except asyncio.CancelledError: self._log.warning("DataResponse message queue canceled.") + except RuntimeError as ex: + self._log.error(f"RuntimeError: {ex}.") finally: stopped_msg = "DataResponse message queue stopped" if not self._res_queue.empty(): @@ -439,6 +446,8 @@ async def _run_data_queue(self) -> None: self._handle_data(data) except asyncio.CancelledError: self._log.warning("Data message queue canceled.") + except RuntimeError as ex: + self._log.error(f"RuntimeError: {ex}.") finally: stopped_msg = "Data message queue stopped" if not self._data_queue.empty(): diff --git a/nautilus_trader/live/execution_client.py b/nautilus_trader/live/execution_client.py index 97aea95a52f7..c4b4ad2d1e8b 100644 --- a/nautilus_trader/live/execution_client.py +++ b/nautilus_trader/live/execution_client.py @@ -21,6 +21,7 @@ import asyncio import functools +import traceback from asyncio import Task from collections.abc import Coroutine from datetime import timedelta @@ -36,6 +37,7 @@ from nautilus_trader.core.correctness import PyCondition from nautilus_trader.core.uuid import UUID4 from nautilus_trader.execution.client import ExecutionClient +from nautilus_trader.execution.messages import BatchCancelOrders from nautilus_trader.execution.messages import CancelAllOrders from nautilus_trader.execution.messages import CancelOrder from nautilus_trader.execution.messages import ModifyOrder @@ -199,18 +201,21 @@ def _on_task_completed( success: str | None, task: Task, ) -> None: - if task.exception(): + e: BaseException | None = task.exception() + if e: + tb_str = "".join(traceback.format_exception(type(e), e, e.__traceback__)) self._log.error( - f"Error on `{task.get_name()}`: " f"{task.exception()!r}", + f"Error on `{task.get_name()}`: " f"{task.exception()!r}\n{tb_str}", ) else: if actions: try: actions() except Exception as e: + tb_str = "".join(traceback.format_exception(type(e), e, e.__traceback__)) self._log.error( f"Failed triggering action {actions.__name__} on `{task.get_name()}`: " - f"{e!r}", + f"{e!r}\n{tb_str}", ) if success: self._log.info(success, LogColor.GREEN) @@ -267,6 +272,12 @@ def cancel_all_orders(self, command: CancelAllOrders) -> None: log_msg=f"cancel_all_orders: {command}", ) + def batch_cancel_orders(self, command: BatchCancelOrders) -> None: + self.create_task( + self._batch_cancel_orders(command), + log_msg=f"batch_cancel_orders: {command}", + ) + def query_order(self, command: QueryOrder) -> None: self.create_task( self._query_order(command), @@ -495,3 +506,8 @@ async def _cancel_all_orders(self, command: CancelAllOrders) -> None: raise NotImplementedError( # pragma: no cover "implement the `_cancel_all_orders` coroutine", # pragma: no cover ) + + async def _batch_cancel_orders(self, command: BatchCancelOrders) -> None: + raise NotImplementedError( # pragma: no cover + "implement the `_batch_cancel_orders` coroutine", # pragma: no cover + ) diff --git a/nautilus_trader/live/execution_engine.py b/nautilus_trader/live/execution_engine.py index 18c997d36f89..4f92d97244e3 100644 --- a/nautilus_trader/live/execution_engine.py +++ b/nautilus_trader/live/execution_engine.py @@ -42,6 +42,7 @@ from nautilus_trader.model.enums import LiquiditySide from nautilus_trader.model.enums import OrderStatus from nautilus_trader.model.enums import OrderType +from nautilus_trader.model.enums import TimeInForce from nautilus_trader.model.enums import TriggerType from nautilus_trader.model.enums import trailing_offset_type_to_str from nautilus_trader.model.enums import trigger_type_to_str @@ -327,19 +328,31 @@ def _on_start(self) -> None: self._log.debug(f"Scheduled {self._cmd_queue_task}.") self._log.debug(f"Scheduled {self._evt_queue_task}.") - if self.inflight_check_interval_ms > 0: - self._inflight_check_task = self._loop.create_task(self._inflight_check_loop()) - self._log.debug(f"Scheduled {self._inflight_check_task}.") + if not self._inflight_check_task: + if self.inflight_check_interval_ms > 0: + self._inflight_check_task = self._loop.create_task( + self._inflight_check_loop(), + name="inflight_check", + ) + self._log.debug(f"Scheduled {self._inflight_check_task}.") def _on_stop(self) -> None: if self._inflight_check_task: + self._log.info("Canceling in-flight check task...") self._inflight_check_task.cancel() + self._inflight_check_task = None if self._kill: return # Avoids queuing redundant sentinel messages + # This will stop the queues processing as soon as they see the sentinel message self._enqueue_sentinel() + async def _wait_for_inflight_check_task(self) -> None: + if self._inflight_check_task is None: + return + await self._inflight_check_task + async def _run_cmd_queue(self) -> None: self._log.debug( f"Command message queue processing starting (qsize={self.cmd_qsize()})...", @@ -352,6 +365,8 @@ async def _run_cmd_queue(self) -> None: self._execute_command(command) except asyncio.CancelledError: self._log.warning("Command message queue canceled.") + except RuntimeError as ex: + self._log.error(f"RuntimeError: {ex}.") finally: stopped_msg = "Command message queue stopped" if not self._cmd_queue.empty(): @@ -371,6 +386,8 @@ async def _run_evt_queue(self) -> None: self._handle_event(event) except asyncio.CancelledError: self._log.warning("Event message queue canceled.") + except RuntimeError as ex: + self._log.error(f"RuntimeError: {ex}.") finally: stopped_msg = "Event message queue stopped" if not self._evt_queue.empty(): @@ -379,9 +396,12 @@ async def _run_evt_queue(self) -> None: self._log.debug(stopped_msg + ".") async def _inflight_check_loop(self) -> None: - while True: - await asyncio.sleep(self.inflight_check_interval_ms / 1000) - await self._check_inflight_orders() + try: + while True: + await asyncio.sleep(self.inflight_check_interval_ms / 1000) + await self._check_inflight_orders() + except asyncio.CancelledError: + self._log.debug("In-flight check loop task canceled.") async def _check_inflight_orders(self) -> None: self._log.debug("Checking in-flight orders status...") @@ -864,7 +884,7 @@ def _generate_external_order(self, report: OrderStatusReport) -> Order | None: order_side=report.order_side, order_type=report.order_type, quantity=report.quantity, - time_in_force=report.time_in_force, + time_in_force=report.time_in_force if report.expire_time else TimeInForce.GTC, post_only=report.post_only, reduce_only=report.reduce_only, quote_quantity=False, diff --git a/nautilus_trader/live/risk_engine.py b/nautilus_trader/live/risk_engine.py index 6e6208845170..3ca2e672479e 100644 --- a/nautilus_trader/live/risk_engine.py +++ b/nautilus_trader/live/risk_engine.py @@ -250,6 +250,8 @@ async def _run_cmd_queue(self) -> None: self._execute_command(command) except asyncio.CancelledError: self._log.warning("Command message queue canceled.") + except RuntimeError as ex: + self._log.error(f"RuntimeError: {ex}.") finally: stopped_msg = "Command message queue stopped" if not self._cmd_queue.empty(): @@ -269,6 +271,8 @@ async def _run_evt_queue(self) -> None: self._handle_event(event) except asyncio.CancelledError: self._log.warning("Event message queue canceled.") + except RuntimeError as ex: + self._log.error(f"RuntimeError: {ex}.") finally: stopped_msg = "Event message queue stopped" if not self._evt_queue.empty(): diff --git a/nautilus_trader/model/data/__init__.py b/nautilus_trader/model/data/__init__.py index f2a3a652e916..bdb91bfa6bf4 100644 --- a/nautilus_trader/model/data/__init__.py +++ b/nautilus_trader/model/data/__init__.py @@ -16,6 +16,10 @@ Defines the fundamental data types represented within the trading domain. """ +from nautilus_trader.core.nautilus_pyo3 import Bar as RustBar +from nautilus_trader.core.nautilus_pyo3 import OrderBookDelta as RustOrderBookDelta +from nautilus_trader.core.nautilus_pyo3 import QuoteTick as RustQuoteTick +from nautilus_trader.core.nautilus_pyo3 import TradeTick as RustTradeTick from nautilus_trader.model.data.bar import Bar from nautilus_trader.model.data.bar import BarSpecification from nautilus_trader.model.data.bar import BarType @@ -26,12 +30,12 @@ from nautilus_trader.model.data.book import BookOrder from nautilus_trader.model.data.book import OrderBookDelta from nautilus_trader.model.data.book import OrderBookDeltas +from nautilus_trader.model.data.status import InstrumentClose +from nautilus_trader.model.data.status import InstrumentStatus +from nautilus_trader.model.data.status import VenueStatus from nautilus_trader.model.data.tick import QuoteTick from nautilus_trader.model.data.tick import TradeTick from nautilus_trader.model.data.ticker import Ticker -from nautilus_trader.model.data.venue import InstrumentClose -from nautilus_trader.model.data.venue import InstrumentStatusUpdate -from nautilus_trader.model.data.venue import VenueStatusUpdate __all__ = [ @@ -49,6 +53,14 @@ "Ticker", "TradeTick", "InstrumentClose", - "InstrumentStatusUpdate", - "VenueStatusUpdate", + "InstrumentStatus", + "VenueStatus", ] + + +NAUTILUS_PYO3_DATA_TYPES: tuple[type, ...] = ( + RustOrderBookDelta, + RustQuoteTick, + RustTradeTick, + RustBar, +) diff --git a/nautilus_trader/model/data/bar.pxd b/nautilus_trader/model/data/bar.pxd index 6371baf2851b..0f90b17a157a 100644 --- a/nautilus_trader/model/data/bar.pxd +++ b/nautilus_trader/model/data/bar.pxd @@ -72,6 +72,9 @@ cdef class Bar(Data): cdef str to_str(self) + @staticmethod + cdef Bar from_mem_c(Bar_t mem) + @staticmethod cdef Bar from_dict_c(dict values) diff --git a/nautilus_trader/model/data/bar.pyx b/nautilus_trader/model/data/bar.pyx index bd713f0f24b9..0e2ac9934f2f 100644 --- a/nautilus_trader/model/data/bar.pyx +++ b/nautilus_trader/model/data/bar.pyx @@ -19,6 +19,7 @@ from libc.stdint cimport uint64_t from nautilus_trader.core.correctness cimport Condition from nautilus_trader.core.data cimport Data +from nautilus_trader.core.rust.model cimport Bar_t from nautilus_trader.core.rust.model cimport BarSpecification_t from nautilus_trader.core.rust.model cimport BarType_t from nautilus_trader.core.rust.model cimport bar_eq @@ -34,7 +35,9 @@ from nautilus_trader.core.rust.model cimport bar_specification_lt from nautilus_trader.core.rust.model cimport bar_specification_new from nautilus_trader.core.rust.model cimport bar_specification_to_cstr from nautilus_trader.core.rust.model cimport bar_to_cstr +from nautilus_trader.core.rust.model cimport bar_type_check_parsing from nautilus_trader.core.rust.model cimport bar_type_eq +from nautilus_trader.core.rust.model cimport bar_type_from_cstr from nautilus_trader.core.rust.model cimport bar_type_ge from nautilus_trader.core.rust.model cimport bar_type_gt from nautilus_trader.core.rust.model cimport bar_type_hash @@ -42,7 +45,7 @@ from nautilus_trader.core.rust.model cimport bar_type_le from nautilus_trader.core.rust.model cimport bar_type_lt from nautilus_trader.core.rust.model cimport bar_type_new from nautilus_trader.core.rust.model cimport bar_type_to_cstr -from nautilus_trader.core.rust.model cimport instrument_id_new_from_cstr +from nautilus_trader.core.rust.model cimport instrument_id_from_cstr from nautilus_trader.core.string cimport cstr_to_pystr from nautilus_trader.core.string cimport pystr_to_cstr from nautilus_trader.model.data.bar_aggregation cimport BarAggregation @@ -509,22 +512,22 @@ cdef class BarType: return cstr_to_pystr(bar_type_to_cstr(&self._mem)) def __eq__(self, BarType other) -> bool: - return bar_type_eq(&self._mem, &other._mem) + return self.to_str() == other.to_str() def __lt__(self, BarType other) -> bool: - return bar_type_lt(&self._mem, &other._mem) + return self.to_str() < other.to_str() def __le__(self, BarType other) -> bool: - return bar_type_le(&self._mem, &other._mem) + return self.to_str() <= other.to_str() def __gt__(self, BarType other) -> bool: - return bar_type_gt(&self._mem, &other._mem) + return self.to_str() > other.to_str() def __ge__(self, BarType other) -> bool: - return bar_type_ge(&self._mem, &other._mem) + return self.to_str() >= other.to_str() def __hash__(self) -> int: - return bar_type_hash(&self._mem) + return hash(self.to_str()) def __str__(self) -> str: return self.to_str() @@ -540,25 +543,15 @@ cdef class BarType: @staticmethod cdef BarType from_str_c(str value): - Condition.valid_string(value, 'value') - - cdef list pieces = value.rsplit('-', maxsplit=4) - if len(pieces) != 5: - raise ValueError(f"The `BarType` string value was malformed, was {value}") + Condition.valid_string(value, "value") - cdef InstrumentId instrument_id = InstrumentId.from_str_c(pieces[0]) - cdef BarSpecification bar_spec = BarSpecification( - int(pieces[1]), - bar_aggregation_from_str(pieces[2]), - price_type_from_str(pieces[3]), - ) - cdef AggregationSource aggregation_source = aggregation_source_from_str(pieces[4]) + cdef str parse_err = cstr_to_pystr(bar_type_check_parsing(pystr_to_cstr(value))) + if parse_err: + raise ValueError(parse_err) - return BarType( - instrument_id=instrument_id, - bar_spec=bar_spec, - aggregation_source=aggregation_source, - ) + cdef BarType bar_type = BarType.__new__(BarType) + bar_type._mem = bar_type_from_cstr(pystr_to_cstr(value)) + return bar_type @property def instrument_id(self) -> InstrumentId: @@ -748,10 +741,10 @@ cdef class Bar(Data): ) def __eq__(self, Bar other) -> bool: - return bar_eq(&self._mem, &other._mem) + return self.to_str() == other.to_str() def __hash__(self) -> int: - return bar_hash(&self._mem) + return hash(self.to_str()) cdef str to_str(self): return cstr_to_pystr(bar_to_cstr(&self._mem)) @@ -762,6 +755,12 @@ cdef class Bar(Data): def __repr__(self) -> str: return f"{type(self).__name__}({self})" + @staticmethod + cdef Bar from_mem_c(Bar_t mem): + cdef Bar bar = Bar.__new__(Bar) + bar._mem = mem + return bar + @staticmethod cdef Bar from_dict_c(dict values): Condition.not_none(values, "values") diff --git a/nautilus_trader/model/data/base.pxd b/nautilus_trader/model/data/base.pxd index 932ea125ac39..7a536585d0cd 100644 --- a/nautilus_trader/model/data/base.pxd +++ b/nautilus_trader/model/data/base.pxd @@ -13,7 +13,19 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +from cpython.mem cimport PyMem_Free +from cpython.pycapsule cimport PyCapsule_GetPointer + from nautilus_trader.core.data cimport Data +from nautilus_trader.core.rust.core cimport CVec + + +cpdef list capsule_to_list(capsule) + +cdef inline void capsule_destructor(object capsule): + cdef CVec* cvec = PyCapsule_GetPointer(capsule, NULL) + PyMem_Free(cvec[0].ptr) # de-allocate buffer + PyMem_Free(cvec) # de-allocate cvec cdef class DataType: diff --git a/nautilus_trader/model/data/base.pyx b/nautilus_trader/model/data/base.pyx index 2f695ec261fd..c05dfb49a19d 100644 --- a/nautilus_trader/model/data/base.pyx +++ b/nautilus_trader/model/data/base.pyx @@ -13,7 +13,36 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +from cpython.pycapsule cimport PyCapsule_GetPointer +from libc.stdint cimport uint64_t + from nautilus_trader.core.data cimport Data +from nautilus_trader.core.rust.model cimport Data_t +from nautilus_trader.core.rust.model cimport Data_t_Tag +from nautilus_trader.model.data.bar cimport Bar +from nautilus_trader.model.data.book cimport OrderBookDelta +from nautilus_trader.model.data.tick cimport QuoteTick +from nautilus_trader.model.data.tick cimport TradeTick + + +# SAFETY: Do NOT deallocate the capsule here +cpdef list capsule_to_list(capsule): + cdef CVec* data = PyCapsule_GetPointer(capsule, NULL) + cdef Data_t* ptr = data.ptr + cdef list objects = [] + + cdef uint64_t i + for i in range(0, data.len): + if ptr[i].tag == Data_t_Tag.DELTA: + objects.append(OrderBookDelta.from_mem_c(ptr[i].delta)) + elif ptr[i].tag == Data_t_Tag.QUOTE: + objects.append(QuoteTick.from_mem_c(ptr[i].quote)) + elif ptr[i].tag == Data_t_Tag.TRADE: + objects.append(TradeTick.from_mem_c(ptr[i].trade)) + elif ptr[i].tag == Data_t_Tag.BAR: + objects.append(Bar.from_mem_c(ptr[i].bar)) + + return objects cdef class DataType: diff --git a/nautilus_trader/model/data/book.pxd b/nautilus_trader/model/data/book.pxd index 06a29df30ed0..031718add97e 100644 --- a/nautilus_trader/model/data/book.pxd +++ b/nautilus_trader/model/data/book.pxd @@ -13,6 +13,8 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +from libc.stdint cimport int64_t +from libc.stdint cimport uint8_t from libc.stdint cimport uint64_t from nautilus_trader.core.data cimport Data @@ -20,6 +22,9 @@ from nautilus_trader.core.rust.model cimport BookOrder_t from nautilus_trader.core.rust.model cimport OrderBookDelta_t from nautilus_trader.model.data.book cimport OrderBookDelta from nautilus_trader.model.data.book cimport OrderBookDeltas +from nautilus_trader.model.enums_c cimport BookAction +from nautilus_trader.model.enums_c cimport BookType +from nautilus_trader.model.enums_c cimport OrderSide from nautilus_trader.model.identifiers cimport InstrumentId @@ -29,6 +34,16 @@ cdef class BookOrder: cpdef double exposure(self) cpdef double signed_size(self) + @staticmethod + cdef BookOrder from_raw_c( + OrderSide side, + int64_t price_raw, + uint8_t price_prec, + uint64_t size_raw, + uint8_t size_prec, + uint64_t order_id, + ) + @staticmethod cdef BookOrder from_mem_c(BookOrder_t mem) @@ -42,6 +57,22 @@ cdef class BookOrder: cdef class OrderBookDelta(Data): cdef OrderBookDelta_t _mem + @staticmethod + cdef OrderBookDelta from_raw_c( + InstrumentId instrument_id, + BookAction action, + OrderSide side, + int64_t price_raw, + uint8_t price_prec, + uint64_t size_raw, + uint8_t size_prec, + uint64_t order_id, + uint8_t flags, + uint64_t sequence, + uint64_t ts_event, + uint64_t ts_init, + ) + @staticmethod cdef OrderBookDelta from_mem_c(OrderBookDelta_t mem) @@ -59,6 +90,12 @@ cdef class OrderBookDelta(Data): uint64_t sequence=*, ) + @staticmethod + cdef list capsule_to_list_c(capsule) + + @staticmethod + cdef object list_to_capsule_c(list items) + cdef class OrderBookDeltas(Data): cdef readonly InstrumentId instrument_id diff --git a/nautilus_trader/model/data/book.pyx b/nautilus_trader/model/data/book.pyx index efe8fc8aef77..9f1d2f1060a9 100644 --- a/nautilus_trader/model/data/book.pyx +++ b/nautilus_trader/model/data/book.pyx @@ -13,13 +13,22 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from libc.stdint cimport uint8_t -from libc.stdint cimport uint64_t +from typing import Optional import msgspec +from cpython.mem cimport PyMem_Free +from cpython.mem cimport PyMem_Malloc +from cpython.pycapsule cimport PyCapsule_Destructor +from cpython.pycapsule cimport PyCapsule_GetPointer +from cpython.pycapsule cimport PyCapsule_New +from libc.stdint cimport int64_t +from libc.stdint cimport uint8_t +from libc.stdint cimport uint64_t + from nautilus_trader.core.correctness cimport Condition from nautilus_trader.core.data cimport Data +from nautilus_trader.core.rust.core cimport CVec from nautilus_trader.core.rust.model cimport book_order_debug_to_cstr from nautilus_trader.core.rust.model cimport book_order_eq from nautilus_trader.core.rust.model cimport book_order_exposure @@ -30,6 +39,7 @@ from nautilus_trader.core.rust.model cimport orderbook_delta_eq from nautilus_trader.core.rust.model cimport orderbook_delta_hash from nautilus_trader.core.rust.model cimport orderbook_delta_new from nautilus_trader.core.string cimport cstr_to_pystr +from nautilus_trader.model.data.base cimport capsule_destructor from nautilus_trader.model.enums_c cimport BookAction from nautilus_trader.model.enums_c cimport OrderSide from nautilus_trader.model.enums_c cimport book_action_from_str @@ -110,6 +120,26 @@ cdef class BookOrder: def __repr__(self) -> str: return cstr_to_pystr(book_order_debug_to_cstr(&self._mem)) + @staticmethod + cdef BookOrder from_raw_c( + OrderSide side, + int64_t price_raw, + uint8_t price_prec, + uint64_t size_raw, + uint8_t size_prec, + uint64_t order_id, + ): + cdef BookOrder order = BookOrder.__new__(BookOrder) + order._mem = book_order_from_raw( + side, + price_raw, + price_prec, + size_raw, + size_prec, + order_id, + ) + return order + @staticmethod cdef BookOrder from_mem_c(BookOrder_t mem): cdef BookOrder order = BookOrder.__new__(BookOrder) @@ -186,6 +216,47 @@ cdef class BookOrder: """ return book_order_signed_size(&self._mem) + @staticmethod + def from_raw( + OrderSide side, + int64_t price_raw, + uint8_t price_prec, + uint64_t size_raw, + uint8_t size_prec, + uint64_t order_id, + ) -> BookOrder: + """ + Return an book order from the given raw values. + + Parameters + ---------- + side : OrderSide {``BUY``, ``SELL``} + The order side. + price_raw : int64_t + The order raw price (as a scaled fixed precision integer). + price_prec : uint8_t + The order price precision. + size_raw : uint64_t + The order raw size (as a scaled fixed precision integer). + size_prec : uint8_t + The order size precision. + order_id : uint64_t + The order ID. + + Returns + ------- + BookOrder + + """ + return BookOrder.from_raw_c( + side, + price_raw, + price_prec, + size_raw, + size_prec, + order_id, + ) + @staticmethod cdef BookOrder from_dict_c(dict values): Condition.not_none(values, "values") @@ -239,7 +310,7 @@ cdef class BookOrder: cdef class OrderBookDelta(Data): """ - Represents a single difference on an `OrderBook`. + Represents a single update/difference on an `OrderBook`. Parameters ---------- @@ -248,7 +319,7 @@ cdef class OrderBookDelta(Data): action : BookAction {``ADD``, ``UPDATE``, ``DELETE``, ``CLEAR``} The order book delta action. order : BookOrder - The order to apply. + The book order for the delta. ts_event : uint64_t The UNIX timestamp (nanoseconds) when the data event occurred. ts_init : uint64_t @@ -256,7 +327,8 @@ cdef class OrderBookDelta(Data): flags : uint8_t, default 0 (no flags) A combination of packet end with matching engine status. sequence : uint64_t, default 0 - The unique sequence number for the update. If default 0 then will increment the `sequence`. + The unique sequence number for the update. + If default 0 then will increment the `sequence`. """ def __init__( @@ -415,7 +487,7 @@ cdef class OrderBookDelta(Data): return self._mem.action == BookAction.CLEAR @property - def order(self) -> BookOrder: + def order(self) -> Optional[BookOrder]: """ Return the deltas book order for the action. @@ -424,7 +496,10 @@ cdef class OrderBookDelta(Data): BookOrder """ - return BookOrder.from_mem_c(self._mem.order) + order = self._mem.order + if order is None: + return None + return BookOrder.from_mem_c(order) @property def flags(self) -> uint8_t: @@ -474,6 +549,41 @@ cdef class OrderBookDelta(Data): """ return self._mem.ts_init + @staticmethod + cdef OrderBookDelta from_raw_c( + InstrumentId instrument_id, + BookAction action, + OrderSide side, + int64_t price_raw, + uint8_t price_prec, + uint64_t size_raw, + uint8_t size_prec, + uint64_t order_id, + uint8_t flags, + uint64_t sequence, + uint64_t ts_event, + uint64_t ts_init, + ): + cdef BookOrder_t order_mem = book_order_from_raw( + side, + price_raw, + price_prec, + size_raw, + size_prec, + order_id, + ) + cdef OrderBookDelta delta = OrderBookDelta.__new__(OrderBookDelta) + delta._mem = orderbook_delta_new( + instrument_id._mem, + action, + order_mem, + flags, + sequence, + ts_event, + ts_init, + ) + return delta + @staticmethod cdef OrderBookDelta from_mem_c(OrderBookDelta_t mem): cdef OrderBookDelta delta = OrderBookDelta.__new__(OrderBookDelta) @@ -531,6 +641,113 @@ cdef class OrderBookDelta(Data): sequence=sequence, ) + # SAFETY: Do NOT deallocate the capsule here + # It is supposed to be deallocated by the creator + @staticmethod + cdef inline list capsule_to_list_c(object capsule): + cdef CVec* data = PyCapsule_GetPointer(capsule, NULL) + cdef OrderBookDelta_t* ptr = data.ptr + cdef list deltas = [] + + cdef uint64_t i + for i in range(0, data.len): + deltas.append(OrderBookDelta.from_mem_c(ptr[i])) + + return deltas + + @staticmethod + cdef inline list_to_capsule_c(list items): + # Create a C struct buffer + cdef uint64_t len_ = len(items) + cdef OrderBookDelta_t * data = PyMem_Malloc(len_ * sizeof(OrderBookDelta_t)) + cdef uint64_t i + for i in range(len_): + data[i] = ( items[i])._mem + if not data: + raise MemoryError() + + # Create CVec + cdef CVec * cvec = PyMem_Malloc(1 * sizeof(CVec)) + cvec.ptr = data + cvec.len = len_ + cvec.cap = len_ + + # Create PyCapsule + return PyCapsule_New(cvec, NULL, capsule_destructor) + + @staticmethod + def list_from_capsule(capsule) -> list[QuoteTick]: + return OrderBookDelta.capsule_to_list_c(capsule) + + @staticmethod + def capsule_from_list(list items): + return OrderBookDelta.list_to_capsule_c(items) + + @staticmethod + def from_raw( + InstrumentId instrument_id, + BookAction action, + OrderSide side, + int64_t price_raw, + uint8_t price_prec, + uint64_t size_raw, + uint8_t size_prec, + uint64_t order_id, + uint8_t flags, + uint64_t sequence, + uint64_t ts_event, + uint64_t ts_init, + ) -> OrderBookDelta: + """ + Return an order book delta from the given raw values. + + Parameters + ---------- + instrument_id : InstrumentId + The trade instrument ID. + action : BookAction {``ADD``, ``UPDATE``, ``DELETE``, ``CLEAR``} + The order book delta action. + side : OrderSide {``BUY``, ``SELL``} + The order side. + price_raw : int64_t + The order raw price (as a scaled fixed precision integer). + price_prec : uint8_t + The order price precision. + size_raw : uint64_t + The order raw size (as a scaled fixed precision integer). + size_prec : uint8_t + The order size precision. + order_id : uint64_t + The order ID. + flags : uint8_t + A combination of packet end with matching engine status. + sequence : uint64_t + The unique sequence number for the update. + ts_event : uint64_t + The UNIX timestamp (nanoseconds) when the tick event occurred. + ts_init : uint64_t + The UNIX timestamp (nanoseconds) when the data object was initialized. + + Returns + ------- + OrderBookDelta + + """ + return OrderBookDelta.from_raw_c( + instrument_id, + action, + side, + price_raw, + price_prec, + size_raw, + size_prec, + order_id, + flags, + sequence, + ts_event, + ts_init, + ) + @staticmethod def from_dict(dict values) -> OrderBookDelta: """ @@ -683,7 +900,7 @@ cdef class OrderBookDeltas(Data): cdef dict to_dict_c(OrderBookDeltas obj): Condition.not_none(obj, "obj") return { - "type": "OrderBookDeltas", + "type": obj.__class__.__name__, "instrument_id": obj.instrument_id.to_str(), "deltas": msgspec.json.encode([OrderBookDelta.to_dict_c(d) for d in obj.deltas]), } diff --git a/nautilus_trader/model/data/venue.pxd b/nautilus_trader/model/data/status.pxd similarity index 85% rename from nautilus_trader/model/data/venue.pxd rename to nautilus_trader/model/data/status.pxd index 0f94aa89895a..c83256f2df43 100644 --- a/nautilus_trader/model/data/venue.pxd +++ b/nautilus_trader/model/data/status.pxd @@ -16,6 +16,7 @@ from libc.stdint cimport uint64_t from nautilus_trader.core.data cimport Data +from nautilus_trader.model.enums_c cimport HaltReason from nautilus_trader.model.enums_c cimport InstrumentCloseType from nautilus_trader.model.enums_c cimport MarketStatus from nautilus_trader.model.identifiers cimport InstrumentId @@ -23,11 +24,7 @@ from nautilus_trader.model.identifiers cimport Venue from nautilus_trader.model.objects cimport Price -cdef class StatusUpdate(Data): - pass - - -cdef class VenueStatusUpdate(StatusUpdate): +cdef class VenueStatus(Data): cdef readonly Venue venue """The venue.\n\n:returns: `Venue`""" cdef readonly MarketStatus status @@ -38,27 +35,31 @@ cdef class VenueStatusUpdate(StatusUpdate): """The UNIX timestamp (nanoseconds) when the object was initialized.\n\n:returns: `uint64_t`""" @staticmethod - cdef VenueStatusUpdate from_dict_c(dict values) + cdef VenueStatus from_dict_c(dict values) @staticmethod - cdef dict to_dict_c(VenueStatusUpdate obj) + cdef dict to_dict_c(VenueStatus obj) -cdef class InstrumentStatusUpdate(StatusUpdate): +cdef class InstrumentStatus(Data): cdef readonly InstrumentId instrument_id """The instrument ID.\n\n:returns: `InstrumentId`""" + cdef readonly str trading_session + """The trading session name.\n\n:returns: `str`""" cdef readonly MarketStatus status """The instrument market status.\n\n:returns: `MarketStatus`""" + cdef readonly HaltReason halt_reason + """The halt reason.\n\n:returns: `HaltReason`""" cdef readonly uint64_t ts_event """The UNIX timestamp (nanoseconds) when the data event occurred.\n\n:returns: `uint64_t`""" cdef readonly uint64_t ts_init """The UNIX timestamp (nanoseconds) when the object was initialized.\n\n:returns: `uint64_t`""" @staticmethod - cdef InstrumentStatusUpdate from_dict_c(dict values) + cdef InstrumentStatus from_dict_c(dict values) @staticmethod - cdef dict to_dict_c(InstrumentStatusUpdate obj) + cdef dict to_dict_c(InstrumentStatus obj) cdef class InstrumentClose(Data): diff --git a/nautilus_trader/model/data/venue.pyx b/nautilus_trader/model/data/status.pyx similarity index 76% rename from nautilus_trader/model/data/venue.pyx rename to nautilus_trader/model/data/status.pyx index 7ec7d8dc2d77..931810853d23 100644 --- a/nautilus_trader/model/data/venue.pyx +++ b/nautilus_trader/model/data/status.pyx @@ -17,8 +17,11 @@ from libc.stdint cimport uint64_t from nautilus_trader.core.correctness cimport Condition from nautilus_trader.core.data cimport Data +from nautilus_trader.model.enums_c cimport HaltReason from nautilus_trader.model.enums_c cimport InstrumentCloseType from nautilus_trader.model.enums_c cimport MarketStatus +from nautilus_trader.model.enums_c cimport halt_reason_from_str +from nautilus_trader.model.enums_c cimport halt_reason_to_str from nautilus_trader.model.enums_c cimport instrument_close_type_from_str from nautilus_trader.model.enums_c cimport instrument_close_type_to_str from nautilus_trader.model.enums_c cimport market_status_from_str @@ -28,17 +31,7 @@ from nautilus_trader.model.identifiers cimport Venue from nautilus_trader.model.objects cimport Price -cdef class StatusUpdate(Data): - """ - The base class for all status updates. - - Warnings - -------- - This class should not be used directly, but through a concrete subclass. - """ - - -cdef class VenueStatusUpdate(StatusUpdate): +cdef class VenueStatus(Data): """ Represents an update that indicates a change in a Venue status. @@ -66,11 +59,11 @@ cdef class VenueStatusUpdate(StatusUpdate): self.ts_event = ts_event self.ts_init = ts_init - def __eq__(self, VenueStatusUpdate other) -> bool: - return VenueStatusUpdate.to_dict_c(self) == VenueStatusUpdate.to_dict_c(other) + def __eq__(self, VenueStatus other) -> bool: + return VenueStatus.to_dict_c(self) == VenueStatus.to_dict_c(other) def __hash__(self) -> int: - return hash(frozenset(VenueStatusUpdate.to_dict_c(self))) + return hash(frozenset(VenueStatus.to_dict_c(self))) def __repr__(self) -> str: return ( @@ -80,9 +73,9 @@ cdef class VenueStatusUpdate(StatusUpdate): ) @staticmethod - cdef VenueStatusUpdate from_dict_c(dict values): + cdef VenueStatus from_dict_c(dict values): Condition.not_none(values, "values") - return VenueStatusUpdate( + return VenueStatus( venue=Venue(values["venue"]), status=market_status_from_str(values["status"]), ts_event=values["ts_event"], @@ -90,10 +83,10 @@ cdef class VenueStatusUpdate(StatusUpdate): ) @staticmethod - cdef dict to_dict_c(VenueStatusUpdate obj): + cdef dict to_dict_c(VenueStatus obj): Condition.not_none(obj, "obj") return { - "type": "VenueStatusUpdate", + "type": "VenueStatus", "venue": obj.venue.to_str(), "status": market_status_to_str(obj.status), "ts_event": obj.ts_event, @@ -101,7 +94,7 @@ cdef class VenueStatusUpdate(StatusUpdate): } @staticmethod - def from_dict(dict values) -> VenueStatusUpdate: + def from_dict(dict values) -> VenueStatus: """ Return a venue status update from the given dict values. @@ -112,13 +105,13 @@ cdef class VenueStatusUpdate(StatusUpdate): Returns ------- - VenueStatusUpdate + VenueStatus """ - return VenueStatusUpdate.from_dict_c(values) + return VenueStatus.from_dict_c(values) @staticmethod - def to_dict(VenueStatusUpdate obj): + def to_dict(VenueStatus obj): """ Return a dictionary representation of this object. @@ -127,23 +120,33 @@ cdef class VenueStatusUpdate(StatusUpdate): dict[str, object] """ - return VenueStatusUpdate.to_dict_c(obj) + return VenueStatus.to_dict_c(obj) -cdef class InstrumentStatusUpdate(StatusUpdate): +cdef class InstrumentStatus(Data): """ - Represents an event that indicates a change in an instrument status. + Represents an event that indicates a change in an instrument market status. Parameters ---------- instrument_id : InstrumentId The instrument ID. status : MarketStatus - The instrument market status. + The instrument market session status. ts_event : uint64_t The UNIX timestamp (nanoseconds) when the status update event occurred. ts_init : uint64_t The UNIX timestamp (nanoseconds) when the object was initialized. + trading_session : str, default 'Regular' + The name of the trading session. + halt_reason : HaltReason, default ``NOT_HALTED`` + The halt reason (only applicable for ``HALT`` status). + + Raises + ------ + ValueError + If `status` is not equal to ``HALT`` and `halt_reason` is other than ``NOT_HALTED``. + """ def __init__( @@ -152,48 +155,62 @@ cdef class InstrumentStatusUpdate(StatusUpdate): MarketStatus status, uint64_t ts_event, uint64_t ts_init, + str trading_session = "Regular", + HaltReason halt_reason = HaltReason.NOT_HALTED, ): + if status != MarketStatus.HALT: + Condition.equal(halt_reason, HaltReason.NOT_HALTED, "halt_reason", "NO_HALT") + self.instrument_id = instrument_id + self.trading_session = trading_session self.status = status + self.halt_reason = halt_reason self.ts_event = ts_event self.ts_init = ts_init - def __eq__(self, InstrumentStatusUpdate other) -> bool: - return InstrumentStatusUpdate.to_dict_c(self) == InstrumentStatusUpdate.to_dict_c(other) + def __eq__(self, InstrumentStatus other) -> bool: + return InstrumentStatus.to_dict_c(self) == InstrumentStatus.to_dict_c(other) def __hash__(self) -> int: - return hash(frozenset(InstrumentStatusUpdate.to_dict_c(self))) + return hash(frozenset(InstrumentStatus.to_dict_c(self))) def __repr__(self) -> str: return ( f"{type(self).__name__}(" f"instrument_id={self.instrument_id}, " - f"status={market_status_to_str(self.status)})" + f"trading_session={self.trading_session}, " + f"status={market_status_to_str(self.status)}, " + f"halt_reason={halt_reason_to_str(self.halt_reason)}, " + f"ts_event={self.ts_event})" ) @staticmethod - cdef InstrumentStatusUpdate from_dict_c(dict values): + cdef InstrumentStatus from_dict_c(dict values): Condition.not_none(values, "values") - return InstrumentStatusUpdate( + return InstrumentStatus( instrument_id=InstrumentId.from_str_c(values["instrument_id"]), + trading_session=values.get("trading_session", "Regular"), status=market_status_from_str(values["status"]), + halt_reason=halt_reason_from_str(values.get("halt_reason", "NOT_HALTED")), ts_event=values["ts_event"], ts_init=values["ts_init"], ) @staticmethod - cdef dict to_dict_c(InstrumentStatusUpdate obj): + cdef dict to_dict_c(InstrumentStatus obj): Condition.not_none(obj, "obj") return { - "type": "InstrumentStatusUpdate", + "type": "InstrumentStatus", "instrument_id": obj.instrument_id.to_str(), + "trading_session": obj.trading_session, "status": market_status_to_str(obj.status), + "halt_reason": halt_reason_to_str(obj.halt_reason), "ts_event": obj.ts_event, "ts_init": obj.ts_init, } @staticmethod - def from_dict(dict values) -> InstrumentStatusUpdate: + def from_dict(dict values) -> InstrumentStatus: """ Return an instrument status update from the given dict values. @@ -204,13 +221,13 @@ cdef class InstrumentStatusUpdate(StatusUpdate): Returns ------- - InstrumentStatusUpdate + InstrumentStatus """ - return InstrumentStatusUpdate.from_dict_c(values) + return InstrumentStatus.from_dict_c(values) @staticmethod - def to_dict(InstrumentStatusUpdate obj): + def to_dict(InstrumentStatus obj): """ Return a dictionary representation of this object. @@ -219,7 +236,7 @@ cdef class InstrumentStatusUpdate(StatusUpdate): dict[str, object] """ - return InstrumentStatusUpdate.to_dict_c(obj) + return InstrumentStatus.to_dict_c(obj) cdef class InstrumentClose(Data): diff --git a/nautilus_trader/model/data/tick.pxd b/nautilus_trader/model/data/tick.pxd index 2f81cb4e9261..1b332ac0f92b 100644 --- a/nautilus_trader/model/data/tick.pxd +++ b/nautilus_trader/model/data/tick.pxd @@ -13,11 +13,6 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from cpython.mem cimport PyMem_Free -from cpython.mem cimport PyMem_Malloc -from cpython.pycapsule cimport PyCapsule_Destructor -from cpython.pycapsule cimport PyCapsule_GetPointer -from cpython.pycapsule cimport PyCapsule_New from libc.stdint cimport int64_t from libc.stdint cimport uint8_t from libc.stdint cimport uint64_t @@ -34,12 +29,6 @@ from nautilus_trader.model.objects cimport Price from nautilus_trader.model.objects cimport Quantity -cdef inline void capsule_destructor(object capsule): - cdef CVec* cvec = PyCapsule_GetPointer(capsule, NULL) - PyMem_Free(cvec[0].ptr) # de-allocate buffer - PyMem_Free(cvec) # de-allocate cvec - - cdef class QuoteTick(Data): cdef QuoteTick_t _mem @@ -64,10 +53,10 @@ cdef class QuoteTick(Data): cdef QuoteTick from_mem_c(QuoteTick_t mem) @staticmethod - cdef list capsule_to_quote_tick_list(object capsule) + cdef list capsule_to_list_c(capsule) @staticmethod - cdef object quote_tick_list_to_capsule(list items) + cdef object list_to_capsule_c(list items) @staticmethod cdef QuoteTick from_dict_c(dict values) @@ -101,10 +90,10 @@ cdef class TradeTick(Data): cdef TradeTick from_mem_c(TradeTick_t mem) @staticmethod - cdef list capsule_to_trade_tick_list(object capsule) + cdef list capsule_to_list_c(capsule) @staticmethod - cdef object trade_tick_list_to_capsule(list items) + cdef object list_to_capsule_c(list items) @staticmethod cdef TradeTick from_dict_c(dict values) @@ -114,6 +103,3 @@ cdef class TradeTick(Data): @staticmethod cdef TradeTick from_mem_c(TradeTick_t mem) - - @staticmethod - cdef list capsule_to_trade_tick_list(object capsule) diff --git a/nautilus_trader/model/data/tick.pyx b/nautilus_trader/model/data/tick.pyx index 81e639accf1a..b915d211d08e 100644 --- a/nautilus_trader/model/data/tick.pyx +++ b/nautilus_trader/model/data/tick.pyx @@ -13,9 +13,14 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from nautilus_trader.core.nautilus_pyo3.model import QuoteTick as RustQuoteTick -from nautilus_trader.core.nautilus_pyo3.model import TradeTick as RustTradeTick - +from nautilus_trader.core.nautilus_pyo3 import QuoteTick as RustQuoteTick +from nautilus_trader.core.nautilus_pyo3 import TradeTick as RustTradeTick + +from cpython.mem cimport PyMem_Free +from cpython.mem cimport PyMem_Malloc +from cpython.pycapsule cimport PyCapsule_Destructor +from cpython.pycapsule cimport PyCapsule_GetPointer +from cpython.pycapsule cimport PyCapsule_New from libc.stdint cimport int64_t from libc.stdint cimport uint8_t from libc.stdint cimport uint64_t @@ -23,7 +28,7 @@ from libc.stdint cimport uint64_t from nautilus_trader.core.correctness cimport Condition from nautilus_trader.core.data cimport Data from nautilus_trader.core.rust.core cimport CVec -from nautilus_trader.core.rust.model cimport instrument_id_new_from_cstr +from nautilus_trader.core.rust.model cimport instrument_id_from_cstr from nautilus_trader.core.rust.model cimport quote_tick_eq from nautilus_trader.core.rust.model cimport quote_tick_hash from nautilus_trader.core.rust.model cimport quote_tick_new @@ -37,6 +42,8 @@ from nautilus_trader.core.rust.model cimport trade_tick_to_cstr from nautilus_trader.core.rust.model cimport venue_new from nautilus_trader.core.string cimport cstr_to_pystr from nautilus_trader.core.string cimport pystr_to_cstr +from nautilus_trader.core.string cimport ustr_to_pystr +from nautilus_trader.model.data.base cimport capsule_destructor from nautilus_trader.model.enums_c cimport AggressorSide from nautilus_trader.model.enums_c cimport PriceType from nautilus_trader.model.enums_c cimport aggressor_side_from_str @@ -300,10 +307,10 @@ cdef class QuoteTick(Data): quote_tick._mem = mem return quote_tick - # Safety: Do NOT deallocate the capsule here + # SAFETY: Do NOT deallocate the capsule here # It is supposed to be deallocated by the creator @staticmethod - cdef inline list capsule_to_quote_tick_list(object capsule): + cdef inline list capsule_to_list_c(object capsule): cdef CVec* data = PyCapsule_GetPointer(capsule, NULL) cdef QuoteTick_t* ptr = data.ptr cdef list ticks = [] @@ -315,9 +322,8 @@ cdef class QuoteTick(Data): return ticks @staticmethod - cdef inline quote_tick_list_to_capsule(list items): - - # create a C struct buffer + cdef inline list_to_capsule_c(list items): + # Create a C struct buffer cdef uint64_t len_ = len(items) cdef QuoteTick_t * data = PyMem_Malloc(len_ * sizeof(QuoteTick_t)) cdef uint64_t i @@ -326,22 +332,22 @@ cdef class QuoteTick(Data): if not data: raise MemoryError() - # create CVec + # Create CVec cdef CVec * cvec = PyMem_Malloc(1 * sizeof(CVec)) cvec.ptr = data cvec.len = len_ cvec.cap = len_ - # create PyCapsule + # Create PyCapsule return PyCapsule_New(cvec, NULL, capsule_destructor) @staticmethod def list_from_capsule(capsule) -> list[QuoteTick]: - return QuoteTick.capsule_to_quote_tick_list(capsule) + return QuoteTick.capsule_to_list_c(capsule) @staticmethod - def capsule_from_list(items): - return QuoteTick.quote_tick_list_to_capsule(items) + def capsule_from_list(list items): + return QuoteTick.list_to_capsule_c(items) @staticmethod def from_raw( @@ -750,10 +756,10 @@ cdef class TradeTick(Data): trade_tick._mem = mem return trade_tick - # Safety: Do NOT deallocate the capsule here + # SAFETY: Do NOT deallocate the capsule here # It is supposed to be deallocated by the creator @staticmethod - cdef inline list capsule_to_trade_tick_list(object capsule): + cdef inline list capsule_to_list_c(capsule): cdef CVec* data = PyCapsule_GetPointer(capsule, NULL) cdef TradeTick_t* ptr = data.ptr cdef list ticks = [] @@ -765,7 +771,7 @@ cdef class TradeTick(Data): return ticks @staticmethod - cdef inline trade_tick_list_to_capsule(list items): + cdef inline list_to_capsule_c(list items): # Create a C struct buffer cdef uint64_t len_ = len(items) @@ -787,11 +793,11 @@ cdef class TradeTick(Data): @staticmethod def list_from_capsule(capsule) -> list[TradeTick]: - return TradeTick.capsule_to_trade_tick_list(capsule) + return TradeTick.capsule_to_list_c(capsule) @staticmethod def capsule_from_list(items): - return TradeTick.trade_tick_list_to_capsule(items) + return TradeTick.list_to_capsule_c(items) @staticmethod cdef TradeTick from_dict_c(dict values): diff --git a/nautilus_trader/model/enums.pyx b/nautilus_trader/model/enums.pyx index 2bddb1758ef9..03033890a884 100644 --- a/nautilus_trader/model/enums.pyx +++ b/nautilus_trader/model/enums.pyx @@ -24,6 +24,7 @@ from nautilus_trader.core.rust.model import BookAction from nautilus_trader.core.rust.model import BookType from nautilus_trader.core.rust.model import ContingencyType from nautilus_trader.core.rust.model import CurrencyType +from nautilus_trader.core.rust.model import HaltReason from nautilus_trader.core.rust.model import InstrumentCloseType from nautilus_trader.core.rust.model import LiquiditySide from nautilus_trader.core.rust.model import MarketStatus @@ -59,6 +60,8 @@ from nautilus_trader.model.enums_c import contingency_type_from_str from nautilus_trader.model.enums_c import contingency_type_to_str from nautilus_trader.model.enums_c import currency_type_from_str from nautilus_trader.model.enums_c import currency_type_to_str +from nautilus_trader.model.enums_c import halt_reason_from_str +from nautilus_trader.model.enums_c import halt_reason_to_str from nautilus_trader.model.enums_c import instrument_close_type_from_str from nautilus_trader.model.enums_c import instrument_close_type_to_str from nautilus_trader.model.enums_c import liquidity_side_from_str @@ -100,6 +103,7 @@ __all__ = [ "BookType", "ContingencyType", "CurrencyType", + "HaltReason", "InstrumentCloseType", "LiquiditySide", "MarketStatus", @@ -134,6 +138,8 @@ __all__ = [ "contingency_type_from_str", "currency_type_to_str", "currency_type_from_str", + "halt_reason_to_str", + "halt_reason_from_str", "instrument_close_type_to_str", "instrument_close_type_from_str", "liquidity_side_to_str", diff --git a/nautilus_trader/model/enums_c.pxd b/nautilus_trader/model/enums_c.pxd index 9d4117c81160..e5dba530379a 100644 --- a/nautilus_trader/model/enums_c.pxd +++ b/nautilus_trader/model/enums_c.pxd @@ -22,6 +22,7 @@ from nautilus_trader.core.rust.model cimport BookAction from nautilus_trader.core.rust.model cimport BookType from nautilus_trader.core.rust.model cimport ContingencyType from nautilus_trader.core.rust.model cimport CurrencyType +from nautilus_trader.core.rust.model cimport HaltReason from nautilus_trader.core.rust.model cimport InstrumentCloseType from nautilus_trader.core.rust.model cimport LiquiditySide from nautilus_trader.core.rust.model cimport MarketStatus @@ -78,6 +79,9 @@ cpdef str liquidity_side_to_str(LiquiditySide value) cpdef MarketStatus market_status_from_str(str value) cpdef str market_status_to_str(MarketStatus value) +cpdef HaltReason halt_reason_from_str(str value) +cpdef str halt_reason_to_str(HaltReason value) + cpdef OmsType oms_type_from_str(str value) cpdef str oms_type_to_str(OmsType value) diff --git a/nautilus_trader/model/enums_c.pyx b/nautilus_trader/model/enums_c.pyx index 878d90100832..d4c178408ef6 100644 --- a/nautilus_trader/model/enums_c.pyx +++ b/nautilus_trader/model/enums_c.pyx @@ -58,6 +58,8 @@ from nautilus_trader.core.rust.model cimport contingency_type_from_cstr from nautilus_trader.core.rust.model cimport contingency_type_to_cstr from nautilus_trader.core.rust.model cimport currency_type_from_cstr from nautilus_trader.core.rust.model cimport currency_type_to_cstr +from nautilus_trader.core.rust.model cimport halt_reason_from_cstr +from nautilus_trader.core.rust.model cimport halt_reason_to_cstr from nautilus_trader.core.rust.model cimport instrument_close_type_from_cstr from nautilus_trader.core.rust.model cimport instrument_close_type_to_cstr from nautilus_trader.core.rust.model cimport liquidity_side_from_cstr @@ -195,6 +197,14 @@ cpdef str market_status_to_str(MarketStatus value): return cstr_to_pystr(market_status_to_cstr(value)) +cpdef HaltReason halt_reason_from_str(str value): + return halt_reason_from_cstr(pystr_to_cstr(value)) + + +cpdef str halt_reason_to_str(HaltReason value): + return cstr_to_pystr(halt_reason_to_cstr(value)) + + cpdef OmsType oms_type_from_str(str value): return oms_type_from_cstr(pystr_to_cstr(value)) diff --git a/nautilus_trader/model/identifiers.pyx b/nautilus_trader/model/identifiers.pyx index d82b8d165bad..b0dea65cd8b0 100644 --- a/nautilus_trader/model/identifiers.pyx +++ b/nautilus_trader/model/identifiers.pyx @@ -26,10 +26,11 @@ from nautilus_trader.core.rust.model cimport component_id_hash from nautilus_trader.core.rust.model cimport component_id_new from nautilus_trader.core.rust.model cimport exec_algorithm_id_hash from nautilus_trader.core.rust.model cimport exec_algorithm_id_new +from nautilus_trader.core.rust.model cimport instrument_id_check_parsing +from nautilus_trader.core.rust.model cimport instrument_id_from_cstr from nautilus_trader.core.rust.model cimport instrument_id_hash from nautilus_trader.core.rust.model cimport instrument_id_is_synthetic from nautilus_trader.core.rust.model cimport instrument_id_new -from nautilus_trader.core.rust.model cimport instrument_id_new_from_cstr from nautilus_trader.core.rust.model cimport instrument_id_to_cstr from nautilus_trader.core.rust.model cimport interned_string_stats from nautilus_trader.core.rust.model cimport order_list_id_hash @@ -252,7 +253,7 @@ cdef class InstrumentId(Identifier): return self.to_str() def __setstate__(self, state): - self._mem = instrument_id_new_from_cstr( + self._mem = instrument_id_from_cstr( pystr_to_cstr(state), ) @@ -272,8 +273,14 @@ cdef class InstrumentId(Identifier): @staticmethod cdef InstrumentId from_str_c(str value): + Condition.valid_string(value, "value") + + cdef str parse_err = cstr_to_pystr(instrument_id_check_parsing(pystr_to_cstr(value))) + if parse_err: + raise ValueError(parse_err) + cdef InstrumentId instrument_id = InstrumentId.__new__(InstrumentId) - instrument_id._mem = instrument_id_new_from_cstr(pystr_to_cstr(value)) + instrument_id._mem = instrument_id_from_cstr(pystr_to_cstr(value)) return instrument_id cdef str to_str(self): diff --git a/nautilus_trader/model/instruments/base.pxd b/nautilus_trader/model/instruments/base.pxd index 7dcc87443674..e303d4f41fa5 100644 --- a/nautilus_trader/model/instruments/base.pxd +++ b/nautilus_trader/model/instruments/base.pxd @@ -71,9 +71,9 @@ cdef class Instrument(Data): cdef readonly object margin_maint """The maintenance (position) margin rate for the instrument.\n\n:returns: `Decimal`""" cdef readonly object maker_fee - """The maker fee rate for the instrument.\n\n:returns: `Decimal`""" + """The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).\n\n:returns: `Decimal`""" cdef readonly object taker_fee - """The taker fee rate for the instrument.\n\n:returns: `Decimal`""" + """The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).\n\n:returns: `Decimal`""" cdef readonly str tick_scheme_name """The tick scheme name.\n\n:returns: `str` or ``None``""" cdef readonly dict info diff --git a/nautilus_trader/model/instruments/base.pyx b/nautilus_trader/model/instruments/base.pyx index e808c26daa9b..57ffb36ad7c8 100644 --- a/nautilus_trader/model/instruments/base.pyx +++ b/nautilus_trader/model/instruments/base.pyx @@ -71,9 +71,9 @@ cdef class Instrument(Data): margin_maint : Decimal The maintenance (position) margin in percentage of position value. maker_fee : Decimal - The fee rate for liquidity makers as a percentage of order value. + The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%). taker_fee : Decimal - The fee rate for liquidity takers as a percentage of order value. + The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%). ts_event : uint64_t The UNIX timestamp (nanoseconds) when the data event occurred. ts_init : uint64_t diff --git a/nautilus_trader/model/instruments/betting.pyx b/nautilus_trader/model/instruments/betting.pyx index 22c76f6be788..84a80b94caa1 100644 --- a/nautilus_trader/model/instruments/betting.pyx +++ b/nautilus_trader/model/instruments/betting.pyx @@ -115,7 +115,7 @@ cdef class BettingInstrument(Instrument): max_quantity=None, # Can be None min_quantity=None, # Can be None max_notional=None, # Can be None - min_notional=Money(5, Currency.from_str_c(currency)), + min_notional=Money(1, Currency.from_str_c(currency)), max_price=None, # Can be None min_price=None, # Can be None margin_init=Decimal(1), @@ -199,8 +199,7 @@ cdef class BettingInstrument(Instrument): cpdef Money notional_value(self, Quantity quantity, Price price, bint use_quote_for_inverse=False): Condition.not_none(quantity, "quantity") - cdef double bet_price = 1.0 / price.as_f64_c() - return Money(quantity.as_f64_c() * float(self.multiplier) * bet_price, self.quote_currency) + return Money(quantity.as_f64_c() * float(self.multiplier), self.quote_currency) def make_symbol( @@ -212,14 +211,14 @@ def make_symbol( Make symbol. >>> make_symbol(market_id="1.201070830", selection_id="123456", selection_handicap=None) - Symbol('1.201070830|123456|None') + Symbol('1.201070830-123456-None') """ def _clean(s): return str(s).replace(" ", "").replace(":", "") - value: str = "|".join( + value: str = "-".join( [_clean(k) for k in (market_id, selection_id, selection_handicap)], ) assert len(value) <= 32, f"Symbol too long ({len(value)}): '{value}'" diff --git a/nautilus_trader/model/objects.pxd b/nautilus_trader/model/objects.pxd index 828fa6c4af30..481698f3ba40 100644 --- a/nautilus_trader/model/objects.pxd +++ b/nautilus_trader/model/objects.pxd @@ -137,8 +137,6 @@ cdef class Money: @staticmethod cdef Money from_str_c(str value) - cpdef str to_str(self) - @staticmethod cdef object _extract_decimal(object obj) @@ -147,6 +145,7 @@ cdef class Money: cdef void add_assign(self, Money other) cdef void sub_assign(self, Money other) + cpdef str to_str(self) cpdef object as_decimal(self) cpdef double as_double(self) diff --git a/nautilus_trader/model/objects.pyx b/nautilus_trader/model/objects.pyx index a4886ec3762b..7d1393d5e1f7 100644 --- a/nautilus_trader/model/objects.pyx +++ b/nautilus_trader/model/objects.pyx @@ -33,6 +33,7 @@ from libc.stdint cimport uint64_t from nautilus_trader.core.correctness cimport Condition from nautilus_trader.core.rust.core cimport precision_from_cstr +from nautilus_trader.core.rust.model cimport FIXED_PRECISION as RUST_FIXED_PRECISION from nautilus_trader.core.rust.model cimport FIXED_SCALAR as RUST_FIXED_SCALAR from nautilus_trader.core.rust.model cimport MONEY_MAX as RUST_MONEY_MAX from nautilus_trader.core.rust.model cimport MONEY_MIN as RUST_MONEY_MIN @@ -62,6 +63,7 @@ PRICE_MIN = RUST_PRICE_MIN MONEY_MAX = RUST_MONEY_MAX MONEY_MIN = RUST_MONEY_MIN +FIXED_PRECISION = RUST_FIXED_PRECISION FIXED_SCALAR = RUST_FIXED_SCALAR @@ -385,6 +387,40 @@ cdef class Quantity: """ return Quantity.zero_c(precision) + @staticmethod + def from_raw(int64_t raw, uint8_t precision) -> Quantity: + """ + Return a quantity from the given `raw` fixed precision integer and `precision`. + + Handles up to 9 decimals of precision. + + Parameters + ---------- + raw : int64_t + The raw fixed precision quantity value. + precision : uint8_t + The precision for the quantity. Use a precision of 0 for whole numbers + (no fractional units). + + Returns + ------- + Quantity + + Raises + ------ + ValueError + If `precision` is greater than 9. + OverflowError + If `precision` is negative (< 0). + + Warnings + -------- + Small `raw` values can produce a zero quantity depending on the `precision`. + + """ + Condition.true(precision <= 9, f"invalid `precision` greater than max 9, was {precision}") + return Quantity.from_raw_c(raw, precision) + @staticmethod def from_str(str value) -> Quantity: """ @@ -660,6 +696,52 @@ cdef class Price: """ return self._mem.precision + @staticmethod + cdef Price from_mem_c(Price_t mem): + cdef Price price = Price.__new__(Price) + price._mem = mem + return price + + @staticmethod + cdef Price from_raw_c(int64_t raw, uint8_t precision): + cdef Price price = Price.__new__(Price) + price._mem = price_from_raw(raw, precision) + return price + + @staticmethod + cdef object _extract_decimal(object obj): + assert not isinstance(obj, float) # Design-time error + if hasattr(obj, "as_decimal"): + return obj.as_decimal() + else: + return decimal.Decimal(obj) + + @staticmethod + cdef bint _compare(a, b, int op): + if isinstance(a, Quantity): + a = a.as_decimal() + elif isinstance(a, Price): + a = a.as_decimal() + + if isinstance(b, Quantity): + b = b.as_decimal() + elif isinstance(b, Price): + b = b.as_decimal() + + return PyObject_RichCompareBool(a, b, op) + + @staticmethod + cdef double raw_to_f64_c(uint64_t raw): + return raw / RUST_FIXED_SCALAR + + @staticmethod + cdef Price from_str_c(str value): + return Price(float(value), precision=precision_from_cstr(pystr_to_cstr(value))) + + @staticmethod + cdef Price from_int_c(int value): + return Price(value, precision=0) + cdef bint eq(self, Price other): return self._mem.raw == other._mem.raw @@ -699,22 +781,6 @@ cdef class Price: cdef void sub_assign(self, Price other): self._mem.raw -= other._mem.raw - @staticmethod - cdef Price from_mem_c(Price_t mem): - cdef Price price = Price.__new__(Price) - price._mem = mem - return price - - @staticmethod - def from_raw(int64_t raw, uint8_t precision): - return Price.from_raw_c(raw, precision) - - @staticmethod - cdef Price from_raw_c(int64_t raw, uint8_t precision): - cdef Price price = Price.__new__(Price) - price._mem = price_from_raw(raw, precision) - return price - cdef int64_t raw_int64_c(self): return self._mem.raw @@ -722,42 +788,38 @@ cdef class Price: return self._mem.raw / RUST_FIXED_SCALAR @staticmethod - cdef object _extract_decimal(object obj): - assert not isinstance(obj, float) # Design-time error - if hasattr(obj, "as_decimal"): - return obj.as_decimal() - else: - return decimal.Decimal(obj) - - @staticmethod - cdef bint _compare(a, b, int op): - if isinstance(a, Quantity): - a = a.as_decimal() - elif isinstance(a, Price): - a = a.as_decimal() + def from_raw(int64_t raw, uint8_t precision) -> Price: + """ + Return a price from the given `raw` fixed precision integer and `precision`. - if isinstance(b, Quantity): - b = b.as_decimal() - elif isinstance(b, Price): - b = b.as_decimal() + Handles up to 9 decimals of precision. - return PyObject_RichCompareBool(a, b, op) + Parameters + ---------- + raw : int64_t + The raw fixed precision price value. + precision : uint8_t + The precision for the price. Use a precision of 0 for whole numbers + (no fractional units). - @staticmethod - cdef double raw_to_f64_c(uint64_t raw): - return raw / RUST_FIXED_SCALAR + Returns + ------- + Price - @staticmethod - def raw_to_f64(raw) -> float: - return Price.raw_to_f64_c(raw) + Raises + ------ + ValueError + If `precision` is greater than 9. + OverflowError + If `precision` is negative (< 0). - @staticmethod - cdef Price from_str_c(str value): - return Price(float(value), precision=precision_from_cstr(pystr_to_cstr(value))) + Warnings + -------- + Small `raw` values can produce a zero price depending on the `precision`. - @staticmethod - cdef Price from_int_c(int value): - return Price(value, precision=0) + """ + Condition.true(precision <= 9, f"invalid `precision` greater than max 9, was {precision}") + return Price.from_raw_c(raw, precision) @staticmethod def from_str(str value) -> Price: @@ -1004,8 +1066,43 @@ cdef class Money: @property def currency(self) -> Currency: + """ + Return the currency for the money. + + Returns + ------- + Currency + + """ return Currency.from_str_c(self.currency_code_c()) + @staticmethod + cdef double raw_to_f64_c(uint64_t raw): + return raw / RUST_FIXED_SCALAR + + @staticmethod + cdef Money from_raw_c(uint64_t raw, Currency currency): + cdef Money money = Money.__new__(Money) + money._mem = money_from_raw(raw, currency._mem) + return money + + @staticmethod + cdef object _extract_decimal(object obj): + assert not isinstance(obj, float) # Design-time error + if hasattr(obj, "as_decimal"): + return obj.as_decimal() + else: + return decimal.Decimal(obj) + + @staticmethod + cdef Money from_str_c(str value): + cdef list pieces = value.split(' ', maxsplit=1) + + if len(pieces) != 2: + raise ValueError(f"The `Money` string value was malformed, was {value}") + + return Money(pieces[0], Currency.from_str_c(pieces[1])) + cdef str currency_code_c(self): return cstr_to_pystr(currency_code_to_cstr(&self._mem.currency)) @@ -1041,35 +1138,28 @@ cdef class Money: return self._mem.raw / RUST_FIXED_SCALAR @staticmethod - cdef double raw_to_f64_c(uint64_t raw): - return raw / RUST_FIXED_SCALAR - - @staticmethod - def from_raw(uint64_t raw, uint8_t precision): - return Money.from_raw_c(raw, precision) - - @staticmethod - cdef Money from_raw_c(uint64_t raw, Currency currency): - cdef Money money = Money.__new__(Money) - money._mem = money_from_raw(raw, currency._mem) - return money + def from_raw(int64_t raw, Currency currency) -> Money: + """ + Return money from the given `raw` fixed precision integer and `currency`. - @staticmethod - cdef object _extract_decimal(object obj): - assert not isinstance(obj, float) # Design-time error - if hasattr(obj, "as_decimal"): - return obj.as_decimal() - else: - return decimal.Decimal(obj) + Parameters + ---------- + raw : int64_t + The raw fixed precision money amount. + currency : Currency + The currency of the money. - @staticmethod - cdef Money from_str_c(str value): - cdef list pieces = value.split(' ', maxsplit=1) + Returns + ------- + Money - if len(pieces) != 2: - raise ValueError(f"The `Money` string value was malformed, was {value}") + Warnings + -------- + Small `raw` values can produce a zero money amount depending on the precision of the currency. - return Money(pieces[0], Currency.from_str_c(pieces[1])) + """ + Condition.not_none(currency, "currency") + return Money.from_raw_c(raw, currency) @staticmethod def from_str(str value) -> Money: diff --git a/nautilus_trader/model/orderbook/book.pxd b/nautilus_trader/model/orderbook/book.pxd index c983b49575fe..930ba2914ca9 100644 --- a/nautilus_trader/model/orderbook/book.pxd +++ b/nautilus_trader/model/orderbook/book.pxd @@ -54,6 +54,7 @@ cdef class OrderBook(Data): cpdef spread(self) cpdef midpoint(self) cpdef double get_avg_px_for_quantity(self, Quantity quantity, OrderSide order_side) + cpdef double get_quantity_for_price(self, Price price, OrderSide order_side) cpdef list simulate_fills(self, Order order, uint8_t price_prec, bint is_aggressive) cpdef void update_quote_tick(self, QuoteTick tick) cpdef void update_trade_tick(self, TradeTick tick) @@ -64,7 +65,7 @@ cdef class Level: cdef Level_API _mem cpdef list orders(self) - cpdef double volume(self) + cpdef double size(self) cpdef double exposure(self) @staticmethod diff --git a/nautilus_trader/model/orderbook/book.pyx b/nautilus_trader/model/orderbook/book.pyx index 3170375900bb..1ee73e5d730a 100644 --- a/nautilus_trader/model/orderbook/book.pyx +++ b/nautilus_trader/model/orderbook/book.pyx @@ -38,7 +38,7 @@ from nautilus_trader.core.rust.model cimport level_drop from nautilus_trader.core.rust.model cimport level_exposure from nautilus_trader.core.rust.model cimport level_orders from nautilus_trader.core.rust.model cimport level_price -from nautilus_trader.core.rust.model cimport level_volume +from nautilus_trader.core.rust.model cimport level_size from nautilus_trader.core.rust.model cimport orderbook_add from nautilus_trader.core.rust.model cimport orderbook_apply_delta from nautilus_trader.core.rust.model cimport orderbook_asks @@ -55,6 +55,7 @@ from nautilus_trader.core.rust.model cimport orderbook_clear_bids from nautilus_trader.core.rust.model cimport orderbook_count from nautilus_trader.core.rust.model cimport orderbook_delete from nautilus_trader.core.rust.model cimport orderbook_get_avg_px_for_quantity +from nautilus_trader.core.rust.model cimport orderbook_get_quantity_for_price from nautilus_trader.core.rust.model cimport orderbook_has_ask from nautilus_trader.core.rust.model cimport orderbook_has_bid from nautilus_trader.core.rust.model cimport orderbook_instrument_id @@ -117,6 +118,8 @@ cdef class OrderBook(Data): return ( self.instrument_id.value, self.book_type.value, + self.ts_last, + self.sequence, pickle.dumps(orders), ) @@ -126,12 +129,13 @@ cdef class OrderBook(Data): instrument_id._mem, state[1], ) - - cdef list orders = pickle.loads(state[2]) + cdef int64_t ts_last = state[2] + cdef int64_t sequence = state[3] + cdef list orders = pickle.loads(state[4]) cdef int64_t i for i in range(len(orders)): - self.add(orders[i], 0, 0) + self.add(orders[i], ts_last, sequence) @property def instrument_id(self) -> InstrumentId: @@ -516,6 +520,33 @@ cdef class OrderBook(Data): return orderbook_get_avg_px_for_quantity(&self._mem, quantity._mem, order_side) + cpdef double get_quantity_for_price(self, Price price, OrderSide order_side): + """ + Return the current total quantity for the given `price` based on the current state + of the order book. + + Parameters + ---------- + price : Price + The quantity for the calculation. + order_side : OrderSide + The order side for the calculation. + + Returns + ------- + double + + Raises + ------ + ValueError + If `order_side` is equal to ``NO_ORDER_SIDE`` + + """ + Condition.not_none(price, "price") + Condition.not_equal(order_side, OrderSide.NO_ORDER_SIDE, "order_side", "NO_ORDER_SIDE") + + return orderbook_get_quantity_for_price(&self._mem, price._mem, order_side) + cpdef list simulate_fills(self, Order order, uint8_t price_prec, bint is_aggressive): """ Simulate filling the book with the given order. @@ -590,12 +621,12 @@ cdef class OrderBook(Data): cpdef str pprint(self, int num_levels=3): """ - Print the order book in a clear format. + Return a string representation of the order book in a human-readable table format. Parameters ---------- num_levels : int - The number of levels to print. + The number of levels to include. Returns ------- @@ -687,16 +718,16 @@ cdef class Level: return book_orders - cpdef double volume(self): + cpdef double size(self): """ - Return the volume at this level. + Return the size at this level. Returns ------- double """ - return level_volume(&self._mem) + return level_size(&self._mem) cpdef double exposure(self): """ diff --git a/nautilus_trader/model/orders/limit_if_touched.pyx b/nautilus_trader/model/orders/limit_if_touched.pyx index cdcc0ee0a382..455dce421a38 100644 --- a/nautilus_trader/model/orders/limit_if_touched.pyx +++ b/nautilus_trader/model/orders/limit_if_touched.pyx @@ -390,6 +390,7 @@ cdef class LimitIfTouchedOrder(Order): linked_order_ids=init.linked_order_ids, parent_order_id=init.parent_order_id, exec_algorithm_id=init.exec_algorithm_id, + exec_algorithm_params=init.exec_algorithm_params, exec_spawn_id=init.exec_spawn_id, tags=init.tags, ) diff --git a/nautilus_trader/persistence/catalog/base.py b/nautilus_trader/persistence/catalog/base.py index 30ddec9a767b..4c246fb4bc9c 100644 --- a/nautilus_trader/persistence/catalog/base.py +++ b/nautilus_trader/persistence/catalog/base.py @@ -13,23 +13,26 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +from __future__ import annotations + from abc import ABC from abc import ABCMeta from abc import abstractmethod -from typing import Optional +from typing import Any +from nautilus_trader.core.data import Data from nautilus_trader.model.data import Bar from nautilus_trader.model.data import DataType from nautilus_trader.model.data import GenericData from nautilus_trader.model.data import InstrumentClose -from nautilus_trader.model.data import InstrumentStatusUpdate +from nautilus_trader.model.data import InstrumentStatus from nautilus_trader.model.data import OrderBookDelta from nautilus_trader.model.data import QuoteTick from nautilus_trader.model.data import Ticker from nautilus_trader.model.data import TradeTick from nautilus_trader.model.instruments import Instrument -from nautilus_trader.persistence.external.util import Singleton -from nautilus_trader.serialization.arrow.util import GENERIC_DATA_PREFIX +from nautilus_trader.persistence.catalog.singleton import Singleton +from nautilus_trader.persistence.funcs import GENERIC_DATA_PREFIX class _CombinedMeta(Singleton, ABCMeta): @@ -51,24 +54,26 @@ def from_uri(cls, uri): # -- QUERIES ----------------------------------------------------------------------------------- + @abstractmethod def query( self, - cls: type, - instrument_ids: Optional[list[str]] = None, - **kwargs, - ): + data_cls: type, + instrument_ids: list[str] | None = None, + bar_types: list[str] | None = None, + **kwargs: Any, + ) -> list[Data]: raise NotImplementedError def _query_subclasses( self, base_cls: type, - instrument_ids: Optional[list[str]] = None, - **kwargs, - ): + instrument_ids: list[str] | None = None, + **kwargs: Any, + ) -> list[Data]: objects = [] for cls in base_cls.__subclasses__(): try: - objs = self.query(cls=cls, instrument_ids=instrument_ids, **kwargs) + objs = self.query(data_cls=cls, instrument_ids=instrument_ids, **kwargs) objects.extend(objs) except AssertionError: continue @@ -76,10 +81,10 @@ def _query_subclasses( def instruments( self, - instrument_type: Optional[type] = None, - instrument_ids: Optional[list[str]] = None, - **kwargs, - ): + instrument_type: type | None = None, + instrument_ids: list[str] | None = None, + **kwargs: Any, + ) -> list[Instrument]: if instrument_type is not None: assert isinstance(instrument_type, type) base_cls = instrument_type @@ -95,89 +100,61 @@ def instruments( def instrument_status_updates( self, - instrument_ids: Optional[list[str]] = None, - **kwargs, - ): - return self.query( - cls=InstrumentStatusUpdate, - instrument_ids=instrument_ids, - **kwargs, - ) + instrument_ids: list[str] | None = None, + **kwargs: Any, + ) -> list[InstrumentStatus]: + return self.query(data_cls=InstrumentStatus, instrument_ids=instrument_ids, **kwargs) def instrument_closes( self, - instrument_ids: Optional[list[str]] = None, - **kwargs, - ): - return self.query( - cls=InstrumentClose, - instrument_ids=instrument_ids, - **kwargs, - ) + instrument_ids: list[str] | None = None, + **kwargs: Any, + ) -> list[InstrumentClose]: + return self.query(data_cls=InstrumentClose, instrument_ids=instrument_ids, **kwargs) def trade_ticks( self, - instrument_ids: Optional[list[str]] = None, - **kwargs, - ): - return self.query( - cls=TradeTick, - instrument_ids=instrument_ids, - **kwargs, - ) + instrument_ids: list[str] | None = None, + **kwargs: Any, + ) -> list[TradeTick]: + return self.query(data_cls=TradeTick, instrument_ids=instrument_ids, **kwargs) def quote_ticks( self, - instrument_ids: Optional[list[str]] = None, - **kwargs, - ): - return self.query( - cls=QuoteTick, - instrument_ids=instrument_ids, - **kwargs, - ) + instrument_ids: list[str] | None = None, + **kwargs: Any, + ) -> list[QuoteTick]: + return self.query(data_cls=QuoteTick, instrument_ids=instrument_ids, **kwargs) def tickers( self, - instrument_ids: Optional[list[str]] = None, - **kwargs, - ): - return self._query_subclasses( - base_cls=Ticker, - instrument_ids=instrument_ids, - **kwargs, - ) + instrument_ids: list[str] | None = None, + **kwargs: Any, + ) -> list[Ticker]: + return self._query_subclasses(base_cls=Ticker, instrument_ids=instrument_ids, **kwargs) def bars( self, - instrument_ids: Optional[list[str]] = None, - **kwargs, - ): - return self.query( - cls=Bar, - instrument_ids=instrument_ids, - **kwargs, - ) + bar_types: list[str] | None = None, + **kwargs: Any, + ) -> list[Bar]: + return self.query(data_cls=Bar, bar_types=bar_types, **kwargs) def order_book_deltas( self, - instrument_ids: Optional[list[str]] = None, - **kwargs, - ): - return self.query( - cls=OrderBookDelta, - instrument_ids=instrument_ids, - **kwargs, - ) + instrument_ids: list[str] | None = None, + **kwargs: Any, + ) -> list[OrderBookDelta]: + return self.query(data_cls=OrderBookDelta, instrument_ids=instrument_ids, **kwargs) def generic_data( self, cls: type, as_nautilus: bool = False, - metadata: Optional[dict] = None, - **kwargs, - ): - data = self.query(cls=cls, **kwargs) + metadata: dict | None = None, + **kwargs: Any, + ) -> list[GenericData]: + data = self.query(data_cls=cls, **kwargs) if as_nautilus: if data is None: return [] @@ -185,10 +162,10 @@ def generic_data( return data @abstractmethod - def list_data_types(self): + def list_data_types(self) -> list[str]: raise NotImplementedError - def list_generic_data_types(self): + def list_generic_data_types(self) -> list[str]: data_types = self.list_data_types() return [ n.replace(GENERIC_DATA_PREFIX, "") @@ -197,7 +174,7 @@ def list_generic_data_types(self): ] @abstractmethod - def list_backtests(self) -> list[str]: + def list_backtest_runs(self) -> list[str]: raise NotImplementedError @abstractmethod @@ -205,9 +182,9 @@ def list_live_runs(self) -> list[str]: raise NotImplementedError @abstractmethod - def read_live_run(self, live_run_id: str, **kwargs): + def read_live_run(self, instance_id: str, **kwargs: Any) -> list[str]: raise NotImplementedError @abstractmethod - def read_backtest(self, backtest_run_id: str, **kwargs): + def read_backtest(self, instance_id: str, **kwargs: Any) -> list[str]: raise NotImplementedError diff --git a/nautilus_trader/persistence/catalog/parquet.py b/nautilus_trader/persistence/catalog/parquet.py index 272efc11eb27..eb50e8bf981a 100644 --- a/nautilus_trader/persistence/catalog/parquet.py +++ b/nautilus_trader/persistence/catalog/parquet.py @@ -13,96 +13,173 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -import heapq -import itertools +from __future__ import annotations + import os import pathlib import platform -import sys +from collections import defaultdict +from collections.abc import Generator +from itertools import groupby +from os import PathLike from pathlib import Path -from typing import Callable, Optional, Union +from typing import Any, Callable, NamedTuple, Union import fsspec -import numpy as np import pandas as pd import pyarrow as pa -import pyarrow.dataset as ds +import pyarrow.dataset as pds import pyarrow.parquet as pq from fsspec.implementations.local import make_path_posix from fsspec.implementations.memory import MemoryFileSystem from fsspec.utils import infer_storage_options from pyarrow import ArrowInvalid +from nautilus_trader.core.correctness import PyCondition +from nautilus_trader.core.data import Data from nautilus_trader.core.datetime import dt_to_unix_nanos from nautilus_trader.core.inspect import is_nautilus_class +from nautilus_trader.core.message import Event +from nautilus_trader.core.nautilus_pyo3 import DataBackendSession +from nautilus_trader.core.nautilus_pyo3 import NautilusDataType from nautilus_trader.model.data import Bar -from nautilus_trader.model.data import BarSpecification from nautilus_trader.model.data import DataType from nautilus_trader.model.data import GenericData from nautilus_trader.model.data import QuoteTick from nautilus_trader.model.data import TradeTick -from nautilus_trader.model.objects import FIXED_SCALAR +from nautilus_trader.model.data.base import capsule_to_list +from nautilus_trader.model.data.book import OrderBookDelta +from nautilus_trader.model.data.book import OrderBookDeltas +from nautilus_trader.model.instruments import Instrument from nautilus_trader.persistence.catalog.base import BaseDataCatalog -from nautilus_trader.persistence.external.metadata import load_mappings -from nautilus_trader.persistence.external.util import is_filename_in_time_range -from nautilus_trader.persistence.streaming.batching import generate_batches_rust -from nautilus_trader.serialization.arrow.serializer import ParquetSerializer +from nautilus_trader.persistence.funcs import class_to_filename +from nautilus_trader.persistence.funcs import combine_filters +from nautilus_trader.persistence.funcs import urisafe_instrument_id +from nautilus_trader.serialization.arrow.serializer import ArrowSerializer from nautilus_trader.serialization.arrow.serializer import list_schemas -from nautilus_trader.serialization.arrow.util import camel_to_snake_case -from nautilus_trader.serialization.arrow.util import class_to_filename -from nautilus_trader.serialization.arrow.util import clean_key -from nautilus_trader.serialization.arrow.util import dict_of_lists_to_list_of_dicts + + +TimestampLike = Union[int, str, float] + + +class FeatherFile(NamedTuple): + path: str + class_name: str + + +_NAUTILUS_PATH = "NAUTILUS_PATH" +_DEFAULT_FS_PROTOCOL = "file" class ParquetDataCatalog(BaseDataCatalog): """ - Provides a queryable data catalog persisted to files in parquet format. + Provides a queryable data catalog persisted to files in Parquet (Arrow) format. Parameters ---------- - path : str + path : PathLike[str] | str The root path for this data catalog. Must exist and must be an absolute path. fs_protocol : str, default 'file' - The fsspec filesystem protocol to use. + The filesystem protocol used by `fsspec` to handle file operations. + This determines how the data catalog interacts with storage, be it local filesystem, + cloud storage, or others. Common protocols include 'file' for local storage, + 's3' for Amazon S3, and 'gcs' for Google Cloud Storage. If not provided, it defaults to 'file', + meaning the catalog operates on the local filesystem. fs_storage_options : dict, optional The fs storage options. + min_rows_per_group : int, default 0 + The minimum number of rows per group. When the value is greater than 0, + the dataset writer will batch incoming data and only write the row + groups to the disk when sufficient rows have accumulated. + max_rows_per_group : int, default 5000 + The maximum number of rows per group. If the value is greater than 0, + then the dataset writer may split up large incoming batches into + multiple row groups. If this value is set, then min_rows_per_group + should also be set. Otherwise it could end up with very small row + groups. + show_query_paths : bool, default False + If globed query paths should be printed to stdout. Warnings -------- - The catalog is not threadsafe. + The data catalog is not threadsafe. Using it in a multithreaded environment can lead to + unexpected behavior. + + Notes + ----- + For more details about `fsspec` and its filesystem protocols, see + https://filesystem-spec.readthedocs.io/en/latest/. """ def __init__( self, - path: str, - fs_protocol: Optional[str] = "file", - fs_storage_options: Optional[dict] = None, - ): - self.fs_protocol = fs_protocol + path: PathLike[str] | str, + fs_protocol: str | None = _DEFAULT_FS_PROTOCOL, + fs_storage_options: dict | None = None, + dataset_kwargs: dict | None = None, + min_rows_per_group: int = 0, + max_rows_per_group: int = 5000, + show_query_paths: bool = False, + ) -> None: + self.fs_protocol: str = fs_protocol or _DEFAULT_FS_PROTOCOL self.fs_storage_options = fs_storage_options or {} self.fs: fsspec.AbstractFileSystem = fsspec.filesystem( self.fs_protocol, **self.fs_storage_options, ) + self.serializer = ArrowSerializer() + self.dataset_kwargs = dataset_kwargs or {} + self.min_rows_per_group = min_rows_per_group + self.max_rows_per_group = max_rows_per_group + self.show_query_paths = show_query_paths - path = make_path_posix(str(path)) + final_path = str(make_path_posix(str(path))) if ( isinstance(self.fs, MemoryFileSystem) and platform.system() == "Windows" - and not path.startswith("/") + and not final_path.startswith("/") ): - path = "/" + path + final_path = "/" + final_path - self.path = str(path) + self.path = str(final_path) @classmethod - def from_env(cls): - return cls.from_uri(os.environ["NAUTILUS_PATH"] + "/catalog") + def from_env(cls) -> ParquetDataCatalog: + """ + Create a data catalog instance by accessing the 'NAUTILUS_PATH' environment + variable. + + Returns + ------- + ParquetDataCatalog + + Raises + ------ + OSError + If the 'NAUTILUS_PATH' environment variable is not set. + + """ + if _NAUTILUS_PATH not in os.environ: + raise OSError(f"'{_NAUTILUS_PATH}' environment variable is not set.") + return cls.from_uri(os.environ[_NAUTILUS_PATH] + "/catalog") @classmethod - def from_uri(cls, uri): + def from_uri(cls, uri: str) -> ParquetDataCatalog: + """ + Create a data catalog instance from the given `uri`. + + Parameters + ---------- + uri : str + The URI string for the backing path. + + Returns + ------- + ParquetDataCatalog + + """ if "://" not in uri: # Assume a local path uri = "file://" + uri @@ -112,279 +189,385 @@ def from_uri(cls, uri): storage_options = parsed.copy() return cls(path=path, fs_protocol=protocol, fs_storage_options=storage_options) - # -- QUERIES ----------------------------------------------------------------------------------- - - def query(self, cls, filter_expr=None, instrument_ids=None, as_nautilus=False, **kwargs): - if not is_nautilus_class(cls): - # Special handling for generic data - return self.generic_data( - cls=cls, - filter_expr=filter_expr, - instrument_ids=instrument_ids, - as_nautilus=as_nautilus, - **kwargs, - ) - else: - return self._query( - cls=cls, - filter_expr=filter_expr, - instrument_ids=instrument_ids, - as_nautilus=as_nautilus, - **kwargs, - ) - - def _query( # noqa (too complex) - self, - cls: type, - instrument_ids: Optional[list[str]] = None, - filter_expr: Optional[Callable] = None, - start: Optional[Union[pd.Timestamp, str, int]] = None, - end: Optional[Union[pd.Timestamp, str, int]] = None, - ts_column: str = "ts_init", - raise_on_empty: bool = True, - instrument_id_column="instrument_id", - table_kwargs: Optional[dict] = None, - clean_instrument_keys: bool = True, - as_dataframe: bool = True, - projections: Optional[dict] = None, - **kwargs, - ): - filters = [filter_expr] if filter_expr is not None else [] - if instrument_ids is not None: - if not isinstance(instrument_ids, list): - instrument_ids = [instrument_ids] - if clean_instrument_keys: - instrument_ids = list(set(map(clean_key, instrument_ids))) - filters.append(ds.field(instrument_id_column).cast("string").isin(instrument_ids)) - if start is not None: - filters.append(ds.field(ts_column) >= pd.Timestamp(start).value) - if end is not None: - filters.append(ds.field(ts_column) <= pd.Timestamp(end).value) + # -- WRITING ---------------------------------------------------------------------------------- + + def _objects_to_table(self, data: list[Data], data_cls: type) -> pa.Table: + PyCondition.not_empty(data, "data") + PyCondition.list_type(data, data_cls, "data") + sorted_data = sorted(data, key=lambda x: x.ts_init) + + # Check data is strictly non-decreasing prior to write + for original, sorted_version in zip(data, sorted_data): + if original.ts_init != sorted_version.ts_init: + raise ValueError( + "Data should be monotonically increasing (or non-decreasing) based on `ts_init`: " + f"found {original.ts_init} followed by {sorted_version.ts_init}. " + "Consider sorting your data with something like " + "`data.sort(key=lambda x: x.ts_init)` prior to writing to the catalog.", + ) - full_path = self.make_path(cls=cls) + table_or_batch = self.serializer.serialize_batch(data, data_cls=data_cls) + assert table_or_batch is not None - if not (self.fs.exists(full_path) or self.fs.isdir(full_path)): - if raise_on_empty: - raise FileNotFoundError(f"protocol={self.fs.protocol}, path={full_path}") - else: - return pd.DataFrame() if as_dataframe else None + if isinstance(table_or_batch, pa.RecordBatch): + return pa.Table.from_batches([table_or_batch]) + else: + return table_or_batch - # Load rust objects - if isinstance(start, int) or start is None: - start_nanos = start + def _make_path(self, data_cls: type[Data], instrument_id: str | None = None) -> str: + if instrument_id is not None: + assert isinstance(instrument_id, str), "instrument_id must be a string" + clean_instrument_id = urisafe_instrument_id(instrument_id) + return f"{self.path}/data/{class_to_filename(data_cls)}/{clean_instrument_id}" else: - start_nanos = dt_to_unix_nanos(start) # datetime > nanos + return f"{self.path}/data/{class_to_filename(data_cls)}" - if isinstance(end, int) or end is None: - end_nanos = end + def write_chunk( + self, + data: list[Data], + data_cls: type[Data], + instrument_id: str | None = None, + **kwargs: Any, + ) -> None: + table = self._objects_to_table(data, data_cls=data_cls) + path = self._make_path(data_cls=data_cls, instrument_id=instrument_id) + kw = dict(**self.dataset_kwargs, **kwargs) + + if "partitioning" not in kw: + self._fast_write(table=table, path=path, fs=self.fs) else: - end_nanos = dt_to_unix_nanos(end) # datetime > nanos - - use_rust = kwargs.get("use_rust") and cls in (QuoteTick, TradeTick) - if use_rust and kwargs.get("as_nautilus"): - assert instrument_ids is not None - assert len(instrument_ids) > 0 - - to_merge = [] - for instrument_id in instrument_ids: - files = self.get_files(cls, instrument_id, start_nanos, end_nanos) - - if raise_on_empty and not files: - raise RuntimeError("No files found.") - - batches = generate_batches_rust( - files=files, - cls=cls, - batch_size=sys.maxsize, - start_nanos=start_nanos, - end_nanos=end_nanos, - ) - objs = list(itertools.chain.from_iterable(batches)) - if len(instrument_ids) == 1: - return objs # skip merge, only 1 instrument - to_merge.append(objs) + # Write parquet file + pds.write_dataset( + data=table, + base_dir=path, + format="parquet", + filesystem=self.fs, + min_rows_per_group=self.min_rows_per_group, + max_rows_per_group=self.max_rows_per_group, + **self.dataset_kwargs, + **kwargs, + ) - return list(heapq.merge(*to_merge, key=lambda x: x.ts_init)) + def _fast_write( + self, + table: pa.Table, + path: str, + fs: fsspec.AbstractFileSystem, + ) -> None: + fs.mkdirs(path, exist_ok=True) + pq.write_table( + table, + where=f"{path}/part-0.parquet", + filesystem=fs, + row_group_size=self.max_rows_per_group, + ) - dataset = ds.dataset(full_path, partitioning="hive", filesystem=self.fs) + def write_data(self, data: list[Data | Event], **kwargs: Any) -> None: + """ + Write the given `data` to the catalog. + + The function categorizes the data based on their class name and, when applicable, their + associated instrument ID. It then delegates the actual writing process to the + `write_chunk` method. + + Parameters + ---------- + data : list[Data | Event] + The data or event objects to be written to the catalog. + kwargs : Any + Additional keyword arguments to be passed to the `write_chunk` method. + + Notes + ----- + - All data of the same type is expected to be monotonically increasing, or non-decreasing + - The data is sorted and grouped based on its class name and instrument ID (if applicable) before writing + - Instrument-specific data should have either an `instrument_id` attribute or be an instance of `Instrument` + - The `Bar` class is treated as a special case, being grouped based on its `bar_type` attribute + - The input data list must be non-empty, and all data items must be of the appropriate class type + + Raises + ------ + ValueError + If data of the same type is not monotonically increasing (or non-decreasing) based on `ts_init`. + + """ + + def key(obj: Any) -> tuple[str, str | None]: + name = type(obj).__name__ + if isinstance(obj, Instrument): + return name, obj.id.value + elif isinstance(obj, Bar): + return name, str(obj.bar_type) + elif hasattr(obj, "instrument_id"): + return name, obj.instrument_id.value + return name, None + + name_to_cls = {cls.__name__: cls for cls in {type(d) for d in data}} + for (cls_name, instrument_id), single_type in groupby(sorted(data, key=key), key=key): + self.write_chunk( + data=list(single_type), + data_cls=name_to_cls[cls_name], + instrument_id=instrument_id, + **kwargs, + ) - table_kwargs = table_kwargs or {} - if projections: - projected = {**{c: ds.field(c) for c in dataset.schema.names}, **projections} - table_kwargs.update(columns=projected) + # -- QUERIES ---------------------------------------------------------------------------------- - try: - table = dataset.to_table(filter=combine_filters(*filters), **(table_kwargs or {})) - except Exception as e: - print(e) - raise e - - if use_rust: - df = int_to_float_dataframe(table.to_pandas()) - if start_nanos and end_nanos is None: - return df - if start_nanos is None: - start_nanos = 0 - if end_nanos is None: - end_nanos = sys.maxsize - df = df[(df["ts_init"] >= start_nanos) & (df["ts_init"] <= end_nanos)] - return df - - mappings = self.load_inverse_mappings(path=full_path) - - if "as_nautilus" in kwargs: - as_dataframe = not kwargs.pop("as_nautilus") - - if as_dataframe: - return self._handle_table_dataframe( - table=table, - mappings=mappings, - raise_on_empty=raise_on_empty, + def query( + self, + data_cls: type, + instrument_ids: list[str] | None = None, + bar_types: list[str] | None = None, + start: TimestampLike | None = None, + end: TimestampLike | None = None, + where: str | None = None, + **kwargs: Any, + ) -> list[Data | GenericData]: + if data_cls in (OrderBookDelta, QuoteTick, TradeTick, Bar): + data = self.query_rust( + data_cls=data_cls, + instrument_ids=instrument_ids, + bar_types=bar_types, + start=start, + end=end, + where=where, **kwargs, ) else: - return self._handle_table_nautilus(table=table, cls=cls, mappings=mappings) + data = self.query_pyarrow( + data_cls=data_cls, + instrument_ids=instrument_ids, + start=start, + end=end, + where=where, + **kwargs, + ) - def make_path(self, cls: type, instrument_id: Optional[str] = None) -> str: - path = f"{self.path}/data/{class_to_filename(cls=cls)}.parquet" - if instrument_id is not None: - path += f"/instrument_id={clean_key(instrument_id)}" - return path + if not is_nautilus_class(data_cls): + # Special handling for generic data + data = [ + GenericData(data_type=DataType(data_cls, metadata=kwargs.get("metadata")), data=d) + for d in data + ] + return data - def get_files( + def backend_session( self, - cls: type, - instrument_id: Optional[str] = None, - start_nanos: Optional[int] = None, - end_nanos: Optional[int] = None, - bar_spec: Optional[BarSpecification] = None, - ) -> list[str]: - folder = self.make_path(cls=cls, instrument_id=instrument_id) - - if not self.fs.isdir(folder): - return [] + data_cls: type, + instrument_ids: list[str] | None = None, + bar_types: list[str] | None = None, + start: TimestampLike | None = None, + end: TimestampLike | None = None, + where: str | None = None, + session: DataBackendSession | None = None, + **kwargs: Any, + ) -> DataBackendSession: + assert self.fs_protocol == "file", "Only file:// protocol is supported for Rust queries" + data_type: NautilusDataType = ParquetDataCatalog._nautilus_data_cls_to_data_type(data_cls) + + if session is None: + session = DataBackendSession() + if session is None: + raise ValueError("`session` was `None` when a value was expected") + + file_prefix = class_to_filename(data_cls) + glob_path = f"{self.path}/data/{file_prefix}/**/*" + dirs = self.fs.glob(glob_path) + if self.show_query_paths: + print(dirs) + + for idx, path in enumerate(dirs): + assert self.fs.exists(path) + if instrument_ids and not any(urisafe_instrument_id(x) in path for x in instrument_ids): + continue + if bar_types and not any(urisafe_instrument_id(x) in path for x in bar_types): + continue + table = f"{file_prefix}_{idx}" + query = self._build_query( + table, + # instrument_ids=None, # Filtering by filename for now + start=start, + end=end, + where=where, + ) - paths = self.fs.glob(f"{folder}/**") + session.add_file(data_type, table, str(path), query) - file_paths = [] - for path in paths: - # Filter by BarType - bar_spec_matched = False - if cls is Bar: - bar_spec_matched = bar_spec and str(bar_spec) in path - if not bar_spec_matched: - continue + return session - # Filter by time range - file_path = pathlib.PurePosixPath(path).name - matched = is_filename_in_time_range(file_path, start_nanos, end_nanos) - if matched: - file_paths.append(str(path)) + def query_rust( + self, + data_cls: type, + instrument_ids: list[str] | None = None, + bar_types: list[str] | None = None, + start: TimestampLike | None = None, + end: TimestampLike | None = None, + where: str | None = None, + **kwargs: Any, + ) -> list[Data]: + session = self.backend_session( + data_cls=data_cls, + instrument_ids=instrument_ids, + bar_types=bar_types, + start=start, + end=end, + where=where, + **kwargs, + ) - file_paths = sorted(file_paths, key=lambda x: Path(x).stem) + result = session.to_query_result() - return file_paths + # Gather data + data = [] + for chunk in result: + data.extend(capsule_to_list(chunk)) - def _get_files( - self, - cls: type, - instrument_id: Optional[str] = None, - start_nanos: Optional[int] = None, - end_nanos: Optional[int] = None, - ) -> list[str]: - folder = ( - self.path - if instrument_id is None - else self.make_path(cls=cls, instrument_id=instrument_id) - ) + return data - if not os.path.exists(folder): + def query_pyarrow( + self, + data_cls: type, + instrument_ids: list[str] | None = None, + start: TimestampLike | None = None, + end: TimestampLike | None = None, + filter_expr: str | None = None, + **kwargs: Any, + ) -> list[Data]: + file_prefix = class_to_filename(data_cls) + dataset_path = f"{self.path}/data/{file_prefix}" + if not self.fs.exists(dataset_path): return [] + table = self._load_pyarrow_table( + path=dataset_path, + filter_expr=filter_expr, + instrument_ids=instrument_ids, + start=start, + end=end, + ) - paths = self.fs.glob(f"{folder}/**") + assert ( + table is not None + ), f"No table found for {data_cls=} {instrument_ids=} {filter_expr=} {start=} {end=}" + assert ( + table.num_rows + ), f"No rows found for {data_cls=} {instrument_ids=} {filter_expr=} {start=} {end=}" - files = [] - for path in paths: - fn = pathlib.PurePosixPath(path).name - matched = is_filename_in_time_range(fn, start_nanos, end_nanos) - if matched: - files.append(str(path)) + return self._handle_table_nautilus(table, data_cls=data_cls) - files = sorted(files, key=lambda x: Path(x).stem) + def _load_pyarrow_table( + self, + path: str, + filter_expr: str | None = None, + instrument_ids: list[str] | None = None, + start: TimestampLike | None = None, + end: TimestampLike | None = None, + ts_column: str = "ts_init", + ) -> pds.Dataset | None: + # Original dataset + dataset = pds.dataset(path, filesystem=self.fs) - return files + # Instrument id filters (not stored in table, need to filter based on files) + if instrument_ids is not None: + if not isinstance(instrument_ids, list): + instrument_ids = [instrument_ids] + valid_files = [ + fn + for fn in dataset.files + if any(urisafe_instrument_id(x) in fn for x in instrument_ids) + ] + dataset = pds.dataset(valid_files, filesystem=self.fs) + + filters: list[pds.Expression] = [filter_expr] if filter_expr is not None else [] + if start is not None: + filters.append(pds.field(ts_column) >= pd.Timestamp(start).value) + if end is not None: + filters.append(pds.field(ts_column) <= pd.Timestamp(end).value) + if filters: + filter_ = combine_filters(*filters) + else: + filter_ = None + return dataset.to_table(filter=filter_) - def load_inverse_mappings(self, path): - mappings = load_mappings(fs=self.fs, path=path) - for key in mappings: - mappings[key] = {v: k for k, v in mappings[key].items()} - return mappings + def _build_query( + self, + table: str, + start: TimestampLike | None = None, + end: TimestampLike | None = None, + where: str | None = None, + ) -> str: + # Build datafusion SQL query + query = f"SELECT * FROM {table}" # noqa (possible SQL injection) + conditions: list[str] = [] + ([where] if where else []) + + if start: + start_ts = dt_to_unix_nanos(start) + conditions.append(f"ts_init >= {start_ts}") + if end: + end_ts = dt_to_unix_nanos(end) + conditions.append(f"ts_init <= {end_ts}") + if conditions: + query += f" WHERE {' AND '.join(conditions)}" + + return query @staticmethod - def _handle_table_dataframe( - table: pa.Table, - mappings: Optional[dict], - raise_on_empty: bool = True, - sort_columns: Optional[list] = None, - as_type: Optional[dict] = None, - ): - df = table.to_pandas().drop_duplicates() - for col in mappings: - df.loc[:, col] = df[col].map(mappings[col]) - - if df.empty and raise_on_empty: - raise ValueError("Data empty") - if sort_columns: - df = df.sort_values(sort_columns) - if as_type: - df = df.astype(as_type) - return df + def _nautilus_data_cls_to_data_type(data_cls: type) -> NautilusDataType: + if data_cls in (OrderBookDelta, OrderBookDeltas): + return NautilusDataType.OrderBookDelta + elif data_cls == QuoteTick: + return NautilusDataType.QuoteTick + elif data_cls == TradeTick: + return NautilusDataType.TradeTick + elif data_cls == Bar: + return NautilusDataType.Bar + else: + raise RuntimeError("unsupported `data_cls` for Rust parquet, was {data_cls.__name__}") @staticmethod def _handle_table_nautilus( - table: Union[pa.Table, pd.DataFrame], - cls: type, - mappings: Optional[dict], - ): - if isinstance(table, pa.Table): - dicts = dict_of_lists_to_list_of_dicts(table.to_pydict()) - elif isinstance(table, pd.DataFrame): - dicts = table.to_dict("records") - else: - raise TypeError( - f"`table` was {type(table)}, expected `pyarrow.Table` or `pandas.DataFrame`", - ) - if not dicts: - return [] - for key, maps in mappings.items(): - for d in dicts: - if d[key] in maps: - d[key] = maps[d[key]] - data = ParquetSerializer.deserialize(cls=cls, chunk=dicts) + table: pa.Table | pd.DataFrame, + data_cls: type, + ) -> list[Data]: + if isinstance(table, pd.DataFrame): + table = pa.Table.from_pandas(table) + data = ArrowSerializer.deserialize(data_cls=data_cls, batch=table) + # TODO (bm/cs) remove when pyo3 objects are used everywhere. + module = data[0].__class__.__module__ + if "builtins" in module: + cython_cls = { + "OrderBookDeltas": OrderBookDelta, + "OrderBookDelta": OrderBookDelta, + "TradeTick": TradeTick, + "QuoteTick": QuoteTick, + "Bar": Bar, + }.get(data_cls.__name__, data_cls.__name__) + data = cython_cls.from_pyo3(data) return data def _query_subclasses( self, base_cls: type, - instrument_ids: Optional[list[str]] = None, - filter_expr: Optional[Callable] = None, - as_nautilus: bool = False, - **kwargs, - ): + instrument_ids: list[str] | None = None, + filter_expr: Callable | None = None, + **kwargs: Any, + ) -> list[Data]: subclasses = [base_cls, *base_cls.__subclasses__()] dfs = [] for cls in subclasses: try: df = self.query( - cls=cls, + data_cls=cls, filter_expr=filter_expr, instrument_ids=instrument_ids, raise_on_empty=False, - as_nautilus=as_nautilus, **kwargs, ) dfs.append(df) + except AssertionError as e: + if "No rows found for" in str(e): + continue + raise except ArrowInvalid as e: # If we're using a `filter_expr` here, there's a good chance # this error is using a filter that is specific to one set of @@ -394,40 +577,17 @@ def _query_subclasses( else: raise e - if not as_nautilus: - return pd.concat([df for df in dfs if df is not None]) - else: - objects = [o for objs in [df for df in dfs if df is not None] for o in objs] - return objects + objects = [o for objs in [df for df in dfs if df is not None] for o in objs] + return objects - # --- OVERLOADED BASE METHODS ------------------------------------------------ - def generic_data( - self, - cls: type, - as_nautilus: bool = False, - metadata: Optional[dict] = None, - filter_expr: Optional[Callable] = None, - **kwargs, - ): - data = self._query( - cls=cls, - filter_expr=filter_expr, - as_dataframe=not as_nautilus, - **kwargs, - ) - if as_nautilus: - if data is None: - return [] - return [GenericData(data_type=DataType(cls, metadata=metadata), data=d) for d in data] - return data + # -- OVERLOADED BASE METHODS ------------------------------------------------------------------ def instruments( self, - instrument_type: Optional[type] = None, - instrument_ids: Optional[list[str]] = None, - **kwargs, - ): - kwargs["clean_instrument_keys"] = False + instrument_type: type | None = None, + instrument_ids: list[str] | None = None, + **kwargs: Any, + ) -> list[Instrument]: return super().instruments( instrument_type=instrument_type, instrument_ids=instrument_ids, @@ -435,93 +595,78 @@ def instruments( ) def list_data_types(self): - glob_path = f"{self.path}/data/*.parquet" + glob_path = f"{self.path}/data/*" return [pathlib.Path(p).stem for p in self.fs.glob(glob_path)] - def list_partitions(self, cls_type: type): - assert isinstance(cls_type, type), "`cls_type` should be type, i.e. TradeTick" - name = class_to_filename(cls_type) - dataset = pq.ParquetDataset( - f"{self.path}/data/{name}.parquet", - filesystem=self.fs, - ) - # TODO(cs): Catalog v1 impl below - # partitions = {} - # for level in dataset.partitioning: - # partitions[level.name] = level.keys - return dataset.partitioning - - def list_backtests(self) -> list[str]: - glob_path = f"{self.path}/backtest/*.feather" + def list_backtest_runs(self) -> list[str]: + glob_path = f"{self.path}/backtest/*" return [p.stem for p in map(Path, self.fs.glob(glob_path))] def list_live_runs(self) -> list[str]: - glob_path = f"{self.path}/live/*.feather" + glob_path = f"{self.path}/live/*" return [p.stem for p in map(Path, self.fs.glob(glob_path))] - def read_live_run(self, live_run_id: str, **kwargs): - return self._read_feather(kind="live", run_id=live_run_id, **kwargs) + def read_live_run(self, instance_id: str, **kwargs: Any) -> list[Data]: + return self._read_feather(kind="live", instance_id=instance_id, **kwargs) - def read_backtest(self, backtest_run_id: str, **kwargs): - return self._read_feather(kind="backtest", run_id=backtest_run_id, **kwargs) + def read_backtest(self, instance_id: str, **kwargs: Any) -> list[Data]: + return self._read_feather(kind="backtest", instance_id=instance_id, **kwargs) - def _read_feather(self, kind: str, run_id: str, raise_on_failed_deserialize: bool = False): + def _read_feather( + self, + kind: str, + instance_id: str, + raise_on_failed_deserialize: bool = False, + ) -> list[Data]: class_mapping: dict[str, type] = {class_to_filename(cls): cls for cls in list_schemas()} - data = {} - glob_path = f"{self.path}/{kind}/{run_id}.feather/*.feather" - - for path in list(self.fs.glob(glob_path)): - cls_name = camel_to_snake_case(pathlib.Path(path).stem).replace("__", "_") - df = read_feather_file(path=path, fs=self.fs) + data = defaultdict(list) + for feather_file in self._list_feather_files(kind=kind, instance_id=instance_id): + path = feather_file.path + cls_name = feather_file.class_name + table: pa.Table = self._read_feather_file(path=path) + if table is None or len(table) == 0: + continue - if df is None: + if table is None: print(f"No data for {cls_name}") continue # Apply post read fixes try: - objs = self._handle_table_nautilus( - table=df, - cls=class_mapping[cls_name], - mappings={}, - ) - data[cls_name] = objs + data_cls = class_mapping[cls_name] + objs = self._handle_table_nautilus(table=table, data_cls=data_cls) + data[cls_name].extend(objs) except Exception as e: if raise_on_failed_deserialize: raise print(f"Failed to deserialize {cls_name}: {e}") return sorted(sum(data.values(), []), key=lambda x: x.ts_init) - -def read_feather_file(path: str, fs: Optional[fsspec.AbstractFileSystem] = None): - fs = fs or fsspec.filesystem("file") - if not fs.exists(path): - return - try: - with fs.open(path) as f: - reader = pa.ipc.open_stream(f) - return reader.read_pandas() - except (pa.ArrowInvalid, FileNotFoundError): - return - - -def combine_filters(*filters): - filters = tuple(x for x in filters if x is not None) - if len(filters) == 0: - return - elif len(filters) == 1: - return filters[0] - else: - expr = filters[0] - for f in filters[1:]: - expr = expr & f - return expr - - -def int_to_float_dataframe(df: pd.DataFrame): - cols = [ - col - for col, dtype in dict(df.dtypes).items() - if dtype == np.int64 or dtype == np.uint64 and (col != "ts_event" and col != "ts_init") - ] - df[cols] = df[cols] / FIXED_SCALAR - return df + def _list_feather_files( + self, + kind: str, + instance_id: str, + ) -> Generator[FeatherFile, None, None]: + prefix = f"{self.path}/{kind}/{urisafe_instrument_id(instance_id)}" + + # Non-instrument feather files + for fn in self.fs.glob(f"{prefix}/*.feather"): + cls_name = fn.replace(prefix + "/", "").replace(".feather", "") + yield FeatherFile(path=fn, class_name=cls_name) + + # Per-instrument feather files + for ins_fn in self.fs.glob(f"{prefix}/**/*.feather"): + ins_cls_name = pathlib.Path(ins_fn.replace(prefix + "/", "")).parent.name + yield FeatherFile(path=ins_fn, class_name=ins_cls_name) + + def _read_feather_file( + self, + path: str, + ) -> pa.Table | None: + if not self.fs.exists(path): + return None + try: + with self.fs.open(path) as f: + reader = pa.ipc.open_stream(f) + return reader.read_all() + except (pa.ArrowInvalid, OSError): + return None diff --git a/nautilus_trader/persistence/catalog/singleton.py b/nautilus_trader/persistence/catalog/singleton.py new file mode 100644 index 000000000000..0fd88cc4dd8e --- /dev/null +++ b/nautilus_trader/persistence/catalog/singleton.py @@ -0,0 +1,59 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +from __future__ import annotations + +import inspect +from typing import Any + + +class Singleton(type): + """ + The base class to ensure a singleton. + """ + + def __init__(cls, name, bases, dict_like): + super().__init__(name, bases, dict_like) + cls._instances = {} + + def __call__(cls, *args, **kw): + full_kwargs = resolve_kwargs(cls.__init__, None, *args, **kw) + if full_kwargs == {"self": None, "args": (), "kwargs": {}}: + full_kwargs = {} + full_kwargs.pop("self", None) + key = tuple(full_kwargs.items()) + if key not in cls._instances: + cls._instances[key] = super().__call__(*args, **kw) + return cls._instances[key] + + +def clear_singleton_instances(cls: type) -> None: + assert isinstance(cls, Singleton) + cls._instances = {} + + +def resolve_kwargs(func, *args, **kwargs): + kw = inspect.getcallargs(func, *args, **kwargs) + return {k: check_value(v) for k, v in kw.items()} + + +def check_value(v: Any) -> Any: + if isinstance(v, dict): + return freeze_dict(dict_like=v) + return v + + +def freeze_dict(dict_like: dict) -> tuple: + return tuple(sorted(dict_like.items())) diff --git a/nautilus_trader/serialization/arrow/__init__.pxd b/nautilus_trader/persistence/catalog/types.py similarity index 65% rename from nautilus_trader/serialization/arrow/__init__.pxd rename to nautilus_trader/persistence/catalog/types.py index ca16b56e4794..86ca0434cb93 100644 --- a/nautilus_trader/serialization/arrow/__init__.pxd +++ b/nautilus_trader/persistence/catalog/types.py @@ -12,3 +12,23 @@ # See the License for the specific language governing permissions and # limitations under the License. # ------------------------------------------------------------------------------------------------- + +from __future__ import annotations + +from dataclasses import dataclass + +from nautilus_trader.core.data import Data +from nautilus_trader.model.identifiers import ClientId +from nautilus_trader.model.instruments import Instrument + + +@dataclass(frozen=True) +class CatalogDataResult: + """ + Represents a catalog data query result. + """ + + data_cls: type + data: list[Data] + instrument: Instrument | None = None + client_id: ClientId | None = None diff --git a/nautilus_trader/persistence/external/core.py b/nautilus_trader/persistence/external/core.py deleted file mode 100644 index 2bd2163b0890..000000000000 --- a/nautilus_trader/persistence/external/core.py +++ /dev/null @@ -1,458 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import logging -import pathlib -from concurrent.futures import Executor -from concurrent.futures import ThreadPoolExecutor -from io import BytesIO -from itertools import groupby -from typing import Optional, Union - -import fsspec -import pandas as pd -import pyarrow as pa -from fsspec.core import OpenFile -from pyarrow import ArrowInvalid -from pyarrow import ArrowTypeError -from pyarrow import dataset as ds -from pyarrow import parquet as pq -from tqdm import tqdm - -from nautilus_trader.core.correctness import PyCondition -from nautilus_trader.model.data import GenericData -from nautilus_trader.model.instruments import Instrument -from nautilus_trader.persistence.catalog.base import BaseDataCatalog -from nautilus_trader.persistence.catalog.parquet import ParquetDataCatalog -from nautilus_trader.persistence.external.metadata import load_mappings -from nautilus_trader.persistence.external.metadata import write_partition_column_mappings -from nautilus_trader.persistence.external.readers import Reader -from nautilus_trader.persistence.external.util import parse_filename_start -from nautilus_trader.persistence.funcs import parse_bytes -from nautilus_trader.serialization.arrow.serializer import ParquetSerializer -from nautilus_trader.serialization.arrow.serializer import get_cls_table -from nautilus_trader.serialization.arrow.serializer import get_partition_keys -from nautilus_trader.serialization.arrow.serializer import get_schema -from nautilus_trader.serialization.arrow.util import check_partition_columns -from nautilus_trader.serialization.arrow.util import class_to_filename -from nautilus_trader.serialization.arrow.util import clean_partition_cols -from nautilus_trader.serialization.arrow.util import maybe_list - - -class RawFile: - """ - Provides a wrapper of `fsspec.OpenFile` that processes a raw file and writes to - parquet. - - Parameters - ---------- - open_file : fsspec.core.OpenFile - The fsspec.OpenFile source of this data. - block_size: int - The max block (chunk) size in bytes to read from the file. - progress: bool, default False - If a progress bar should be shown when processing this individual file. - - """ - - def __init__( - self, - open_file: OpenFile, - block_size: Optional[int] = None, - ): - self.open_file = open_file - self.block_size = block_size - - def iter(self): - with self.open_file as f: - while True: - raw = f.read(self.block_size) - if not raw: - return - yield raw - - -def process_raw_file( - catalog: ParquetDataCatalog, - raw_file: RawFile, - reader: Reader, - use_rust=False, - instrument=None, -): - n_rows = 0 - for block in raw_file.iter(): - objs = [x for x in reader.parse(block) if x is not None] - if use_rust: - write_parquet_rust(catalog, objs, instrument) - n_rows += len(objs) - else: - dicts = split_and_serialize(objs) - dataframes = dicts_to_dataframes(dicts) - n_rows += write_tables(catalog=catalog, tables=dataframes) - reader.on_file_complete() - return n_rows - - -def process_files( - glob_path, - reader: Reader, - catalog: ParquetDataCatalog, - block_size: str = "128mb", - compression: str = "infer", - executor: Optional[Executor] = None, - use_rust=False, - instrument: Optional[Instrument] = None, - **kwargs, -): - PyCondition.type_or_none(executor, Executor, "executor") - if use_rust: - assert instrument, "Instrument needs to be provided when saving rust data." - - executor = executor or ThreadPoolExecutor() - - raw_files = make_raw_files( - glob_path=glob_path, - block_size=block_size, - compression=compression, - **kwargs, - ) - - futures = {} - for rf in raw_files: - futures[rf] = executor.submit( - process_raw_file, - catalog=catalog, - raw_file=rf, - reader=reader, - instrument=instrument, - use_rust=use_rust, - ) - - # Show progress - for _ in tqdm(list(futures.values())): - pass - - results = {rf.open_file.path: f.result() for rf, f in futures.items()} - executor.shutdown() - - return results - - -def make_raw_files(glob_path, block_size="128mb", compression="infer", **kw) -> list[RawFile]: - files = scan_files(glob_path, compression=compression, **kw) - return [RawFile(open_file=f, block_size=parse_bytes(block_size)) for f in files] - - -def scan_files(glob_path, compression="infer", **kw) -> list[OpenFile]: - open_files = fsspec.open_files(glob_path, compression=compression, **kw) - return list(open_files) - - -def split_and_serialize(objs: list) -> dict[type, dict[Optional[str], list]]: - """ - Given a list of Nautilus `objs`; serialize and split into dictionaries per type / - instrument ID. - """ - # Split objects into their respective tables - values: dict[type, dict[str, list]] = {} - for obj in objs: - cls = get_cls_table(type(obj)) - if isinstance(obj, GenericData): - cls = obj.data_type.type - if cls not in values: - values[cls] = {} - for data in maybe_list(ParquetSerializer.serialize(obj)): - instrument_id = data.get("instrument_id", None) - if instrument_id not in values[cls]: - values[cls][instrument_id] = [] - values[cls][instrument_id].append(data) - return values - - -def dicts_to_dataframes(dicts) -> dict[type, dict[str, pd.DataFrame]]: - """ - Convert dicts from `split_and_serialize` into sorted dataframes. - """ - # Turn dict of tables into dataframes - tables: dict[type, dict[str, pd.DataFrame]] = {} - for cls in dicts: - tables[cls] = {} - for ins_id in tuple(dicts[cls]): - data = dicts[cls].pop(ins_id) - if not data: - continue - df = pd.DataFrame(data) - df = df.sort_values("ts_init") - if "instrument_id" in df.columns: - df = df.astype({"instrument_id": "category"}) - tables[cls][ins_id] = df - - return tables - - -def determine_partition_cols(cls: type, instrument_id: Optional[str] = None) -> Union[list, None]: - """ - Determine partition columns (if any) for this type `cls`. - """ - partition_keys = get_partition_keys(cls) - if partition_keys: - return list(partition_keys) - elif instrument_id is not None: - return ["instrument_id"] - return None - - -def merge_existing_data(catalog: BaseDataCatalog, cls: type, df: pd.DataFrame) -> pd.DataFrame: - """ - Handle existing data for instrument subclasses. - - Instruments all live in a single file, so merge with existing data. For all other - classes, simply return data unchanged. - - """ - if cls not in Instrument.__subclasses__(): - return df - else: - try: - existing = catalog.instruments(instrument_type=cls) - subset = [c for c in df.columns if c not in ("ts_init", "ts_event", "type")] - merged = pd.concat([existing, df.drop(["type"], axis=1)]) - return merged.drop_duplicates(subset=subset) - except pa.lib.ArrowInvalid: - return df - - -def write_tables( - catalog: ParquetDataCatalog, - tables: dict[type, dict[str, pd.DataFrame]], - **kwargs, -): - """ - Write tables to catalog. - """ - rows_written = 0 - - iterator = [ - (cls, instrument_id, df) - for cls, instruments in tables.items() - for instrument_id, df in instruments.items() - ] - - for cls, instrument_id, df in iterator: - try: - schema = get_schema(cls) - except KeyError: - print(f"Can't find parquet schema for type: {cls}, skipping!") - continue - partition_cols = determine_partition_cols(cls=cls, instrument_id=instrument_id) - path = f"{catalog.path}/data/{class_to_filename(cls)}.parquet" - merged = ( - df - if kwargs.get("merge_existing_data") is False - else merge_existing_data(catalog=catalog, cls=cls, df=df) - ) - kwargs.pop("merge_existing_data", None) - - write_parquet( - fs=catalog.fs, - path=path, - df=merged, - partition_cols=partition_cols, - schema=schema, - **kwargs, - **( - {"basename_template": "{i}.parquet"} - if not kwargs.get("basename_template") and cls in Instrument.__subclasses__() - else {} - ), - ) - rows_written += len(df) - - return rows_written - - -def write_parquet_rust(catalog: ParquetDataCatalog, objs: list, instrument: Instrument): - raise RuntimeError("Rust datafusion backend currently being integrated") - # cls = type(objs[0]) - # - # assert cls in (QuoteTick, TradeTick) - # instrument_id = str(instrument.id) - # - # min_timestamp = str(objs[0].ts_init).rjust(19, "0") - # max_timestamp = str(objs[-1].ts_init).rjust(19, "0") - # - # parent = catalog.make_path(cls=cls, instrument_id=instrument_id) - # file_path = f"{parent}/{min_timestamp}-{max_timestamp}-0.parquet" - # - # metadata = { - # "instrument_id": instrument_id, - # "price_precision": str(instrument.price_precision), - # "size_precision": str(instrument.size_precision), - # } - # writer = ParquetWriter(py_type_to_parquet_type(cls), metadata) - # - # capsule = cls.capsule_from_list(objs) - # - # writer.write(capsule) - # - # data: bytes = writer.flush_bytes() - # - # os.makedirs(os.path.dirname(file_path), exist_ok=True) - # with open(file_path, "wb") as f: - # f.write(data) - # - # write_objects(catalog, [instrument], existing_data_behavior="overwrite_or_ignore") - - -def write_parquet( - fs: fsspec.AbstractFileSystem, - path: str, - df: pd.DataFrame, - partition_cols: Optional[list[str]], - schema: pa.Schema, - **kwargs, -): - """ - Write a single dataframe to parquet. - """ - # Check partition values are valid before writing to parquet - mappings = check_partition_columns(df=df, partition_columns=partition_cols) - df = clean_partition_cols(df=df, mappings=mappings) - - # Dataframe -> pyarrow Table - try: - table = pa.Table.from_pandas(df, schema) - except (ArrowTypeError, ArrowInvalid) as e: - logging.error(f"Failed to convert dataframe to pyarrow table with {schema=}, exception={e}") - raise - - if "basename_template" not in kwargs and "ts_init" in df.columns: - if "bar_type" in df.columns: - suffix = df.iloc[0]["bar_type"].split(".")[-1] - kwargs["basename_template"] = ( - f"{df['ts_init'].min()}-{df['ts_init'].max()}" + "-" + suffix + "-{i}.parquet" - ) - else: - kwargs["basename_template"] = ( - f"{df['ts_init'].min()}-{df['ts_init'].max()}" + "-{i}.parquet" - ) - - # Write the actual file - partitions = ( - ds.partitioning( - schema=pa.schema(fields=[table.schema.field(c) for c in partition_cols]), - flavor="hive", - ) - if partition_cols - else None - ) - if int(pa.__version__.split(".")[0]) >= 6: - kwargs.update(existing_data_behavior="overwrite_or_ignore") - - files = set(fs.glob(f"{path}/**")) - - ds.write_dataset( - data=table, - base_dir=path, - filesystem=fs, - partitioning=partitions, - format="parquet", - **kwargs, - ) - - # Ensure data written by write_dataset is sorted - new_files = set(fs.glob(f"{path}/**/*.parquet")) - files - - del df - for fn in new_files: - try: - ndf = pd.read_parquet(BytesIO(fs.open(fn).read())) - except ArrowInvalid: - logging.error(f"Failed to read {fn}") - continue - # assert ndf.shape[0] == shape - if "ts_init" in ndf.columns: - ndf = ndf.sort_values("ts_init").reset_index(drop=True) - pq.write_table( - table=pa.Table.from_pandas(ndf), - where=fn, - filesystem=fs, - ) - - # Write the ``_common_metadata`` parquet file without row groups statistics - pq.write_metadata(table.schema, f"{path}/_common_metadata", version="2.6", filesystem=fs) - - # Write out any partition columns we had to modify due to filesystem requirements - if mappings: - existing = load_mappings(fs=fs, path=path) - if existing: - mappings["instrument_id"].update(existing["instrument_id"]) - write_partition_column_mappings(fs=fs, path=path, mappings=mappings) - - -def write_objects(catalog: ParquetDataCatalog, chunk: list, **kwargs): - serialized = split_and_serialize(objs=chunk) - tables = dicts_to_dataframes(serialized) - write_tables(catalog=catalog, tables=tables, **kwargs) - - -def read_progress(func, total): - """ - Wrap a file handle and update progress bar as bytes are read. - """ - progress = tqdm(total=total) - - def inner(*args, **kwargs): - for data in func(*args, **kwargs): - progress.update(n=len(data)) - yield data - - return inner - - -def _validate_dataset(catalog: ParquetDataCatalog, path: str, new_partition_format="%Y%m%d"): - """ - Repartition dataset into sorted time chunks (default dates) and drop duplicates. - """ - fs = catalog.fs - dataset = ds.dataset(path, filesystem=fs) - fn_to_start = [ - (fn, parse_filename_start(fn=fn)) for fn in dataset.files if parse_filename_start(fn=fn) - ] - - sort_key = lambda x: (x[1][0], x[1][1].strftime(new_partition_format)) # noqa: E731 - - for part, values_iter in groupby(sorted(fn_to_start, key=sort_key), key=sort_key): - values = list(values_iter) - filenames = [v[0] for v in values] - - # Read files, drop duplicates - df: pd.DataFrame = ds.dataset(filenames, filesystem=fs).to_table().to_pandas() - df = df.drop_duplicates(ignore_index=True, keep="last") - - # Write new file - table = pa.Table.from_pandas(df, schema=dataset.schema) - new_fn = filenames[0].replace(pathlib.Path(filenames[0]).stem, part[1]) - pq.write_table(table=table, where=fs.open(new_fn, "wb")) - - # Remove old files - for fn in filenames: - fs.rm(fn) - - -def validate_data_catalog(catalog: ParquetDataCatalog, **kwargs): - for cls in catalog.list_data_types(): - path = f"{catalog.path}/data/{cls}.parquet" - _validate_dataset(catalog=catalog, path=path, **kwargs) diff --git a/nautilus_trader/persistence/external/readers.py b/nautilus_trader/persistence/external/readers.py deleted file mode 100644 index 302212594102..000000000000 --- a/nautilus_trader/persistence/external/readers.py +++ /dev/null @@ -1,358 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import inspect -import logging -from collections.abc import Generator -from io import BytesIO -from typing import Any, Callable, Optional, Union - -import pandas as pd - -from nautilus_trader.common.providers import InstrumentProvider -from nautilus_trader.model.instruments import Instrument - - -class LinePreprocessor: - """ - Provides pre-processing lines before they are passed to a `Reader` class (currently - only `TextReader`). - - Used if the input data requires any pre-processing that may also be required - as attributes on the resulting Nautilus objects that are created. - - Examples - -------- - For example, if you were logging data in Python with a prepended timestamp, as below: - - 2021-06-29T06:03:14.528000 - {"op":"mcm","pt":1624946594395,"mc":[{"id":"1.179082386","rc":[{"atb":[[1.93,0]]}]} - - The raw JSON data is contained after the logging timestamp, additionally we would - also want to use this timestamp as the Nautilus `ts_init` value. In - this instance, you could use something like: - - >>> class LoggingLinePreprocessor(LinePreprocessor): - >>> @staticmethod - >>> def pre_process(line): - >>> timestamp, json_data = line.split(' - ') - >>> yield json_data, {'ts_init': pd.Timestamp(timestamp)} - >>> - >>> @staticmethod - >>> def post_process(obj: Any, state: dict): - >>> obj.ts_init = state['ts_init'] - >>> return obj - - """ - - def __init__(self): - self.state = {} - self.line = None - - @staticmethod - def pre_process(line: bytes) -> dict: - return {"line": line, "state": {}} - - @staticmethod - def post_process(obj: Any, state: dict) -> Any: - return obj - - def process_new_line(self, raw_line: bytes): - result: dict = self.pre_process(raw_line) - err = "Return value of `pre_process` should be dict with keys `line` and `state`" - assert isinstance(result, dict) and "line" in result and "state" in result, err - self.line = result["line"] - self.state = result["state"] - return self.line - - def process_object(self, obj: Any): - return self.post_process(obj=obj, state=self.state) - - def clear(self): - self.line = None - self.state = {} - - -class Reader: - """ - Provides parsing of raw byte blocks to Nautilus objects. - """ - - def __init__( - self, - instrument_provider: Optional[InstrumentProvider] = None, - instrument_provider_update: Optional[Callable] = None, - ): - self.instrument_provider = instrument_provider - self.instrument_provider_update = instrument_provider_update - self.buffer = b"" - - def check_instrument_provider(self, data: Union[bytes, str]) -> list[Instrument]: - if self.instrument_provider_update is not None: - assert ( - self.instrument_provider is not None - ), "Passed `instrument_provider_update` but `instrument_provider` was None" - instruments = set(self.instrument_provider.get_all().values()) - r = self.instrument_provider_update(self.instrument_provider, data) - # Check the user hasn't accidentally used a generator here also - if isinstance(r, Generator): - raise Exception(f"{self.instrument_provider_update} func should not be generator") - new_instruments = set(self.instrument_provider.get_all().values()).difference( - instruments, - ) - if new_instruments: - return list(new_instruments) - return [] - - def on_file_complete(self): - self.buffer = b"" - - def parse(self, block: bytes) -> Generator: - raise NotImplementedError # pragma: no cover - - -class ByteReader(Reader): - """ - A Reader subclass for reading blocks of raw bytes; `byte_parser` will be passed a - blocks of raw bytes. - - Parameters - ---------- - block_parser : Callable - The handler which takes a blocks of bytes and yields Nautilus objects. - instrument_provider : InstrumentProvider, optional - The instrument provider for the reader. - instrument_provider_update : Callable , optional - An optional hook/callable to update instrument provider before data is passed to `byte_parser` - (in many cases instruments need to be known ahead of parsing). - - """ - - def __init__( - self, - block_parser: Callable, - instrument_provider: Optional[InstrumentProvider] = None, - instrument_provider_update: Optional[Callable] = None, - ): - super().__init__( - instrument_provider_update=instrument_provider_update, - instrument_provider=instrument_provider, - ) - assert inspect.isgeneratorfunction(block_parser) - self.parser = block_parser - - def parse(self, block: bytes) -> Generator: - instruments: list[Instrument] = self.check_instrument_provider(data=block) - if instruments: - yield from instruments - yield from self.parser(block) - - -class TextReader(ByteReader): - """ - A Reader subclass for reading lines of a text-like file; `line_parser` will be - passed a single row of bytes. - - Parameters - ---------- - line_parser : Callable - The handler which takes byte strings and yields Nautilus objects. - line_preprocessor : Callable, optional - The context manager for pre-processing (cleaning log lines) of lines - before json.loads is called. Nautilus objects are returned to the - context manager for any post-processing also (for example, setting - the `ts_init`). - instrument_provider : InstrumentProvider, optional - The instrument provider for the reader. - instrument_provider_update : Callable, optional - An optional hook/callable to update instrument provider before - data is passed to `line_parser` (in many cases instruments need to - be known ahead of parsing). - newline : bytes - The newline char value. - - """ - - def __init__( - self, - line_parser: Callable, - line_preprocessor: Optional[LinePreprocessor] = None, - instrument_provider: Optional[InstrumentProvider] = None, - instrument_provider_update: Optional[Callable] = None, - newline: bytes = b"\n", - ): - assert line_preprocessor is None or isinstance(line_preprocessor, LinePreprocessor) - super().__init__( - instrument_provider_update=instrument_provider_update, - block_parser=line_parser, - instrument_provider=instrument_provider, - ) - self.line_preprocessor = line_preprocessor or LinePreprocessor() - self.newline = newline - - def parse(self, block: bytes) -> Generator: - self.buffer += block - if b"\n" in block: - process, self.buffer = self.buffer.rsplit(self.newline, maxsplit=1) - else: - process, self.buffer = block, b"" - if process: - yield from self.process_block(block=process) - - def process_block(self, block: bytes): - assert isinstance(block, bytes), "Block not bytes" - for raw_line in block.split(b"\n"): - line = self.line_preprocessor.process_new_line(raw_line=raw_line) - if not line: - continue - instruments: list[Instrument] = self.check_instrument_provider(data=line) - if instruments: - yield from instruments - for obj in self.parser(line): - yield self.line_preprocessor.process_object(obj=obj) - self.line_preprocessor.clear() - - -class CSVReader(Reader): - """ - Provides parsing of CSV formatted bytes strings to Nautilus objects. - - Parameters - ---------- - block_parser : callable - The handler which takes byte strings and yields Nautilus objects. - instrument_provider : InstrumentProvider, optional - The readers instrument provider. - instrument_provider_update - Optional hook to call before `parser` for the purpose of loading instruments into an InstrumentProvider - header: list[str], default None - If first row contains names of columns, header has to be set to `None`. - If data starts right at the first row, header has to be provided the list of column names. - chunked: bool, default True - If chunked=False, each CSV line will be passed to `block_parser` individually, if chunked=True, the data - passed will potentially contain many lines (a block). - as_dataframe: bool, default False - If as_dataframe=True, the passes block will be parsed into a DataFrame before passing to `block_parser`. - - """ - - def __init__( - self, - block_parser: Callable, - instrument_provider: Optional[InstrumentProvider] = None, - instrument_provider_update: Optional[Callable] = None, - header: Optional[list[str]] = None, - chunked: bool = True, - as_dataframe: bool = True, - separator: str = ",", - newline: bytes = b"\n", - encoding: str = "utf-8", - ): - super().__init__( - instrument_provider=instrument_provider, - instrument_provider_update=instrument_provider_update, - ) - self.block_parser = block_parser - self.header = header - self.header_in_first_row = not header - self.chunked = chunked - self.as_dataframe = as_dataframe - self.separator = separator - self.newline = newline - self.encoding = encoding - - def parse(self, block: bytes) -> Generator: - if self.header is None: - header, block = block.split(b"\n", maxsplit=1) - self.header = header.decode(self.encoding).split(self.separator) - - self.buffer += block - if b"\n" in block: - process, self.buffer = self.buffer.rsplit(self.newline, maxsplit=1) - else: - process, self.buffer = block, b"" - - # Prepare - a little gross but allows a lot of flexibility - if self.as_dataframe: - df = pd.read_csv(BytesIO(process), names=self.header, sep=self.separator) - if self.chunked: - chunks = (df,) - else: - chunks = tuple([row for _, row in df.iterrows()]) # type: ignore - else: - if self.chunked: - chunks = (process,) - else: - chunks = tuple( - [ - dict(zip(self.header, line.split(bytes(self.separator, encoding="utf-8")))) - for line in process.split(b"\n") - ], - ) # type: ignore - - for chunk in chunks: - if self.instrument_provider_update is not None: - self.instrument_provider_update(self.instrument_provider, chunk) - yield from self.block_parser(chunk) - - def on_file_complete(self): - if self.header_in_first_row: - self.header = None - self.buffer = b"" - - -class ParquetReader(ByteReader): - """ - Provides parsing of parquet specification bytes to Nautilus objects. - - Parameters - ---------- - parser : Callable - The parser. - instrument_provider : InstrumentProvider, optional - The readers instrument provider. - instrument_provider_update : Callable , optional - An optional hook/callable to update instrument provider before data is passed to `byte_parser` - (in many cases instruments need to be known ahead of parsing). - - """ - - def __init__( - self, - parser: Optional[Callable] = None, - instrument_provider: Optional[InstrumentProvider] = None, - instrument_provider_update: Optional[Callable] = None, - ): - super().__init__( - block_parser=parser, - instrument_provider_update=instrument_provider_update, - instrument_provider=instrument_provider, - ) - self.parser = parser - - def parse(self, block: bytes) -> Generator: - self.buffer += block - try: - df = pd.read_parquet(BytesIO(block)) - self.buffer = b"" - except Exception as e: - logging.exception(f"Error {e} on parse " + str(block[:128])) - return - - if self.instrument_provider_update is not None: - self.instrument_provider_update( - instrument_provider=self.instrument_provider, - df=df, - ) - yield from self.parser(df) diff --git a/nautilus_trader/persistence/external/util.py b/nautilus_trader/persistence/external/util.py deleted file mode 100644 index 078d21489142..000000000000 --- a/nautilus_trader/persistence/external/util.py +++ /dev/null @@ -1,133 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import inspect -import os -import re -import sys -from typing import Optional - -import pandas as pd - -from nautilus_trader.core.nautilus_pyo3.persistence import NautilusDataType -from nautilus_trader.model.data import QuoteTick -from nautilus_trader.model.data import TradeTick - - -class Singleton(type): - """ - The base class to ensure a singleton. - """ - - def __init__(cls, name, bases, dict_like): - super().__init__(name, bases, dict_like) - cls._instances = {} - - def __call__(cls, *args, **kw): - full_kwargs = resolve_kwargs(cls.__init__, None, *args, **kw) - if full_kwargs == {"self": None, "args": (), "kwargs": {}}: - full_kwargs = {} - full_kwargs.pop("self", None) - key = tuple(full_kwargs.items()) - if key not in cls._instances: - cls._instances[key] = super().__call__(*args, **kw) - return cls._instances[key] - - -def clear_singleton_instances(cls: type): - assert isinstance(cls, Singleton) - cls._instances = {} - - -def resolve_kwargs(func, *args, **kwargs): - kw = inspect.getcallargs(func, *args, **kwargs) - return {k: check_value(v) for k, v in kw.items()} - - -def check_value(v): - if isinstance(v, dict): - return freeze_dict(dict_like=v) - return v - - -def freeze_dict(dict_like: dict): - return tuple(sorted(dict_like.items())) - - -def parse_filename(fn: str) -> tuple[Optional[int], Optional[int]]: - match = re.match(r"\d{19}-\d{19}", fn) - - if match is None: - return (None, None) - - parts = fn.split("-") - return int(parts[0]), int(parts[1]) - - -def is_filename_in_time_range(fn: str, start: Optional[int], end: Optional[int]) -> bool: - """ - Return True if a filename is within a start and end timestamp range. - """ - timestamps = parse_filename(fn) - if timestamps == (None, None): - return False # invalid filename - - if start is None and end is None: - return True - - if start is None: - start = 0 - if end is None: - end = sys.maxsize - - a, b = start, end - x, y = timestamps - - no_overlap = y < a or b < x - - return not no_overlap - - -def parse_filename_start(fn: str) -> Optional[tuple[str, pd.Timestamp]]: - """ - Parse start time by filename. - - >>> parse_filename('/data/test/sample.parquet/instrument_id=a/1577836800000000000-1578182400000000000-0.parquet') - '1577836800000000000' - - >>> parse_filename(1546383600000000000-1577826000000000000-SIM-1-HOUR-BID-EXTERNAL-0.parquet) - '1546383600000000000' - - >>> parse_filename('/data/test/sample.parquet/instrument_id=a/0648140b1fd7491a97983c0c6ece8d57.parquet') - - """ - instrument_id = re.findall(r"instrument_id\=(.*)\/", fn)[0] if "instrument_id" in fn else None - - start, _ = parse_filename(os.path.basename(fn)) - - if start is None: - return None - - start = pd.Timestamp(start) - return instrument_id, start - - -def py_type_to_parquet_type(cls: type) -> NautilusDataType: - if cls == QuoteTick: - return NautilusDataType.QuoteTick - elif cls == TradeTick: - return NautilusDataType.TradeTick - else: - raise RuntimeError(f"Type {cls} not supported as a `NautilusDataType` yet.") diff --git a/nautilus_trader/persistence/funcs.py b/nautilus_trader/persistence/funcs.py index a92e756e0758..23c5e2648ab7 100644 --- a/nautilus_trader/persistence/funcs.py +++ b/nautilus_trader/persistence/funcs.py @@ -13,8 +13,14 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from typing import Union +from __future__ import annotations +from nautilus_trader.core.inspect import is_nautilus_class +from nautilus_trader.core.nautilus_pyo3 import convert_to_snake_case + + +INVALID_WINDOWS_CHARS = r'<>:"/\|?* ' +GENERIC_DATA_PREFIX = "genericdata_" # Taken from https://github.com/dask/dask/blob/261bf174931580230717abca93fe172e166cc1e8/dask/utils.py byte_sizes = { @@ -36,13 +42,14 @@ byte_sizes.update({k[:-1]: v for k, v in byte_sizes.items() if k and "i" in k}) -def parse_bytes(s: Union[float, str]) -> int: +def parse_bytes(s: float | str) -> int: if isinstance(s, (int, float)): return int(s) s = s.replace(" ", "") if not any(char.isdigit() for char in s): s = "1" + s + i = 0 for i in range(len(s) - 1, -1, -1): if not s[i].isalpha(): break @@ -63,3 +70,44 @@ def parse_bytes(s: Union[float, str]) -> int: result = n * multiplier return int(result) + + +def clean_windows_key(s: str) -> str: + """ + Clean characters that are illegal on Windows from the string `s`. + """ + for ch in INVALID_WINDOWS_CHARS: + if ch in s: + s = s.replace(ch, "-") + return s + + +def class_to_filename(cls: type) -> str: + """ + Convert the given class to a filename. + """ + filename_mappings = {"OrderBookDeltas": "OrderBookDelta"} + name = f"{convert_to_snake_case(filename_mappings.get(cls.__name__, cls.__name__))}" + if not is_nautilus_class(cls): + name = f"{GENERIC_DATA_PREFIX}{name}" + return name + + +def urisafe_instrument_id(instrument_id: str) -> str: + """ + Convert an instrument_id into a valid URI for writing to a file path. + """ + return instrument_id.replace("/", "") + + +def combine_filters(*filters): + filters = tuple(x for x in filters if x is not None) + if len(filters) == 0: + return + elif len(filters) == 1: + return filters[0] + else: + expr = filters[0] + for f in filters[1:]: + expr = expr & f + return expr diff --git a/nautilus_trader/persistence/loaders.py b/nautilus_trader/persistence/loaders.py index cd056a615b67..aabb36c4e798 100644 --- a/nautilus_trader/persistence/loaders.py +++ b/nautilus_trader/persistence/loaders.py @@ -13,25 +13,35 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from datetime import datetime +from __future__ import annotations + +from os import PathLike import pandas as pd class CSVTickDataLoader: """ - Provides a means of loading tick data pandas DataFrames from CSV files. + Provides a generic tick data CSV file loader. """ @staticmethod - def load(file_path) -> pd.DataFrame: + def load( + file_path: PathLike[str] | str, + index_col: str | int = "timestamp", + format: str = "mixed", + ) -> pd.DataFrame: """ - Return the tick pandas.DataFrame loaded from the given csv file. + Return a tick `pandas.DataFrame` loaded from the given CSV `file_path`. Parameters ---------- file_path : str, path object or file-like object The path to the CSV file. + index_col : str | int, default 'timestamp' + The index column. + format : str, default 'mixed' + The timestamp column format. Returns ------- @@ -40,22 +50,22 @@ def load(file_path) -> pd.DataFrame: """ df = pd.read_csv( file_path, - index_col="timestamp", + index_col=index_col, parse_dates=True, ) - df.index = pd.to_datetime(df.index, format="mixed") + df.index = pd.to_datetime(df.index, format=format) return df class CSVBarDataLoader: """ - Provides a means of loading bar data pandas DataFrames from CSV files. + Provides a generic bar data CSV file loader. """ @staticmethod - def load(file_path) -> pd.DataFrame: + def load(file_path: PathLike[str] | str) -> pd.DataFrame: """ - Return the bar pandas.DataFrame loaded from the given csv file. + Return the bar `pandas.DataFrame` loaded from the given CSV `file_path`. Parameters ---------- @@ -76,95 +86,50 @@ def load(file_path) -> pd.DataFrame: return df -def _ts_parser(time_in_secs: str) -> datetime: - return datetime.utcfromtimestamp(int(time_in_secs) / 1_000_000.0) - - -class TardisTradeDataLoader: +class ParquetTickDataLoader: """ - Provides a means of loading trade data pandas DataFrames from Tardis CSV files. + Provides a generic tick data Parquet file loader. """ @staticmethod - def load(file_path) -> pd.DataFrame: + def load( + file_path: PathLike[str] | str, + timestamp_column: str = "timestamp", + ) -> pd.DataFrame: """ - Return the trade pandas.DataFrame loaded from the given csv file. + Return the tick `pandas.DataFrame` loaded from the given Parquet `file_path`. Parameters ---------- file_path : str, path object or file-like object - The path to the CSV file. + The path to the Parquet file. + timestamp_column: str + Name of the timestamp column in the parquet data Returns ------- pd.DataFrame """ - df = pd.read_csv( - file_path, - index_col="local_timestamp", - date_parser=_ts_parser, - parse_dates=True, - ) - df = df.rename(columns={"id": "trade_id", "amount": "quantity"}) - df["side"] = df.side.str.upper() - df = df[["symbol", "trade_id", "price", "quantity", "side"]] - + df = pd.read_parquet(file_path) + df = df.set_index(timestamp_column) return df -class TardisQuoteDataLoader: - """ - Provides a means of loading quote data pandas DataFrames from Tardis CSV files. - """ - - @staticmethod - def load(file_path) -> pd.DataFrame: - """ - Return the quote pandas.DataFrame loaded from the given csv file. - - Parameters - ---------- - file_path : str, path object or file-like object - The path to the CSV file. - - Returns - ------- - pd.DataFrame - - """ - df = pd.read_csv( - file_path, - index_col="local_timestamp", - date_parser=_ts_parser, - parse_dates=True, - ) - df = df.rename( - columns={ - "ask_amount": "ask_size", - "bid_amount": "bid_size", - }, - ) - - return df[["bid_price", "ask_price", "bid_size", "ask_size"]] - - -class ParquetTickDataLoader: +class ParquetBarDataLoader: """ - Provides a means of loading tick data pandas DataFrames from Parquet files. + Provides a generic bar data Parquet file loader. """ @staticmethod - def load(file_path, timestamp_column: str = "timestamp") -> pd.DataFrame: + def load(file_path: PathLike[str] | str) -> pd.DataFrame: """ - Return the tick pandas.DataFrame loaded from the given parquet file. + Return the bar `pandas.DataFrame` loaded from the given Parquet `file_path`. Parameters ---------- file_path : str, path object or file-like object The path to the Parquet file. - timestamp_column: str - Name of the timestamp column in the parquet data Returns ------- @@ -172,30 +137,92 @@ def load(file_path, timestamp_column: str = "timestamp") -> pd.DataFrame: """ df = pd.read_parquet(file_path) - df = df.set_index(timestamp_column) + df = df.set_index("timestamp") return df -class ParquetBarDataLoader: +# TODO: Eventually move this into the Binance adapter +class BinanceOrderBookDeltaDataLoader: """ - Provides a means of loading bar data pandas DataFrames from parquet files. + Provides a means of loading Binance order book data. """ - @staticmethod - def load(file_path) -> pd.DataFrame: + @classmethod + def load( + cls, + file_path: PathLike[str] | str, + nrows: int | None = None, + ) -> pd.DataFrame: """ - Return the bar pandas.DataFrame loaded from the given parquet file. + Return the deltas `pandas.DataFrame` loaded from the given CSV `file_path`. Parameters ---------- file_path : str, path object or file-like object - The path to the parquet file. + The path to the CSV file. + nrows : int, optional + The maximum number of rows to load. Returns ------- pd.DataFrame """ - df = pd.read_parquet(file_path) + df = pd.read_csv(file_path, nrows=nrows) + + # Convert the timestamp column from milliseconds to UTC datetime + df["timestamp"] = pd.to_datetime(df["timestamp"], unit="ms", utc=True) df = df.set_index("timestamp") + df = df.rename(columns={"qty": "size"}) + + df["instrument_id"] = df["symbol"] + ".BINANCE" + df["action"] = df.apply(cls.map_actions, axis=1) + df["side"] = df["side"].apply(cls.map_sides) + df["order_id"] = 0 # No order ID for level 2 data + df["flags"] = df.apply(cls.map_flags, axis=1) + df["sequence"] = df["last_update_id"] + + # Drop now redundant columns + df = df.drop(columns=["symbol", "update_type", "first_update_id", "last_update_id"]) + + # Reorder columns + columns = [ + "instrument_id", + "action", + "side", + "price", + "size", + "order_id", + "flags", + "sequence", + ] + df = df[columns] + assert isinstance(df, pd.DataFrame) + return df + + @classmethod + def map_actions(cls, row: pd.Series) -> str: + if row["update_type"] == "snap": + return "ADD" + elif row["size"] == 0: + return "DELETE" + else: + return "UPDATE" + + @classmethod + def map_sides(cls, side: str) -> str: + side = side.lower() + if side == "b": + return "BUY" + elif side == "a": + return "SELL" + else: + raise RuntimeError(f"unrecognized side '{side}'") + + @classmethod + def map_flags(cls, row: pd.Series) -> int: + if row.update_type == "snap": + return 42 + else: + return 0 diff --git a/nautilus_trader/persistence/migrate.py b/nautilus_trader/persistence/migrate.py deleted file mode 100644 index 20c376d08bc1..000000000000 --- a/nautilus_trader/persistence/migrate.py +++ /dev/null @@ -1,44 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -from nautilus_trader.persistence.catalog.base import BaseDataCatalog -from nautilus_trader.persistence.external.core import write_objects - - -# TODO (bm) - - -def create_temp_table(func): - """ - Make a temporary copy of any parquet dataset class called by `write_tables` - """ - - def inner(*args, **kwargs): - try: - return func(*args, **kwargs) - except Exception: - # Restore old table - print() - - return inner - - -write_objects = create_temp_table(write_objects) - - -def migrate(catalog: BaseDataCatalog, version_from: str, version_to: str): - """ - Migrate the `catalog` between versions `version_from` and `version_to` - """ diff --git a/nautilus_trader/persistence/streaming/batching.py b/nautilus_trader/persistence/streaming/batching.py deleted file mode 100644 index 8614b12cc97f..000000000000 --- a/nautilus_trader/persistence/streaming/batching.py +++ /dev/null @@ -1,155 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import itertools -import sys -from collections.abc import Generator -from pathlib import Path -from typing import Optional, Union - -import fsspec -import numpy as np -import pyarrow as pa -import pyarrow.parquet as pq - -from nautilus_trader.core.data import Data -from nautilus_trader.core.nautilus_pyo3.persistence import DataBackendSession -from nautilus_trader.model.data import QuoteTick -from nautilus_trader.model.data import TradeTick -from nautilus_trader.model.identifiers import InstrumentId -from nautilus_trader.persistence.external.util import py_type_to_parquet_type -from nautilus_trader.persistence.wranglers import list_from_capsule -from nautilus_trader.serialization.arrow.serializer import ParquetSerializer - - -def _generate_batches_within_time_range( - batches: Generator[list[Data], None, None], - start_nanos: Optional[int] = None, - end_nanos: Optional[int] = None, -) -> Generator[list[Data], None, None]: - if start_nanos is None and end_nanos is None: - yield from batches - return - - if start_nanos is None: - start_nanos = 0 - - if end_nanos is None: - end_nanos = sys.maxsize - - start = start_nanos - end = end_nanos - started = False - for batch in batches: - min = batch[0].ts_init - max = batch[-1].ts_init - if min < start and max < start: - batch = [] # not started yet - - if max >= start and not started: - timestamps = np.array([x.ts_init for x in batch]) - mask = timestamps >= start - masked = list(itertools.compress(batch, mask)) - batch = masked - started = True - - if max > end: - timestamps = np.array([x.ts_init for x in batch]) - mask = timestamps <= end - masked = list(itertools.compress(batch, mask)) - batch = masked - if batch: - yield batch - return # stop iterating - - yield batch - - -def _generate_batches_rust( - files: list[str], - cls: type, - batch_size: int = 10_000, -) -> Generator[list[Union[QuoteTick, TradeTick]], None, None]: - files = sorted(files, key=lambda x: Path(x).stem) - - assert cls in (QuoteTick, TradeTick) - - session = DataBackendSession(chunk_size=batch_size) - - for file in files: - session.add_file( - "data", - file, - py_type_to_parquet_type(cls), - ) - - result = session.to_query_result() - - for chunk in result: - yield list_from_capsule(chunk) - - -def generate_batches_rust( - files: list[str], - cls: type, - batch_size: int = 10_000, - start_nanos: Optional[int] = None, - end_nanos: Optional[int] = None, -) -> Generator[list[Data], None, None]: - batches = _generate_batches_rust(files=files, cls=cls, batch_size=batch_size) - yield from _generate_batches_within_time_range(batches, start_nanos, end_nanos) - - -def _generate_batches( - files: list[str], - cls: type, - fs: fsspec.AbstractFileSystem, - instrument_id: Optional[InstrumentId] = None, # Should be stored in metadata of parquet file? - batch_size: int = 10_000, -) -> Generator[list[Data], None, None]: - files = sorted(files, key=lambda x: Path(x).stem) - for file in files: - for batch in pq.ParquetFile(fs.open(file)).iter_batches(batch_size=batch_size): - if batch.num_rows == 0: - break - - table = pa.Table.from_batches([batch]) - - if instrument_id is not None and "instrument_id" not in batch.schema.names: - table = table.append_column( - "instrument_id", - pa.array([str(instrument_id)] * len(table), pa.string()), - ) - objs = ParquetSerializer.deserialize(cls=cls, chunk=table.to_pylist()) - yield objs - - -def generate_batches( - files: list[str], - cls: type, - fs: fsspec.AbstractFileSystem, - instrument_id: Optional[InstrumentId] = None, - batch_size: int = 10_000, - start_nanos: Optional[int] = None, - end_nanos: Optional[int] = None, -) -> Generator[list[Data], None, None]: - batches = _generate_batches( - files=files, - cls=cls, - instrument_id=instrument_id, - fs=fs, - batch_size=batch_size, - ) - yield from _generate_batches_within_time_range(batches, start_nanos, end_nanos) diff --git a/nautilus_trader/persistence/streaming/engine.py b/nautilus_trader/persistence/streaming/engine.py deleted file mode 100644 index db6f84a7f697..000000000000 --- a/nautilus_trader/persistence/streaming/engine.py +++ /dev/null @@ -1,240 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import heapq -import itertools -import sys -from collections.abc import Generator - -import fsspec -import numpy as np - -from nautilus_trader.config import BacktestDataConfig -from nautilus_trader.core.data import Data -from nautilus_trader.model.data import Bar -from nautilus_trader.model.data import BarSpecification -from nautilus_trader.model.identifiers import InstrumentId -from nautilus_trader.persistence.funcs import parse_bytes -from nautilus_trader.persistence.streaming.batching import generate_batches -from nautilus_trader.persistence.streaming.batching import generate_batches_rust - - -class _StreamingBuffer: - def __init__(self, batches: Generator): - self._data: list = [] - self._is_complete = False - self._batches = batches - self._size = 10_000 - - @property - def is_complete(self) -> bool: - return self._is_complete and len(self) == 0 - - def remove_front(self, timestamp_ns: int) -> list: - if len(self) == 0 or timestamp_ns < self._data[0].ts_init: - return [] # nothing to remove - - timestamps = np.array([x.ts_init for x in self._data]) - mask = timestamps <= timestamp_ns - removed = list(itertools.compress(self._data, mask)) - self._data = list(itertools.compress(self._data, np.invert(mask))) - return removed - - def add_data(self) -> None: - if len(self) >= self._size: - return # buffer filled already - - objs = next(self._batches, None) - if objs is None: - self._is_complete = True - else: - self._data.extend(objs) - - @property - def max_timestamp(self) -> int: - return self._data[-1].ts_init - - def __len__(self) -> int: - return len(self._data) - - def __repr__(self): - return f"{self.__class__.__name__}({len(self)})" - - -class _BufferIterator: - """ - Streams merged batches of nautilus objects from _StreamingBuffer objects. - """ - - def __init__( - self, - buffers: list[_StreamingBuffer], - target_batch_size_bytes: int = parse_bytes("100mb"), # , - ): - self._buffers = buffers - self._target_batch_size_bytes = target_batch_size_bytes - - def __iter__(self) -> Generator[list[Data], None, None]: - yield from self._iterate_batches_to_target_memory() - - def _iterate_batches_to_target_memory(self) -> Generator[list[Data], None, None]: - bytes_read = 0 - values = [] - - for objs in self._iterate_batches(): - values.extend(objs) - - bytes_read += sum([sys.getsizeof(x) for x in values]) - - if bytes_read > self._target_batch_size_bytes: - yield values - bytes_read = 0 - values = [] - - if values: # yield remaining values - yield values - - def _iterate_batches(self) -> Generator[list[Data], None, None]: - while True: - for buffer in self._buffers: - buffer.add_data() - - self._remove_completed() - - if len(self._buffers) == 0: - return # Stop iterating - - yield self._remove_front() - - self._remove_completed() - - def _remove_front(self) -> list[Data]: - # Get the timestamp to trim at (the minimum of the maximum timestamps) - trim_timestamp = min(buffer.max_timestamp for buffer in self._buffers if len(buffer) > 0) - - # Trim front of buffers by timestamp - chunks = [] - for buffer in self._buffers: - chunk = buffer.remove_front(trim_timestamp) - if chunk == []: - continue - chunks.append(chunk) - - if not chunks: - return [] - - # Merge chunks together - objs = list(heapq.merge(*chunks, key=lambda x: x.ts_init)) - return objs - - def _remove_completed(self) -> None: - self._buffers = [b for b in self._buffers if not b.is_complete] - - -class StreamingEngine(_BufferIterator): - """ - Streams merged batches of Nautilus objects from `BacktestDataConfig` objects. - """ - - def __init__( - self, - data_configs: list[BacktestDataConfig], - target_batch_size_bytes: int = parse_bytes("512mb"), # , - ): - # Sort configs (larger time_aggregated bar specifications first) - # Define the order of objects with the same timestamp. - # Larger bar aggregations first. H4 > H1 - def _sort_larger_specifications_first(config: BacktestDataConfig) -> tuple[int, int]: - if config.bar_spec is None: - return sys.maxsize, sys.maxsize # last - else: - spec = BarSpecification.from_str(config.bar_spec) - return spec.aggregation * -1, spec.step * -1 - - self._configs = sorted(data_configs, key=_sort_larger_specifications_first) - - buffers = list(map(self._config_to_buffer, data_configs)) - - super().__init__( - buffers=buffers, - target_batch_size_bytes=target_batch_size_bytes, - ) - - @staticmethod - def _config_to_buffer(config: BacktestDataConfig) -> _StreamingBuffer: - if config.data_type is Bar: - assert config.bar_spec - - files = config.catalog().get_files( - cls=config.data_type, - instrument_id=config.instrument_id, - start_nanos=config.start_time_nanos, - end_nanos=config.end_time_nanos, - bar_spec=BarSpecification.from_str(config.bar_spec) if config.bar_spec else None, - ) - - assert files, f"No files found for {config}" - assert config.batch_size is not None - - if config.use_rust: - batches = generate_batches_rust( - files=files, - cls=config.data_type, - batch_size=config.batch_size, - start_nanos=config.start_time_nanos, - end_nanos=config.end_time_nanos, - ) - else: - batches = generate_batches( - files=files, - cls=config.data_type, - instrument_id=InstrumentId.from_str(config.instrument_id) - if config.instrument_id - else None, - fs=fsspec.filesystem(config.catalog_fs_protocol or "file"), - batch_size=config.batch_size, - start_nanos=config.start_time_nanos, - end_nanos=config.end_time_nanos, - ) - - return _StreamingBuffer(batches=batches) - - -def extract_generic_data_client_ids(data_configs: list["BacktestDataConfig"]) -> dict: - """ - Extract a mapping of data_type : client_id from the list of `data_configs`. - In the process of merging the streaming data, we lose the `client_id` for - generic data, we need to inject this back in so the backtest engine can be - correctly loaded. - """ - data_client_ids = [ - (config.data_type, config.client_id) for config in data_configs if config.client_id - ] - assert len(set(data_client_ids)) == len( - dict(data_client_ids), - ), "data_type found with multiple client_ids" - return dict(data_client_ids) - - -def groupby_datatype(data): - def _groupby_key(x): - return type(x).__name__ - - return [ - {"type": type(v[0]), "data": v} - for v in [ - list(v) for _, v in itertools.groupby(sorted(data, key=_groupby_key), key=_groupby_key) - ] - ] diff --git a/nautilus_trader/persistence/wranglers.pxd b/nautilus_trader/persistence/wranglers.pxd index d20319fc70dd..74485a4c519b 100644 --- a/nautilus_trader/persistence/wranglers.pxd +++ b/nautilus_trader/persistence/wranglers.pxd @@ -14,17 +14,49 @@ # ------------------------------------------------------------------------------------------------- from libc.stdint cimport int64_t +from libc.stdint cimport uint8_t from libc.stdint cimport uint64_t from nautilus_trader.model.data.bar cimport Bar from nautilus_trader.model.data.bar cimport BarType +from nautilus_trader.model.data.book cimport OrderBookDelta from nautilus_trader.model.data.tick cimport QuoteTick from nautilus_trader.model.data.tick cimport TradeTick from nautilus_trader.model.enums_c cimport AggressorSide +from nautilus_trader.model.enums_c cimport BookAction +from nautilus_trader.model.enums_c cimport OrderSide from nautilus_trader.model.instruments.base cimport Instrument -cdef list capsule_to_data_list(object capsule) +cdef class OrderBookDeltaDataWrangler: + cdef readonly Instrument instrument + + cpdef OrderBookDelta _build_delta_from_raw( + self, + BookAction action, + OrderSide side, + int64_t price_raw, + uint64_t size_raw, + uint64_t order_id, + uint8_t flags, + uint64_t sequence, + uint64_t ts_event, + uint64_t ts_init, + ) + + cpdef OrderBookDelta _build_delta( + self, + BookAction action, + OrderSide side, + double price, + double size, + uint64_t order_id, + uint8_t flags, + uint64_t sequence, + uint64_t ts_event, + uint64_t ts_init, + ) + cdef class QuoteTickDataWrangler: cdef readonly Instrument instrument diff --git a/nautilus_trader/persistence/wranglers.pyx b/nautilus_trader/persistence/wranglers.pyx index a5818df809fb..751628aa80c6 100644 --- a/nautilus_trader/persistence/wranglers.pyx +++ b/nautilus_trader/persistence/wranglers.pyx @@ -20,49 +20,157 @@ from typing import Optional import numpy as np import pandas as pd -from cpython.pycapsule cimport PyCapsule_GetPointer +from nautilus_trader.model.enums import book_action_from_str +from nautilus_trader.model.enums import order_side_from_str + from libc.stdint cimport int64_t +from libc.stdint cimport uint8_t from libc.stdint cimport uint64_t from nautilus_trader.core.correctness cimport Condition from nautilus_trader.core.data cimport Data from nautilus_trader.core.datetime cimport as_utc_index +from nautilus_trader.core.datetime cimport dt_to_unix_nanos from nautilus_trader.core.rust.core cimport CVec from nautilus_trader.core.rust.core cimport secs_to_nanos -from nautilus_trader.core.rust.model cimport Data_t -from nautilus_trader.core.rust.model cimport Data_t_Tag from nautilus_trader.model.data.bar cimport Bar from nautilus_trader.model.data.bar cimport BarType from nautilus_trader.model.data.book cimport OrderBookDelta from nautilus_trader.model.data.tick cimport QuoteTick from nautilus_trader.model.data.tick cimport TradeTick from nautilus_trader.model.enums_c cimport AggressorSide +from nautilus_trader.model.enums_c cimport BookAction +from nautilus_trader.model.enums_c cimport OrderSide from nautilus_trader.model.identifiers cimport TradeId from nautilus_trader.model.instruments.base cimport Instrument from nautilus_trader.model.objects cimport Price from nautilus_trader.model.objects cimport Quantity -# Safety: Do NOT deallocate the capsule here -cdef inline list capsule_to_data_list(object capsule): - cdef CVec* data = PyCapsule_GetPointer(capsule, NULL) - cdef Data_t* ptr = data.ptr - cdef list ticks = [] +cdef class OrderBookDeltaDataWrangler: + """ + Provides a means of building lists of Nautilus `OrderBookDelta` objects. - cdef uint64_t i - for i in range(0, data.len): - if ptr[i].tag == Data_t_Tag.TRADE: - ticks.append(TradeTick.from_mem_c(ptr[i].trade)) - elif ptr[i].tag == Data_t_Tag.QUOTE: - ticks.append(QuoteTick.from_mem_c(ptr[i].quote)) - elif ptr[i].tag == Data_t_Tag.DELTA: - ticks.append(OrderBookDelta.from_mem_c(ptr[i].delta)) + Parameters + ---------- + instrument : Instrument + The instrument for the data wrangler. + + """ + + def __init__(self, Instrument instrument not None): + self.instrument = instrument - return ticks + def process(self, data: pd.DataFrame, ts_init_delta: int=0, bint is_raw=False): + """ + Process the given order book dataset into Nautilus `OrderBookDelta` objects. + + Parameters + ---------- + data : pd.DataFrame + The data to process. + ts_init_delta : int + The difference in nanoseconds between the data timestamps and the + `ts_init` value. Can be used to represent/simulate latency between + the data source and the Nautilus system. + is_raw : bool, default False + If the data is scaled to the Nautilus fixed precision. + + Raises + ------ + ValueError + If `data` is empty. + + """ + Condition.not_none(data, "data") + Condition.false(data.empty, "data.empty") + + data = as_utc_index(data) + cdef uint64_t[:] ts_events = np.ascontiguousarray([dt_to_unix_nanos(dt) for dt in data.index], dtype=np.uint64) # noqa + cdef uint64_t[:] ts_inits = np.ascontiguousarray([ts_event + ts_init_delta for ts_event in ts_events], dtype=np.uint64) # noqa + + if is_raw: + return list(map( + self._build_delta_from_raw, + data["action"].apply(book_action_from_str), + data["side"].apply(order_side_from_str), + data["price"], + data["size"], + data["order_id"], + data["flags"], + data["sequence"], + ts_events, + ts_inits, + )) + else: + return list(map( + self._build_delta, + data["action"].apply(book_action_from_str), + data["side"].apply(order_side_from_str), + data["price"], + data["size"], + data["order_id"], + data["flags"], + data["sequence"], + ts_events, + ts_inits, + )) + # cpdef method for Python wrap() (called with map) + cpdef OrderBookDelta _build_delta_from_raw( + self, + BookAction action, + OrderSide side, + int64_t price_raw, + uint64_t size_raw, + uint64_t order_id, + uint8_t flags, + uint64_t sequence, + uint64_t ts_event, + uint64_t ts_init, + ): + return OrderBookDelta.from_raw_c( + self.instrument.id, + action, + side, + price_raw, + self.instrument.price_precision, + size_raw, + self.instrument.size_precision, + order_id, + flags, + sequence, + ts_event, + ts_init, + ) -def list_from_capsule(capsule) -> list[Data]: - return capsule_to_data_list(capsule) + # cpdef method for Python wrap() (called with map) + cpdef OrderBookDelta _build_delta( + self, + BookAction action, + OrderSide side, + double price, + double size, + uint64_t order_id, + uint8_t flags, + uint64_t sequence, + uint64_t ts_event, + uint64_t ts_init, + ): + return OrderBookDelta.from_raw_c( + self.instrument.id, + action, + side, + int(price * 1e9), + self.instrument.price_precision, + int(size * 1e9), + self.instrument.size_precision, + order_id, + flags, + sequence, + ts_event, + ts_init, + ) cdef class QuoteTickDataWrangler: @@ -123,7 +231,7 @@ cdef class QuoteTickDataWrangler: if "ask_size" not in data.columns: data["ask_size"] = float(default_volume) - cdef uint64_t[:] ts_events = np.ascontiguousarray([secs_to_nanos(dt.timestamp()) for dt in data.index], dtype=np.uint64) # noqa + cdef uint64_t[:] ts_events = np.ascontiguousarray([dt_to_unix_nanos(dt) for dt in data.index], dtype=np.uint64) # noqa cdef uint64_t[:] ts_inits = np.ascontiguousarray([ts_event + ts_init_delta for ts_event in ts_events], dtype=np.uint64) # noqa return list(map( @@ -355,8 +463,7 @@ cdef class TradeTickDataWrangler: Condition.false(data.empty, "data.empty") data = as_utc_index(data) - - cdef uint64_t[:] ts_events = np.ascontiguousarray([secs_to_nanos(dt.timestamp()) for dt in data.index], dtype=np.uint64) # noqa + cdef uint64_t[:] ts_events = np.ascontiguousarray([dt_to_unix_nanos(dt) for dt in data.index], dtype=np.uint64) # noqa cdef uint64_t[:] ts_inits = np.ascontiguousarray([ts_event + ts_init_delta for ts_event in ts_events], dtype=np.uint64) # noqa if is_raw: diff --git a/nautilus_trader/persistence/wranglers_v2.py b/nautilus_trader/persistence/wranglers_v2.py index beabf5956b61..9e437f48101b 100644 --- a/nautilus_trader/persistence/wranglers_v2.py +++ b/nautilus_trader/persistence/wranglers_v2.py @@ -13,30 +13,63 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from typing import Any +from __future__ import annotations + +import abc +from typing import Any, ClassVar import pandas as pd import pyarrow as pa +from nautilus_trader.core.nautilus_pyo3 import Bar as RustBar +from nautilus_trader.core.nautilus_pyo3 import BarDataWrangler as RustBarDataWrangler + # fmt: off -from nautilus_trader.core.nautilus_pyo3.model import Bar as RustBar -from nautilus_trader.core.nautilus_pyo3.model import OrderBookDelta as RustOrderBookDelta -from nautilus_trader.core.nautilus_pyo3.model import QuoteTick as RustQuoteTick -from nautilus_trader.core.nautilus_pyo3.model import TradeTick as RustTradeTick -from nautilus_trader.core.nautilus_pyo3.persistence import BarDataWrangler as RustBarDataWrangler -from nautilus_trader.core.nautilus_pyo3.persistence import OrderBookDeltaDataWrangler as RustOrderBookDeltaDataWrangler -from nautilus_trader.core.nautilus_pyo3.persistence import QuoteTickDataWrangler as RustQuoteTickDataWrangler -from nautilus_trader.core.nautilus_pyo3.persistence import TradeTickDataWrangler as RustTradeTickDataWrangler +from nautilus_trader.core.nautilus_pyo3 import OrderBookDelta as RustOrderBookDelta +from nautilus_trader.core.nautilus_pyo3 import OrderBookDeltaDataWrangler as RustOrderBookDeltaDataWrangler +from nautilus_trader.core.nautilus_pyo3 import QuoteTick as RustQuoteTick +from nautilus_trader.core.nautilus_pyo3 import QuoteTickDataWrangler as RustQuoteTickDataWrangler +from nautilus_trader.core.nautilus_pyo3 import TradeTick as RustTradeTick +from nautilus_trader.core.nautilus_pyo3 import TradeTickDataWrangler as RustTradeTickDataWrangler from nautilus_trader.model.data import BarType from nautilus_trader.model.instruments import Instrument # fmt: on + +################################################################################################### # These classes are only intended to be used under the hood of the ParquetDataCatalog v2 at this stage +################################################################################################### + + +class WranglerBase(abc.ABC): + IGNORE_KEYS: ClassVar[set[bytes]] = {b"class", b"pandas"} + @classmethod + def from_instrument(cls, instrument: Instrument, **kwargs: Any): + return cls( # type: ignore + instrument_id=instrument.id.value, + price_precision=instrument.price_precision, + size_precision=instrument.size_precision, + **kwargs, + ) -class OrderBookDeltaDataWrangler: + @classmethod + def from_schema(cls, schema: pa.Schema): + def decode(k, v): + if k in (b"price_precision", b"size_precision"): + return int(v.decode()) + elif k in (b"instrument_id", b"bar_type"): + return v.decode() + + metadata = schema.metadata + return cls( + **{k.decode(): decode(k, v) for k, v in metadata.items() if k not in cls.IGNORE_KEYS}, + ) + + +class OrderBookDeltaDataWrangler(WranglerBase): """ Provides a means of building lists of Nautilus `OrderBookDelta` objects. @@ -52,18 +85,22 @@ class OrderBookDeltaDataWrangler: """ - def __init__(self, instrument: Instrument) -> None: - self.instrument = instrument + def __init__( + self, + instrument_id: str, + price_precision: int, + size_precision: int, + ) -> None: self._inner = RustOrderBookDeltaDataWrangler( - instrument_id=instrument.id.value, - price_precision=instrument.price_precision, - size_precision=instrument.size_precision, + instrument_id=instrument_id, + price_precision=price_precision, + size_precision=size_precision, ) def from_arrow( self, table: pa.Table, - ) -> list[RustQuoteTick]: + ) -> list[RustOrderBookDelta]: sink = pa.BufferOutputStream() writer: pa.RecordBatchStreamWriter = pa.ipc.new_stream(sink, table.schema) writer.write_table(table) @@ -137,7 +174,7 @@ def from_pandas( return self.from_arrow(table) -class QuoteTickDataWrangler: +class QuoteTickDataWrangler(WranglerBase): """ Provides a means of building lists of Nautilus `QuoteTick` objects. @@ -153,12 +190,11 @@ class QuoteTickDataWrangler: """ - def __init__(self, instrument: Instrument) -> None: - self.instrument = instrument + def __init__(self, instrument_id: str, price_precision: int, size_precision: int) -> None: self._inner = RustQuoteTickDataWrangler( - instrument_id=instrument.id.value, - price_precision=instrument.price_precision, - size_precision=instrument.size_precision, + instrument_id=instrument_id, + price_precision=price_precision, + size_precision=size_precision, ) def from_arrow( @@ -255,7 +291,7 @@ def from_pandas( return self.from_arrow(table) -class TradeTickDataWrangler: +class TradeTickDataWrangler(WranglerBase): """ Provides a means of building lists of Nautilus `TradeTick` objects. @@ -271,18 +307,22 @@ class TradeTickDataWrangler: """ - def __init__(self, instrument: Instrument) -> None: - self.instrument = instrument + def __init__( + self, + instrument_id: str, + price_precision: int, + size_precision: int, + ) -> None: self._inner = RustTradeTickDataWrangler( - instrument_id=instrument.id.value, - price_precision=instrument.price_precision, - size_precision=instrument.size_precision, + instrument_id=instrument_id, + price_precision=price_precision, + size_precision=size_precision, ) def from_arrow( self, table: pa.Table, - ) -> list[RustQuoteTick]: + ) -> list[RustTradeTick]: sink = pa.BufferOutputStream() writer: pa.RecordBatchStreamWriter = pa.ipc.new_stream(sink, table.schema) writer.write_table(table) @@ -368,7 +408,8 @@ def _map_aggressor_side(val: bool) -> int: return 1 if val else 2 -class BarDataWrangler: +class BarDataWrangler(WranglerBase): + IGNORE_KEYS = {b"class", b"pandas", b"instrument_id"} """ Provides a means of building lists of Nautilus `Bar` objects. @@ -384,19 +425,23 @@ class BarDataWrangler: """ - def __init__(self, instrument: Instrument, bar_type: BarType) -> None: - self.instrument = instrument + def __init__( + self, + bar_type: BarType, + price_precision: int, + size_precision: int, + ) -> None: self.bar_type = bar_type self._inner = RustBarDataWrangler( - bar_type=bar_type.instrument_id.value, - price_precision=instrument.price_precision, - size_precision=instrument.size_precision, + bar_type=bar_type, + price_precision=price_precision, + size_precision=size_precision, ) def from_arrow( self, table: pa.Table, - ) -> list[RustQuoteTick]: + ) -> list[RustBar]: sink = pa.BufferOutputStream() writer: pa.RecordBatchStreamWriter = pa.ipc.new_stream(sink, table.schema) writer.write_table(table) @@ -412,7 +457,7 @@ def from_pandas( ts_init_delta: int = 0, ) -> list[RustBar]: """ - Process the given `data` into Nautilus `TradeTick` objects. + Process the given `data` into Nautilus `Bar` objects. Parameters ---------- diff --git a/nautilus_trader/persistence/streaming/writer.py b/nautilus_trader/persistence/writer.py similarity index 50% rename from nautilus_trader/persistence/streaming/writer.py rename to nautilus_trader/persistence/writer.py index ea5cfd72467c..16e492ab132e 100644 --- a/nautilus_trader/persistence/streaming/writer.py +++ b/nautilus_trader/persistence/writer.py @@ -13,26 +13,33 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +from __future__ import annotations + import datetime -from typing import Any, BinaryIO, Optional +from io import TextIOWrapper +from typing import Any, BinaryIO import fsspec import pyarrow as pa +from fsspec.compression import AbstractBufferedFile from pyarrow import RecordBatchStreamWriter from nautilus_trader.common.logging import LoggerAdapter from nautilus_trader.core.correctness import PyCondition from nautilus_trader.core.data import Data -from nautilus_trader.core.inspect import is_nautilus_class +from nautilus_trader.model.data import Bar from nautilus_trader.model.data import GenericData from nautilus_trader.model.data import OrderBookDelta from nautilus_trader.model.data import OrderBookDeltas -from nautilus_trader.serialization.arrow.serializer import ParquetSerializer -from nautilus_trader.serialization.arrow.serializer import get_cls_table +from nautilus_trader.model.data import QuoteTick +from nautilus_trader.model.data import TradeTick +from nautilus_trader.model.identifiers import InstrumentId +from nautilus_trader.model.instruments import Instrument +from nautilus_trader.persistence.funcs import class_to_filename +from nautilus_trader.persistence.funcs import urisafe_instrument_id +from nautilus_trader.serialization.arrow.serializer import ArrowSerializer from nautilus_trader.serialization.arrow.serializer import list_schemas -from nautilus_trader.serialization.arrow.serializer import register_parquet -from nautilus_trader.serialization.arrow.util import GENERIC_DATA_PREFIX -from nautilus_trader.serialization.arrow.util import list_dicts_to_dict_lists +from nautilus_trader.serialization.arrow.serializer import register_arrow class StreamingFeatherWriter: @@ -58,19 +65,17 @@ def __init__( self, path: str, logger: LoggerAdapter, - fs_protocol: Optional[str] = "file", - flush_interval_ms: Optional[int] = None, + fs_protocol: str | None = "file", + flush_interval_ms: int | None = None, replace: bool = False, - include_types: Optional[tuple[type]] = None, - ): - self.fs: fsspec.AbstractFileSystem = fsspec.filesystem(fs_protocol) - + include_types: tuple[type] | None = None, + ) -> None: self.path = path - + self.fs: fsspec.AbstractFileSystem = fsspec.filesystem(fs_protocol) self.fs.makedirs(self.fs._parent(self.path), exist_ok=True) - err_dir_empty = "Path must be directory or empty" - assert self.fs.isdir(self.path) or not self.fs.exists(self.path), err_dir_empty + if self.fs.exists(self.path) and not self.fs.isdir(self.path): + raise FileNotFoundError("Path must be directory or empty") self.include_types = include_types if self.fs.exists(self.path) and replace: @@ -81,46 +86,118 @@ def __init__( self.fs.makedirs(self.fs._parent(self.path), exist_ok=True) self._schemas = list_schemas() - self._schemas.update( - { - OrderBookDelta: self._schemas[OrderBookDelta], - OrderBookDeltas: self._schemas[OrderBookDelta], - }, - ) self.logger = logger - self._files: dict[type, BinaryIO] = {} - self._writers: dict[type, RecordBatchStreamWriter] = {} + self._files: dict[object, TextIOWrapper | BinaryIO | AbstractBufferedFile] = {} + self._writers: dict[str, RecordBatchStreamWriter] = {} + self._instrument_writers: dict[tuple[str, str], RecordBatchStreamWriter] = {} + self._per_instrument_writers = { + "trade_tick", + "quote_tick", + "order_book_delta", + "ticker", + } + self._instruments: dict[InstrumentId, Instrument] = {} self._create_writers() self.flush_interval_ms = datetime.timedelta(milliseconds=flush_interval_ms or 1000) self._last_flush = datetime.datetime(1970, 1, 1) # Default value to begin self.missing_writers: set[type] = set() - def _create_writer(self, cls): + @property + def is_closed(self) -> bool: + """ + Return whether all file streams are closed. + + Returns + ------- + bool + + """ + return all(self._files[table_name].closed for table_name in self._files) + + def _create_writer(self, cls: type, table_name: str | None = None): if self.include_types is not None and cls.__name__ not in self.include_types: return - table_name = get_cls_table(cls).__name__ + + table_name = class_to_filename(cls) if not table_name else table_name + if table_name in self._writers: return - prefix = GENERIC_DATA_PREFIX if not is_nautilus_class(cls) else "" + if table_name in self._per_instrument_writers: + return + schema = self._schemas[cls] - full_path = f"{self.path}/{prefix}{table_name}.feather" + full_path = f"{self.path}/{table_name}.feather" self.fs.makedirs(self.fs._parent(full_path), exist_ok=True) f = self.fs.open(full_path, "wb") - self._files[cls] = f - + self._files[table_name] = f self._writers[table_name] = pa.ipc.new_stream(f, schema) - def _create_writers(self): + def _create_writers(self) -> None: for cls in self._schemas: self._create_writer(cls=cls) - @property - def closed(self) -> bool: - return all(self._files[cls].closed for cls in self._files) + def _create_instrument_writer(self, cls: type, obj: Any) -> None: + """ + Create an arrow writer with instrument specific metadata in the schema. + """ + metadata: dict[bytes, bytes] = self._extract_obj_metadata(obj) + mapped_cls = {OrderBookDeltas: OrderBookDelta}.get(cls, cls) + schema = self._schemas[mapped_cls].with_metadata(metadata) + table_name = class_to_filename(cls) + folder = f"{self.path}/{table_name}" + key = (table_name, obj.instrument_id.value) + self.fs.makedirs(folder, exist_ok=True) + + full_path = f"{folder}/{urisafe_instrument_id(obj.instrument_id.value)}.feather" + f = self.fs.open(full_path, "wb") + self._files[key] = f + self._instrument_writers[key] = pa.ipc.new_stream(f, schema) - def write(self, obj: object) -> None: + def _extract_obj_metadata( + self, + obj: TradeTick | QuoteTick | Bar | OrderBookDelta, + ) -> dict[bytes, bytes]: + instrument = self._instruments[obj.instrument_id] + metadata = {b"instrument_id": obj.instrument_id.value.encode()} + if isinstance(obj, OrderBookDelta): + metadata.update( + { + b"price_precision": str(instrument.price_precision).encode(), + b"size_precision": str(instrument.size_precision).encode(), + }, + ) + elif isinstance(obj, OrderBookDeltas): + metadata.update( + { + b"price_precision": str(instrument.price_precision).encode(), + b"size_precision": str(instrument.size_precision).encode(), + }, + ) + elif isinstance(obj, (QuoteTick, TradeTick)): + metadata.update( + { + b"price_precision": str(instrument.price_precision).encode(), + b"size_precision": str(instrument.size_precision).encode(), + }, + ) + elif isinstance(obj, Bar): + metadata.update( + { + b"bar_type": str(obj.bar_type).encode(), + b"price_precision": str(instrument.price_precision).encode(), + b"size_precision": str(instrument.size_precision).encode(), + }, + ) + else: + raise NotImplementedError( + f"type '{(type(obj)).__name__}' not currently supported for writing feather files.", + ) + + return metadata + + def write(self, obj: object) -> None: # noqa: C901 """ Write the object to the stream. @@ -140,35 +217,44 @@ def write(self, obj: object) -> None: cls = obj.__class__ if isinstance(obj, GenericData): cls = obj.data_type.type - table = get_cls_table(cls).__name__ + elif isinstance(obj, Instrument): + if obj.id not in self._instruments: + self._instruments[obj.id] = obj + + table = class_to_filename(cls) + if isinstance(obj, Bar): + bar: Bar = obj + table += f"_{str(bar.bar_type).lower()}" + if table not in self._writers: - if table.startswith("Signal"): + if table.startswith("genericdata_signal"): self._create_writer(cls=cls) + elif table.startswith("bar"): + self._create_writer(cls=cls, table_name=table) + elif table in self._per_instrument_writers: + key = (table, obj.instrument_id.value) # type: ignore + if key not in self._instrument_writers: + self._create_instrument_writer(cls=cls, obj=obj) elif cls not in self.missing_writers: self.logger.warning(f"Can't find writer for cls: {cls}") self.missing_writers.add(cls) return else: return - writer: RecordBatchStreamWriter = self._writers[table] - serialized = ParquetSerializer.serialize(obj) + if table in self._per_instrument_writers: + writer: RecordBatchStreamWriter = self._instrument_writers[(table, obj.instrument_id.value)] # type: ignore + else: + writer: RecordBatchStreamWriter = self._writers[table] # type: ignore + serialized = ArrowSerializer.serialize_batch([obj], data_cls=cls) if not serialized: return - if isinstance(serialized, dict): - serialized = [serialized] - original = list_dicts_to_dict_lists( - serialized, - keys=self._schemas[cls].names, - ) - data = list(original.values()) try: - batch = pa.record_batch(data, schema=self._schemas[cls]) - writer.write_batch(batch) + writer.write_table(serialized) self.check_flush() except Exception as e: self.logger.error(f"Failed to serialize {cls=}") self.logger.error(f"ERROR = `{e}`") - self.logger.debug(f"data = {original}") + self.logger.debug(f"data = {obj}") def check_flush(self) -> None: """ @@ -192,11 +278,11 @@ def close(self) -> None: Flush and close all stream writers. """ self.flush() - for cls in tuple(self._writers): - self._writers[cls].close() - del self._writers[cls] - for cls in self._files: - self._files[cls].close() + for wcls in tuple(self._writers): + self._writers[wcls].close() + del self._writers[wcls] + for fcls in self._files: + self._files[fcls].close() def generate_signal_class(name: str, value_type: type) -> type: @@ -253,15 +339,20 @@ def ts_init(self) -> int: SignalData.__name__ = f"Signal{name.title()}" # Parquet serialization - def serialize_signal(self): - return { - "ts_init": self.ts_init, - "ts_event": self.ts_event, - "value": self.value, - } + def serialize_signal(data: SignalData) -> pa.RecordBatch: + return pa.RecordBatch.from_pylist( + [ + { + "ts_init": data.ts_init, + "ts_event": data.ts_event, + "value": data.value, + }, + ], + schema=schema, + ) - def deserialize_signal(data): - return SignalData(**data) + def deserialize_signal(table: pa.Table) -> list[SignalData]: + return [SignalData(**d) for d in table.to_pylist()] schema = pa.schema( { @@ -270,8 +361,8 @@ def deserialize_signal(data): "value": {int: pa.int64(), float: pa.float64(), str: pa.string()}[value_type], }, ) - register_parquet( - cls=SignalData, + register_arrow( + data_cls=SignalData, serializer=serialize_signal, deserializer=deserialize_signal, schema=schema, diff --git a/nautilus_trader/portfolio/__init__.py b/nautilus_trader/portfolio/__init__.py index 3ffe5e68dfe1..f13636962ca4 100644 --- a/nautilus_trader/portfolio/__init__.py +++ b/nautilus_trader/portfolio/__init__.py @@ -15,3 +15,12 @@ """ The `portfolio` subpackage provides portfolio management functionality. """ + +from nautilus_trader.portfolio.base import PortfolioFacade +from nautilus_trader.portfolio.portfolio import Portfolio + + +__all__ = [ + "Portfolio", + "PortfolioFacade", +] diff --git a/nautilus_trader/risk/engine.pxd b/nautilus_trader/risk/engine.pxd index e41aa74ae42d..958a9f86f0b4 100644 --- a/nautilus_trader/risk/engine.pxd +++ b/nautilus_trader/risk/engine.pxd @@ -94,6 +94,7 @@ cdef class RiskEngine(Component): cpdef void _deny_command(self, TradingCommand command, str reason) cpdef void _deny_new_order(self, TradingCommand command) + cpdef void _deny_modify_order(self, ModifyOrder command) cpdef void _deny_order(self, Order order, str reason) cpdef void _deny_order_list(self, OrderList order_list, str reason) cpdef void _reject_modify_order(self, Order order, str reason) diff --git a/nautilus_trader/risk/engine.pyx b/nautilus_trader/risk/engine.pyx index a7b398c09e44..490979ef158f 100644 --- a/nautilus_trader/risk/engine.pyx +++ b/nautilus_trader/risk/engine.pyx @@ -165,7 +165,7 @@ cdef class RiskEngine(Component): limit=order_modify_rate_limit, interval=order_modify_rate_interval, output_send=self._send_to_execution, - output_drop=None, # Buffer modify commands + output_drop=self._deny_modify_order, clock=clock, logger=logger, ) @@ -482,19 +482,19 @@ cdef class RiskEngine(Component): cdef Order order = self._cache.order(command.client_order_id) if order is None: self._log.error( - f"ModifyOrder DENIED: Order with {repr(command.client_order_id)} not found.", + f"ModifyOrder DENIED: Order with {command.client_order_id!r} not found.", ) return # Denied elif order.is_closed_c(): self._reject_modify_order( order=order, - reason=f"Order with {repr(command.client_order_id)} already closed", + reason=f"Order with {command.client_order_id!r} already closed", ) return # Denied elif order.is_pending_cancel_c(): self._reject_modify_order( order=order, - reason=f"Order with {repr(command.client_order_id)} already pending cancel", + reason=f"Order with {command.client_order_id!r} already pending cancel", ) return # Denied @@ -601,6 +601,7 @@ cdef class RiskEngine(Component): cdef QuoteTick last_quote = None cdef TradeTick last_trade = None cdef Price last_px = None + cdef Money free # Determine max notional cdef Money max_notional = None @@ -618,12 +619,14 @@ cdef class RiskEngine(Component): if account.is_margin_account: return True # TODO: Determine risk controls for margin + free = account.balance_free(instrument.quote_currency) + cdef: Order order Money notional - Money free = None Money cum_notional_buy = None Money cum_notional_sell = None + Money order_balance_impact = None double xrate for order in orders: if order.order_type == OrderType.MARKET or order.order_type == OrderType.MARKET_TO_LIMIT: @@ -668,7 +671,7 @@ cdef class RiskEngine(Component): notional = Money(order.quantity.as_f64_c() * xrate, instrument.base_currency) max_notional = Money(max_notional * Decimal(xrate), instrument.base_currency) else: - notional = instrument.notional_value(order.quantity, last_px) + notional = instrument.notional_value(order.quantity, last_px, use_quote_for_inverse=True) if max_notional and notional._mem.raw > max_notional._mem.raw: self._deny_order( @@ -677,20 +680,44 @@ cdef class RiskEngine(Component): ) return False # Denied - free = account.balance_free(notional.currency) + # Check MIN notional instrument limit + if ( + instrument.min_notional is not None + and instrument.min_notional.currency == notional.currency + and notional._mem.raw < instrument.min_notional._mem.raw + ): + self._deny_order( + order=order, + reason=f"NOTIONAL_LESS_THAN_MIN_FOR_INSTRUMENT {instrument.min_notional.to_str()} @ {notional.to_str()}", + ) + return False # Denied + + # Check MAX notional instrument limit + if ( + instrument.max_notional is not None + and instrument.max_notional.currency == notional.currency + and notional._mem.raw > instrument.max_notional._mem.raw + ): + self._deny_order( + order=order, + reason=f"NOTIONAL_GREATER_THAN_MAX_FOR_INSTRUMENT {instrument.max_notional.to_str()} @ {notional.to_str()}", + ) + return False # Denied + + order_balance_impact = account.balance_impact(instrument, order.quantity, last_px, order.side) - if free is not None and notional._mem.raw > free._mem.raw: + if free is not None and (free._mem.raw + order_balance_impact._mem.raw) < 0: self._deny_order( order=order, - reason=f"NOTIONAL_EXCEEDS_FREE_BALANCE {free.to_str()} @ {notional.to_str()}", + reason=f"NOTIONAL_EXCEEDS_FREE_BALANCE {free.to_str()} @ {order_balance_impact.to_str()}", ) return False # Denied if order.is_buy_c(): if cum_notional_buy is None: - cum_notional_buy = notional + cum_notional_buy = Money(-order_balance_impact, order_balance_impact.currency) else: - cum_notional_buy._mem.raw += notional._mem.raw + cum_notional_buy._mem.raw += -order_balance_impact._mem.raw if free is not None and cum_notional_buy._mem.raw >= free._mem.raw: self._deny_order( order=order, @@ -699,9 +726,9 @@ cdef class RiskEngine(Component): return False # Denied elif order.is_sell_c(): if cum_notional_sell is None: - cum_notional_sell = notional + cum_notional_sell = Money(order_balance_impact, order_balance_impact.currency) else: - cum_notional_sell._mem.raw += notional._mem.raw + cum_notional_sell._mem.raw += order_balance_impact._mem.raw if free is not None and cum_notional_sell._mem.raw >= free._mem.raw: self._deny_order( order=order, @@ -755,6 +782,14 @@ cdef class RiskEngine(Component): elif isinstance(command, SubmitOrderList): self._deny_order_list(command.order_list, reason="Exceeded MAX_ORDER_SUBMIT_RATE") + # Needs to be `cpdef` due being called from throttler + cpdef void _deny_modify_order(self, ModifyOrder command): + cdef Order order = self._cache.order(command.client_order_id) + if order is None: + self._log.error(f"Order with {command.client_order_id!r} not found.") + return + self._reject_modify_order(order, reason="Exceeded MAX_ORDER_MODIFY_RATE") + cpdef void _deny_order(self, Order order, str reason): self._log.error(f"SubmitOrder DENIED: {reason}.") diff --git a/nautilus_trader/serialization/arrow/__init__.py b/nautilus_trader/serialization/arrow/__init__.py index 9c4493ee6eca..ca16b56e4794 100644 --- a/nautilus_trader/serialization/arrow/__init__.py +++ b/nautilus_trader/serialization/arrow/__init__.py @@ -12,5 +12,3 @@ # See the License for the specific language governing permissions and # limitations under the License. # ------------------------------------------------------------------------------------------------- - -from nautilus_trader.serialization.arrow import implementations # noqa: F401 diff --git a/nautilus_trader/serialization/arrow/implementations/__init__.py b/nautilus_trader/serialization/arrow/implementations/__init__.py index 01e3d69c9e96..ca16b56e4794 100644 --- a/nautilus_trader/serialization/arrow/implementations/__init__.py +++ b/nautilus_trader/serialization/arrow/implementations/__init__.py @@ -12,10 +12,3 @@ # See the License for the specific language governing permissions and # limitations under the License. # ------------------------------------------------------------------------------------------------- - -from nautilus_trader.serialization.arrow.implementations import account_state # noqa: F401 -from nautilus_trader.serialization.arrow.implementations import bar # noqa: F401 -from nautilus_trader.serialization.arrow.implementations import instruments # noqa: F401 -from nautilus_trader.serialization.arrow.implementations import order_book # noqa: F401 -from nautilus_trader.serialization.arrow.implementations import order_events # noqa: F401 -from nautilus_trader.serialization.arrow.implementations import position_events # noqa: F401 diff --git a/nautilus_trader/serialization/arrow/implementations/account_state.py b/nautilus_trader/serialization/arrow/implementations/account_state.py index 7cbb88a6870a..72bbb97cbc26 100644 --- a/nautilus_trader/serialization/arrow/implementations/account_state.py +++ b/nautilus_trader/serialization/arrow/implementations/account_state.py @@ -13,19 +13,19 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -import itertools from typing import Optional import msgspec import pandas as pd +import pyarrow as pa +from pyarrow import RecordBatch from nautilus_trader.model.currency import Currency from nautilus_trader.model.events import AccountState from nautilus_trader.model.identifiers import InstrumentId -from nautilus_trader.serialization.arrow.serializer import register_parquet -def serialize(state: AccountState): +def serialize(state: AccountState) -> RecordBatch: result: dict[tuple[Currency, Optional[InstrumentId]], dict] = {} base = state.to_dict(state) @@ -70,10 +70,10 @@ def serialize(state: AccountState): }, ) - return list(result.values()) + return pa.RecordBatch.from_pylist(result.values(), schema=SCHEMA) -def _deserialize(values): +def _deserialize(values) -> AccountState: balances = [] for v in values: total = v.get("balance_total") @@ -113,20 +113,33 @@ def _deserialize(values): return AccountState.from_dict(state) -def deserialize(data: list[dict]): - results = [] - for _, chunk in itertools.groupby( - sorted(data, key=lambda x: x["event_id"]), - key=lambda x: x["event_id"], - ): - chunk = list(chunk) # type: ignore - results.append(_deserialize(values=chunk)) - return sorted(results, key=lambda x: x.ts_init) - - -register_parquet( - AccountState, - serializer=serialize, - deserializer=deserialize, - chunk=True, +def deserialize(data: pa.RecordBatch): + account_states = [] + for event_id in data.column("event_id").unique().to_pylist(): + event = data.filter(pa.compute.equal(data["event_id"], event_id)) + account = _deserialize(values=event.to_pylist()) + account_states.append(account) + return account_states + + +SCHEMA = pa.schema( + { + "account_id": pa.dictionary(pa.int16(), pa.string()), + "account_type": pa.dictionary(pa.int8(), pa.string()), + "base_currency": pa.dictionary(pa.int16(), pa.string()), + "balance_total": pa.float64(), + "balance_locked": pa.float64(), + "balance_free": pa.float64(), + "balance_currency": pa.dictionary(pa.int16(), pa.string()), + "margin_initial": pa.float64(), + "margin_maintenance": pa.float64(), + "margin_currency": pa.dictionary(pa.int16(), pa.string()), + "margin_instrument_id": pa.dictionary(pa.int64(), pa.string()), + "reported": pa.bool_(), + "info": pa.binary(), + "event_id": pa.string(), + "ts_event": pa.uint64(), + "ts_init": pa.uint64(), + }, + metadata={"type": "AccountState"}, ) diff --git a/nautilus_trader/serialization/arrow/implementations/instruments.py b/nautilus_trader/serialization/arrow/implementations/instruments.py index b73b0cd77bff..15054caa3820 100644 --- a/nautilus_trader/serialization/arrow/implementations/instruments.py +++ b/nautilus_trader/serialization/arrow/implementations/instruments.py @@ -13,9 +13,201 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +import pyarrow as pa + +from nautilus_trader.model.instruments import BettingInstrument +from nautilus_trader.model.instruments import CryptoFuture +from nautilus_trader.model.instruments import CryptoPerpetual +from nautilus_trader.model.instruments import CurrencyPair +from nautilus_trader.model.instruments import Equity +from nautilus_trader.model.instruments import FuturesContract from nautilus_trader.model.instruments import Instrument -from nautilus_trader.serialization.arrow.serializer import register_parquet +from nautilus_trader.model.instruments import OptionsContract + + +SCHEMAS = { + BettingInstrument: pa.schema( + { + "venue_name": pa.string(), + "currency": pa.string(), + "id": pa.string(), + "event_type_id": pa.string(), + "event_type_name": pa.string(), + "competition_id": pa.string(), + "competition_name": pa.string(), + "event_id": pa.string(), + "event_name": pa.string(), + "event_country_code": pa.string(), + "event_open_date": pa.string(), + "betting_type": pa.string(), + "market_id": pa.string(), + "market_name": pa.string(), + "market_start_time": pa.string(), + "market_type": pa.string(), + "selection_id": pa.string(), + "selection_name": pa.string(), + "selection_handicap": pa.string(), + "ts_event": pa.uint64(), + "ts_init": pa.uint64(), + }, + metadata={"type": "BettingInstrument"}, + ), + CurrencyPair: pa.schema( + { + "id": pa.dictionary(pa.int64(), pa.string()), + "raw_symbol": pa.string(), + "base_currency": pa.dictionary(pa.int16(), pa.string()), + "quote_currency": pa.dictionary(pa.int16(), pa.string()), + "price_precision": pa.uint8(), + "size_precision": pa.uint8(), + "price_increment": pa.dictionary(pa.int16(), pa.string()), + "size_increment": pa.dictionary(pa.int16(), pa.string()), + "lot_size": pa.dictionary(pa.int16(), pa.string()), + "max_quantity": pa.dictionary(pa.int16(), pa.string()), + "min_quantity": pa.dictionary(pa.int16(), pa.string()), + "max_notional": pa.dictionary(pa.int16(), pa.string()), + "min_notional": pa.dictionary(pa.int16(), pa.string()), + "max_price": pa.dictionary(pa.int16(), pa.string()), + "min_price": pa.dictionary(pa.int16(), pa.string()), + "margin_init": pa.string(), + "margin_maint": pa.string(), + "maker_fee": pa.string(), + "taker_fee": pa.string(), + "info": pa.binary(), + "ts_event": pa.uint64(), + "ts_init": pa.uint64(), + }, + ), + CryptoPerpetual: pa.schema( + { + "id": pa.dictionary(pa.int64(), pa.string()), + "raw_symbol": pa.string(), + "base_currency": pa.dictionary(pa.int16(), pa.string()), + "quote_currency": pa.dictionary(pa.int16(), pa.string()), + "settlement_currency": pa.dictionary(pa.int16(), pa.string()), + "is_inverse": pa.bool_(), + "price_precision": pa.uint8(), + "size_precision": pa.uint8(), + "price_increment": pa.dictionary(pa.int16(), pa.string()), + "size_increment": pa.dictionary(pa.int16(), pa.string()), + "max_quantity": pa.dictionary(pa.int16(), pa.string()), + "min_quantity": pa.dictionary(pa.int16(), pa.string()), + "max_notional": pa.dictionary(pa.int16(), pa.string()), + "min_notional": pa.dictionary(pa.int16(), pa.string()), + "max_price": pa.dictionary(pa.int16(), pa.string()), + "min_price": pa.dictionary(pa.int16(), pa.string()), + "margin_init": pa.string(), + "margin_maint": pa.string(), + "maker_fee": pa.string(), + "taker_fee": pa.string(), + "info": pa.binary(), + "ts_event": pa.uint64(), + "ts_init": pa.uint64(), + }, + ), + CryptoFuture: pa.schema( + { + "id": pa.dictionary(pa.int64(), pa.string()), + "raw_symbol": pa.string(), + "underlying": pa.dictionary(pa.int16(), pa.string()), + "quote_currency": pa.dictionary(pa.int16(), pa.string()), + "settlement_currency": pa.dictionary(pa.int16(), pa.string()), + "expiry_date": pa.dictionary(pa.int16(), pa.string()), + "price_precision": pa.uint8(), + "size_precision": pa.uint8(), + "price_increment": pa.dictionary(pa.int16(), pa.string()), + "size_increment": pa.dictionary(pa.int16(), pa.string()), + "max_quantity": pa.dictionary(pa.int16(), pa.string()), + "min_quantity": pa.dictionary(pa.int16(), pa.string()), + "max_notional": pa.dictionary(pa.int16(), pa.string()), + "min_notional": pa.dictionary(pa.int16(), pa.string()), + "max_price": pa.dictionary(pa.int16(), pa.string()), + "min_price": pa.dictionary(pa.int16(), pa.string()), + "margin_init": pa.string(), + "margin_maint": pa.string(), + "maker_fee": pa.string(), + "taker_fee": pa.string(), + "info": pa.binary(), + "ts_event": pa.uint64(), + "ts_init": pa.uint64(), + }, + ), + Equity: pa.schema( + { + "id": pa.dictionary(pa.int64(), pa.string()), + "raw_symbol": pa.string(), + "currency": pa.dictionary(pa.int16(), pa.string()), + "price_precision": pa.uint8(), + "size_precision": pa.uint8(), + "price_increment": pa.dictionary(pa.int16(), pa.string()), + "size_increment": pa.dictionary(pa.int16(), pa.string()), + "multiplier": pa.dictionary(pa.int16(), pa.string()), + "lot_size": pa.dictionary(pa.int16(), pa.string()), + "isin": pa.string(), + "margin_init": pa.string(), + "margin_maint": pa.string(), + "maker_fee": pa.string(), + "taker_fee": pa.string(), + "ts_event": pa.uint64(), + "ts_init": pa.uint64(), + }, + ), + FuturesContract: pa.schema( + { + "id": pa.dictionary(pa.int64(), pa.string()), + "raw_symbol": pa.string(), + "underlying": pa.dictionary(pa.int16(), pa.string()), + "asset_class": pa.dictionary(pa.int8(), pa.string()), + "currency": pa.dictionary(pa.int16(), pa.string()), + "price_precision": pa.uint8(), + "size_precision": pa.uint8(), + "price_increment": pa.dictionary(pa.int16(), pa.string()), + "size_increment": pa.dictionary(pa.int16(), pa.string()), + "multiplier": pa.dictionary(pa.int16(), pa.string()), + "lot_size": pa.dictionary(pa.int16(), pa.string()), + "expiry_date": pa.dictionary(pa.int16(), pa.string()), + "ts_event": pa.uint64(), + "ts_init": pa.uint64(), + }, + ), + OptionsContract: pa.schema( + { + "id": pa.dictionary(pa.int64(), pa.string()), + "raw_symbol": pa.string(), + "underlying": pa.dictionary(pa.int16(), pa.string()), + "asset_class": pa.dictionary(pa.int8(), pa.string()), + "currency": pa.dictionary(pa.int16(), pa.string()), + "price_precision": pa.uint8(), + "size_precision": pa.uint8(), + "price_increment": pa.dictionary(pa.int16(), pa.string()), + "size_increment": pa.dictionary(pa.int16(), pa.string()), + "multiplier": pa.dictionary(pa.int16(), pa.string()), + "lot_size": pa.dictionary(pa.int16(), pa.string()), + "expiry_date": pa.dictionary(pa.int64(), pa.string()), + "strike_price": pa.dictionary(pa.int64(), pa.string()), + "kind": pa.dictionary(pa.int8(), pa.string()), + "ts_event": pa.uint64(), + "ts_init": pa.uint64(), + }, + ), +} + + +def serialize(obj) -> pa.RecordBatch: + data = obj.to_dict(obj) + schema = SCHEMAS[obj.__class__].with_metadata({"class": obj.__class__.__name__}) + return pa.RecordBatch.from_pylist([data], schema) -for cls in Instrument.__subclasses__(): - register_parquet(cls, partition_keys=()) +def deserialize(batch: pa.RecordBatch) -> list[Instrument]: + ins_type = batch.schema.metadata.get(b"type") or batch.schema.metadata[b"class"] + Cls = { + b"BettingInstrument": BettingInstrument, + b"CurrencyPair": CurrencyPair, + b"CryptoPerpetual": CryptoPerpetual, + b"CryptoFuture": CryptoFuture, + b"Equity": Equity, + b"FuturesContract": FuturesContract, + b"OptionsContract": OptionsContract, + }[ins_type] + return [Cls.from_dict(data) for data in batch.to_pylist()] diff --git a/nautilus_trader/serialization/arrow/implementations/order_book.py b/nautilus_trader/serialization/arrow/implementations/order_book.py deleted file mode 100644 index 6007abbd9be8..000000000000 --- a/nautilus_trader/serialization/arrow/implementations/order_book.py +++ /dev/null @@ -1,95 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import itertools -from typing import Union - -from nautilus_trader.model.data import OrderBookDelta -from nautilus_trader.model.data import OrderBookDeltas -from nautilus_trader.model.identifiers import InstrumentId -from nautilus_trader.serialization.arrow.serializer import register_parquet - - -def _parse_delta(delta: OrderBookDelta): - return dict(**OrderBookDelta.to_dict(delta)) - - -def serialize(data: Union[OrderBookDelta, OrderBookDeltas]): - if isinstance(data, OrderBookDelta): - result = [_parse_delta(delta=data)] - elif isinstance(data, OrderBookDeltas): - result = [_parse_delta(delta=delta) for delta in data.deltas] - else: # pragma: no cover (design-time error) - raise TypeError(f"invalid order book data, was {type(data)}") - # Add a "last" message to let downstream consumers know the end of this group of messages - if result: - result[-1]["_last"] = True - return result - - -def _is_orderbook_snapshot(values: list): - # TODO: Reimplement - return values[0]["_type"] == "OrderBookSnapshot" - - -def _build_order_book_snapshot(values): - # First value is a CLEAR message, which we ignore - assert len({v["instrument_id"] for v in values}) == 1 - assert len(values) >= 2, f"Not enough values passed! {values}" - - instrument_id = InstrumentId.from_str(values[1]["instrument_id"]) - ts_event = values[1]["ts_event"] - ts_init = values[1]["ts_init"] - - # bids = [(order["price"], order["size"]) for order in values[1:] if order["side"] == "BUY"] - # asks = [(order["price"], order["size"]) for order in values[1:] if order["side"] == "SELL"] - - deltas = [OrderBookDelta.clear(instrument_id, ts_event, ts_init)] - deltas += [OrderBookDelta.from_dict(v) for v in values] - - return OrderBookDeltas(instrument_id=instrument_id, deltas=deltas) - - -def _build_order_book_deltas(values): - return OrderBookDeltas( - instrument_id=InstrumentId.from_str(values[0]["instrument_id"]), - deltas=[OrderBookDelta.from_dict(v) for v in values], - ) - - -def _sort_func(x): - return x["instrument_id"], x["ts_event"] - - -def deserialize(data: list[dict]): - assert not {d["side"] for d in data}.difference((None, "BUY", "SELL")), "Wrong sides" - results = [] - for _, chunk in itertools.groupby(sorted(data, key=_sort_func), key=_sort_func): - chunk = list(chunk) # type: ignore - if _is_orderbook_snapshot(values=chunk): # type: ignore - results.append(_build_order_book_snapshot(values=chunk)) - elif len(chunk) >= 1: # type: ignore - results.append(_build_order_book_deltas(values=chunk)) - return sorted(results, key=lambda x: x.ts_event) - - -for cls in [OrderBookDelta, OrderBookDeltas]: - register_parquet( - cls=cls, - serializer=serialize, - deserializer=deserialize, - table=OrderBookDelta, - chunk=True, - ) diff --git a/nautilus_trader/serialization/arrow/implementations/order_events.py b/nautilus_trader/serialization/arrow/implementations/order_events.py deleted file mode 100644 index 3ac71c44f0b9..000000000000 --- a/nautilus_trader/serialization/arrow/implementations/order_events.py +++ /dev/null @@ -1,78 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import json - -import msgspec - -from nautilus_trader.model.events import OrderEvent -from nautilus_trader.model.events import OrderFilled -from nautilus_trader.model.events import OrderInitialized -from nautilus_trader.model.events import OrderUpdated -from nautilus_trader.serialization.arrow.schema import NAUTILUS_PARQUET_SCHEMA -from nautilus_trader.serialization.arrow.serializer import register_parquet - - -def serialize(event: OrderEvent): - caster = { - "last_qty": float, - "last_px": float, - "price": float, - "quantity": float, - } - data = {k: caster[k](v) if k in caster else v for k, v in event.to_dict(event).items()} - return data - - -def serialize_order_initialized(event: OrderInitialized): - caster = { - "quantity": float, - "price": float, - } - data = event.to_dict(event) - data.update(json.loads(data.pop("options", "{}"))) - data = {k: caster[k](v) if (k in caster and v is not None) else v for k, v in data.items()} - return data - - -def deserialize_order_filled(data: dict) -> OrderFilled: - for k in ("last_px", "last_qty"): - data[k] = str(data[k]) - return OrderFilled.from_dict(data) - - -def deserialize_order_initialised(data: dict) -> OrderInitialized: - for k in ("price", "quantity"): - data[k] = str(data[k]) - options_fields = msgspec.json.decode( - NAUTILUS_PARQUET_SCHEMA[OrderInitialized].metadata[b"options_fields"], - ) - data["options"] = msgspec.json.encode({k: data.pop(k, None) for k in options_fields}) - return OrderInitialized.from_dict(data) - - -def deserialize_order_updated(data: dict) -> OrderUpdated: - for k in ("price", "quantity"): - data[k] = str(data[k]) - return OrderUpdated.from_dict(data) - - -register_parquet(OrderUpdated, serializer=serialize, deserializer=deserialize_order_updated) -register_parquet(OrderFilled, serializer=serialize, deserializer=deserialize_order_filled) -register_parquet( - OrderInitialized, - serializer=serialize_order_initialized, - deserializer=deserialize_order_initialised, -) diff --git a/nautilus_trader/serialization/arrow/implementations/orderbook_v2.py b/nautilus_trader/serialization/arrow/implementations/orderbook_v2.py deleted file mode 100644 index 152ff3d5e541..000000000000 --- a/nautilus_trader/serialization/arrow/implementations/orderbook_v2.py +++ /dev/null @@ -1,98 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import itertools -from typing import Union - -from nautilus_trader.model.data import OrderBookDelta -from nautilus_trader.model.data import OrderBookDeltas -from nautilus_trader.model.identifiers import InstrumentId -from nautilus_trader.serialization.arrow.serializer import register_parquet - - -def _parse_delta(delta: Union[OrderBookDelta, OrderBookDeltas], cls): - return dict(**OrderBookDelta.to_dict(delta), _type=cls.__name__) - - -def serialize(data: Union[OrderBookDelta, OrderBookDeltas]): - if isinstance(data, OrderBookDelta): - result = [_parse_delta(delta=data, cls=OrderBookDelta)] - elif isinstance(data, OrderBookDeltas): - result = [_parse_delta(delta=delta, cls=OrderBookDeltas) for delta in data.deltas] - else: # pragma: no cover (design-time error) - raise TypeError(f"invalid order book data, was {type(data)}") - # Add a "last" message to let downstream consumers know the end of this group of messages - if result: - result[-1]["_last"] = True - return result - - -def _is_orderbook_snapshot(values: list): - # TODO: Reimplement - return values[0]["_type"] == "OrderBookSnapshot" - - -def _build_order_book_snapshot(values): - # First value is a CLEAR message, which we ignore - assert len({v["instrument_id"] for v in values}) == 1 - assert len(values) >= 2, f"Not enough values passed! {values}" - - instrument_id = InstrumentId.from_str(values[1]["instrument_id"]) - ts_event = values[1]["ts_event"] - ts_init = values[1]["ts_init"] - - # bids = [(order["price"], order["size"]) for order in values[1:] if order["side"] == "BUY"] - # asks = [(order["price"], order["size"]) for order in values[1:] if order["side"] == "SELL"] - - deltas = [OrderBookDelta.clear(instrument_id, ts_event, ts_init)] - deltas += [OrderBookDelta.from_dict(v) for v in values] - - return OrderBookDeltas( - instrument_id=instrument_id, - deltas=deltas, - ) - - -def _build_order_book_deltas(values): - return OrderBookDeltas( - instrument_id=InstrumentId.from_str(values[0]["instrument_id"]), - deltas=[OrderBookDelta.from_dict(v) for v in values], - ) - - -def _sort_func(x): - return x["instrument_id"], x["ts_event"] - - -def deserialize(data: list[dict]): - assert not {d["side"] for d in data}.difference((None, "BUY", "SELL")), "Wrong sides" - results = [] - for _, chunk in itertools.groupby(sorted(data, key=_sort_func), key=_sort_func): - chunk = list(chunk) # type: ignore - if _is_orderbook_snapshot(values=chunk): # type: ignore - results.append(_build_order_book_snapshot(values=chunk)) - elif len(chunk) >= 1: # type: ignore - results.append(_build_order_book_deltas(values=chunk)) - return sorted(results, key=lambda x: x.ts_event) - - -for cls in [OrderBookDelta, OrderBookDeltas]: - register_parquet( - cls=cls, - serializer=serialize, - deserializer=deserialize, - table=OrderBookDelta, - chunk=True, - ) diff --git a/nautilus_trader/serialization/arrow/implementations/position_events.py b/nautilus_trader/serialization/arrow/implementations/position_events.py index 89b087545deb..248e10f71eae 100644 --- a/nautilus_trader/serialization/arrow/implementations/position_events.py +++ b/nautilus_trader/serialization/arrow/implementations/position_events.py @@ -15,12 +15,13 @@ from typing import Union +import pyarrow as pa + from nautilus_trader.model.events import PositionChanged from nautilus_trader.model.events import PositionClosed from nautilus_trader.model.events import PositionEvent from nautilus_trader.model.events import PositionOpened from nautilus_trader.model.objects import Money -from nautilus_trader.serialization.arrow.serializer import register_parquet def try_float(x): @@ -48,26 +49,104 @@ def serialize(event: PositionEvent): if "unrealized_pnl" in values: unrealized = Money.from_str(values["unrealized_pnl"]) values["unrealized_pnl"] = unrealized.as_double() - return values + return pa.RecordBatch.from_pylist([values], schema=SCHEMAS[type(event)]) def deserialize(cls): - def inner(data: dict) -> Union[PositionOpened, PositionChanged, PositionClosed]: - for k in ("quantity", "last_qty", "peak_qty", "last_px"): - if k in data: - data[k] = str(data[k]) - if "realized_pnl" in data: - data["realized_pnl"] = f"{data['realized_pnl']} {data['currency']}" - if "unrealized_pnl" in data: - data["unrealized_pnl"] = f"{data['unrealized_pnl']} {data['currency']}" - return cls.from_dict(data) + def inner(batch: pa.RecordBatch) -> Union[PositionOpened, PositionChanged, PositionClosed]: + def parse(data): + for k in ("quantity", "last_qty", "peak_qty", "last_px"): + if k in data: + data[k] = str(data[k]) + if "realized_pnl" in data: + data["realized_pnl"] = f"{data['realized_pnl']} {data['currency']}" + if "unrealized_pnl" in data: + data["unrealized_pnl"] = f"{data['unrealized_pnl']} {data['currency']}" + return data + + return [cls.from_dict(parse(d)) for d in batch.to_pylist()] return inner -for cls in (PositionOpened, PositionChanged, PositionClosed): - register_parquet( - cls, - serializer=serialize, - deserializer=deserialize(cls=cls), - ) +SCHEMAS: dict[PositionEvent, pa.Schema] = { + PositionOpened: pa.schema( + { + "trader_id": pa.dictionary(pa.int16(), pa.string()), + "strategy_id": pa.dictionary(pa.int16(), pa.string()), + "instrument_id": pa.dictionary(pa.int64(), pa.string()), + "account_id": pa.dictionary(pa.int16(), pa.string()), + "position_id": pa.string(), + "opening_order_id": pa.string(), + "entry": pa.string(), + "side": pa.string(), + "signed_qty": pa.float64(), + "quantity": pa.float64(), + "peak_qty": pa.float64(), + "last_qty": pa.float64(), + "last_px": pa.float64(), + "currency": pa.string(), + "avg_px_open": pa.float64(), + "realized_pnl": pa.float64(), + "event_id": pa.string(), + "duration_ns": pa.uint64(), + "ts_event": pa.uint64(), + "ts_init": pa.uint64(), + }, + ), + PositionChanged: pa.schema( + { + "trader_id": pa.dictionary(pa.int16(), pa.string()), + "strategy_id": pa.dictionary(pa.int16(), pa.string()), + "instrument_id": pa.dictionary(pa.int64(), pa.string()), + "account_id": pa.dictionary(pa.int16(), pa.string()), + "position_id": pa.string(), + "opening_order_id": pa.string(), + "entry": pa.string(), + "side": pa.string(), + "signed_qty": pa.float64(), + "quantity": pa.float64(), + "peak_qty": pa.float64(), + "last_qty": pa.float64(), + "last_px": pa.float64(), + "currency": pa.string(), + "avg_px_open": pa.float64(), + "avg_px_close": pa.float64(), + "realized_return": pa.float64(), + "realized_pnl": pa.float64(), + "unrealized_pnl": pa.float64(), + "event_id": pa.string(), + "ts_opened": pa.uint64(), + "ts_event": pa.uint64(), + "ts_init": pa.uint64(), + }, + ), + PositionClosed: pa.schema( + { + "trader_id": pa.dictionary(pa.int16(), pa.string()), + "account_id": pa.dictionary(pa.int16(), pa.string()), + "strategy_id": pa.dictionary(pa.int16(), pa.string()), + "instrument_id": pa.dictionary(pa.int64(), pa.string()), + "position_id": pa.string(), + "opening_order_id": pa.string(), + "closing_order_id": pa.string(), + "entry": pa.string(), + "side": pa.string(), + "signed_qty": pa.float64(), + "quantity": pa.float64(), + "peak_qty": pa.float64(), + "last_qty": pa.float64(), + "last_px": pa.float64(), + "currency": pa.string(), + "avg_px_open": pa.float64(), + "avg_px_close": pa.float64(), + "realized_return": pa.float64(), + "realized_pnl": pa.float64(), + "event_id": pa.string(), + "ts_opened": pa.uint64(), + "ts_closed": pa.uint64(), + "duration_ns": pa.uint64(), + "ts_init": pa.uint64(), + }, + ), +} diff --git a/nautilus_trader/serialization/arrow/schema.py b/nautilus_trader/serialization/arrow/schema.py index 79713de84bc7..7a52b734a43b 100644 --- a/nautilus_trader/serialization/arrow/schema.py +++ b/nautilus_trader/serialization/arrow/schema.py @@ -13,21 +13,26 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +from __future__ import annotations + import msgspec import pyarrow as pa from nautilus_trader.adapters.binance.common.types import BinanceBar from nautilus_trader.common.messages import ComponentStateChanged from nautilus_trader.common.messages import TradingStateChanged +from nautilus_trader.core.nautilus_pyo3 import Bar as RustBar +from nautilus_trader.core.nautilus_pyo3 import OrderBookDelta as RustOrderBookDelta +from nautilus_trader.core.nautilus_pyo3 import QuoteTick as RustQuoteTick +from nautilus_trader.core.nautilus_pyo3 import TradeTick as RustTradeTick from nautilus_trader.model.data import Bar from nautilus_trader.model.data import InstrumentClose -from nautilus_trader.model.data import InstrumentStatusUpdate +from nautilus_trader.model.data import InstrumentStatus from nautilus_trader.model.data import OrderBookDelta from nautilus_trader.model.data import QuoteTick from nautilus_trader.model.data import Ticker from nautilus_trader.model.data import TradeTick -from nautilus_trader.model.data import VenueStatusUpdate -from nautilus_trader.model.events import AccountState +from nautilus_trader.model.data import VenueStatus from nautilus_trader.model.events import OrderAccepted from nautilus_trader.model.events import OrderCanceled from nautilus_trader.model.events import OrderCancelRejected @@ -42,86 +47,39 @@ from nautilus_trader.model.events import OrderSubmitted from nautilus_trader.model.events import OrderTriggered from nautilus_trader.model.events import OrderUpdated -from nautilus_trader.model.events import PositionChanged -from nautilus_trader.model.events import PositionClosed -from nautilus_trader.model.events import PositionOpened -from nautilus_trader.model.instruments import BettingInstrument -from nautilus_trader.model.instruments import CryptoFuture -from nautilus_trader.model.instruments import CryptoPerpetual -from nautilus_trader.model.instruments import CurrencyPair -from nautilus_trader.model.instruments import Equity -from nautilus_trader.model.instruments import FuturesContract -from nautilus_trader.model.instruments import OptionsContract -from nautilus_trader.serialization.arrow.serializer import register_parquet -NAUTILUS_PARQUET_SCHEMA = { +NAUTILUS_ARROW_SCHEMA = { OrderBookDelta: pa.schema( - { - "action": pa.uint8(), - "side": pa.uint8(), - "price": pa.int64(), - "size": pa.uint64(), - "order_id": pa.uint64(), - "flags": pa.uint8(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - metadata={"type": "OrderBookDelta"}, - ), - Ticker: pa.schema( - { - "instrument_id": pa.dictionary(pa.int64(), pa.string()), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - metadata={"type": "Ticker"}, + [ + pa.field(k, pa.type_for_alias(v), False) + for k, v in RustOrderBookDelta.get_fields().items() + ], ), QuoteTick: pa.schema( - { - "instrument_id": pa.dictionary(pa.int64(), pa.string()), - "bid_price": pa.string(), - "bid_size": pa.string(), - "ask_price": pa.string(), - "ask_size": pa.string(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - metadata={"type": "QuoteTick"}, + [pa.field(k, pa.type_for_alias(v), False) for k, v in RustQuoteTick.get_fields().items()], ), TradeTick: pa.schema( - { - "instrument_id": pa.dictionary(pa.int64(), pa.string()), - "price": pa.string(), - "size": pa.string(), - "aggressor_side": pa.dictionary(pa.int8(), pa.string()), - "trade_id": pa.string(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - metadata={"type": "TradeTick"}, + [pa.field(k, pa.type_for_alias(v), False) for k, v in RustTradeTick.get_fields().items()], ), Bar: pa.schema( - { - "bar_type": pa.dictionary(pa.int16(), pa.string()), - "instrument_id": pa.dictionary(pa.int64(), pa.string()), - "open": pa.string(), - "high": pa.string(), - "low": pa.string(), - "close": pa.string(), - "volume": pa.string(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, + [pa.field(k, pa.type_for_alias(v), False) for k, v in RustBar.get_fields().items()], ), - VenueStatusUpdate: pa.schema( + Ticker: pa.schema( + [ + pa.field("instrument_id", pa.dictionary(pa.int16(), pa.string()), False), + pa.field("ts_event", pa.uint64(), False), + pa.field("ts_init", pa.uint64(), False), + ], + ), + VenueStatus: pa.schema( { "venue": pa.dictionary(pa.int16(), pa.string()), "status": pa.dictionary(pa.int8(), pa.string()), "ts_event": pa.uint64(), "ts_init": pa.uint64(), }, - metadata={"type": "InstrumentStatusUpdate"}, + metadata={"type": "InstrumentStatus"}, ), InstrumentClose: pa.schema( { @@ -133,14 +91,16 @@ }, metadata={"type": "InstrumentClose"}, ), - InstrumentStatusUpdate: pa.schema( + InstrumentStatus: pa.schema( { "instrument_id": pa.dictionary(pa.int64(), pa.string()), "status": pa.dictionary(pa.int8(), pa.string()), + "trading_session": pa.string(), + "halt_reason": pa.dictionary(pa.int8(), pa.string()), "ts_event": pa.uint64(), "ts_init": pa.uint64(), }, - metadata={"type": "InstrumentStatusUpdate"}, + metadata={"type": "InstrumentStatus"}, ), ComponentStateChanged: pa.schema( { @@ -166,27 +126,6 @@ }, metadata={"type": "TradingStateChanged"}, ), - AccountState: pa.schema( - { - "account_id": pa.dictionary(pa.int16(), pa.string()), - "account_type": pa.dictionary(pa.int8(), pa.string()), - "base_currency": pa.dictionary(pa.int16(), pa.string()), - "balance_total": pa.float64(), - "balance_locked": pa.float64(), - "balance_free": pa.float64(), - "balance_currency": pa.dictionary(pa.int16(), pa.string()), - "margin_initial": pa.float64(), - "margin_maintenance": pa.float64(), - "margin_currency": pa.dictionary(pa.int16(), pa.string()), - "margin_instrument_id": pa.dictionary(pa.int64(), pa.string()), - "reported": pa.bool_(), - "info": pa.binary(), - "event_id": pa.string(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - metadata={"type": "AccountState"}, - ), OrderInitialized: pa.schema( { "trader_id": pa.dictionary(pa.int16(), pa.string()), @@ -195,12 +134,12 @@ "client_order_id": pa.string(), "order_side": pa.dictionary(pa.int8(), pa.string()), "order_type": pa.dictionary(pa.int8(), pa.string()), - "quantity": pa.float64(), + "quantity": pa.string(), "time_in_force": pa.dictionary(pa.int8(), pa.string()), "post_only": pa.bool_(), "reduce_only": pa.bool_(), # -- Options fields -- # - "price": pa.float64(), + "price": pa.string(), "trigger_price": pa.string(), "trigger_type": pa.dictionary(pa.int8(), pa.string()), "limit_offset": pa.string(), @@ -208,8 +147,11 @@ "trailing_offset_type": pa.dictionary(pa.int8(), pa.string()), "expire_time_ns": pa.uint64(), "display_qty": pa.string(), + "quote_quantity": pa.bool_(), + "options": pa.string(), # --------------------- # "emulation_trigger": pa.string(), + "trigger_instrument_id": pa.string(), "contingency_type": pa.string(), "order_list_id": pa.string(), "linked_order_ids": pa.string(), @@ -396,8 +338,8 @@ "instrument_id": pa.dictionary(pa.int64(), pa.string()), "client_order_id": pa.string(), "venue_order_id": pa.string(), - "price": pa.float64(), - "quantity": pa.float64(), + "price": pa.string(), + "quantity": pa.string(), "trigger_price": pa.float64(), "event_id": pa.string(), "ts_event": pa.uint64(), @@ -417,8 +359,8 @@ "position_id": pa.string(), "order_side": pa.dictionary(pa.int8(), pa.string()), "order_type": pa.dictionary(pa.int8(), pa.string()), - "last_qty": pa.float64(), - "last_px": pa.float64(), + "last_qty": pa.string(), + "last_px": pa.string(), "currency": pa.string(), "commission": pa.string(), "liquidity_side": pa.string(), @@ -429,249 +371,6 @@ "reconciliation": pa.bool_(), }, ), - PositionOpened: pa.schema( - { - "trader_id": pa.dictionary(pa.int16(), pa.string()), - "strategy_id": pa.dictionary(pa.int16(), pa.string()), - "instrument_id": pa.dictionary(pa.int64(), pa.string()), - "account_id": pa.dictionary(pa.int16(), pa.string()), - "position_id": pa.string(), - "opening_order_id": pa.string(), - "entry": pa.string(), - "side": pa.string(), - "signed_qty": pa.float64(), - "quantity": pa.float64(), - "peak_qty": pa.float64(), - "last_qty": pa.float64(), - "last_px": pa.float64(), - "currency": pa.string(), - "avg_px_open": pa.float64(), - "realized_pnl": pa.float64(), - "event_id": pa.string(), - "duration_ns": pa.uint64(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - ), - PositionChanged: pa.schema( - { - "trader_id": pa.dictionary(pa.int16(), pa.string()), - "strategy_id": pa.dictionary(pa.int16(), pa.string()), - "instrument_id": pa.dictionary(pa.int64(), pa.string()), - "account_id": pa.dictionary(pa.int16(), pa.string()), - "position_id": pa.string(), - "opening_order_id": pa.string(), - "entry": pa.string(), - "side": pa.string(), - "signed_qty": pa.float64(), - "quantity": pa.float64(), - "peak_qty": pa.float64(), - "last_qty": pa.float64(), - "last_px": pa.float64(), - "currency": pa.string(), - "avg_px_open": pa.float64(), - "avg_px_close": pa.float64(), - "realized_return": pa.float64(), - "realized_pnl": pa.float64(), - "unrealized_pnl": pa.float64(), - "event_id": pa.string(), - "ts_opened": pa.uint64(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - ), - PositionClosed: pa.schema( - { - "trader_id": pa.dictionary(pa.int16(), pa.string()), - "account_id": pa.dictionary(pa.int16(), pa.string()), - "strategy_id": pa.dictionary(pa.int16(), pa.string()), - "instrument_id": pa.dictionary(pa.int64(), pa.string()), - "position_id": pa.string(), - "opening_order_id": pa.string(), - "closing_order_id": pa.string(), - "entry": pa.string(), - "side": pa.string(), - "signed_qty": pa.float64(), - "quantity": pa.float64(), - "peak_qty": pa.float64(), - "last_qty": pa.float64(), - "last_px": pa.float64(), - "currency": pa.string(), - "avg_px_open": pa.float64(), - "avg_px_close": pa.float64(), - "realized_return": pa.float64(), - "realized_pnl": pa.float64(), - "event_id": pa.string(), - "ts_opened": pa.uint64(), - "ts_closed": pa.uint64(), - "duration_ns": pa.uint64(), - "ts_init": pa.uint64(), - }, - ), - BettingInstrument: pa.schema( - { - "venue_name": pa.string(), - "currency": pa.string(), - "id": pa.string(), - "event_type_id": pa.string(), - "event_type_name": pa.string(), - "competition_id": pa.string(), - "competition_name": pa.string(), - "event_id": pa.string(), - "event_name": pa.string(), - "event_country_code": pa.string(), - "event_open_date": pa.string(), - "betting_type": pa.string(), - "market_id": pa.string(), - "market_name": pa.string(), - "market_start_time": pa.string(), - "market_type": pa.string(), - "selection_id": pa.string(), - "selection_name": pa.string(), - "selection_handicap": pa.string(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - metadata={"type": "BettingInstrument"}, - ), - CurrencyPair: pa.schema( - { - "id": pa.dictionary(pa.int64(), pa.string()), - "raw_symbol": pa.string(), - "base_currency": pa.dictionary(pa.int16(), pa.string()), - "quote_currency": pa.dictionary(pa.int16(), pa.string()), - "price_precision": pa.uint8(), - "size_precision": pa.uint8(), - "price_increment": pa.dictionary(pa.int16(), pa.string()), - "size_increment": pa.dictionary(pa.int16(), pa.string()), - "lot_size": pa.dictionary(pa.int16(), pa.string()), - "max_quantity": pa.dictionary(pa.int16(), pa.string()), - "min_quantity": pa.dictionary(pa.int16(), pa.string()), - "max_notional": pa.dictionary(pa.int16(), pa.string()), - "min_notional": pa.dictionary(pa.int16(), pa.string()), - "max_price": pa.dictionary(pa.int16(), pa.string()), - "min_price": pa.dictionary(pa.int16(), pa.string()), - "margin_init": pa.string(), - "margin_maint": pa.string(), - "maker_fee": pa.string(), - "taker_fee": pa.string(), - "info": pa.binary(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - ), - CryptoPerpetual: pa.schema( - { - "id": pa.dictionary(pa.int64(), pa.string()), - "raw_symbol": pa.string(), - "base_currency": pa.dictionary(pa.int16(), pa.string()), - "quote_currency": pa.dictionary(pa.int16(), pa.string()), - "settlement_currency": pa.dictionary(pa.int16(), pa.string()), - "is_inverse": pa.bool_(), - "price_precision": pa.uint8(), - "size_precision": pa.uint8(), - "price_increment": pa.dictionary(pa.int16(), pa.string()), - "size_increment": pa.dictionary(pa.int16(), pa.string()), - "max_quantity": pa.dictionary(pa.int16(), pa.string()), - "min_quantity": pa.dictionary(pa.int16(), pa.string()), - "max_notional": pa.dictionary(pa.int16(), pa.string()), - "min_notional": pa.dictionary(pa.int16(), pa.string()), - "max_price": pa.dictionary(pa.int16(), pa.string()), - "min_price": pa.dictionary(pa.int16(), pa.string()), - "margin_init": pa.string(), - "margin_maint": pa.string(), - "maker_fee": pa.string(), - "taker_fee": pa.string(), - "info": pa.binary(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - ), - CryptoFuture: pa.schema( - { - "id": pa.dictionary(pa.int64(), pa.string()), - "raw_symbol": pa.string(), - "underlying": pa.dictionary(pa.int16(), pa.string()), - "quote_currency": pa.dictionary(pa.int16(), pa.string()), - "settlement_currency": pa.dictionary(pa.int16(), pa.string()), - "expiry_date": pa.dictionary(pa.int16(), pa.string()), - "price_precision": pa.uint8(), - "size_precision": pa.uint8(), - "price_increment": pa.dictionary(pa.int16(), pa.string()), - "size_increment": pa.dictionary(pa.int16(), pa.string()), - "max_quantity": pa.dictionary(pa.int16(), pa.string()), - "min_quantity": pa.dictionary(pa.int16(), pa.string()), - "max_notional": pa.dictionary(pa.int16(), pa.string()), - "min_notional": pa.dictionary(pa.int16(), pa.string()), - "max_price": pa.dictionary(pa.int16(), pa.string()), - "min_price": pa.dictionary(pa.int16(), pa.string()), - "margin_init": pa.string(), - "margin_maint": pa.string(), - "maker_fee": pa.string(), - "taker_fee": pa.string(), - "info": pa.binary(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - ), - Equity: pa.schema( - { - "id": pa.dictionary(pa.int64(), pa.string()), - "raw_symbol": pa.string(), - "currency": pa.dictionary(pa.int16(), pa.string()), - "price_precision": pa.uint8(), - "size_precision": pa.uint8(), - "price_increment": pa.dictionary(pa.int16(), pa.string()), - "size_increment": pa.dictionary(pa.int16(), pa.string()), - "multiplier": pa.dictionary(pa.int16(), pa.string()), - "lot_size": pa.dictionary(pa.int16(), pa.string()), - "isin": pa.string(), - "margin_init": pa.string(), - "margin_maint": pa.string(), - "maker_fee": pa.string(), - "taker_fee": pa.string(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - ), - FuturesContract: pa.schema( - { - "id": pa.dictionary(pa.int64(), pa.string()), - "raw_symbol": pa.string(), - "underlying": pa.dictionary(pa.int16(), pa.string()), - "asset_class": pa.dictionary(pa.int8(), pa.string()), - "currency": pa.dictionary(pa.int16(), pa.string()), - "price_precision": pa.uint8(), - "size_precision": pa.uint8(), - "price_increment": pa.dictionary(pa.int16(), pa.string()), - "size_increment": pa.dictionary(pa.int16(), pa.string()), - "multiplier": pa.dictionary(pa.int16(), pa.string()), - "lot_size": pa.dictionary(pa.int16(), pa.string()), - "expiry_date": pa.dictionary(pa.int16(), pa.string()), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - ), - OptionsContract: pa.schema( - { - "id": pa.dictionary(pa.int64(), pa.string()), - "raw_symbol": pa.string(), - "underlying": pa.dictionary(pa.int16(), pa.string()), - "asset_class": pa.dictionary(pa.int8(), pa.string()), - "currency": pa.dictionary(pa.int16(), pa.string()), - "price_precision": pa.uint8(), - "size_precision": pa.uint8(), - "price_increment": pa.dictionary(pa.int16(), pa.string()), - "size_increment": pa.dictionary(pa.int16(), pa.string()), - "multiplier": pa.dictionary(pa.int16(), pa.string()), - "lot_size": pa.dictionary(pa.int16(), pa.string()), - "expiry_date": pa.dictionary(pa.int64(), pa.string()), - "strike_price": pa.dictionary(pa.int64(), pa.string()), - "kind": pa.dictionary(pa.int8(), pa.string()), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - ), BinanceBar: pa.schema( { "bar_type": pa.dictionary(pa.int16(), pa.string()), @@ -690,8 +389,3 @@ }, ), } - - -# default schemas -for cls, schema in NAUTILUS_PARQUET_SCHEMA.items(): - register_parquet(cls, schema=schema) diff --git a/nautilus_trader/serialization/arrow/schema_v2.py b/nautilus_trader/serialization/arrow/schema_v2.py deleted file mode 100644 index 73e38954fa0c..000000000000 --- a/nautilus_trader/serialization/arrow/schema_v2.py +++ /dev/null @@ -1,94 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import pyarrow as pa - -from nautilus_trader.model.data import Bar -from nautilus_trader.model.data import OrderBookDelta -from nautilus_trader.model.data import QuoteTick -from nautilus_trader.model.data import TradeTick - - -NAUTILUS_PARQUET_SCHEMA_V2 = { - OrderBookDelta: pa.schema( - { - "action": pa.uint8(), - "side": pa.uint8(), - "price": pa.int64(), - "size": pa.uint64(), - "order_id": pa.uint64(), - "flags": pa.uint8(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - metadata={ - "type": "OrderBookDelta", - "book_type": ..., - "instrument_id": ..., - "price_precision": ..., - "size_precision": ..., - }, - ), - QuoteTick: pa.schema( - { - "bid_price": pa.int64(), - "bid_size": pa.uint64(), - "ask_price": pa.int64(), - "ask_size": pa.uint64(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - metadata={ - "type": "QuoteTick", - "instrument_id": ..., - "price_precision": ..., - "size_precision": ..., - }, - ), - TradeTick: pa.schema( - { - "price": pa.int64(), - "size": pa.uint64(), - "aggressor_side": pa.int8(), - "trade_id": pa.string(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - metadata={ - "type": "TradeTick", - "instrument_id": ..., - "price_precision": ..., - "size_precision": ..., - }, - ), - Bar: pa.schema( - { - "open": pa.int64(), - "high": pa.int64(), - "low": pa.int64(), - "close": pa.int64(), - "volume": pa.uint64(), - "ts_event": pa.uint64(), - "ts_init": pa.uint64(), - }, - metadata={ - "type": "Bar", - "bar_type": ..., - "instrument_id": ..., - "price_precision": ..., - "size_precision": ..., - }, - ), -} diff --git a/nautilus_trader/serialization/arrow/serializer.py b/nautilus_trader/serialization/arrow/serializer.py new file mode 100644 index 000000000000..20e04848940a --- /dev/null +++ b/nautilus_trader/serialization/arrow/serializer.py @@ -0,0 +1,293 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +from __future__ import annotations + +from io import BytesIO +from typing import Any, Callable + +import pyarrow as pa + +from nautilus_trader.core.correctness import PyCondition +from nautilus_trader.core.data import Data +from nautilus_trader.core.message import Event +from nautilus_trader.core.nautilus_pyo3 import DataTransformer +from nautilus_trader.model.data import Bar +from nautilus_trader.model.data import OrderBookDelta +from nautilus_trader.model.data import OrderBookDeltas +from nautilus_trader.model.data import QuoteTick +from nautilus_trader.model.data import TradeTick +from nautilus_trader.model.data.base import GenericData +from nautilus_trader.model.events import AccountState +from nautilus_trader.model.events import PositionEvent +from nautilus_trader.model.instruments import Instrument +from nautilus_trader.persistence.wranglers_v2 import BarDataWrangler +from nautilus_trader.persistence.wranglers_v2 import OrderBookDeltaDataWrangler +from nautilus_trader.persistence.wranglers_v2 import QuoteTickDataWrangler +from nautilus_trader.persistence.wranglers_v2 import TradeTickDataWrangler +from nautilus_trader.serialization.arrow.implementations import account_state +from nautilus_trader.serialization.arrow.implementations import instruments +from nautilus_trader.serialization.arrow.implementations import position_events +from nautilus_trader.serialization.arrow.schema import NAUTILUS_ARROW_SCHEMA + + +_ARROW_SERIALIZER: dict[type, Callable] = {} +_ARROW_DESERIALIZER: dict[type, Callable] = {} +_SCHEMAS: dict[type, pa.Schema] = {} + + +def get_schema(data_cls: type) -> pa.Schema: + return _SCHEMAS[data_cls] + + +def list_schemas() -> dict[type, pa.Schema]: + return _SCHEMAS + + +def register_arrow( + data_cls: type, + schema: pa.Schema | None, + serializer: Callable | None = None, + deserializer: Callable | None = None, +) -> None: + """ + Register a new class for serialization to parquet. + + Parameters + ---------- + data_cls : type + The data type to register serialization for. + serializer : Callable, optional + The callable to serialize instances of type `cls_type` to something + parquet can write. + deserializer : Callable, optional + The callable to deserialize rows from parquet into `cls_type`. + schema : pa.Schema, optional + If the schema cannot be correctly inferred from a subset of the data + (i.e. if certain values may be missing in the first chunk). + table : type, optional + An optional table override for `cls`. Used if `cls` is going to be + transformed and stored in a table other than + its own. + + """ + PyCondition.type(schema, pa.Schema, "schema") + PyCondition.type_or_none(serializer, Callable, "serializer") + PyCondition.type_or_none(deserializer, Callable, "deserializer") + + if serializer is not None: + _ARROW_SERIALIZER[data_cls] = serializer + if deserializer is not None: + _ARROW_DESERIALIZER[data_cls] = deserializer + if schema is not None: + _SCHEMAS[data_cls] = schema + + +class ArrowSerializer: + """ + Serialize Nautilus objects to arrow RecordBatches. + """ + + @staticmethod + def _unpack_container_objects(data_cls: type, data: list[Any]) -> list[Data]: + if data_cls == OrderBookDeltas: + return [delta for deltas in data for delta in deltas.deltas] + return data + + @staticmethod + def rust_objects_to_record_batch(data: list[Data], data_cls: type) -> pa.Table | pa.RecordBatch: + data = sorted(data, key=lambda x: x.ts_init) + processed = ArrowSerializer._unpack_container_objects(data_cls, data) + batches_bytes = DataTransformer.pyobjects_to_batches_bytes(processed) + reader = pa.ipc.open_stream(BytesIO(batches_bytes)) + table: pa.Table = reader.read_all() + return table + + @staticmethod + def serialize( + data: Data | Event, + data_cls: type[Data | Event] | None = None, + ) -> pa.RecordBatch: + if isinstance(data, GenericData): + data = data.data + data_cls = data_cls or type(data) + if data_cls is None: + raise RuntimeError("`cls` was `None` when a value was expected") + + delegate = _ARROW_SERIALIZER.get(data_cls) + if delegate is None: + if data_cls in RUST_SERIALIZERS: + return ArrowSerializer.rust_objects_to_record_batch([data], data_cls=data_cls) + raise TypeError( + f"Cannot serialize object `{data_cls}`. Register a " + f"serialization method via `nautilus_trader.persistence.catalog.parquet.serializers.register_parquet()`", + ) + + batch = delegate(data) + assert isinstance(batch, pa.RecordBatch) + return batch + + @staticmethod + def serialize_batch(data: list[Data | Event], data_cls: type[Data | Event]) -> pa.Table: + """ + Serialize the given instrument to `Parquet` specification bytes. + + Parameters + ---------- + data : list[Any] + The object to serialize. + data_cls: type + The data type for the serialization. + + Returns + ------- + bytes + + Raises + ------ + TypeError + If `obj` cannot be serialized. + + """ + if data_cls in RUST_SERIALIZERS or data_cls.__name__ in RUST_STR_SERIALIZERS: + return ArrowSerializer.rust_objects_to_record_batch(data, data_cls=data_cls) + batches = [ArrowSerializer.serialize(obj, data_cls) for obj in data] + return pa.Table.from_batches(batches, schema=batches[0].schema) + + @staticmethod + def deserialize(data_cls: type, batch: pa.RecordBatch | pa.Table) -> Data: + """ + Deserialize the given `Parquet` specification bytes to an object. + + Parameters + ---------- + data_cls : type + The data type to deserialize to. + batch : pyarrow.RecordBatch or pyarrow.Table + The RecordBatch to deserialize. + + Returns + ------- + object + + Raises + ------ + TypeError + If `chunk` cannot be deserialized. + + """ + delegate = _ARROW_DESERIALIZER.get(data_cls) + if delegate is None: + if data_cls in RUST_SERIALIZERS: + if isinstance(batch, pa.RecordBatch): + batch = pa.Table.from_batches([batch]) + return ArrowSerializer._deserialize_rust(data_cls=data_cls, table=batch) + raise TypeError( + f"Cannot deserialize object `{data_cls}`. Register a " + f"deserialization method via `arrow.serializer.register_parquet()`", + ) + + return delegate(batch) + + @staticmethod + def _deserialize_rust(data_cls: type, table: pa.Table) -> list[Data | Event]: + Wrangler = { + QuoteTick: QuoteTickDataWrangler, + TradeTick: TradeTickDataWrangler, + Bar: BarDataWrangler, + OrderBookDelta: OrderBookDeltaDataWrangler, + OrderBookDeltas: OrderBookDeltaDataWrangler, + }[data_cls] + wrangler = Wrangler.from_schema(table.schema) + ticks = wrangler.from_arrow(table) + return ticks + + +def make_dict_serializer(schema: pa.Schema) -> Callable[[list[Data | Event]], pa.RecordBatch]: + def inner(data: list[Data | Event]) -> pa.RecordBatch: + if not isinstance(data, list): + data = [data] + dicts = [d.to_dict(d) for d in data] + return dicts_to_record_batch(dicts, schema=schema) + + return inner + + +def make_dict_deserializer(data_cls): + def inner(table: pa.Table) -> list[Data | Event]: + assert isinstance(table, (pa.Table, pa.RecordBatch)) + return [data_cls.from_dict(d) for d in table.to_pylist()] + + return inner + + +def dicts_to_record_batch(data: list[dict], schema: pa.Schema) -> pa.RecordBatch: + try: + return pa.RecordBatch.from_pylist(data, schema=schema) + except Exception as e: + print(e) + + +RUST_SERIALIZERS = { + QuoteTick, + TradeTick, + Bar, + OrderBookDelta, + OrderBookDeltas, +} +RUST_STR_SERIALIZERS = {s.__name__ for s in RUST_SERIALIZERS} + +# TODO - breaking while we don't have access to rust schemas +# Check we have each type defined only once (rust or python) +# assert not set(NAUTILUS_ARROW_SCHEMA).intersection(RUST_SERIALIZERS) +# assert not RUST_SERIALIZERS.intersection(set(NAUTILUS_ARROW_SCHEMA)) + +for _data_cls in NAUTILUS_ARROW_SCHEMA: + if _data_cls in RUST_SERIALIZERS: + register_arrow( + data_cls=_data_cls, + schema=NAUTILUS_ARROW_SCHEMA[_data_cls], + ) + else: + register_arrow( + data_cls=_data_cls, + schema=NAUTILUS_ARROW_SCHEMA[_data_cls], + serializer=make_dict_serializer(NAUTILUS_ARROW_SCHEMA[_data_cls]), + deserializer=make_dict_deserializer(_data_cls), + ) + + +# Custom implementations +for instrument_cls in Instrument.__subclasses__(): + register_arrow( + data_cls=instrument_cls, + schema=instruments.SCHEMAS[instrument_cls], + serializer=instruments.serialize, + deserializer=instruments.deserialize, + ) + +register_arrow( + AccountState, + schema=account_state.SCHEMA, + serializer=account_state.serialize, + deserializer=account_state.deserialize, +) +for position_cls in PositionEvent.__subclasses__(): + register_arrow( + position_cls, + schema=position_events.SCHEMAS[position_cls], + serializer=position_events.serialize, + deserializer=position_events.deserialize(position_cls), + ) diff --git a/nautilus_trader/serialization/arrow/serializer.pyx b/nautilus_trader/serialization/arrow/serializer.pyx deleted file mode 100644 index 4d34b10bfdc7..000000000000 --- a/nautilus_trader/serialization/arrow/serializer.pyx +++ /dev/null @@ -1,195 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -from typing import Callable, Optional - -import pyarrow as pa - -from nautilus_trader.core.correctness cimport Condition -from nautilus_trader.model.data.base cimport GenericData -from nautilus_trader.serialization.base cimport _OBJECT_FROM_DICT_MAP -from nautilus_trader.serialization.base cimport _OBJECT_TO_DICT_MAP - - -cdef dict _PARQUET_TO_DICT_MAP = {} # type: dict[type, object] -cdef dict _PARQUET_FROM_DICT_MAP = {} # type: dict[type, object] -cdef dict _PARTITION_KEYS = {} -cdef dict _SCHEMAS = {} -cdef dict _CLS_TO_TABLE = {} # type: dict[type, type] -cdef set _CHUNK = set() - - -def get_partition_keys(cls: type): - return _PARTITION_KEYS.get(cls) - - -def get_schema(cls: type): - return _SCHEMAS[get_cls_table(cls)] - - -def list_schemas(): - return _SCHEMAS - - -def get_cls_table(cls: type): - return _CLS_TO_TABLE.get(cls, cls) - - -def _clear_all(**kwargs): - # Used for testing - global _CLS_TO_TABLE, _SCHEMAS, _PARTITION_KEYS, _CHUNK - if kwargs.get("force", False): - _PARTITION_KEYS = {} - _SCHEMAS = {} - _CLS_TO_TABLE = {} # type: dict[type, type] - _CHUNK = set() - - -def register_parquet( - type cls, - serializer: Optional[Callable] = None, - deserializer: Optional[Callable] = None, - schema: Optional[pa.Schema] = None, - bint chunk = False, - type table = None, - **kwargs, -): - """ - Register a new class for serialization to parquet. - - Parameters - ---------- - cls : type - The type to register serialization for. - serializer : Callable, optional - The callable to serialize instances of type `cls_type` to something - parquet can write. - deserializer : Callable, optional - The callable to deserialize rows from parquet into `cls_type`. - schema : pa.Schema, optional - If the schema cannot be correctly inferred from a subset of the data - (i.e. if certain values may be missing in the first chunk). - chunk : bool, optional - Whether to group objects by timestamp and operate together (Used for - complex objects where we write each object as multiple rows in parquet, - i.e. `OrderBook` or `AccountState`). - table : type, optional - An optional table override for `cls`. Used if `cls` is going to be - transformed and stored in a table other than - its own. - - """ - Condition.type_or_none(serializer, Callable, "serializer") - Condition.type_or_none(deserializer, Callable, "deserializer") - Condition.type_or_none(schema, pa.Schema, "schema") - Condition.type_or_none(table, type, "table") - - # secret kwarg that allows overriding an existing (de)serialization method. - if not kwargs.get("force", False): - if serializer is not None: - assert ( - cls not in _PARQUET_TO_DICT_MAP - ), f"Serializer already exists for {cls}: {_PARQUET_TO_DICT_MAP[cls]}" - if deserializer is not None: - assert ( - cls not in _PARQUET_FROM_DICT_MAP - ), f"Deserializer already exists for {cls}: {_PARQUET_TO_DICT_MAP[cls]}" - - if serializer is not None: - _PARQUET_TO_DICT_MAP[cls] = serializer - if deserializer is not None: - _PARQUET_FROM_DICT_MAP[cls] = deserializer - if schema is not None: - _SCHEMAS[table or cls] = schema - if chunk: - _CHUNK.add(cls) - _CLS_TO_TABLE[cls] = table or cls - - -cdef class ParquetSerializer: - """ - Provides an object serializer for the `Parquet` specification. - """ - - @staticmethod - def serialize(object obj): - """ - Serialize the given instrument to `Parquet` specification bytes. - - Parameters - ---------- - obj : object - The object to serialize. - - Returns - ------- - bytes - - Raises - ------ - TypeError - If `obj` cannot be serialized. - - """ - if isinstance(obj, GenericData): - obj = obj.data - cdef type cls = type(obj) - - delegate = _PARQUET_TO_DICT_MAP.get(cls) - if delegate is None: - delegate = _OBJECT_TO_DICT_MAP.get(cls.__name__) - if delegate is None: - raise TypeError( - f"Cannot serialize object `{cls}`. Register a " - f"serialization method via `arrow.serializer.register_parquet()`" - ) - - return delegate(obj) - - @staticmethod - def deserialize(type cls, chunk): - """ - Deserialize the given `Parquet` specification bytes to an object. - - Parameters - ---------- - cls : type - The type to deserialize to. - chunk : bytes - The chunk to deserialize. - - Returns - ------- - object - - Raises - ------ - TypeError - If `chunk` cannot be deserialized. - - """ - delegate = _PARQUET_FROM_DICT_MAP.get(cls) - if delegate is None: - delegate = _OBJECT_FROM_DICT_MAP.get(cls.__name__) - if delegate is None: - raise TypeError( - f"Cannot deserialize object `{cls}`. Register a " - f"deserialization method via `arrow.serializer.register_parquet()`" - ) - - if cls in _CHUNK: - return delegate(chunk) - else: - return [delegate(c) for c in chunk] diff --git a/nautilus_trader/serialization/arrow/util.py b/nautilus_trader/serialization/arrow/util.py deleted file mode 100644 index 54c1af113421..000000000000 --- a/nautilus_trader/serialization/arrow/util.py +++ /dev/null @@ -1,138 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import re -from typing import Any, Optional - -import pandas as pd - -from nautilus_trader.core.inspect import is_nautilus_class - - -INVALID_WINDOWS_CHARS = r'<>:"/\|?* ' -GENERIC_DATA_PREFIX = "genericdata_" - - -def list_dicts_to_dict_lists(dicts: list[dict], keys: Optional[Any] = None) -> dict[Any, list]: - """ - Convert a list of dictionaries into a dictionary of lists. - """ - result = {} - for d in dicts: - for k in keys or d: - if k not in result: - result[k] = [d.get(k)] - else: - result[k].append(d.get(k)) - return result - - -def dict_of_lists_to_list_of_dicts(dict_lists: dict[Any, list]) -> list[dict]: - """ - Convert a dictionary of lists into a list of dictionaries. - - >>> dict_of_lists_to_list_of_dicts({'a': [1, 2], 'b': [3, 4]}) - [{'a': 1, 'b': 3}, {'a': 2, 'b': 4}] - - """ - return [dict(zip(dict_lists, t)) for t in zip(*dict_lists.values())] - - -def maybe_list(obj): - if isinstance(obj, dict): - return [obj] - return obj - - -def check_partition_columns( - df: pd.DataFrame, - partition_columns: Optional[list[str]] = None, -) -> dict[str, dict[str, str]]: - """ - Check partition columns. - - When writing a parquet dataset, parquet uses the values in `partition_columns` - as part of the filename. The values in `df` could potentially contain illegal - characters. This function generates a mapping of {illegal: legal} that is - used to "clean" the values before they are written to the filename (and also - saving this mapping for reversing the process on reload). - - """ - if partition_columns: - missing = [c for c in partition_columns if c not in df.columns] - assert ( - not missing - ), f"Missing `partition_columns`: {missing} in dataframe columns: {df.columns}" - - mappings = {} - for col in partition_columns or []: - values = list(map(str, df[col].unique())) - invalid_values = {val for val in values if any(x in val for x in INVALID_WINDOWS_CHARS)} - if invalid_values: - if col == "instrument_id": - # We have control over how instrument_ids are retrieved from the - # cache, so we can do this replacement. - val_map = {k: clean_key(k) for k in values} - mappings[col] = val_map - else: - # We would be arbitrarily replacing values here which could - # break queries, we should not do this. - raise ValueError( - f"Some values in partition column [{col}] " - f"contain invalid characters: {invalid_values}", - ) - - return mappings - - -def clean_partition_cols(df: pd.DataFrame, mappings: dict[str, dict[str, str]]): - """ - Clean partition columns. - - The values in `partition_cols` may have characters that are illegal in - filenames. Strip them out and return a dataframe we can write into a parquet - file. - - """ - for col, val_map in mappings.items(): - df[col] = df[col].map(val_map) - return df - - -def clean_key(s: str): - """ - Clean characters that are illegal on Windows from the string `s`. - """ - for ch in INVALID_WINDOWS_CHARS: - if ch in s: - s = s.replace(ch, "-") - return s - - -def camel_to_snake_case(s: str): - """ - Convert the given string from camel to snake case. - """ - return re.sub(r"((?<=[a-z0-9])[A-Z]|(?!^)[A-Z](?=[a-z]))", r"_\1", s).lower() - - -def class_to_filename(cls: type) -> str: - """ - Convert the given class to a filename. - """ - name = f"{camel_to_snake_case(cls.__name__)}" - if not is_nautilus_class(cls): - name = f"{GENERIC_DATA_PREFIX}{camel_to_snake_case(cls.__name__)}" - return name diff --git a/nautilus_trader/serialization/base.pyx b/nautilus_trader/serialization/base.pyx index d5d77592c9b7..b91cfa524c68 100644 --- a/nautilus_trader/serialization/base.pyx +++ b/nautilus_trader/serialization/base.pyx @@ -26,12 +26,12 @@ from nautilus_trader.execution.messages cimport ModifyOrder from nautilus_trader.execution.messages cimport SubmitOrder from nautilus_trader.execution.messages cimport SubmitOrderList from nautilus_trader.model.data.bar cimport Bar +from nautilus_trader.model.data.status cimport InstrumentClose +from nautilus_trader.model.data.status cimport InstrumentStatus +from nautilus_trader.model.data.status cimport VenueStatus from nautilus_trader.model.data.tick cimport QuoteTick from nautilus_trader.model.data.tick cimport TradeTick from nautilus_trader.model.data.ticker cimport Ticker -from nautilus_trader.model.data.venue cimport InstrumentClose -from nautilus_trader.model.data.venue cimport InstrumentStatusUpdate -from nautilus_trader.model.data.venue cimport VenueStatusUpdate from nautilus_trader.model.events.account cimport AccountState from nautilus_trader.model.events.order cimport OrderAccepted from nautilus_trader.model.events.order cimport OrderCanceled @@ -104,8 +104,8 @@ _OBJECT_TO_DICT_MAP: dict[str, Callable[[None], dict]] = { Ticker.__name__: Ticker.to_dict_c, QuoteTick.__name__: QuoteTick.to_dict_c, Bar.__name__: Bar.to_dict_c, - InstrumentStatusUpdate.__name__: InstrumentStatusUpdate.to_dict_c, - VenueStatusUpdate.__name__: VenueStatusUpdate.to_dict_c, + InstrumentStatus.__name__: InstrumentStatus.to_dict_c, + VenueStatus.__name__: VenueStatus.to_dict_c, InstrumentClose.__name__: InstrumentClose.to_dict_c, BinanceBar.__name__: BinanceBar.to_dict, BinanceTicker.__name__: BinanceTicker.to_dict, @@ -153,8 +153,8 @@ _OBJECT_FROM_DICT_MAP: dict[str, Callable[[dict], Any]] = { Ticker.__name__: Ticker.from_dict_c, QuoteTick.__name__: QuoteTick.from_dict_c, Bar.__name__: Bar.from_dict_c, - InstrumentStatusUpdate.__name__: InstrumentStatusUpdate.from_dict_c, - VenueStatusUpdate.__name__: VenueStatusUpdate.from_dict_c, + InstrumentStatus.__name__: InstrumentStatus.from_dict_c, + VenueStatus.__name__: VenueStatus.from_dict_c, InstrumentClose.__name__: InstrumentClose.from_dict_c, BinanceBar.__name__: BinanceBar.from_dict, BinanceTicker.__name__: BinanceTicker.from_dict, diff --git a/nautilus_trader/system/kernel.py b/nautilus_trader/system/kernel.py index 664af7bfd24c..ef6255329110 100644 --- a/nautilus_trader/system/kernel.py +++ b/nautilus_trader/system/kernel.py @@ -49,10 +49,12 @@ from nautilus_trader.config import RiskEngineConfig from nautilus_trader.config import StrategyFactory from nautilus_trader.config import StreamingConfig +from nautilus_trader.config.common import ControllerFactory from nautilus_trader.config.common import ExecAlgorithmFactory from nautilus_trader.config.common import LoggingConfig from nautilus_trader.config.common import NautilusKernelConfig from nautilus_trader.config.common import TracingConfig +from nautilus_trader.config.error import InvalidConfiguration from nautilus_trader.core.correctness import PyCondition from nautilus_trader.core.datetime import nanos_to_millis from nautilus_trader.core.nautilus_pyo3 import LogGuard @@ -69,11 +71,12 @@ from nautilus_trader.model.identifiers import TraderId from nautilus_trader.msgbus.bus import MessageBus from nautilus_trader.persistence.catalog.parquet import ParquetDataCatalog -from nautilus_trader.persistence.streaming.writer import StreamingFeatherWriter +from nautilus_trader.persistence.writer import StreamingFeatherWriter from nautilus_trader.portfolio.base import PortfolioFacade from nautilus_trader.portfolio.portfolio import Portfolio from nautilus_trader.risk.engine import RiskEngine from nautilus_trader.serialization.msgpack.serializer import MsgPackSerializer +from nautilus_trader.trading.controller import Controller from nautilus_trader.trading.strategy import Strategy from nautilus_trader.trading.trader import Trader @@ -90,7 +93,7 @@ class NautilusKernel: """ Provides the core Nautilus system kernel. - The kernel is common between backtest, sandbox and live environment context types. + The kernel is common between ``backtest``, ``sandbox`` and ``live`` environment context types. Parameters ---------- @@ -109,6 +112,9 @@ class NautilusKernel: If `name` is not a valid string. TypeError If any configuration object is not of the expected type. + InvalidConfiguration + If any configuration object is mismatched with the environment context, + (live configurations for 'backtest', or backtest configurations for 'live'). """ @@ -243,6 +249,11 @@ def __init__( # noqa (too complex) # Data components ######################################################################## if isinstance(config.data_engine, LiveDataEngineConfig): + if config.environment == Environment.BACKTEST: + raise InvalidConfiguration( + f"Cannot use `LiveDataEngineConfig` in a '{config.environment.value}' environment. " + "Try using a `DataEngineConfig`.", + ) self._data_engine = LiveDataEngine( loop=self.loop, msgbus=self._msgbus, @@ -252,6 +263,11 @@ def __init__( # noqa (too complex) config=config.data_engine, ) elif isinstance(config.data_engine, DataEngineConfig): + if config.environment != Environment.BACKTEST: + raise InvalidConfiguration( + f"Cannot use `DataEngineConfig` in a '{config.environment.value}' environment. " + "Try using a `LiveDataEngineConfig`.", + ) self._data_engine = DataEngine( msgbus=self._msgbus, cache=self._cache, @@ -264,6 +280,11 @@ def __init__( # noqa (too complex) # Risk components ######################################################################## if isinstance(config.risk_engine, LiveRiskEngineConfig): + if config.environment == Environment.BACKTEST: + raise InvalidConfiguration( + f"Cannot use `LiveRiskEngineConfig` in a '{config.environment.value}' environment. " + "Try using a `RiskEngineConfig`.", + ) self._risk_engine = LiveRiskEngine( loop=self.loop, portfolio=self._portfolio, @@ -274,6 +295,11 @@ def __init__( # noqa (too complex) config=config.risk_engine, ) elif isinstance(config.risk_engine, RiskEngineConfig): + if config.environment != Environment.BACKTEST: + raise InvalidConfiguration( + f"Cannot use `RiskEngineConfig` in a '{config.environment.value}' environment. " + "Try using a `LiveRiskEngineConfig`.", + ) self._risk_engine = RiskEngine( portfolio=self._portfolio, msgbus=self._msgbus, @@ -287,6 +313,11 @@ def __init__( # noqa (too complex) # Execution components ######################################################################## if isinstance(config.exec_engine, LiveExecEngineConfig): + if config.environment == Environment.BACKTEST: + raise InvalidConfiguration( + f"Cannot use `LiveExecEngineConfig` in a '{config.environment.value}' environment. " + "Try using a `ExecEngineConfig`.", + ) self._exec_engine = LiveExecutionEngine( loop=self.loop, msgbus=self._msgbus, @@ -296,6 +327,11 @@ def __init__( # noqa (too complex) config=config.exec_engine, ) elif isinstance(config.exec_engine, ExecEngineConfig): + if config.environment != Environment.BACKTEST: + raise InvalidConfiguration( + f"Cannot use `ExecEngineConfig` in a '{config.environment.value}' environment. " + "Try using a `LiveExecEngineConfig`.", + ) self._exec_engine = ExecutionEngine( msgbus=self._msgbus, cache=self._cache, @@ -330,11 +366,28 @@ def __init__( # noqa (too complex) clock=self._clock, logger=self._logger, loop=self._loop, + config={ + "has_controller": self._config.controller is not None, + }, ) if self._load_state: self._trader.load() + # Add controller + self._controller: Controller | None = None + if self._config.controller: + self._controller = ControllerFactory.create( + config=self._config.controller, + trader=self._trader, + ) + self._controller.register_base( + cache=self._cache, + msgbus=self._msgbus, + clock=self._clock, + logger=self._logger, + ) + # Setup stream writer self._writer: StreamingFeatherWriter | None = None if config.streaming: @@ -348,10 +401,7 @@ def __init__( # noqa (too complex) fs_protocol=config.catalog.fs_protocol, fs_storage_options=config.catalog.fs_storage_options, ) - self._data_engine.register_catalog( - catalog=self._catalog, - use_rust=config.catalog.use_rust, - ) + self._data_engine.register_catalog(catalog=self._catalog) # Create importable actors for actor_config in config.actors: @@ -372,7 +422,7 @@ def __init__( # noqa (too complex) self.log.info(f"Initialized in {build_time_ms}ms.") def __del__(self) -> None: - if hasattr(self, "_writer") and self._writer and not self._writer.closed: + if hasattr(self, "_writer") and self._writer and not self._writer.is_closed: self._writer.close() def _setup_loop(self) -> None: @@ -400,7 +450,7 @@ def _loop_sig_handler(self, sig: signal.Signals) -> None: def _setup_streaming(self, config: StreamingConfig) -> None: # Setup persistence - path = f"{config.catalog_path}/{self._environment.value}/{self.instance_id}.feather" + path = f"{config.catalog_path}/{self._environment.value}/{self.instance_id}" self._writer = StreamingFeatherWriter( path=path, fs_protocol=config.fs_protocol, @@ -716,6 +766,9 @@ def start(self) -> None: self._initialize_portfolio() self._trader.start() + if self._controller: + self._controller.start() + async def start_async(self) -> None: """ Start the Nautilus system kernel in an asynchronous context with an event loop. @@ -749,12 +802,18 @@ async def start_async(self) -> None: self._trader.start() + if self._controller: + self._controller.start() + async def stop(self) -> None: """ Stop the Nautilus system kernel. """ self.log.info("STOPPING...") + if self._controller: + self._controller.stop() + if self._trader.is_running: self._trader.stop() diff --git a/nautilus_trader/test_kit/functions.py b/nautilus_trader/test_kit/functions.py index f039b126aceb..6ef6ba0aed71 100644 --- a/nautilus_trader/test_kit/functions.py +++ b/nautilus_trader/test_kit/functions.py @@ -46,3 +46,23 @@ async def await_condition(c): await asyncio.sleep(0) await asyncio.wait_for(await_condition(condition), timeout=timeout) + + +def ensure_all_tasks_completed() -> None: + """ + Gather all remaining tasks from the running event loop, cancel then run until + complete. + """ + # Cancel ALL tasks in the event loop + loop = asyncio.get_event_loop() + all_tasks = asyncio.tasks.all_tasks(loop) + for task in all_tasks: + task.cancel() + + gather_all = asyncio.gather(*all_tasks, return_exceptions=True) + + try: + loop.run_until_complete(gather_all) + except asyncio.CancelledError: + # Expected due to task cancellation + pass diff --git a/nautilus_trader/test_kit/mocks/actors.py b/nautilus_trader/test_kit/mocks/actors.py index 6adeb2ebc9e5..d48ed3494e9e 100644 --- a/nautilus_trader/test_kit/mocks/actors.py +++ b/nautilus_trader/test_kit/mocks/actors.py @@ -18,6 +18,13 @@ from nautilus_trader.common.actor import Actor from nautilus_trader.config import ActorConfig +from nautilus_trader.core.data import Data +from nautilus_trader.core.message import Event +from nautilus_trader.model.data import Bar +from nautilus_trader.model.data import QuoteTick +from nautilus_trader.model.data import Ticker +from nautilus_trader.model.data import TradeTick +from nautilus_trader.model.instruments import Instrument class MockActorConfig(ActorConfig, frozen=True): @@ -80,55 +87,55 @@ def on_fault(self) -> None: if current_frame: self.calls.append(current_frame.f_code.co_name) - def on_instrument(self, instrument) -> None: + def on_instrument(self, instrument: Instrument) -> None: current_frame = inspect.currentframe() if current_frame: self.calls.append(current_frame.f_code.co_name) self.store.append(instrument) - def on_instruments(self, instruments) -> None: + def on_instruments(self, instruments: list[Instrument]) -> None: current_frame = inspect.currentframe() if current_frame: self.calls.append(current_frame.f_code.co_name) self.store.append(instruments) - def on_ticker(self, ticker): + def on_ticker(self, ticker: Ticker) -> None: current_frame = inspect.currentframe() if current_frame: self.calls.append(current_frame.f_code.co_name) self.store.append(ticker) - def on_quote_tick(self, tick): + def on_quote_tick(self, tick: QuoteTick) -> None: current_frame = inspect.currentframe() if current_frame: self.calls.append(current_frame.f_code.co_name) self.store.append(tick) - def on_trade_tick(self, tick) -> None: + def on_trade_tick(self, tick: TradeTick) -> None: current_frame = inspect.currentframe() if current_frame: self.calls.append(current_frame.f_code.co_name) self.store.append(tick) - def on_bar(self, bar) -> None: + def on_bar(self, bar: Bar) -> None: current_frame = inspect.currentframe() if current_frame: self.calls.append(current_frame.f_code.co_name) self.store.append(bar) - def on_data(self, data) -> None: + def on_data(self, data: Data) -> None: current_frame = inspect.currentframe() if current_frame: self.calls.append(current_frame.f_code.co_name) self.store.append(data) - def on_strategy_data(self, data) -> None: + def on_strategy_data(self, data: Data) -> None: current_frame = inspect.currentframe() if current_frame: self.calls.append(current_frame.f_code.co_name) self.store.append(data) - def on_event(self, event) -> None: + def on_event(self, event: Event) -> None: current_frame = inspect.currentframe() if current_frame: self.calls.append(current_frame.f_code.co_name) @@ -146,10 +153,10 @@ def __init__(self): self._explode_on_start = True self._explode_on_stop = True - def set_explode_on_start(self, setting) -> None: + def set_explode_on_start(self, setting: bool) -> None: self._explode_on_start = setting - def set_explode_on_stop(self, setting) -> None: + def set_explode_on_stop(self, setting: bool) -> None: self._explode_on_stop = setting def on_start(self) -> None: @@ -175,20 +182,20 @@ def on_degrade(self) -> None: def on_fault(self) -> None: raise RuntimeError(f"{self} BOOM!") - def on_instrument(self, instrument) -> None: + def on_instrument(self, instrument: Instrument) -> None: raise RuntimeError(f"{self} BOOM!") - def on_quote_tick(self, tick) -> None: + def on_quote_tick(self, tick: QuoteTick) -> None: raise RuntimeError(f"{self} BOOM!") - def on_trade_tick(self, tick) -> None: + def on_trade_tick(self, tick: TradeTick) -> None: raise RuntimeError(f"{self} BOOM!") - def on_bar(self, bar) -> None: + def on_bar(self, bar: Bar) -> None: raise RuntimeError(f"{self} BOOM!") - def on_data(self, data) -> None: + def on_data(self, data: Data) -> None: raise RuntimeError(f"{self} BOOM!") - def on_event(self, event) -> None: + def on_event(self, event: Event) -> None: raise RuntimeError(f"{self} BOOM!") diff --git a/nautilus_trader/persistence/external/metadata.py b/nautilus_trader/test_kit/mocks/controller.py similarity index 56% rename from nautilus_trader/persistence/external/metadata.py rename to nautilus_trader/test_kit/mocks/controller.py index 5d0441483488..fd7e58b96da2 100644 --- a/nautilus_trader/persistence/external/metadata.py +++ b/nautilus_trader/test_kit/mocks/controller.py @@ -13,27 +13,22 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -import fsspec -import msgspec -from fsspec.utils import infer_storage_options +from nautilus_trader.config import ActorConfig +from nautilus_trader.examples.strategies.signal_strategy import SignalStrategy +from nautilus_trader.examples.strategies.signal_strategy import SignalStrategyConfig +from nautilus_trader.trading.controller import Controller -PARTITION_MAPPINGS_FN = "_partition_mappings.json" +class ControllerConfig(ActorConfig, frozen=True): + pass -def load_mappings(fs, path) -> dict: - if not fs.exists(f"{path}/{PARTITION_MAPPINGS_FN}"): - return {} - with fs.open(f"{path}/{PARTITION_MAPPINGS_FN}", "rb") as f: - return msgspec.json.decode(f.read()) - - -def write_partition_column_mappings(fs, path, mappings) -> None: - with fs.open(f"{path}/{PARTITION_MAPPINGS_FN}", "wb") as f: - f.write(msgspec.json.encode(mappings)) - - -def _glob_path_to_fs(glob_path): - inferred = infer_storage_options(glob_path) - inferred.pop("path", None) - return fsspec.filesystem(**inferred) +class MyController(Controller): + def start(self): + """ + Dynamically add a new strategy after startup. + """ + instruments = self.cache.instruments() + strategy_config = SignalStrategyConfig(instrument_id=instruments[0].id.value) + strategy = SignalStrategy(strategy_config) + self.create_strategy(strategy) diff --git a/nautilus_trader/test_kit/mocks/data.py b/nautilus_trader/test_kit/mocks/data.py index cbedbd3bd242..e15692e04f4b 100644 --- a/nautilus_trader/test_kit/mocks/data.py +++ b/nautilus_trader/test_kit/mocks/data.py @@ -13,30 +13,22 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from collections.abc import Generator -from functools import partial from pathlib import Path - -import pandas as pd +from typing import Optional, Union from nautilus_trader.common.clock import TestClock from nautilus_trader.common.logging import Logger from nautilus_trader.common.providers import InstrumentProvider -from nautilus_trader.model.data import QuoteTick from nautilus_trader.model.identifiers import Venue -from nautilus_trader.model.objects import Price -from nautilus_trader.model.objects import Quantity from nautilus_trader.persistence.catalog.parquet import ParquetDataCatalog -from nautilus_trader.persistence.external.core import process_files -from nautilus_trader.persistence.external.readers import CSVReader -from nautilus_trader.persistence.external.readers import Reader -from nautilus_trader.persistence.external.util import clear_singleton_instances +from nautilus_trader.persistence.catalog.singleton import clear_singleton_instances +from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler +from nautilus_trader.test_kit.providers import TestDataProvider +from nautilus_trader.test_kit.providers import TestInstrumentProvider from nautilus_trader.trading.filters import NewsEvent -class MockReader(Reader): - def parse(self, block: bytes) -> Generator: - yield block +AUDUSD_SIM = TestInstrumentProvider.default_fx_ccy("AUD/USD") class NewsEventData(NewsEvent): @@ -45,13 +37,18 @@ class NewsEventData(NewsEvent): """ -def data_catalog_setup(protocol, path=None) -> ParquetDataCatalog: +def data_catalog_setup( + protocol: str, + path: Optional[Union[str, Path]] = None, +) -> ParquetDataCatalog: if protocol not in ("memory", "file"): raise ValueError("`protocol` should only be one of `memory` or `file` for testing") + if isinstance(path, str): + path = Path(path) clear_singleton_instances(ParquetDataCatalog) - path = Path.cwd() / "data_catalog" if path is None else Path(path).resolve() + path = Path.cwd() / "data_catalog" if path is None else path.resolve() catalog = ParquetDataCatalog(path=path.as_posix(), fs_protocol=protocol) @@ -66,29 +63,12 @@ def data_catalog_setup(protocol, path=None) -> ParquetDataCatalog: return catalog -def aud_usd_data_loader(catalog: ParquetDataCatalog): +def aud_usd_data_loader(catalog: ParquetDataCatalog) -> None: from nautilus_trader.test_kit.providers import TestInstrumentProvider - from nautilus_trader.test_kit.stubs.identifiers import TestIdStubs - from tests.unit_tests.backtest.test_config import TEST_DATA_DIR venue = Venue("SIM") instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD", venue=venue) - def parse_csv_tick(df, instrument_id): - yield instrument - for r in df.to_numpy(): - ts = pd.Timestamp(r[0], tz="UTC").value - tick = QuoteTick( - instrument_id=instrument_id, - bid_price=Price(r[1], 5), - ask_price=Price(r[2], 5), - bid_size=Quantity.from_int(1_000_000), - ask_size=Quantity.from_int(1_000_000), - ts_event=ts, - ts_init=ts, - ) - yield tick - clock = TestClock() logger = Logger(clock) @@ -97,12 +77,9 @@ def parse_csv_tick(df, instrument_id): logger=logger, ) instrument_provider.add(instrument) - process_files( - glob_path=f"{TEST_DATA_DIR}/truefx-audusd-ticks.csv", - reader=CSVReader( - block_parser=partial(parse_csv_tick, instrument_id=TestIdStubs.audusd_id()), - as_dataframe=True, - ), - instrument_provider=instrument_provider, - catalog=catalog, - ) + + wrangler = QuoteTickDataWrangler(instrument) + ticks = wrangler.process(TestDataProvider().read_csv_ticks("truefx-audusd-ticks.csv")) + ticks.sort(key=lambda x: x.ts_init) # CAUTION: data was not originally sorted + catalog.write_data([instrument]) + catalog.write_data(ticks) diff --git a/nautilus_trader/test_kit/providers.py b/nautilus_trader/test_kit/providers.py index c2af31a579f4..3aa72ce69897 100644 --- a/nautilus_trader/test_kit/providers.py +++ b/nautilus_trader/test_kit/providers.py @@ -44,6 +44,7 @@ from nautilus_trader.model.identifiers import Symbol from nautilus_trader.model.identifiers import TradeId from nautilus_trader.model.identifiers import Venue +from nautilus_trader.model.instruments import BettingInstrument from nautilus_trader.model.instruments import CryptoFuture from nautilus_trader.model.instruments import CryptoPerpetual from nautilus_trader.model.instruments import CurrencyPair @@ -68,7 +69,7 @@ class TestInstrumentProvider: @staticmethod def adabtc_binance() -> CurrencyPair: """ - Return the Binance ADA/BTC instrument for backtesting. + Return the Binance Spot ADA/BTC instrument for backtesting. Returns ------- @@ -105,7 +106,7 @@ def adabtc_binance() -> CurrencyPair: @staticmethod def btcusdt_binance() -> CurrencyPair: """ - Return the Binance BTCUSDT instrument for backtesting. + Return the Binance Spot BTCUSDT instrument for backtesting. Returns ------- @@ -139,10 +140,48 @@ def btcusdt_binance() -> CurrencyPair: ts_init=0, ) + @staticmethod + def btcusdt_perp_binance() -> CurrencyPair: + """ + Return the Binance Futures BTCUSDT instrument for backtesting. + + Returns + ------- + CryptoPerpetual + + """ + return CryptoPerpetual( + instrument_id=InstrumentId( + symbol=Symbol("BTCUSDT-PERP"), + venue=Venue("BINANCE"), + ), + raw_symbol=Symbol("BTCUSDT"), + base_currency=BTC, + quote_currency=USDT, + settlement_currency=USDT, + is_inverse=False, + price_precision=1, + price_increment=Price.from_str("0.1"), + size_precision=3, + size_increment=Quantity.from_str("0.001"), + max_quantity=Quantity.from_str("1000.000"), + min_quantity=Quantity.from_str("0.001"), + max_notional=None, + min_notional=Money(10.00, USDT), + max_price=Price.from_str("809484.0"), + min_price=Price.from_str("261.1"), + margin_init=Decimal("0.0500"), + margin_maint=Decimal("0.0250"), + maker_fee=Decimal("0.000200"), + taker_fee=Decimal("0.000180"), + ts_event=1646199312128000000, + ts_init=1646199342953849862, + ) + @staticmethod def ethusdt_binance() -> CurrencyPair: """ - Return the Binance ETHUSDT instrument for backtesting. + Return the Binance Spot ETHUSDT instrument for backtesting. Returns ------- @@ -179,7 +218,7 @@ def ethusdt_binance() -> CurrencyPair: @staticmethod def ethusdt_perp_binance() -> CryptoPerpetual: """ - Return the Binance ETHUSDT-PERP instrument for backtesting. + Return the Binance Futures ETHUSDT-PERP instrument for backtesting. Returns ------- @@ -217,7 +256,7 @@ def ethusdt_perp_binance() -> CryptoPerpetual: @staticmethod def btcusdt_future_binance(expiry: Optional[date] = None) -> CryptoFuture: """ - Return the Binance BTCUSDT instrument for backtesting. + Return the Binance Futures BTCUSDT instrument for backtesting. Parameters ---------- @@ -419,21 +458,21 @@ def equity(symbol: str = "AAPL", venue: str = "NASDAQ") -> Equity: ) @staticmethod - def aapl_equity(): - return TestInstrumentProvider.equity(symbol="AAPL", venue="NASDAQ") - - @staticmethod - def es_future() -> FuturesContract: + def future( + symbol: str = "ESZ21", + underlying: str = "ES", + venue: str = "CME", + ) -> FuturesContract: return FuturesContract( - instrument_id=InstrumentId(symbol=Symbol("ESZ21"), venue=Venue("CME")), - raw_symbol=Symbol("ESZ21"), + instrument_id=InstrumentId(symbol=Symbol(symbol), venue=Venue(venue)), + raw_symbol=Symbol(symbol), asset_class=AssetClass.INDEX, currency=USD, price_precision=2, price_increment=Price.from_str("0.01"), multiplier=Quantity.from_int(1), lot_size=Quantity.from_int(1), - underlying="ES", + underlying=underlying, expiry_date=date(2021, 12, 17), ts_event=0, ts_init=0, @@ -472,6 +511,31 @@ def synthetic_instrument() -> SyntheticInstrument: ts_init=0, ) + @staticmethod + def betting_instrument(venue: Optional[str] = None) -> BettingInstrument: + return BettingInstrument( + venue_name=venue or "BETFAIR", + betting_type="ODDS", + competition_id="12282733", + competition_name="NFL", + event_country_code="GB", + event_id="29678534", + event_name="NFL", + event_open_date=pd.Timestamp("2022-02-07 23:30:00+00:00"), + event_type_id="6423", + event_type_name="American Football", + market_id="1.123456789", + market_name="AFC Conference Winner", + market_start_time=pd.Timestamp("2022-02-07 23:30:00+00:00"), + market_type="SPECIAL", + selection_handicap=None, + selection_id="50214", + selection_name="Kansas City Chiefs", + currency="GBP", + ts_event=0, + ts_init=0, + ) + class TestDataProvider: """ @@ -528,7 +592,7 @@ def read(self, path: str) -> fsspec.core.OpenFile: with fsspec.open(uri) as f: return f.read() - def read_csv(self, path: str, **kwargs) -> TextFileReader: + def read_csv(self, path: str, **kwargs: Any) -> TextFileReader: uri = self._make_uri(path=path) with fsspec.open(uri) as f: return pd.read_csv(f, **kwargs) diff --git a/nautilus_trader/test_kit/rust/instruments.py b/nautilus_trader/test_kit/rust/instruments.py new file mode 100644 index 000000000000..8f7d55411900 --- /dev/null +++ b/nautilus_trader/test_kit/rust/instruments.py @@ -0,0 +1,86 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +from datetime import datetime +from typing import Optional + +import pandas as pd +import pytz + +from nautilus_trader.core.nautilus_pyo3 import CryptoFuture +from nautilus_trader.core.nautilus_pyo3 import CryptoPerpetual +from nautilus_trader.core.nautilus_pyo3 import InstrumentId +from nautilus_trader.core.nautilus_pyo3 import Money +from nautilus_trader.core.nautilus_pyo3 import Price +from nautilus_trader.core.nautilus_pyo3 import Quantity +from nautilus_trader.core.nautilus_pyo3 import Symbol +from nautilus_trader.test_kit.rust.types import TestTypesProviderPyo3 + + +class TestInstrumentProviderPyo3: + @staticmethod + def ethusdt_perp_binance() -> CryptoPerpetual: + return CryptoPerpetual( # type: ignore + InstrumentId.from_str("ETHUSDT-PERP.BINANCE"), + Symbol("ETHUSDT"), + TestTypesProviderPyo3.currency_eth(), + TestTypesProviderPyo3.currency_usdt(), + TestTypesProviderPyo3.currency_usdt(), + 2, + 0, + Price.from_str("0.01"), + Quantity.from_str("0.001"), + 0.0, + 0.0, + 0.001, + 0.001, + None, + Quantity.from_str("10000"), + Quantity.from_str("0.001"), + None, + Money(10.0, TestTypesProviderPyo3.currency_usdt()), + Price.from_str("15000.0"), + Price.from_str("1.0"), + ) + + @staticmethod + def btcusdt_future_binance(expiry: Optional[pd.Timestamp] = None) -> CryptoFuture: + if expiry is None: + expiry = pd.Timestamp(datetime(2022, 3, 25), tz=pytz.UTC) + nanos_expiry = int(expiry.timestamp() * 1e9) + instrument_id_str = f"BTCUSDT_{expiry.strftime('%y%m%d')}.BINANCE" + return CryptoFuture( # type: ignore + InstrumentId.from_str(instrument_id_str), + Symbol("BTCUSDT"), + TestTypesProviderPyo3.currency_btc(), + TestTypesProviderPyo3.currency_usdt(), + TestTypesProviderPyo3.currency_usdt(), + nanos_expiry, + 2, + 6, + Price.from_str("0.01"), + Quantity.from_str("0.000001"), + 0.0, + 0.0, + 0.001, + 0.001, + None, + Quantity.from_str("9000"), + Quantity.from_str("0.00001"), + None, + Money(10.0, TestTypesProviderPyo3.currency_usdt()), + Price.from_str("1000000.0"), + Price.from_str("0.01"), + ) diff --git a/nautilus_trader/serialization/arrow/implementations/bar.py b/nautilus_trader/test_kit/rust/types.py similarity index 61% rename from nautilus_trader/serialization/arrow/implementations/bar.py rename to nautilus_trader/test_kit/rust/types.py index 9d7c8e0e799a..d91ccb9d28a3 100644 --- a/nautilus_trader/serialization/arrow/implementations/bar.py +++ b/nautilus_trader/test_kit/rust/types.py @@ -13,24 +13,26 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from nautilus_trader.model.data import Bar -from nautilus_trader.serialization.arrow.serializer import register_parquet +from nautilus_trader.core.nautilus_pyo3 import Currency -def serialize(bar: Bar): - data = bar.to_dict(bar) - data["instrument_id"] = bar.bar_type.instrument_id.value - return data +class TestTypesProviderPyo3: + @staticmethod + def currency_btc() -> Currency: + return Currency.from_str("BTC") + @staticmethod + def currency_usdt() -> Currency: + return Currency.from_str("USDT") -def deserialize(data: dict) -> Bar: - ignore = ("instrument_id",) - bar = Bar.from_dict({k: v for k, v in data.items() if k not in ignore}) - return bar + @staticmethod + def currency_aud() -> Currency: + return Currency.from_str("AUD") + @staticmethod + def currency_gbp() -> Currency: + return Currency.from_str("GBP") -register_parquet( - Bar, - serializer=serialize, - deserializer=deserialize, -) + @staticmethod + def currency_eth() -> Currency: + return Currency.from_str("ETH") diff --git a/nautilus_trader/test_kit/stubs/config.py b/nautilus_trader/test_kit/stubs/config.py index 8cfe3eb590c2..7e8603e0aadd 100644 --- a/nautilus_trader/test_kit/stubs/config.py +++ b/nautilus_trader/test_kit/stubs/config.py @@ -32,7 +32,7 @@ from nautilus_trader.test_kit.stubs.identifiers import TestIdStubs -AAPL_US = TestInstrumentProvider.aapl_equity() +AAPL_US = TestInstrumentProvider.equity(symbol="AAPL", venue="NASDAQ") class TestConfigStubs: diff --git a/nautilus_trader/test_kit/stubs/data.py b/nautilus_trader/test_kit/stubs/data.py index b40d9d211c88..20ca02e8e636 100644 --- a/nautilus_trader/test_kit/stubs/data.py +++ b/nautilus_trader/test_kit/stubs/data.py @@ -13,27 +13,31 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +from __future__ import annotations + import json from datetime import datetime -from typing import Any, Optional +from os import PathLike +from typing import Any import pandas as pd import pytz from nautilus_trader.core.data import Data from nautilus_trader.core.datetime import millis_to_nanos +from nautilus_trader.model.data import NULL_ORDER from nautilus_trader.model.data import Bar from nautilus_trader.model.data import BarSpecification from nautilus_trader.model.data import BarType from nautilus_trader.model.data import BookOrder from nautilus_trader.model.data import InstrumentClose -from nautilus_trader.model.data import InstrumentStatusUpdate +from nautilus_trader.model.data import InstrumentStatus from nautilus_trader.model.data import OrderBookDelta from nautilus_trader.model.data import OrderBookDeltas from nautilus_trader.model.data import QuoteTick from nautilus_trader.model.data import Ticker from nautilus_trader.model.data import TradeTick -from nautilus_trader.model.data import VenueStatusUpdate +from nautilus_trader.model.data import VenueStatus from nautilus_trader.model.enums import AggressorSide from nautilus_trader.model.enums import BarAggregation from nautilus_trader.model.enums import BookAction @@ -50,7 +54,7 @@ from nautilus_trader.model.objects import Price from nautilus_trader.model.objects import Quantity from nautilus_trader.model.orderbook import OrderBook -from nautilus_trader.model.orders import Order +from nautilus_trader.persistence.wranglers import BarDataWrangler from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler from nautilus_trader.test_kit.providers import TestDataProvider from nautilus_trader.test_kit.providers import TestInstrumentProvider @@ -62,7 +66,7 @@ class TestDataStubs: @staticmethod - def ticker(instrument_id: Optional[InstrumentId] = None) -> Ticker: + def ticker(instrument_id: InstrumentId | None = None) -> Ticker: return Ticker( instrument_id=instrument_id or TestIdStubs.audusd_id(), ts_event=0, @@ -71,7 +75,7 @@ def ticker(instrument_id: Optional[InstrumentId] = None) -> Ticker: @staticmethod def quote_tick( - instrument: Optional[Instrument] = None, + instrument: Instrument | None = None, bid_price: float = 1.0, ask_price: float = 1.0, bid_size: float = 100_000.0, @@ -92,7 +96,7 @@ def quote_tick( @staticmethod def trade_tick( - instrument: Optional[Instrument] = None, + instrument: Instrument | None = None, price: float = 1.0, size: float = 100_000, aggressor_side: AggressorSide = AggressorSide.BUYER, @@ -235,7 +239,7 @@ def order( @staticmethod def order_book( - instrument_id: Optional[InstrumentId] = None, + instrument_id: InstrumentId | None = None, book_type: BookType = BookType.L2_MBP, bid_price: float = 10.0, ask_price: float = 15.0, @@ -267,7 +271,7 @@ def order_book( @staticmethod def order_book_snapshot( - instrument_id: Optional[InstrumentId] = None, + instrument_id: InstrumentId | None = None, bid_price: float = 10.0, ask_price: float = 15.0, bid_size: float = 10.0, @@ -311,21 +315,35 @@ def order_book_snapshot( @staticmethod def order_book_delta( - instrument_id: Optional[InstrumentId] = None, - order: Optional[Order] = None, + instrument_id: InstrumentId | None = None, + order: BookOrder | None = None, + ts_event: int = 0, + ts_init: int = 0, ) -> OrderBookDeltas: return OrderBookDelta( instrument_id=instrument_id or TestIdStubs.audusd_id(), - action=BookAction.ADD, + action=BookAction.UPDATE, order=order or TestDataStubs.order(), + ts_event=ts_event, + ts_init=ts_init, + ) + + @staticmethod + def order_book_delta_clear( + instrument_id: InstrumentId | None = None, + ) -> OrderBookDeltas: + return OrderBookDelta( + instrument_id=instrument_id or TestIdStubs.audusd_id(), + action=BookAction.CLEAR, + order=NULL_ORDER, ts_event=0, ts_init=0, ) @staticmethod def order_book_deltas( - instrument_id: Optional[InstrumentId] = None, - deltas: Optional[list[OrderBookDelta]] = None, + instrument_id: InstrumentId | None = None, + deltas: list[OrderBookDelta] | None = None, ) -> OrderBookDeltas: return OrderBookDeltas( instrument_id=instrument_id or TestIdStubs.audusd_id(), @@ -336,8 +354,8 @@ def order_book_deltas( def make_book( instrument: Instrument, book_type: BookType, - bids: Optional[list[tuple]] = None, - asks: Optional[list[tuple]] = None, + bids: list[tuple] | None = None, + asks: list[tuple] | None = None, ) -> OrderBook: book = OrderBook( instrument_id=instrument.id, @@ -369,11 +387,11 @@ def make_book( return book @staticmethod - def venue_status_update( - venue: Optional[Venue] = None, - status: Optional[MarketStatus] = None, - ) -> VenueStatusUpdate: - return VenueStatusUpdate( + def venue_status( + venue: Venue | None = None, + status: MarketStatus | None = None, + ) -> VenueStatus: + return VenueStatus( venue=venue or Venue("BINANCE"), status=status or MarketStatus.OPEN, ts_event=0, @@ -381,11 +399,11 @@ def venue_status_update( ) @staticmethod - def instrument_status_update( - instrument_id: Optional[InstrumentId] = None, - status: Optional[MarketStatus] = None, - ) -> InstrumentStatusUpdate: - return InstrumentStatusUpdate( + def instrument_status( + instrument_id: InstrumentId | None = None, + status: MarketStatus | None = None, + ) -> InstrumentStatus: + return InstrumentStatus( instrument_id=instrument_id or InstrumentId(Symbol("BTCUSDT"), Venue("BINANCE")), status=status or MarketStatus.PAUSE, ts_event=0, @@ -405,13 +423,14 @@ def l1_feed(): price=Price(row[side], precision=6), size=Quantity(1e9, precision=2), side=order_side, + order_id=0, ), }, ) return updates @staticmethod - def l2_feed(filename: str) -> list: + def l2_feed(filename: PathLike[str] | str) -> list: def parse_line(d): if "status" in d: return {} @@ -446,14 +465,14 @@ def parse_line(d): size=Quantity(abs(order_like["volume"]), precision=4), # Betting sides are reversed side={2: OrderSide.BUY, 1: OrderSide.SELL}[order_like["side"]], - order_id=str(order_like["order_id"]), + order_id=0, ), } return [parse_line(line) for line in json.loads(open(filename).read())] @staticmethod - def l3_feed(filename: str) -> list[dict[str, Any]]: + def l3_feed(filename: PathLike[str] | str) -> list[dict[str, Any]]: def parser(data): parsed = data if not isinstance(parsed, list): @@ -479,7 +498,7 @@ def parser(data): price=Price(data["price"], precision=9), size=Quantity(abs(data["size"]), precision=9), side=side, - order_id=str(data["order_id"]), + order_id=data["order_id"], ), } else: @@ -489,12 +508,49 @@ def parser(data): price=Price(data["price"], precision=9), size=Quantity(abs(data["size"]), precision=9), side=side, - order_id=str(data["order_id"]), + order_id=data["order_id"], ), } return [msg for data in json.loads(open(filename).read()) for msg in parser(data)] + @staticmethod + def bar_data_from_csv( + filename: str, + bar_type: BarType, + instrument: Instrument, + names=None, + ) -> list[Bar]: + wrangler = BarDataWrangler(bar_type, instrument) + data = TestDataProvider().read_csv(filename, names=names) + data["timestamp"] = data["timestamp"].astype("datetime64[ms]") + data = data.set_index("timestamp") + bars = wrangler.process(data) + return bars + + @staticmethod + def binance_bars_from_csv(filename: str, bar_type: BarType, instrument: Instrument): + names = [ + "timestamp", + "open", + "high", + "low", + "close", + "volume", + "ts_close", + "quote_volume", + "n_trades", + "taker_buy_base_volume", + "taker_buy_quote_volume", + "ignore", + ] + return TestDataStubs.bar_data_from_csv( + filename=filename, + bar_type=bar_type, + instrument=instrument, + names=names, + ) + class MyData(Data): """ diff --git a/nautilus_trader/test_kit/stubs/events.py b/nautilus_trader/test_kit/stubs/events.py index da913f1cb97b..48d4328fb57a 100644 --- a/nautilus_trader/test_kit/stubs/events.py +++ b/nautilus_trader/test_kit/stubs/events.py @@ -23,6 +23,7 @@ from nautilus_trader.core.uuid import UUID4 from nautilus_trader.model.currencies import GBP from nautilus_trader.model.currencies import USD +from nautilus_trader.model.currency import Currency from nautilus_trader.model.enums import AccountType from nautilus_trader.model.enums import LiquiditySide from nautilus_trader.model.enums import TradingState @@ -132,7 +133,11 @@ def margin_account_state(account_id: Optional[AccountId] = None) -> AccountState ) @staticmethod - def betting_account_state(account_id: Optional[AccountId] = None) -> AccountState: + def betting_account_state( + balance: float = 1_000, + currency: Currency = GBP, + account_id: Optional[AccountId] = None, + ) -> AccountState: return AccountState( account_id=account_id or TestIdStubs.account_id(), account_type=AccountType.BETTING, @@ -140,9 +145,9 @@ def betting_account_state(account_id: Optional[AccountId] = None) -> AccountStat reported=False, # reported balances=[ AccountBalance( - Money(1_000, GBP), - Money(0, GBP), - Money(1_000, GBP), + Money(balance, currency), + Money(0, currency), + Money(balance, currency), ), ], margins=[], diff --git a/nautilus_trader/test_kit/stubs/persistence.py b/nautilus_trader/test_kit/stubs/persistence.py index ddaa68b822be..45f9a075be10 100644 --- a/nautilus_trader/test_kit/stubs/persistence.py +++ b/nautilus_trader/test_kit/stubs/persistence.py @@ -13,15 +13,14 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from collections.abc import Generator - import pandas as pd from nautilus_trader.core.datetime import maybe_dt_to_unix_nanos from nautilus_trader.model.currency import Currency -from nautilus_trader.serialization.arrow.serializer import register_parquet +from nautilus_trader.serialization.arrow.serializer import register_arrow from nautilus_trader.test_kit.mocks.data import NewsEventData from nautilus_trader.trading.filters import NewsImpact +from tests import TEST_DATA_DIR class TestPersistenceStubs: @@ -30,29 +29,33 @@ def setup_news_event_persistence() -> None: import pyarrow as pa def _news_event_to_dict(self): - return { - "name": self.name, - "impact": self.impact.name, - "currency": self.currency.code, - "ts_event": self.ts_event, - "ts_init": self.ts_init, - } - - def _news_event_from_dict(data): - data.update( - { - "impact": getattr(NewsImpact, data["impact"]), - "currency": Currency.from_str(data["currency"]), - }, + return pa.RecordBatch.from_pylist( + [ + { + "name": self.name, + "impact": self.impact.name, + "currency": self.currency.code, + "ts_event": self.ts_event, + "ts_init": self.ts_init, + }, + ], + schema=schema(), ) - return NewsEventData(**data) - register_parquet( - cls=NewsEventData, - serializer=_news_event_to_dict, - deserializer=_news_event_from_dict, - partition_keys=("currency",), - schema=pa.schema( + def _news_event_from_dict(table: pa.Table): + def parse(data): + data.update( + { + "impact": getattr(NewsImpact, data["impact"]), + "currency": Currency.from_str(data["currency"]), + }, + ) + return data + + return [NewsEventData(**parse(d)) for d in table.to_pylist()] + + def schema(): + return pa.schema( { "name": pa.string(), "impact": pa.string(), @@ -60,17 +63,28 @@ def _news_event_from_dict(data): "ts_event": pa.uint64(), "ts_init": pa.uint64(), }, - ), - force=True, + ) + + register_arrow( + data_cls=NewsEventData, + serializer=_news_event_to_dict, + deserializer=_news_event_from_dict, + # partition_keys=("currency",), + schema=schema(), + # force=True, ) @staticmethod - def news_event_parser(df, state=None) -> Generator[NewsEventData, None, None]: + def news_events() -> list[NewsEventData]: + df = pd.read_csv(TEST_DATA_DIR / "news_events.csv") + events = [] for _, row in df.iterrows(): - yield NewsEventData( + data = NewsEventData( name=str(row["Name"]), impact=getattr(NewsImpact, row["Impact"]), currency=Currency.from_str(row["Currency"]), ts_event=maybe_dt_to_unix_nanos(pd.Timestamp(row["Start"])), ts_init=maybe_dt_to_unix_nanos(pd.Timestamp(row["Start"])), ) + events.append(data) + return events diff --git a/nautilus_trader/trading/__init__.py b/nautilus_trader/trading/__init__.py index a29d57c8d32a..309b484b8d8d 100644 --- a/nautilus_trader/trading/__init__.py +++ b/nautilus_trader/trading/__init__.py @@ -20,3 +20,14 @@ `Strategy` base class. """ + +from nautilus_trader.trading.controller import Controller +from nautilus_trader.trading.strategy import Strategy +from nautilus_trader.trading.trader import Trader + + +__all__ = [ + "Controller", + "Strategy", + "Trader", +] diff --git a/nautilus_trader/trading/controller.py b/nautilus_trader/trading/controller.py new file mode 100644 index 000000000000..bafc4bc25761 --- /dev/null +++ b/nautilus_trader/trading/controller.py @@ -0,0 +1,203 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +from __future__ import annotations + +from nautilus_trader.common.actor import Actor +from nautilus_trader.config.common import ActorConfig +from nautilus_trader.core.correctness import PyCondition +from nautilus_trader.trading.strategy import Strategy +from nautilus_trader.trading.trader import Trader + + +class Controller(Actor): + """ + The base class for all trader controllers. + + Parameters + ---------- + trader : Trader + The reference to the trader instance to control. + config : ActorConfig, optional + The configuratuon for the controller + + Raises + ------ + TypeError + If `config` is not of type `ActorConfig`. + + """ + + def __init__( + self, + trader: Trader, + config: ActorConfig | None = None, + ) -> None: + if config is None: + config = ActorConfig() + PyCondition.type(config, ActorConfig, "config") + super().__init__(config=config) + + self._trader = trader + + def create_actor(self, actor: Actor, start: bool = True) -> None: + """ + Add the given actor to the controlled trader. + + Parameters + ---------- + actor : Actor + The actor to add. + start : bool, default True + If the actor should be started immediately. + + Raises + ------ + ValueError + If `actor.state` is ``RUNNING`` or ``DISPOSED``. + RuntimeError + If `actor` is already registered with the trader. + + """ + self._trader.add_actor(actor) + if start: + actor.start() + + def create_strategy(self, strategy: Strategy, start: bool = True) -> None: + """ + Add the given strategy to the controlled trader. + + Parameters + ---------- + strategy : Strategy + The strategy to add. + start : bool, default True + If the strategy should be started immediately. + + Raises + ------ + ValueError + If `strategy.state` is ``RUNNING`` or ``DISPOSED``. + RuntimeError + If `strategy` is already registered with the trader. + + """ + self._trader.add_strategy(strategy) + if start: + strategy.start() + + def start_actor(self, actor: Actor) -> None: + """ + Start the given `actor`. + + Will log a warning if the actor is already ``RUNNING``. + + Raises + ------ + ValueError + If `actor` is not already registered with the trader. + + """ + self._trader.start_actor(actor.id) + + def start_strategy(self, strategy: Strategy) -> None: + """ + Start the given `strategy`. + + Will log a warning if the strategy is already ``RUNNING``. + + Raises + ------ + ValueError + If `strategy` is not already registered with the trader. + + """ + self._trader.start_strategy(strategy.id) + + def stop_actor(self, actor: Actor) -> None: + """ + Stop the given `actor`. + + Will log a warning if the actor is not ``RUNNING``. + + Parameters + ---------- + actor : Actor + The actor to stop. + + Raises + ------ + ValueError + If `actor` is not already registered with the trader. + + """ + self._trader.stop_actor(actor.id) + + def stop_strategy(self, strategy: Strategy) -> None: + """ + Stop the given `strategy`. + + Will log a warning if the strategy is not ``RUNNING``. + + Parameters + ---------- + strategy : Strategy + The strategy to stop. + + Raises + ------ + ValueError + If `strategy` is not already registered with the trader. + + """ + self._trader.stop_strategy(strategy.id) + + def remove_actor(self, actor: Actor) -> None: + """ + Remove the given `actor`. + + Will stop the actor first if state is ``RUNNING``. + + Parameters + ---------- + actor : Actor + The actor to remove. + + Raises + ------ + ValueError + If `actor` is not already registered with the trader. + + """ + self._trader.remove_actor(actor.id) + + def remove_strategy(self, strategy: Strategy) -> None: + """ + Remove the given `strategy`. + + Will stop the strategy first if state is ``RUNNING``. + + Parameters + ---------- + strategy : Strategy + The strategy to remove. + + Raises + ------ + ValueError + If `strategy` is not already registered with the trader. + + """ + self._trader.remove_strategy(strategy.id) diff --git a/nautilus_trader/trading/strategy.pxd b/nautilus_trader/trading/strategy.pxd index b1c7777df9a1..9045f8099b7a 100644 --- a/nautilus_trader/trading/strategy.pxd +++ b/nautilus_trader/trading/strategy.pxd @@ -19,8 +19,9 @@ from nautilus_trader.common.clock cimport Clock from nautilus_trader.common.factories cimport OrderFactory from nautilus_trader.common.logging cimport Logger from nautilus_trader.common.timer cimport TimeEvent +from nautilus_trader.execution.messages cimport CancelOrder +from nautilus_trader.execution.messages cimport ModifyOrder from nautilus_trader.execution.messages cimport TradingCommand -from nautilus_trader.indicators.base.indicator cimport Indicator from nautilus_trader.model.data.bar cimport Bar from nautilus_trader.model.data.bar cimport BarType from nautilus_trader.model.data.tick cimport QuoteTick @@ -28,15 +29,33 @@ from nautilus_trader.model.data.tick cimport TradeTick from nautilus_trader.model.enums_c cimport OmsType from nautilus_trader.model.enums_c cimport OrderSide from nautilus_trader.model.enums_c cimport PositionSide +from nautilus_trader.model.events.order cimport OrderAccepted from nautilus_trader.model.events.order cimport OrderCanceled +from nautilus_trader.model.events.order cimport OrderCancelRejected from nautilus_trader.model.events.order cimport OrderDenied +from nautilus_trader.model.events.order cimport OrderEmulated +from nautilus_trader.model.events.order cimport OrderEvent +from nautilus_trader.model.events.order cimport OrderExpired +from nautilus_trader.model.events.order cimport OrderFilled +from nautilus_trader.model.events.order cimport OrderInitialized +from nautilus_trader.model.events.order cimport OrderModifyRejected from nautilus_trader.model.events.order cimport OrderPendingCancel from nautilus_trader.model.events.order cimport OrderPendingUpdate +from nautilus_trader.model.events.order cimport OrderRejected +from nautilus_trader.model.events.order cimport OrderReleased +from nautilus_trader.model.events.order cimport OrderSubmitted +from nautilus_trader.model.events.order cimport OrderTriggered +from nautilus_trader.model.events.order cimport OrderUpdated +from nautilus_trader.model.events.position cimport PositionChanged +from nautilus_trader.model.events.position cimport PositionClosed +from nautilus_trader.model.events.position cimport PositionEvent +from nautilus_trader.model.events.position cimport PositionOpened from nautilus_trader.model.identifiers cimport ClientId from nautilus_trader.model.identifiers cimport ClientOrderId from nautilus_trader.model.identifiers cimport ExecAlgorithmId from nautilus_trader.model.identifiers cimport InstrumentId from nautilus_trader.model.identifiers cimport PositionId +from nautilus_trader.model.identifiers cimport StrategyId from nautilus_trader.model.identifiers cimport TraderId from nautilus_trader.model.objects cimport Price from nautilus_trader.model.objects cimport Quantity @@ -48,11 +67,6 @@ from nautilus_trader.portfolio.base cimport PortfolioFacade cdef class Strategy(Actor): - cdef list _indicators - cdef dict _indicators_for_quotes - cdef dict _indicators_for_trades - cdef dict _indicators_for_bars - cdef bint _manage_gtd_expiry cdef readonly PortfolioFacade portfolio """The read-only portfolio for the strategy.\n\n:returns: `PortfolioFacade`""" @@ -64,8 +78,8 @@ cdef class Strategy(Actor): """The order management system for the strategy.\n\n:returns: `OmsType`""" cdef readonly list external_order_claims """The external order claims instrument IDs for the strategy.\n\n:returns: `list[InstrumentId]`""" - - cpdef bint indicators_initialized(self) + cdef readonly bint manage_gtd_expiry + """If all order GTD time in force expirations should be managed by the strategy.\n\n:returns: `bool`""" # -- REGISTRATION --------------------------------------------------------------------------------- @@ -78,9 +92,32 @@ cdef class Strategy(Actor): Clock clock, Logger logger, ) - cpdef void register_indicator_for_quote_ticks(self, InstrumentId instrument_id, Indicator indicator) - cpdef void register_indicator_for_trade_ticks(self, InstrumentId instrument_id, Indicator indicator) - cpdef void register_indicator_for_bars(self, BarType bar_type, Indicator indicator) + cpdef void change_id(self, StrategyId strategy_id) + cpdef void change_order_id_tag(self, str order_id_tag) + +# -- ABSTRACT METHODS ----------------------------------------------------------------------------- + + cpdef void on_order_event(self, OrderEvent event) + cpdef void on_order_initialized(self, OrderInitialized event) + cpdef void on_order_denied(self, OrderDenied event) + cpdef void on_order_emulated(self, OrderEmulated event) + cpdef void on_order_released(self, OrderReleased event) + cpdef void on_order_submitted(self, OrderSubmitted event) + cpdef void on_order_rejected(self, OrderRejected event) + cpdef void on_order_accepted(self, OrderAccepted event) + cpdef void on_order_canceled(self, OrderCanceled event) + cpdef void on_order_expired(self, OrderExpired event) + cpdef void on_order_triggered(self, OrderTriggered event) + cpdef void on_order_pending_update(self, OrderPendingUpdate event) + cpdef void on_order_pending_cancel(self, OrderPendingCancel event) + cpdef void on_order_modify_rejected(self, OrderModifyRejected event) + cpdef void on_order_cancel_rejected(self, OrderCancelRejected event) + cpdef void on_order_updated(self, OrderUpdated event) + cpdef void on_order_filled(self, OrderFilled event) + cpdef void on_position_event(self, PositionEvent event) + cpdef void on_position_opened(self, PositionOpened event) + cpdef void on_position_changed(self, PositionChanged event) + cpdef void on_position_closed(self, PositionClosed event) # -- TRADING COMMANDS ----------------------------------------------------------------------------- @@ -88,14 +125,12 @@ cdef class Strategy(Actor): self, Order order, PositionId position_id=*, - bint manage_gtd_expiry=*, ClientId client_id=*, ) cpdef void submit_order_list( self, OrderList order_list, PositionId position_id=*, - bint manage_gtd_expiry=*, ClientId client_id=*, ) cpdef void modify_order( @@ -105,25 +140,30 @@ cdef class Strategy(Actor): Price price=*, Price trigger_price=*, ClientId client_id=*, + bint batch_more=*, ) cpdef void cancel_order(self, Order order, ClientId client_id=*) + cpdef void cancel_orders(self, list orders, ClientId client_id=*) cpdef void cancel_all_orders(self, InstrumentId instrument_id, OrderSide order_side=*, ClientId client_id=*) cpdef void close_position(self, Position position, ClientId client_id=*, str tags=*) cpdef void close_all_positions(self, InstrumentId instrument_id, PositionSide position_side=*, ClientId client_id=*, str tags=*) cpdef void query_order(self, Order order, ClientId client_id=*) - cpdef void cancel_gtd_expiry(self, Order order) + cdef ModifyOrder _create_modify_order( + self, + Order order, + Quantity quantity=*, + Price price=*, + Price trigger_price=*, + ClientId client_id=*, + ) + cdef CancelOrder _create_cancel_order(self, Order order, ClientId client_id=*) + cpdef void cancel_gtd_expiry(self, Order order) cdef bint _has_gtd_expiry_timer(self, ClientOrderId client_order_id) cdef str _get_gtd_expiry_timer_name(self, ClientOrderId client_order_id) cdef void _set_gtd_expiry(self, Order order) cpdef void _expire_gtd_order(self, TimeEvent event) -# -- HANDLERS ------------------------------------------------------------------------------------- - - cdef void _handle_indicators_for_quote(self, list indicators, QuoteTick tick) - cdef void _handle_indicators_for_trade(self, list indicators, TradeTick tick) - cdef void _handle_indicators_for_bar(self, list indicators, Bar bar) - # -- EVENTS --------------------------------------------------------------------------------------- cdef OrderDenied _generate_order_denied(self, Order order, str reason) diff --git a/nautilus_trader/trading/strategy.pyx b/nautilus_trader/trading/strategy.pyx index 8fa1999d99a5..d8c81796e7b4 100644 --- a/nautilus_trader/trading/strategy.pyx +++ b/nautilus_trader/trading/strategy.pyx @@ -50,13 +50,13 @@ from nautilus_trader.core.correctness cimport Condition from nautilus_trader.core.fsm cimport InvalidStateTrigger from nautilus_trader.core.message cimport Event from nautilus_trader.core.uuid cimport UUID4 +from nautilus_trader.execution.messages cimport BatchCancelOrders from nautilus_trader.execution.messages cimport CancelAllOrders from nautilus_trader.execution.messages cimport CancelOrder from nautilus_trader.execution.messages cimport ModifyOrder from nautilus_trader.execution.messages cimport QueryOrder from nautilus_trader.execution.messages cimport SubmitOrder from nautilus_trader.execution.messages cimport SubmitOrderList -from nautilus_trader.indicators.base.indicator cimport Indicator from nautilus_trader.model.data.bar cimport Bar from nautilus_trader.model.data.bar cimport BarType from nautilus_trader.model.data.tick cimport QuoteTick @@ -67,14 +67,27 @@ from nautilus_trader.model.enums_c cimport TriggerType from nautilus_trader.model.enums_c cimport oms_type_from_str from nautilus_trader.model.enums_c cimport order_side_to_str from nautilus_trader.model.enums_c cimport position_side_to_str +from nautilus_trader.model.events.order cimport OrderAccepted from nautilus_trader.model.events.order cimport OrderCanceled from nautilus_trader.model.events.order cimport OrderCancelRejected from nautilus_trader.model.events.order cimport OrderDenied +from nautilus_trader.model.events.order cimport OrderEmulated from nautilus_trader.model.events.order cimport OrderEvent +from nautilus_trader.model.events.order cimport OrderExpired +from nautilus_trader.model.events.order cimport OrderFilled +from nautilus_trader.model.events.order cimport OrderInitialized from nautilus_trader.model.events.order cimport OrderModifyRejected from nautilus_trader.model.events.order cimport OrderPendingCancel from nautilus_trader.model.events.order cimport OrderPendingUpdate from nautilus_trader.model.events.order cimport OrderRejected +from nautilus_trader.model.events.order cimport OrderReleased +from nautilus_trader.model.events.order cimport OrderSubmitted +from nautilus_trader.model.events.order cimport OrderTriggered +from nautilus_trader.model.events.order cimport OrderUpdated +from nautilus_trader.model.events.position cimport PositionChanged +from nautilus_trader.model.events.position cimport PositionClosed +from nautilus_trader.model.events.position cimport PositionEvent +from nautilus_trader.model.events.position cimport PositionOpened from nautilus_trader.model.identifiers cimport ClientOrderId from nautilus_trader.model.identifiers cimport ExecAlgorithmId from nautilus_trader.model.identifiers cimport InstrumentId @@ -83,7 +96,6 @@ from nautilus_trader.model.identifiers cimport StrategyId from nautilus_trader.model.identifiers cimport TraderId from nautilus_trader.model.objects cimport Price from nautilus_trader.model.objects cimport Quantity -from nautilus_trader.model.orders.base cimport LOCAL_ACTIVE_ORDER_STATUS from nautilus_trader.model.orders.base cimport VALID_LIMIT_ORDER_TYPES from nautilus_trader.model.orders.base cimport VALID_STOP_ORDER_TYPES from nautilus_trader.model.orders.base cimport Order @@ -139,13 +151,7 @@ cdef class Strategy(Actor): self.config = config self.oms_type = oms_type_from_str(str(config.oms_type).upper()) if config.oms_type else OmsType.UNSPECIFIED self.external_order_claims = self._parse_external_order_claims(config.external_order_claims) - self._manage_gtd_expiry = False - - # Indicators - self._indicators: list[Indicator] = [] - self._indicators_for_quotes: dict[InstrumentId, list[Indicator]] = {} - self._indicators_for_trades: dict[InstrumentId, list[Indicator]] = {} - self._indicators_for_bars: dict[BarType, list[Indicator]] = {} + self.manage_gtd_expiry = config.manage_gtd_expiry # Public components self.clock = self._clock @@ -183,37 +189,6 @@ cdef class Strategy(Actor): config=self.config.dict(), ) - @property - def registered_indicators(self): - """ - Return the registered indicators for the strategy. - - Returns - ------- - list[Indicator] - - """ - return self._indicators.copy() - - cpdef bint indicators_initialized(self): - """ - Return a value indicating whether all indicators are initialized. - - Returns - ------- - bool - True if all initialized, else False - - """ - if not self._indicators: - return False - - cdef Indicator indicator - for indicator in self._indicators: - if not indicator.initialized: - return False - return True - # -- REGISTRATION --------------------------------------------------------------------------------- cpdef void on_start(self): @@ -309,93 +284,42 @@ cdef class Strategy(Actor): self._msgbus.subscribe(topic=f"events.order.{self.id}", handler=self.handle_event) self._msgbus.subscribe(topic=f"events.position.{self.id}", handler=self.handle_event) - cpdef void register_indicator_for_quote_ticks(self, InstrumentId instrument_id, Indicator indicator): - """ - Register the given indicator with the strategy to receive quote tick - data for the given instrument ID. - - Parameters - ---------- - instrument_id : InstrumentId - The instrument ID for tick updates. - indicator : Indicator - The indicator to register. - - """ - Condition.not_none(instrument_id, "instrument_id") - Condition.not_none(indicator, "indicator") - - if indicator not in self._indicators: - self._indicators.append(indicator) - - if instrument_id not in self._indicators_for_quotes: - self._indicators_for_quotes[instrument_id] = [] # type: list[Indicator] - - if indicator not in self._indicators_for_quotes[instrument_id]: - self._indicators_for_quotes[instrument_id].append(indicator) - self.log.info(f"Registered Indicator {indicator} for {instrument_id} quote ticks.") - else: - self.log.error(f"Indicator {indicator} already registered for {instrument_id} quote ticks.") - - cpdef void register_indicator_for_trade_ticks(self, InstrumentId instrument_id, Indicator indicator): + cpdef void change_id(self, StrategyId strategy_id): """ - Register the given indicator with the strategy to receive trade tick - data for the given instrument ID. + Change the strategies identifier to the given `strategy_id`. Parameters ---------- - instrument_id : InstrumentId - The instrument ID for tick updates. - indicator : indicator - The indicator to register. + strategy_id : StrategyId + The new strategy ID to change to. """ - Condition.not_none(instrument_id, "instrument_id") - Condition.not_none(indicator, "indicator") - - if indicator not in self._indicators: - self._indicators.append(indicator) + Condition.not_none(strategy_id, "strategy_id") - if instrument_id not in self._indicators_for_trades: - self._indicators_for_trades[instrument_id] = [] # type: list[Indicator] + self.id = strategy_id - if indicator not in self._indicators_for_trades[instrument_id]: - self._indicators_for_trades[instrument_id].append(indicator) - self.log.info(f"Registered Indicator {indicator} for {instrument_id} trade ticks.") - else: - self.log.error(f"Indicator {indicator} already registered for {instrument_id} trade ticks.") - - cpdef void register_indicator_for_bars(self, BarType bar_type, Indicator indicator): + cpdef void change_order_id_tag(self, str order_id_tag): """ - Register the given indicator with the strategy to receive bar data for the - given bar type. + Change the order identifier tag to the given `order_id_tag`. Parameters ---------- - bar_type : BarType - The bar type for bar updates. - indicator : Indicator - The indicator to register. + order_id_tag : str + The new order ID tag to change to. """ - Condition.not_none(bar_type, "bar_type") - Condition.not_none(indicator, "indicator") - - if indicator not in self._indicators: - self._indicators.append(indicator) + Condition.valid_string(order_id_tag, "order_id_tag") - if bar_type not in self._indicators_for_bars: - self._indicators_for_bars[bar_type] = [] # type: list[Indicator] - - if indicator not in self._indicators_for_bars[bar_type]: - self._indicators_for_bars[bar_type].append(indicator) - self.log.info(f"Registered Indicator {indicator} for {bar_type} bars.") - else: - self.log.error(f"Indicator {indicator} already registered for {bar_type} bars.") + self.order_id_tag = order_id_tag # -- ACTION IMPLEMENTATIONS ----------------------------------------------------------------------- cpdef void _start(self): + # Log configuration + self._log.info(f"{self.config.oms_type=}", LogColor.BLUE) + self._log.info(f"{self.config.external_order_claims=}", LogColor.BLUE) + self._log.info(f"{self.config.manage_gtd_expiry=}", LogColor.BLUE) + cdef set client_order_ids = self.cache.client_order_ids( venue=None, instrument_id=None, @@ -411,9 +335,26 @@ cdef class Strategy(Actor): cdef int order_id_count = len(client_order_ids) cdef int order_list_id_count = len(order_list_ids) self.order_factory.set_client_order_id_count(order_id_count) + self.log.info( + f"Set ClientOrderIdGenerator client_order_id count to {order_id_count}.", + LogColor.BLUE, + ) self.order_factory.set_order_list_id_count(order_list_id_count) - self.log.info(f"Set ClientOrderIdGenerator client_order_id count to {order_id_count}.") - self.log.info(f"Set ClientOrderIdGenerator order_list_id count to {order_list_id_count}.") + self.log.info( + f"Set ClientOrderIdGenerator order_list_id count to {order_list_id_count}.", + LogColor.BLUE, + ) + + cdef list open_orders = self.cache.orders_open( + venue=None, + instrument_id=None, + strategy_id=self.id, + ) + + if self.manage_gtd_expiry: + for order in open_orders: + if order.time_in_force == TimeInForce.GTD and not self._has_gtd_expiry_timer(order.client_order_id): + self._set_gtd_expiry(order) self.on_start() @@ -421,6 +362,8 @@ cdef class Strategy(Actor): if self.order_factory: self.order_factory.reset() + self._pending_requests.clear() + self._indicators.clear() self._indicators_for_quotes.clear() self._indicators_for_trades.clear() @@ -428,13 +371,350 @@ cdef class Strategy(Actor): self.on_reset() +# -- ABSTRACT METHODS ----------------------------------------------------------------------------- + + cpdef void on_order_event(self, OrderEvent event): + """ + Actions to be performed when running and receives an order event. + + Parameters + ---------- + event : OrderEvent + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_initialized(self, OrderInitialized event): + """ + Actions to be performed when running and receives an order initialized event. + + Parameters + ---------- + event : OrderInitialized + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_denied(self, OrderDenied event): + """ + Actions to be performed when running and receives an order denied event. + + Parameters + ---------- + event : OrderDenied + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_emulated(self, OrderEmulated event): + """ + Actions to be performed when running and receives an order initialized event. + + Parameters + ---------- + event : OrderEmulated + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_released(self, OrderReleased event): + """ + Actions to be performed when running and receives an order released event. + + Parameters + ---------- + event : OrderReleased + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_submitted(self, OrderSubmitted event): + """ + Actions to be performed when running and receives an order submitted event. + + Parameters + ---------- + event : OrderSubmitted + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_rejected(self, OrderRejected event): + """ + Actions to be performed when running and receives an order rejected event. + + Parameters + ---------- + event : OrderRejected + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_accepted(self, OrderAccepted event): + """ + Actions to be performed when running and receives an order accepted event. + + Parameters + ---------- + event : OrderAccepted + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_canceled(self, OrderCanceled event): + """ + Actions to be performed when running and receives an order canceled event. + + Parameters + ---------- + event : OrderCanceled + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_expired(self, OrderExpired event): + """ + Actions to be performed when running and receives an order expired event. + + Parameters + ---------- + event : OrderExpired + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_triggered(self, OrderTriggered event): + """ + Actions to be performed when running and receives an order triggered event. + + Parameters + ---------- + event : OrderTriggered + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_pending_update(self, OrderPendingUpdate event): + """ + Actions to be performed when running and receives an order pending update event. + + Parameters + ---------- + event : OrderPendingUpdate + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_pending_cancel(self, OrderPendingCancel event): + """ + Actions to be performed when running and receives an order pending cancel event. + + Parameters + ---------- + event : OrderPendingCancel + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_modify_rejected(self, OrderModifyRejected event): + """ + Actions to be performed when running and receives an order modify rejected event. + + Parameters + ---------- + event : OrderModifyRejected + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_cancel_rejected(self, OrderCancelRejected event): + """ + Actions to be performed when running and receives an order cancel rejected event. + + Parameters + ---------- + event : OrderCancelRejected + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_updated(self, OrderUpdated event): + """ + Actions to be performed when running and receives an order updated event. + + Parameters + ---------- + event : OrderUpdated + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_order_filled(self, OrderFilled event): + """ + Actions to be performed when running and receives an order filled event. + + Parameters + ---------- + event : OrderFilled + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_position_event(self, PositionEvent event): + """ + Actions to be performed when running and receives a position event. + + Parameters + ---------- + event : PositionEvent + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_position_opened(self, PositionOpened event): + """ + Actions to be performed when running and receives a position opened event. + + Parameters + ---------- + event : PositionOpened + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_position_changed(self, PositionChanged event): + """ + Actions to be performed when running and receives a position changed event. + + Parameters + ---------- + event : PositionChanged + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + + cpdef void on_position_closed(self, PositionClosed event): + """ + Actions to be performed when running and receives a position closed event. + + Parameters + ---------- + event : PositionClosed + The event received. + + Warnings + -------- + System method (not intended to be called by user code). + + """ + # Optionally override in subclass + # -- TRADING COMMANDS ----------------------------------------------------------------------------- cpdef void submit_order( self, Order order, PositionId position_id = None, - bint manage_gtd_expiry = False, ClientId client_id = None, ): """ @@ -454,8 +734,6 @@ cdef class Strategy(Actor): position_id : PositionId, optional The position ID to submit the order against. If a position does not yet exist, then any position opened will have this identifier assigned. - manage_gtd_expiry : bool, default False - If any GTD time in force order expiry should be managed by the strategy. client_id : ClientId, optional The specific execution client ID for the command. If ``None`` then will be inferred from the venue in the instrument ID. @@ -499,7 +777,7 @@ cdef class Strategy(Actor): client_id=client_id, ) - if manage_gtd_expiry and order.time_in_force == TimeInForce.GTD: + if self.manage_gtd_expiry and order.time_in_force == TimeInForce.GTD: self._set_gtd_expiry(order) # Route order @@ -514,7 +792,6 @@ cdef class Strategy(Actor): self, OrderList order_list, PositionId position_id = None, - bint manage_gtd_expiry = False, ClientId client_id = None ): """ @@ -534,8 +811,6 @@ cdef class Strategy(Actor): position_id : PositionId, optional The position ID to submit the order against. If a position does not yet exist, then any position opened will have this identifier assigned. - manage_gtd_expiry : bool, default False - If any GTD time in force order expiry should be managed by the strategy. client_id : ClientId, optional The specific execution client ID for the command. If ``None`` then will be inferred from the venue in the instrument ID. @@ -597,7 +872,7 @@ cdef class Strategy(Actor): client_id=client_id, ) - if manage_gtd_expiry: + if self.manage_gtd_expiry: for order in command.order_list.orders: if order.time_in_force == TimeInForce.GTD: self._set_gtd_expiry(order) @@ -617,6 +892,7 @@ cdef class Strategy(Actor): Price price = None, Price trigger_price = None, ClientId client_id = None, + bint batch_more = False, ): """ Modify the given order with optional parameters and routing instructions. @@ -644,6 +920,11 @@ cdef class Strategy(Actor): client_id : ClientId, optional The specific client ID for the command. If ``None`` then will be inferred from the venue in the instrument ID. + batch_more : bool, default False + Indicates if this command should be batched (grouped) with subsequent modify order + commands for the venue. When set to `True`, we expect more calls to `modify_order` + which will add to the current batch. Final processing of the batch occurs on a call + with `batch_more=False`. For proper behavior, maintain the correct call sequence. Raises ------ @@ -657,6 +938,10 @@ cdef class Strategy(Actor): If the order is already closed or at `PENDING_CANCEL` status then the command will not be generated, and a warning will be logged. + The `batch_more` flag is an advanced feature which may have unintended consequences if not + called in the correct sequence. If a series of `batch_more=True` calls are not followed by + a `batch_more=False`, then no command will be sent from the strategy. + References ---------- https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_G_71.html @@ -665,72 +950,19 @@ cdef class Strategy(Actor): Condition.true(self.trader_id is not None, "The strategy has not been registered") Condition.not_none(order, "order") - cdef bint updating = False # Set validation flag (must become true) - - if quantity is not None and quantity != order.quantity: - updating = True - - if price is not None: - Condition.true( - order.order_type in VALID_LIMIT_ORDER_TYPES, - fail_msg=f"{order.type_string_c()} orders do not have a LIMIT price", - ) - if price != order.price: - updating = True - - if trigger_price is not None: - Condition.true( - order.order_type in VALID_STOP_ORDER_TYPES, - fail_msg=f"{order.type_string_c()} orders do not have a STOP trigger price", - ) - if trigger_price != order.trigger_price: - updating = True - - if not updating: - self.log.error( - "Cannot create command ModifyOrder: " - "quantity, price and trigger were either None " - "or the same as existing values.", - ) + if batch_more: + self._log.error("The `batch_more` feature is not currently implemented.") return - if order.is_closed_c() or order.is_pending_cancel_c(): - self.log.warning( - f"Cannot create command ModifyOrder: " - f"state is {order.status_string_c()}, {order}.", - ) - return # Cannot send command - - cdef OrderPendingUpdate event - if not order.is_active_local_c(): - # Generate and apply event - event = self._generate_order_pending_update(order) - try: - order.apply(event) - self.cache.update_order(order) - except InvalidStateTrigger as e: - self._log.warning(f"InvalidStateTrigger: {e}, did not apply {event}") - return - - # Publish event - self._msgbus.publish_c( - topic=f"events.order.{order.strategy_id.to_str()}", - msg=event, - ) - - cdef ModifyOrder command = ModifyOrder( - trader_id=self.trader_id, - strategy_id=self.id, - instrument_id=order.instrument_id, - client_order_id=order.client_order_id, - venue_order_id=order.venue_order_id, + cdef ModifyOrder command = self._create_modify_order( + order=order, quantity=quantity, price=price, trigger_price=trigger_price, - command_id=UUID4(), - ts_init=self.clock.timestamp_ns(), client_id=client_id, ) + if command is None: + return if order.is_emulated_c(): self._send_emulator_command(command) @@ -742,9 +974,7 @@ cdef class Strategy(Actor): Cancel the given order with optional routing instructions. A `CancelOrder` command will be created and then sent to **either** the - `OrderEmulator` or the `RiskEngine` (depending on whether the order is emulated). - - Logs an error if no `VenueOrderId` has been assigned to the order. + `OrderEmulator` or the `ExecutionEngine` (depending on whether the order is emulated). Parameters ---------- @@ -754,52 +984,97 @@ cdef class Strategy(Actor): The specific client ID for the command. If ``None`` then will be inferred from the venue in the instrument ID. - """ - Condition.true(self.trader_id is not None, "The strategy has not been registered") - Condition.not_none(order, "order") + """ + Condition.true(self.trader_id is not None, "The strategy has not been registered") + Condition.not_none(order, "order") + + cdef CancelOrder command = self._create_cancel_order( + order=order, + client_id=client_id, + ) + if command is None: + return + + if order.is_emulated_c() or order.emulation_trigger != TriggerType.NO_TRIGGER: + self._send_emulator_command(command) + elif order.exec_algorithm_id is not None and order.is_active_local_c(): + self._send_algo_command(command, order.exec_algorithm_id) + else: + self._send_exec_command(command) + + cpdef void cancel_orders(self, list orders, ClientId client_id = None): + """ + Batch cancel the given list of orders with optional routing instructions. + + For each order in the list, a `CancelOrder` command will be created and added to a + `BatchCancelOrders` command. This command is then sent to the `ExecutionEngine`. + + Logs an error if the `orders` list contains local/emulated orders. + + Parameters + ---------- + orders : list[Order] + The orders to cancel. + client_id : ClientId, optional + The specific client ID for the command. + If ``None`` then will be inferred from the venue in the instrument ID. + + Raises + ------ + ValueError + If `orders` is empty. + TypeError + If `orders` contains a type other than `Order`. - if order.is_closed_c() or order.is_pending_cancel_c(): - self.log.warning( - f"Cannot cancel order: state is {order.status_string_c()}, {order}.", - ) - return # Cannot send command + """ + Condition.not_empty(orders, "orders") + Condition.list_type(orders, Order, "orders") - cdef OrderStatus order_status = order.status_c() + cdef list cancels = [] - cdef OrderPendingCancel event - if order_status not in LOCAL_ACTIVE_ORDER_STATUS: - # Generate and apply event - event = self._generate_order_pending_cancel(order) - try: - order.apply(event) - self.cache.update_order(order) - except InvalidStateTrigger as e: - self._log.warning(f"InvalidStateTrigger: {e}, did not apply {event}") - return + cdef: + Order order + Order first = None + CancelOrder cancel + for order in orders: + if first is None: + first = order + else: + if first.instrument_id != order.instrument_id: + self._log.error( + "Cannot cancel all orders: instrument_id mismatch " + f"{first.instrument_id} vs {order.instrument_id}.", + ) + return + if order.is_emulated_c(): + self._log.error( + "Cannot include emulated orders in a batch cancel." + ) + return - # Publish event - self._msgbus.publish_c( - topic=f"events.order.{order.strategy_id.to_str()}", - msg=event, + cancel = self._create_cancel_order( + order=order, + client_id=client_id, ) + if cancel is None: + continue + cancels.append(cancel) + + if not cancels: + self._log.warning("Cannot send `BatchCancelOrders`, no valid cancel commands.") + return - cdef CancelOrder command = CancelOrder( + cdef command = BatchCancelOrders( trader_id=self.trader_id, strategy_id=self.id, - instrument_id=order.instrument_id, - client_order_id=order.client_order_id, - venue_order_id=order.venue_order_id, + instrument_id=first.instrument_id, + cancels=cancels, command_id=UUID4(), ts_init=self.clock.timestamp_ns(), client_id=client_id, ) - if order.is_emulated_c(): - self._send_emulator_command(command) - elif order.exec_algorithm_id is not None and order.is_active_local_c(): - self._send_algo_command(command, order.exec_algorithm_id) - else: - self._send_exec_command(command) + self._send_exec_command(command) cpdef void cancel_all_orders( self, @@ -1031,6 +1306,118 @@ cdef class Strategy(Actor): self._send_exec_command(command) + cdef ModifyOrder _create_modify_order( + self, + Order order, + Quantity quantity = None, + Price price = None, + Price trigger_price = None, + ClientId client_id = None, + ): + cdef bint updating = False # Set validation flag (must become true) + + if quantity is not None and quantity != order.quantity: + updating = True + + if price is not None: + Condition.true( + order.order_type in VALID_LIMIT_ORDER_TYPES, + fail_msg=f"{order.type_string_c()} orders do not have a LIMIT price", + ) + if price != order.price: + updating = True + + if trigger_price is not None: + Condition.true( + order.order_type in VALID_STOP_ORDER_TYPES, + fail_msg=f"{order.type_string_c()} orders do not have a STOP trigger price", + ) + if trigger_price != order.trigger_price: + updating = True + + if not updating: + self.log.error( + "Cannot create command ModifyOrder: " + "quantity, price and trigger were either None " + "or the same as existing values.", + ) + return None # Cannot send command + + if order.is_closed_c() or order.is_pending_cancel_c(): + self.log.warning( + f"Cannot create command ModifyOrder: " + f"state is {order.status_string_c()}, {order}.", + ) + return None # Cannot send command + + cdef OrderPendingUpdate event + if not order.is_active_local_c(): + # Generate and apply event + event = self._generate_order_pending_update(order) + try: + order.apply(event) + self.cache.update_order(order) + except InvalidStateTrigger as e: + self._log.warning(f"InvalidStateTrigger: {e}, did not apply {event}") + return # Cannot send command + + # Publish event + self._msgbus.publish_c( + topic=f"events.order.{order.strategy_id.to_str()}", + msg=event, + ) + + return ModifyOrder( + trader_id=self.trader_id, + strategy_id=self.id, + instrument_id=order.instrument_id, + client_order_id=order.client_order_id, + venue_order_id=order.venue_order_id, + quantity=quantity, + price=price, + trigger_price=trigger_price, + command_id=UUID4(), + ts_init=self.clock.timestamp_ns(), + client_id=client_id, + ) + + cdef CancelOrder _create_cancel_order(self, Order order, ClientId client_id = None): + if order.is_closed_c() or order.is_pending_cancel_c(): + self.log.warning( + f"Cannot cancel order: state is {order.status_string_c()}, {order}.", + ) + return None # Cannot send command + + cdef OrderStatus order_status = order.status_c() + + cdef OrderPendingCancel event + if not order.is_active_local_c(): + # Generate and apply event + event = self._generate_order_pending_cancel(order) + try: + order.apply(event) + self.cache.update_order(order) + except InvalidStateTrigger as e: + self._log.warning(f"InvalidStateTrigger: {e}, did not apply {event}") + return None # Cannot send command + + # Publish event + self._msgbus.publish_c( + topic=f"events.order.{order.strategy_id.to_str()}", + msg=event, + ) + + return CancelOrder( + trader_id=self.trader_id, + strategy_id=self.id, + instrument_id=order.instrument_id, + client_order_id=order.client_order_id, + venue_order_id=order.venue_order_id, + command_id=UUID4(), + ts_init=self.clock.timestamp_ns(), + client_id=client_id, + ) + cpdef void cancel_gtd_expiry(self, Order order): """ Cancel the managed GTD expiry for the given order. @@ -1066,18 +1453,17 @@ cdef class Strategy(Actor): return timer_name in self._clock.timer_names cdef void _set_gtd_expiry(self, Order order): - self._log.info( - f"Setting managed GTD expiry timer for {order.client_order_id} @ {order.expire_time.isoformat()}.", - LogColor.BLUE, - ) cdef str timer_name = self._get_gtd_expiry_timer_name(order.client_order_id) self._clock.set_time_alert_ns( name=timer_name, alert_time_ns=order.expire_time_ns, callback=self._expire_gtd_order, ) - # For now, we flip this opt-in flag - self._manage_gtd_expiry = True + + self._log.info( + f"Set managed GTD expiry timer for {order.client_order_id} @ {order.expire_time.isoformat()}.", + LogColor.BLUE, + ) cpdef void _expire_gtd_order(self, TimeEvent event): cdef ClientOrderId client_order_id = ClientOrderId(event.to_str().partition(":")[2]) @@ -1096,219 +1482,6 @@ cdef class Strategy(Actor): # -- HANDLERS ------------------------------------------------------------------------------------- - cpdef void handle_quote_tick(self, QuoteTick tick): - """ - Handle the given quote tick. - - If state is ``RUNNING`` then passes to `on_quote_tick`. - - Parameters - ---------- - tick : QuoteTick - The tick received. - - Warnings - -------- - System method (not intended to be called by user code). - - """ - Condition.not_none(tick, "tick") - - # Update indicators - cdef list indicators = self._indicators_for_quotes.get(tick.instrument_id) - if indicators: - self._handle_indicators_for_quote(indicators, tick) - - if self._fsm.state == ComponentState.RUNNING: - try: - self.on_quote_tick(tick) - except Exception as e: - self.log.exception(f"Error on handling {repr(tick)}", e) - raise - - @cython.boundscheck(False) - @cython.wraparound(False) - cpdef void handle_quote_ticks(self, list ticks): - """ - Handle the given historical quote tick data by handling each tick individually. - - Parameters - ---------- - ticks : list[QuoteTick] - The ticks received. - - Warnings - -------- - System method (not intended to be called by user code). - - """ - Condition.not_none(ticks, "ticks") # Could be empty - - cdef int length = len(ticks) - cdef QuoteTick first = ticks[0] if length > 0 else None - cdef InstrumentId instrument_id = first.instrument_id if first is not None else None - - if length > 0: - self._log.info(f"Received data for {instrument_id}.") - else: - self._log.warning("Received data with no ticks.") - return - - # Update indicators - cdef list indicators = self._indicators_for_quotes.get(first.instrument_id) - - cdef: - int i - QuoteTick tick - for i in range(length): - tick = ticks[i] - if indicators: - self._handle_indicators_for_quote(indicators, tick) - self.handle_historical_data(tick) - - cpdef void handle_trade_tick(self, TradeTick tick): - """ - Handle the given trade tick. - - If state is ``RUNNING`` then passes to `on_trade_tick`. - - Parameters - ---------- - tick : TradeTick - The tick received. - - Warnings - -------- - System method (not intended to be called by user code). - - """ - Condition.not_none(tick, "tick") - - # Update indicators - cdef list indicators = self._indicators_for_trades.get(tick.instrument_id) - if indicators: - self._handle_indicators_for_trade(indicators, tick) - - if self._fsm.state == ComponentState.RUNNING: - try: - self.on_trade_tick(tick) - except Exception as e: - self.log.exception(f"Error on handling {repr(tick)}", e) - raise - - @cython.boundscheck(False) - @cython.wraparound(False) - cpdef void handle_trade_ticks(self, list ticks): - """ - Handle the given historical trade tick data by handling each tick individually. - - Parameters - ---------- - ticks : list[TradeTick] - The ticks received. - - Warnings - -------- - System method (not intended to be called by user code). - - """ - Condition.not_none(ticks, "ticks") # Could be empty - - cdef int length = len(ticks) - cdef TradeTick first = ticks[0] if length > 0 else None - cdef InstrumentId instrument_id = first.instrument_id if first is not None else None - - if length > 0: - self._log.info(f"Received data for {instrument_id}.") - else: - self._log.warning("Received data with no ticks.") - return - - # Update indicators - cdef list indicators = self._indicators_for_trades.get(first.instrument_id) - - cdef: - int i - TradeTick tick - for i in range(length): - tick = ticks[i] - if indicators: - self._handle_indicators_for_trade(indicators, tick) - self.handle_historical_data(tick) - - cpdef void handle_bar(self, Bar bar): - """ - Handle the given bar data. - - If state is ``RUNNING`` then passes to `on_bar`. - - Parameters - ---------- - bar : Bar - The bar received. - - Warnings - -------- - System method (not intended to be called by user code). - - """ - Condition.not_none(bar, "bar") - - # Update indicators - cdef list indicators = self._indicators_for_bars.get(bar.bar_type) - if indicators: - self._handle_indicators_for_bar(indicators, bar) - - if self._fsm.state == ComponentState.RUNNING: - try: - self.on_bar(bar) - except Exception as e: - self.log.exception(f"Error on handling {repr(bar)}", e) - raise - - @cython.boundscheck(False) - @cython.wraparound(False) - cpdef void handle_bars(self, list bars): - """ - Handle the given historical bar data by handling each bar individually. - - Parameters - ---------- - bars : list[Bar] - The bars to handle. - - Warnings - -------- - System method (not intended to be called by user code). - - """ - Condition.not_none(bars, "bars") # Can be empty - - cdef int length = len(bars) - cdef Bar first = bars[0] if length > 0 else None - cdef Bar last = bars[length - 1] if length > 0 else None - - if length > 0: - self._log.info(f"Received data for {first.bar_type}.") - else: - self._log.error(f"Received data for unknown bar type.") - return - - if length > 0 and first.ts_init > last.ts_init: - raise RuntimeError(f"cannot handle data: incorrectly sorted") - - # Update indicators - cdef list indicators = self._indicators_for_bars.get(first.bar_type) - - cdef: - int i - Bar bar - for i in range(length): - bar = bars[i] - if indicators: - self._handle_indicators_for_bar(indicators, bar) - self.handle_historical_data(bar) - cpdef void handle_event(self, Event event): """ Handle the given event. @@ -1333,34 +1506,79 @@ cdef class Strategy(Actor): self.log.info(f"{RECV}{EVT} {event}.") cdef Order order - if self._manage_gtd_expiry and isinstance(event, OrderEvent): + if self.manage_gtd_expiry and isinstance(event, OrderEvent): order = self.cache.order(event.client_order_id) if order is not None and order.is_closed_c() and self._has_gtd_expiry_timer(order.client_order_id): self.cancel_gtd_expiry(order) - if self._fsm.state == ComponentState.RUNNING: - try: - self.on_event(event) - except Exception as e: - self.log.exception(f"Error on handling {repr(event)}", e) - raise - -# -- HANDLERS ------------------------------------------------------------------------------------- - - cdef void _handle_indicators_for_quote(self, list indicators, QuoteTick tick): - cdef Indicator indicator - for indicator in indicators: - indicator.handle_quote_tick(tick) - - cdef void _handle_indicators_for_trade(self, list indicators, TradeTick tick): - cdef Indicator indicator - for indicator in indicators: - indicator.handle_trade_tick(tick) - - cdef void _handle_indicators_for_bar(self, list indicators, Bar bar): - cdef Indicator indicator - for indicator in indicators: - indicator.handle_bar(bar) + if self._fsm.state != ComponentState.RUNNING: + return + + try: + # Send to specific event handler + if isinstance(event, OrderInitialized): + self.on_order_initialized(event) + self.on_order_event(event) + elif isinstance(event, OrderDenied): + self.on_order_denied(event) + self.on_order_event(event) + elif isinstance(event, OrderEmulated): + self.on_order_emulated(event) + self.on_order_event(event) + elif isinstance(event, OrderReleased): + self.on_order_released(event) + self.on_order_event(event) + elif isinstance(event, OrderSubmitted): + self.on_order_submitted(event) + self.on_order_event(event) + elif isinstance(event, OrderRejected): + self.on_order_rejected(event) + self.on_order_event(event) + elif isinstance(event, OrderAccepted): + self.on_order_accepted(event) + self.on_order_event(event) + elif isinstance(event, OrderCanceled): + self.on_order_canceled(event) + self.on_order_event(event) + elif isinstance(event, OrderExpired): + self.on_order_expired(event) + self.on_order_event(event) + elif isinstance(event, OrderTriggered): + self.on_order_triggered(event) + self.on_order_event(event) + elif isinstance(event, OrderPendingUpdate): + self.on_order_pending_update(event) + self.on_order_event(event) + elif isinstance(event, OrderPendingCancel): + self.on_order_pending_cancel(event) + self.on_order_event(event) + elif isinstance(event, OrderModifyRejected): + self.on_order_modify_rejected(event) + self.on_order_event(event) + elif isinstance(event, OrderCancelRejected): + self.on_order_cancel_rejected(event) + self.on_order_event(event) + elif isinstance(event, OrderUpdated): + self.on_order_updated(event) + self.on_order_event(event) + elif isinstance(event, OrderFilled): + self.on_order_filled(event) + self.on_order_event(event) + elif isinstance(event, PositionOpened): + self.on_position_opened(event) + self.on_position_event(event) + elif isinstance(event, PositionChanged): + self.on_position_changed(event) + self.on_position_event(event) + elif isinstance(event, PositionClosed): + self.on_position_closed(event) + self.on_position_event(event) + + # Always send to general event handler + self.on_event(event) + except Exception as e: # pragma: no cover + self.log.exception(f"Error on handling {repr(event)}", e) + raise # -- EVENTS --------------------------------------------------------------------------------------- diff --git a/nautilus_trader/trading/trader.pxd b/nautilus_trader/trading/trader.pxd deleted file mode 100644 index a00285b0d3c1..000000000000 --- a/nautilus_trader/trading/trader.pxd +++ /dev/null @@ -1,72 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -from typing import Any, Callable - -from nautilus_trader.cache.cache cimport Cache -from nautilus_trader.common.actor cimport Actor -from nautilus_trader.common.component cimport Component -from nautilus_trader.data.engine cimport DataEngine -from nautilus_trader.execution.algorithm cimport ExecAlgorithm -from nautilus_trader.execution.engine cimport ExecutionEngine -from nautilus_trader.model.identifiers cimport Venue -from nautilus_trader.portfolio.portfolio cimport Portfolio -from nautilus_trader.risk.engine cimport RiskEngine -from nautilus_trader.trading.strategy cimport Strategy - - -cdef class Trader(Component): - cdef object _loop - cdef Cache _cache - cdef Portfolio _portfolio - cdef DataEngine _data_engine - cdef RiskEngine _risk_engine - cdef ExecutionEngine _exec_engine - cdef list _actors - cdef list _strategies - cdef list _exec_algorithms - - cpdef list actors(self) - cpdef list strategies(self) - cpdef list exec_algorithms(self) - - cpdef list actor_ids(self) - cpdef list strategy_ids(self) - cpdef list exec_algorithm_ids(self) - cpdef dict actor_states(self) - cpdef dict strategy_states(self) - cpdef dict exec_algorithm_states(self) - cpdef void add_actor(self, Actor actor) - cpdef void add_actors(self, list actors) - cpdef void add_strategy(self, Strategy strategy) - cpdef void add_strategies(self, list strategies) - cpdef void add_exec_algorithm(self, ExecAlgorithm exec_algorithm) - cpdef void add_exec_algorithms(self, list exec_algorithms) - cpdef void clear_actors(self) - cpdef void clear_strategies(self) - cpdef void clear_exec_algorithms(self) - cpdef void subscribe(self, str topic, handler: Callable[[Any], None]) - cpdef void unsubscribe(self, str topic, handler: Callable[[Any], None]) - cpdef void start(self) - cpdef void stop(self) - cpdef void save(self) - cpdef void load(self) - cpdef void reset(self) - cpdef void dispose(self) - cpdef void check_residuals(self) - cpdef object generate_orders_report(self) - cpdef object generate_order_fills_report(self) - cpdef object generate_positions_report(self) - cpdef object generate_account_report(self, Venue venue) diff --git a/nautilus_trader/trading/trader.pyx b/nautilus_trader/trading/trader.py similarity index 53% rename from nautilus_trader/trading/trader.pyx rename to nautilus_trader/trading/trader.py index d64dce952e8e..3221c35c88c1 100644 --- a/nautilus_trader/trading/trader.pyx +++ b/nautilus_trader/trading/trader.py @@ -12,44 +12,48 @@ # See the License for the specific language governing permissions and # limitations under the License. # ------------------------------------------------------------------------------------------------- - """ -The `Trader` class is intended to manage a fleet of trading strategies within -a running instance of the platform. +The `Trader` class is intended to manage a fleet of trading strategies within a running +instance of the platform. A running instance could be either a test/backtest or live implementation - the `Trader` will operate in the same way. + """ +from __future__ import annotations + import asyncio -from typing import Any, Callable, Optional +from typing import Any, Callable import pandas as pd from nautilus_trader.analysis.reporter import ReportProvider - -from nautilus_trader.accounting.accounts.base cimport Account -from nautilus_trader.common.actor cimport Actor -from nautilus_trader.common.clock cimport Clock -from nautilus_trader.common.clock cimport LiveClock -from nautilus_trader.common.component cimport Component -from nautilus_trader.common.logging cimport Logger -from nautilus_trader.core.correctness cimport Condition -from nautilus_trader.data.engine cimport DataEngine -from nautilus_trader.execution.algorithm cimport ExecAlgorithm -from nautilus_trader.execution.engine cimport ExecutionEngine -from nautilus_trader.model.identifiers cimport ExecAlgorithmId -from nautilus_trader.model.identifiers cimport StrategyId -from nautilus_trader.model.identifiers cimport TraderId -from nautilus_trader.model.identifiers cimport Venue -from nautilus_trader.msgbus.bus cimport MessageBus -from nautilus_trader.risk.engine cimport RiskEngine -from nautilus_trader.trading.strategy cimport Strategy - - -cdef class Trader(Component): +from nautilus_trader.cache.cache import Cache +from nautilus_trader.common.actor import Actor +from nautilus_trader.common.clock import Clock +from nautilus_trader.common.clock import LiveClock +from nautilus_trader.common.component import Component +from nautilus_trader.common.logging import Logger +from nautilus_trader.core.correctness import PyCondition +from nautilus_trader.data.engine import DataEngine +from nautilus_trader.execution.algorithm import ExecAlgorithm +from nautilus_trader.execution.engine import ExecutionEngine +from nautilus_trader.model.identifiers import ComponentId +from nautilus_trader.model.identifiers import ExecAlgorithmId +from nautilus_trader.model.identifiers import StrategyId +from nautilus_trader.model.identifiers import TraderId +from nautilus_trader.model.identifiers import Venue +from nautilus_trader.msgbus.bus import MessageBus +from nautilus_trader.portfolio.portfolio import Portfolio +from nautilus_trader.risk.engine import RiskEngine +from nautilus_trader.trading.strategy import Strategy + + +class Trader(Component): """ - Provides a trader for managing a fleet of trading strategies. + Provides a trader for managing a fleet of actors, execution algorithms and trading + strategies. Parameters ---------- @@ -86,21 +90,22 @@ If `strategies` is empty. TypeError If `strategies` contains a type other than `Strategy`. + """ def __init__( self, - TraderId trader_id not None, - MessageBus msgbus not None, - Cache cache not None, - Portfolio portfolio not None, - DataEngine data_engine not None, - RiskEngine risk_engine not None, - ExecutionEngine exec_engine not None, - Clock clock not None, - Logger logger not None, - loop: Optional[asyncio.AbstractEventLoop] = None, - dict config = None, + trader_id: TraderId, + msgbus: MessageBus, + cache: Cache, + portfolio: Portfolio, + data_engine: DataEngine, + risk_engine: RiskEngine, + exec_engine: ExecutionEngine, + clock: Clock, + logger: Logger, + loop: asyncio.AbstractEventLoop | None = None, + config: dict | None = None, ) -> None: if config is None: config = {} @@ -119,11 +124,12 @@ def __init__( self._risk_engine = risk_engine self._exec_engine = exec_engine - self._actors = [] - self._strategies = [] - self._exec_algorithms = [] + self._actors: dict[ComponentId, Actor] = {} + self._strategies: dict[StrategyId, Strategy] = {} + self._exec_algorithms: dict[ExecAlgorithmId, ExecAlgorithm] = {} + self._has_controller: bool = config.get("has_controller", False) - cpdef list actors(self): + def actors(self) -> list[Actor]: """ Return the actors loaded in the trader. @@ -132,9 +138,9 @@ def __init__( list[Actor] """ - return self._actors + return list(self._actors.values()) - cpdef list strategies(self): + def strategies(self) -> list[Strategy]: """ Return the strategies loaded in the trader. @@ -143,9 +149,9 @@ def __init__( list[Strategy] """ - return self._strategies + return list(self._strategies.values()) - cpdef list exec_algorithms(self): + def exec_algorithms(self) -> list[ExecAlgorithm]: """ Return the execution algorithms loaded in the trader. @@ -154,9 +160,9 @@ def __init__( list[ExecAlgorithms] """ - return self._exec_algorithms + return list(self._exec_algorithms.values()) - cpdef list actor_ids(self): + def actor_ids(self) -> list[ComponentId]: """ Return the actor IDs loaded in the trader. @@ -165,9 +171,9 @@ def __init__( list[ComponentId] """ - return sorted([actor.id for actor in self._actors]) + return sorted(self._actors.keys()) - cpdef list strategy_ids(self): + def strategy_ids(self) -> list[StrategyId]: """ Return the strategy IDs loaded in the trader. @@ -176,9 +182,9 @@ def __init__( list[StrategyId] """ - return sorted([s.id for s in self._strategies]) + return sorted(self._strategies.keys()) - cpdef list exec_algorithm_ids(self): + def exec_algorithm_ids(self) -> list[ExecAlgorithmId]: """ Return the execution algorithm IDs loaded in the trader. @@ -187,9 +193,9 @@ def __init__( list[ExecAlgorithmId] """ - return sorted([e.id for e in self._exec_algorithms]) + return sorted(self._exec_algorithms.keys()) - cpdef dict actor_states(self): + def actor_states(self) -> dict[ComponentId, str]: """ Return the traders actor states. @@ -198,10 +204,9 @@ def __init__( dict[ComponentId, str] """ - cdef Actor a - return {a.id: a.state.name for a in self._actors} + return {k: v.state.name for k, v in self._actors.items()} - cpdef dict strategy_states(self): + def strategy_states(self) -> dict[StrategyId, str]: """ Return the traders strategy states. @@ -210,10 +215,9 @@ def __init__( dict[StrategyId, str] """ - cdef Strategy s - return {s.id: s.state.name for s in self._strategies} + return {k: v.state.name for k, v in self._strategies.items()} - cpdef dict exec_algorithm_states(self): + def exec_algorithm_states(self) -> dict[ExecAlgorithmId, str]: """ Return the traders execution algorithm states. @@ -222,80 +226,64 @@ def __init__( dict[ExecAlgorithmId, str] """ - cdef ExecAlgorithm s - return {e.id: e.state.name for e in self._exec_algorithms} - -# -- ACTION IMPLEMENTATIONS ----------------------------------------------------------------------- + return {k: v.state.name for k, v in self._exec_algorithms.items()} - cpdef void _start(self): - if not self._strategies: - self._log.warning(f"No strategies loaded.") + # -- ACTION IMPLEMENTATIONS ----------------------------------------------------------------------- - cdef Actor actor - for actor in self._actors: + def _start(self) -> None: + for actor in self._actors.values(): actor.start() - cdef Strategy strategy - for strategy in self._strategies: + for strategy in self._strategies.values(): strategy.start() - cdef ExecAlgorithm exec_algorithm - for exec_algorithm in self._exec_algorithms: + for exec_algorithm in self._exec_algorithms.values(): exec_algorithm.start() - cpdef void _stop(self): - cdef Actor actor - for actor in self._actors: + def _stop(self) -> None: + for actor in self._actors.values(): if actor.is_running: actor.stop() else: self._log.warning(f"{actor} already stopped.") - cdef Strategy strategy - for strategy in self._strategies: + for strategy in self._strategies.values(): if strategy.is_running: strategy.stop() else: self._log.warning(f"{strategy} already stopped.") - cdef ExecAlgorithm exec_algorithm - for exec_algorithm in self._exec_algorithms: + for exec_algorithm in self._exec_algorithms.values(): if exec_algorithm.is_running: exec_algorithm.stop() else: self._log.warning(f"{exec_algorithm} already stopped.") - cpdef void _reset(self): - cdef Actor actor - for actor in self._actors: + def _reset(self) -> None: + for actor in self._actors.values(): actor.reset() - cdef Strategy strategy - for strategy in self._strategies: + for strategy in self._strategies.values(): strategy.reset() - cdef ExecAlgorithm exec_algorithm - for exec_algorithm in self._exec_algorithms: + for exec_algorithm in self._exec_algorithms.values(): exec_algorithm.reset() self._portfolio.reset() - cpdef void _dispose(self): - cdef Actor actor - for actor in self._actors: + def _dispose(self) -> None: + for actor in self._actors.values(): actor.dispose() - cdef Strategy strategy - for strategy in self._strategies: + for strategy in self._strategies.values(): strategy.dispose() - cdef ExecAlgorithm exec_algorithm - for exec_algorithm in self._exec_algorithms: + for exec_algorithm in self._exec_algorithms.values(): exec_algorithm.dispose() -# -------------------------------------------------------------------------------------------------- + # -------------------------------------------------------------------------------------------------- - cpdef void add_actor(self, Actor actor): + def add_actor(self, actor: Actor) -> None: """ Add the given custom component to the trader. @@ -306,23 +294,23 @@ def __init__( Raises ------ - KeyError - If `component.id` already exists in the trader. ValueError - If `component.state` is ``RUNNING`` or ``DISPOSED``. + If `actor.state` is ``RUNNING`` or ``DISPOSED``. + RuntimeError + If `actor.id` already exists in the trader. """ - Condition.true(not actor.is_running, "actor.state was RUNNING") - Condition.true(not actor.is_disposed, "actor.state was DISPOSED") + PyCondition.true(not actor.is_running, "actor.state was RUNNING") + PyCondition.true(not actor.is_disposed, "actor.state was DISPOSED") if self.is_running: self._log.error("Cannot add component to a running trader.") return - if actor in self._actors: + if actor.id in self._actors: raise RuntimeError( f"Already registered an actor with ID {actor.id}, " - "try specifying a different `component_id`." + "try specifying a different actor ID.", ) if isinstance(self._clock, LiveClock): @@ -338,11 +326,11 @@ def __init__( logger=self._log.get_logger(), ) - self._actors.append(actor) + self._actors[actor.id] = actor self._log.info(f"Registered Component {actor}.") - cpdef void add_actors(self, list actors: [Actor]): + def add_actors(self, actors: list[Actor]) -> None: """ Add the given actors to the trader. @@ -357,13 +345,12 @@ def __init__( If `actors` is ``None`` or empty. """ - Condition.not_empty(actors, "actors") + PyCondition.not_empty(actors, "actors") - cdef Actor actor for actor in actors: self.add_actor(actor) - cpdef void add_strategy(self, Strategy strategy): + def add_strategy(self, strategy: Strategy) -> None: """ Add the given trading strategy to the trader. @@ -374,24 +361,24 @@ def __init__( Raises ------ - KeyError - If `strategy.id` already exists in the trader. ValueError If `strategy.state` is ``RUNNING`` or ``DISPOSED``. + RuntimeError + If `strategy.id` already exists in the trader. """ - Condition.not_none(strategy, "strategy") - Condition.true(not strategy.is_running, "strategy.state was RUNNING") - Condition.true(not strategy.is_disposed, "strategy.state was DISPOSED") + PyCondition.not_none(strategy, "strategy") + PyCondition.true(not strategy.is_running, "strategy.state was RUNNING") + PyCondition.true(not strategy.is_disposed, "strategy.state was DISPOSED") - if self.is_running: + if self.is_running and not self._has_controller: self._log.error("Cannot add a strategy to a running trader.") return - if strategy in self._strategies: + if strategy.id in self._strategies: raise RuntimeError( f"Already registered a strategy with ID {strategy.id}, " - "try specifying a different `strategy_id`." + "try specifying a different strategy ID.", ) if isinstance(self._clock, LiveClock): @@ -400,12 +387,13 @@ def __init__( clock = self._clock.__class__() # Confirm strategy ID - order_id_tags: list[str] = [s.order_id_tag for s in self._strategies] + order_id_tags: list[str] = [s.order_id_tag for s in self._strategies.values()] if strategy.order_id_tag in (None, str(None)): order_id_tag = f"{len(order_id_tags):03d}" # Assign strategy `order_id_tag` - strategy.id = StrategyId(f"{strategy.id.value.partition('-')[0]}-{order_id_tag}") - strategy.order_id_tag = order_id_tag + strategy_id = StrategyId(f"{strategy.id.value.partition('-')[0]}-{order_id_tag}") + strategy.change_id(strategy_id) + strategy.change_order_id_tag(order_id_tag) # Check for duplicate `order_id_tag` if strategy.order_id_tag in order_id_tags: @@ -426,11 +414,11 @@ def __init__( self._exec_engine.register_oms_type(strategy) self._exec_engine.register_external_order_claims(strategy) - self._strategies.append(strategy) + self._strategies[strategy.id] = strategy self._log.info(f"Registered Strategy {strategy}.") - cpdef void add_strategies(self, list strategies: [Strategy]): + def add_strategies(self, strategies: list[Strategy]) -> None: """ Add the given trading strategies to the trader. @@ -445,13 +433,12 @@ def __init__( If `strategies` is ``None`` or empty. """ - Condition.not_empty(strategies, "strategies") + PyCondition.not_empty(strategies, "strategies") - cdef Strategy strategy for strategy in strategies: self.add_strategy(strategy) - cpdef void add_exec_algorithm(self, ExecAlgorithm exec_algorithm): + def add_exec_algorithm(self, exec_algorithm: ExecAlgorithm) -> None: """ Add the given execution algorithm to the trader. @@ -468,18 +455,18 @@ def __init__( If `exec_algorithm.state` is ``RUNNING`` or ``DISPOSED``. """ - Condition.not_none(exec_algorithm, "exec_algorithm") - Condition.true(not exec_algorithm.is_running, "exec_algorithm.state was RUNNING") - Condition.true(not exec_algorithm.is_disposed, "exec_algorithm.state was DISPOSED") + PyCondition.not_none(exec_algorithm, "exec_algorithm") + PyCondition.true(not exec_algorithm.is_running, "exec_algorithm.state was RUNNING") + PyCondition.true(not exec_algorithm.is_disposed, "exec_algorithm.state was DISPOSED") if self.is_running: self._log.error("Cannot add an execution algorithm to a running trader.") return - if exec_algorithm in self._exec_algorithms: + if exec_algorithm.id in self._exec_algorithms: raise RuntimeError( f"Already registered an execution algorithm with ID {exec_algorithm.id}, " - "try specifying a different `exec_algorithm_id`." + "try specifying a different `exec_algorithm_id`.", ) if isinstance(self._clock, LiveClock): @@ -497,11 +484,11 @@ def __init__( logger=self._log.get_logger(), ) - self._exec_algorithms.append(exec_algorithm) + self._exec_algorithms[exec_algorithm.id] = exec_algorithm self._log.info(f"Registered ExecAlgorithm {exec_algorithm}.") - cpdef void add_exec_algorithms(self, list exec_algorithms: [ExecAlgorithm]): + def add_exec_algorithms(self, exec_algorithms: list[ExecAlgorithm]) -> None: """ Add the given execution algorithms to the trader. @@ -516,13 +503,176 @@ def __init__( If `exec_algorithms` is ``None`` or empty. """ - Condition.not_empty(exec_algorithms, "exec_algorithms") + PyCondition.not_empty(exec_algorithms, "exec_algorithms") - cdef ExecAlgorithm exec_algorithm for exec_algorithm in exec_algorithms: self.add_exec_algorithm(exec_algorithm) - cpdef void clear_actors(self): + def start_actor(self, actor_id: ComponentId) -> None: + """ + Start the actor with the given `actor_id`. + + Parameters + ---------- + actor_id : ComponentId + The component ID to start. + + Raises + ------ + ValueError + If an actor with the given `actor_id` is not found. + + """ + PyCondition.not_none(actor_id, "actor_id") + + actor = self._actors.get(actor_id) + if actor is None: + raise ValueError(f"Cannot start actor, {actor_id} not found.") + + if actor.is_running: + self._log.warning(f"Actor {actor_id} already running.") + return + + actor.start() + + def start_strategy(self, strategy_id: StrategyId) -> None: + """ + Start the strategy with the given `strategy_id`. + + Parameters + ---------- + strategy_id : StrategyId + The strategy ID to start. + + Raises + ------ + ValueError + If a strategy with the given `strategy_id` is not found. + + """ + PyCondition.not_none(strategy_id, "strategy_id") + + strategy = self._strategies.get(strategy_id) + if strategy is None: + raise ValueError(f"Cannot start strategy, {strategy_id} not found.") + + if strategy.is_running: + self._log.warning(f"Strategy {strategy_id} already running.") + return + + strategy.start() + + def stop_actor(self, actor_id: ComponentId) -> None: + """ + Stop the actor with the given `actor_id`. + + Parameters + ---------- + actor_id : ComponentId + The actor ID to stop. + + Raises + ------ + ValueError + If an actor with the given `actor_id` is not found. + + """ + PyCondition.not_none(actor_id, "actor_id") + + actor = self._actors.get(actor_id) + if actor is None: + raise ValueError(f"Cannot stop actor, {actor_id} not found.") + + if not actor.is_running: + self._log.warning(f"Actor {actor_id} not running.") + return + + actor.stop() + + def stop_strategy(self, strategy_id: StrategyId) -> None: + """ + Stop the strategy with the given `strategy_id`. + + Parameters + ---------- + strategy_id : StrategyId + The strategy ID to stop. + + Raises + ------ + ValueError + If a strategy with the given `strategy_id` is not found. + + """ + PyCondition.not_none(strategy_id, "strategy_id") + + strategy = self._strategies.get(strategy_id) + if strategy is None: + raise ValueError(f"Cannot stop strategy, {strategy_id} not found.") + + if not strategy.is_running: + self._log.warning(f"Strategy {strategy_id} not running.") + return + + strategy.stop() + + def remove_actor(self, actor_id: ComponentId) -> None: + """ + Remove the actor with the given `actor_id`. + + Will stop the actor first if state is ``RUNNING``. + + Parameters + ---------- + actor_id : ComponentId + The actor ID to remove. + + Raises + ------ + ValueError + If an actor with the given `actor_id` is not found. + + """ + PyCondition.not_none(actor_id, "actor_id") + + actor = self._actors.get(actor_id) + if actor is None: + raise ValueError(f"Cannot remove actor, {actor_id} not found.") + + if actor.is_running: + actor.stop() + + self._actors.pop(actor_id) + + def remove_strategy(self, strategy_id: StrategyId) -> None: + """ + Remove the strategy with the given `strategy_id`. + + Will stop the strategy first if state is ``RUNNING``. + + Parameters + ---------- + strategy_id : StrategyId + The strategy ID to remove. + + Raises + ------ + ValueError + If a strategy with the given `strategy_id` is not found. + + """ + PyCondition.not_none(strategy_id, "strategy_id") + + strategy = self._strategies.get(strategy_id) + if strategy is None: + raise ValueError(f"Cannot remove strategy, {strategy_id} not found.") + + if strategy.is_running: + strategy.stop() + + self._strategies.pop(strategy_id) + + def clear_actors(self) -> None: """ Dispose and clear all actors held by the trader. @@ -536,13 +686,13 @@ def __init__( self._log.error("Cannot clear the actors of a running trader.") return - for actor in self._actors: + for actor in self._actors.values(): actor.dispose() self._actors.clear() - self._log.info(f"Cleared all actors.") + self._log.info("Cleared all actors.") - cpdef void clear_strategies(self): + def clear_strategies(self) -> None: """ Dispose and clear all strategies held by the trader. @@ -556,13 +706,13 @@ def __init__( self._log.error("Cannot clear the strategies of a running trader.") return - for strategy in self._strategies: + for strategy in self._strategies.values(): strategy.dispose() self._strategies.clear() - self._log.info(f"Cleared all trading strategies.") + self._log.info("Cleared all trading strategies.") - cpdef void clear_exec_algorithms(self): + def clear_exec_algorithms(self) -> None: """ Dispose and clear all execution algorithms held by the trader. @@ -576,13 +726,13 @@ def __init__( self._log.error("Cannot clear the execution algorithm of a running trader.") return - for exec_algorithm in self._exec_algorithms: + for exec_algorithm in self._exec_algorithms.values(): exec_algorithm.dispose() self._exec_algorithms.clear() - self._log.info(f"Cleared all execution algorithms.") + self._log.info("Cleared all execution algorithms.") - cpdef void subscribe(self, str topic, handler: Callable[[Any], None]): + def subscribe(self, topic: str, handler: Callable[[Any], None]) -> None: """ Subscribe to the given message topic with the given callback handler. @@ -596,7 +746,7 @@ def __init__( """ self._msgbus.subscribe(topic=topic, handler=handler) - cpdef void unsubscribe(self, str topic, handler: Callable[[Any], None]): + def unsubscribe(self, topic: str, handler: Callable[[Any], None]) -> None: """ Unsubscribe the given handler from the given message topic. @@ -610,37 +760,33 @@ def __init__( """ self._msgbus.unsubscribe(topic=topic, handler=handler) - cpdef void save(self): + def save(self) -> None: """ Save all actor and strategy states to the cache. """ - cdef Actor actor - for actor in self._actors: + for actor in self._actors.values(): self._cache.update_actor(actor) - cdef Strategy strategy - for strategy in self._strategies: + for strategy in self._strategies.values(): self._cache.update_strategy(strategy) - cpdef void load(self): + def load(self) -> None: """ Load all actor and strategy states from the cache. """ - cdef Actor actor - for actor in self._actors: + for actor in self._actors.values(): self._cache.load_actor(actor) - cdef Strategy strategy - for strategy in self._strategies: + for strategy in self._strategies.values(): self._cache.load_strategy(strategy) - cpdef void check_residuals(self): + def check_residuals(self) -> None: """ Check for residual open state such as open orders or open positions. """ self._exec_engine.check_residuals() - cpdef object generate_orders_report(self): + def generate_orders_report(self) -> pd.DataFrame: """ Generate an orders report. @@ -651,7 +797,7 @@ def __init__( """ return ReportProvider.generate_orders_report(self._cache.orders()) - cpdef object generate_order_fills_report(self): + def generate_order_fills_report(self) -> pd.DataFrame: """ Generate an order fills report. @@ -662,7 +808,7 @@ def __init__( """ return ReportProvider.generate_order_fills_report(self._cache.orders()) - cpdef object generate_positions_report(self): + def generate_positions_report(self) -> pd.DataFrame: """ Generate a positions report. @@ -671,10 +817,10 @@ def __init__( pd.DataFrame """ - cdef list positions = self._cache.positions() + self._cache.position_snapshots() + positions = self._cache.positions() + self._cache.position_snapshots() return ReportProvider.generate_positions_report(positions) - cpdef object generate_account_report(self, Venue venue): + def 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--git a/pyproject.toml b/pyproject.toml index 80a7096bc33f..f240fe268258 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -1,6 +1,6 @@ [tool.poetry] name = "nautilus_trader" -version = "1.178.0" +version = "1.179.0" description = "A high-performance algorithmic trading platform and event-driven backtester" authors = ["Nautech Systems "] license = "LGPL-3.0-or-later" @@ -27,14 +27,21 @@ include = [ # Compiled extensions must be included in the wheel distributions { path = "nautilus_trader/**/*.so", format = "wheel" }, { path = "nautilus_trader/**/*.pyd", format = "wheel" }, + # Include the py.typed file for type checking support + { path = "nautilus_trader/py.typed", format = "sdist" }, + { path = "nautilus_trader/py.typed", format = "wheel" }, + # Include Python interface files for type checking support + { path = "nautilus_trader/**/*.pyi", format = "sdist" }, + { path = "nautilus_trader/**/*.pyi", format = "wheel" }, ] [build-system] requires = [ "setuptools", "poetry-core>=1.7.0", - "numpy>=1.25.2", - "Cython==3.0.2", + "numpy>=1.26.1", + "Cython==3.0.4", + "toml>=0.10.2", ] build-backend = "poetry.core.masonry.api" @@ -44,24 +51,25 @@ generate-setup-file = false [tool.poetry.dependencies] python = ">=3.9,<3.12" -cython = "==3.0.2" +cython = "==3.0.4" # Build dependency (pinned for stability) +numpy = "^1.26.1" # Build dependency +toml = "^0.10.2" # Build dependency click = "^8.1.7" frozendict = "^2.3.8" -fsspec = ">=2022.5.0" -msgspec = "^0.18.2" -numpy = "^1.25.2" -pandas = "^2.1.0" -psutil = "^5.9.5" -pyarrow = "^12.0.1" +fsspec = "==2023.6.0" # Pinned for stability +importlib_metadata = "^6.8.0" +msgspec = "^0.18.4" +pandas = "^2.1.1" +psutil = "^5.9.6" +pyarrow = ">=12.0.1" # Minimum version set one major version behind the latest for compatibility pytz = "^2023.3.0" -toml = "^0.10.2" tqdm = "^4.66.1" -uvloop = {version = "^0.17.0", markers = "sys_platform != 'win32'"} +uvloop = {version = "^0.18.0", markers = "sys_platform != 'win32'"} hiredis = {version = "^2.2.3", optional = true} -redis = {version = "^4.6.0", optional = true} +redis = {version = "^5.0.1", optional = true} docker = {version = "^6.1.3", optional = true} -nautilus_ibapi = {version = "==1019.1", optional = true} -betfair_parser = {version = "==0.4.6", optional = true} +nautilus_ibapi = {version = "==1019.1", optional = true} # Pinned for stability +betfair_parser = {version = "==0.7.1", optional = true} # Pinned for stability [tool.poetry.extras] betfair = ["betfair_parser"] @@ -73,11 +81,11 @@ redis = ["hiredis", "redis"] optional = true [tool.poetry.group.dev.dependencies] -black = "^23.7.0" +black = "^23.10.0" docformatter = "^1.7.5" -mypy = "^1.5.1" -pre-commit = "^3.3.3" -ruff = "^0.0.287" +mypy = "^1.6.1" +pre-commit = "^3.5.0" +ruff = "^0.1.1" types-pytz = "^2023.3" types-redis = "^4.6" types-requests = "^2.31" @@ -87,20 +95,20 @@ types-toml = "^0.10.2" optional = true [tool.poetry.group.test.dependencies] -coverage = "^7.3.0" -pytest = "^7.4.0" -pytest-aiohttp = "^1.0.4" +coverage = "^7.3.2" +pytest = "^7.4.2" +pytest-aiohttp = "^1.0.5" pytest-asyncio = "^0.21.1" pytest-benchmark = "^4.0.0" pytest-cov = "^4.1.0" -pytest-mock = "^3.11.1" +pytest-mock = "^3.12.0" pytest-xdist = { version = "^3.3.1", extras = ["psutil"] } [tool.poetry.group.docs] optional = true [tool.poetry.group.docs.dependencies] -numpydoc = "^1.5.0" +numpydoc = "^1.6.0" linkify-it-py = "^2.0.0" myst-parser = "^0.18.1" sphinx_comments = "^0.0.3" diff --git a/tests/__init__.py b/tests/__init__.py index d7e2a2d04d20..0caac21f04e6 100644 --- a/tests/__init__.py +++ b/tests/__init__.py @@ -22,4 +22,4 @@ TESTS_PACKAGE_ROOT = os.path.dirname(os.path.abspath(__file__)) -TEST_DATA_DIR = str(pathlib.Path(TESTS_PACKAGE_ROOT).joinpath("test_data")) +TEST_DATA_DIR = pathlib.Path(TESTS_PACKAGE_ROOT) / "test_data" diff --git a/tests/acceptance_tests/test_backtest.py b/tests/acceptance_tests/test_backtest.py index 5a1c861fa6b6..caa1050d1a79 100644 --- a/tests/acceptance_tests/test_backtest.py +++ b/tests/acceptance_tests/test_backtest.py @@ -13,7 +13,6 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -import os from decimal import Decimal import pandas as pd @@ -72,7 +71,7 @@ def setup(self): self.engine = BacktestEngine(config=config) self.venue = Venue("SIM") - interest_rate_data = pd.read_csv(os.path.join(TEST_DATA_DIR, "short-term-interest.csv")) + interest_rate_data = pd.read_csv(TEST_DATA_DIR / "short-term-interest.csv") config = FXRolloverInterestConfig(interest_rate_data) fx_rollover_interest = FXRolloverInterestModule(config) @@ -196,9 +195,7 @@ def setup(self): self.engine = BacktestEngine(config=config) self.venue = Venue("SIM") - interest_rate_data = pd.read_csv( - os.path.join(TEST_DATA_DIR, "short-term-interest.csv"), - ) + interest_rate_data = pd.read_csv(TEST_DATA_DIR / "short-term-interest.csv") config = FXRolloverInterestConfig(interest_rate_data) fx_rollover_interest = FXRolloverInterestModule(config) @@ -320,9 +317,7 @@ def setup(self): self.engine = BacktestEngine(config=config) self.venue = Venue("SIM") - interest_rate_data = pd.read_csv( - os.path.join(TEST_DATA_DIR, "short-term-interest.csv"), - ) + interest_rate_data = pd.read_csv(TEST_DATA_DIR / "short-term-interest.csv") config = FXRolloverInterestConfig(interest_rate_data) fx_rollover_interest = FXRolloverInterestModule(config) @@ -756,7 +751,7 @@ def test_run_order_book_imbalance(self): self.engine.run() # Assert - assert self.engine.iteration in (8199, 7812) + assert self.engine.iteration in (8198, 7812) class TestBacktestAcceptanceTestsMarketMaking: @@ -815,7 +810,7 @@ def test_run_market_maker(self): # Assert # TODO - Unsure why this is not deterministic ? - assert self.engine.iteration in (7812, 8199, 9319) + assert self.engine.iteration in (7812, 8198, 9319) assert self.engine.portfolio.account(self.venue).balance_total(GBP) == Money( "9861.76", GBP, diff --git a/tests/integration_tests/adapters/betfair/conftest.py b/tests/integration_tests/adapters/betfair/conftest.py index f67a92eb8323..9e1509abe747 100644 --- a/tests/integration_tests/adapters/betfair/conftest.py +++ b/tests/integration_tests/adapters/betfair/conftest.py @@ -12,10 +12,11 @@ # See the License for the specific language governing permissions and # limitations under the License. # ------------------------------------------------------------------------------------------------- - +import asyncio from unittest.mock import patch import pytest +import pytest_asyncio from nautilus_trader.adapters.betfair.config import BetfairDataClientConfig from nautilus_trader.adapters.betfair.config import BetfairExecClientConfig @@ -24,13 +25,17 @@ from nautilus_trader.adapters.betfair.execution import BetfairExecutionClient from nautilus_trader.adapters.betfair.factories import BetfairLiveDataClientFactory from nautilus_trader.adapters.betfair.factories import BetfairLiveExecClientFactory +from nautilus_trader.adapters.betfair.parsing.core import BetfairParser from nautilus_trader.model.events.account import AccountState from nautilus_trader.model.identifiers import AccountId from nautilus_trader.model.identifiers import Venue +from nautilus_trader.persistence.catalog import ParquetDataCatalog +from nautilus_trader.test_kit.mocks.data import data_catalog_setup from nautilus_trader.test_kit.stubs.events import TestEventStubs from tests.integration_tests.adapters.betfair.test_kit import BetfairResponses from tests.integration_tests.adapters.betfair.test_kit import BetfairTestStubs from tests.integration_tests.adapters.betfair.test_kit import betting_instrument +from tests.integration_tests.adapters.betfair.test_kit import load_betfair_data @pytest.fixture() @@ -85,6 +90,7 @@ def data_client( loop=event_loop, name=venue.value, config=BetfairDataClientConfig( + account_currency="GBP", username="username", password="password", app_key="app_key", @@ -144,7 +150,7 @@ def exec_client( username="username", password="password", app_key="app_key", - base_currency="GBP", + account_currency="GBP", ), msgbus=msgbus, cache=cache, @@ -159,3 +165,61 @@ def exec_client( ) return exec_client + + +@pytest.fixture() +def data_catalog() -> ParquetDataCatalog: + catalog: ParquetDataCatalog = data_catalog_setup(protocol="memory", path="/") + load_betfair_data(catalog) + return catalog + + +@pytest.fixture() +def parser() -> BetfairParser: + return BetfairParser(currency="GBP") + + +async def handle_echo(reader: asyncio.StreamReader, writer: asyncio.StreamWriter): + async def write(): + writer.write(b"connected\r\n") + while True: + writer.write(b"hello\r\n") + await asyncio.sleep(0.1) + + asyncio.get_event_loop().create_task(write()) + + while True: + req = await reader.readline() + if req.strip() == b"close": + writer.close() + + +@pytest_asyncio.fixture() +async def socket_server(): + server = await asyncio.start_server(handle_echo, "127.0.0.1", 0) + addr = server.sockets[0].getsockname() + async with server: + await server.start_serving() + yield addr + + +@pytest_asyncio.fixture(name="closing_socket_server") +async def fixture_closing_socket_server(): + async def handler(_, writer: asyncio.StreamWriter): + async def write(): + print("SERVER CONNECTING") + writer.write(b"connected\r\n") + await asyncio.sleep(0.5) + await writer.drain() + writer.close() + await writer.wait_closed() + writer._transport.abort() + await asyncio.sleep(0.1) + print("Server closed") + + await write() + + server = await asyncio.start_server(handler, "127.0.0.1", 0) + addr = server.sockets[0].getsockname() + async with server: + yield addr diff --git a/tests/integration_tests/adapters/betfair/resources/streaming/streaming_market_definition_racing.json b/tests/integration_tests/adapters/betfair/resources/streaming/streaming_market_definition_racing.json new file 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4.6, + 3.69 + ] + ], + "atl": [ + [ + 980.0, + 22.72 + ] + ], + "batb": null, + "batl": null, + "bdatb": null, + "bdatl": null, + "spb": null, + "spl": null, + "spn": null, + "spf": null, + "trd": null, + "ltp": 0.0, + "tv": 0.0, + "hc": null + }, + { + "id": 3601619, + "atb": [ + [ + 5.8, + 3.44 + ] + ], + "atl": [ + [ + 980.0, + 22.72 + ] + ], + "batb": null, + "batl": null, + "bdatb": null, + "bdatl": null, + "spb": null, + "spl": null, + "spn": null, + "spf": null, + "trd": null, + "ltp": 0.0, + "tv": 0.0, + "hc": null + }, + { + "id": 13388439, + "atb": [ + [ + 1.8, + 21.32 + ] + ], + "atl": [ + [ + 2.18, + 48.28 + ] + ], + "batb": null, + "batl": null, + "bdatb": null, + "bdatl": null, + "spb": null, + "spl": null, + "spn": null, + "spf": null, + "trd": null, + "ltp": 0.0, + "tv": 0.0, + "hc": null + }, + { + "id": 35510787, + "atb": [ + [ + 4.6, + 3.69 + ] + ], + "atl": [ + [ + 130.0, + 22.72 + ] + ], + "batb": null, + "batl": null, + "bdatb": null, + "bdatl": null, + "spb": null, + "spl": null, + "spn": null, + "spf": null, + "trd": null, + "ltp": 0.0, + "tv": 0.0, + "hc": null + }, + { + "id": 10147870, + "atb": [ + [ + 42.0, + 3.0 + ] + ], + "atl": null, + "batb": null, + "batl": null, + "bdatb": null, + "bdatl": null, + "spb": null, + "spl": null, + "spn": null, + "spf": null, + "trd": null, + "ltp": 0.0, + "tv": 0.0, + "hc": null + } + ], + "con": null, + "img": true, + "marketDefinition": { + "betDelay": 0, + "bettingType": "ODDS", + "bspMarket": true, + "bspReconciled": false, + "competitionId": "", + "competitionName": "", + "complete": true, + "countryCode": "GB", + "crossMatching": false, + "discountAllowed": true, + "eachWayDivisor": null, + "eventId": "30361178", + "eventName": "", + "eventTypeId": 7, + "inPlay": false, + "keyLineDefinition": null, + "lineInterval": null, + "lineMaxUnit": null, + "lineMinUnit": null, + "marketBaseRate": 5.0, + "marketId": "", + "marketName": "", + "marketTime": "2021-03-19T12:07:00+10:00", + "marketType": "WIN", + "name": null, + "numberOfActiveRunners": 7, + "numberOfWinners": 1, + "openDate": "2021-03-19T12:07:00+10:00", + "persistenceEnabled": true, + "priceLadderDefinition": null, + "raceType": null, + "regulators": [ + "MR_INT" + ], + "runners": [ + { + "sortPriority": 1, + "id": 19248890, + "name": null, + "hc": null, + "status": "ACTIVE", + "adjustmentFactor": 44.323, + "bsp": null, + "removalDate": null + }, + { + "sortPriority": 2, + "id": 38848248, + "name": null, + "hc": null, + "status": "ACTIVE", + "adjustmentFactor": 41.972, + "bsp": null, + "removalDate": null + }, + { + "sortPriority": 3, + "id": 10921178, + "name": null, + "hc": null, + "status": "ACTIVE", + "adjustmentFactor": 6.006, + "bsp": null, + "removalDate": null + }, + { + "sortPriority": 4, + "id": 3601619, + "name": null, + "hc": null, + "status": "ACTIVE", + "adjustmentFactor": 3.635, + "bsp": null, + "removalDate": null + }, + { + "sortPriority": 5, + "id": 13388439, + "name": null, + "hc": null, + "status": "ACTIVE", + "adjustmentFactor": 3.129, + "bsp": null, + "removalDate": null + }, + { + "sortPriority": 6, + "id": 35510787, + "name": null, + "hc": null, + "status": "ACTIVE", + "adjustmentFactor": 0.468, + "bsp": null, + "removalDate": null + }, + { + "sortPriority": 7, + "id": 10147870, + "name": null, + "hc": null, + "status": "ACTIVE", + "adjustmentFactor": 0.468, + "bsp": null, + "removalDate": null + } + ], + "runnersVoidable": false, + "settledTime": null, + "status": "OPEN", + "suspendTime": "2021-03-19T12:07:00+10:00", + "timezone": "Europe/London", + "turnInPlayEnabled": true, + "venue": "Kempton", + "version": 1400311331 + }, + "tv": 0.0 + } + ] +} \ No newline at end of file diff --git a/tests/integration_tests/adapters/betfair/test_betfair_account.py b/tests/integration_tests/adapters/betfair/test_betfair_account.py index 7332c784f70c..c22a36863409 100644 --- a/tests/integration_tests/adapters/betfair/test_betfair_account.py +++ b/tests/integration_tests/adapters/betfair/test_betfair_account.py @@ -22,4 +22,4 @@ def test_betting_instrument_notional_value(instrument): price=betfair_float_to_price(2.0), quantity=betfair_float_to_quantity(100.0), ).as_double() - assert notional == 50 + assert notional == 100 diff --git a/tests/integration_tests/adapters/betfair/test_betfair_backtest.py b/tests/integration_tests/adapters/betfair/test_betfair_backtest.py new file mode 100644 index 000000000000..edcedff7fd65 --- /dev/null +++ b/tests/integration_tests/adapters/betfair/test_betfair_backtest.py @@ -0,0 +1,83 @@ +from nautilus_trader.adapters.betfair.constants import BETFAIR_VENUE +from nautilus_trader.adapters.betfair.parsing.core import BetfairParser +from nautilus_trader.backtest.engine import BacktestEngine +from nautilus_trader.backtest.engine import BacktestEngineConfig +from nautilus_trader.backtest.engine import Decimal +from nautilus_trader.config import LoggingConfig +from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalance +from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalanceConfig +from nautilus_trader.model.currencies import GBP +from nautilus_trader.model.enums import AccountType +from nautilus_trader.model.enums import BookType +from nautilus_trader.model.enums import OmsType +from nautilus_trader.model.identifiers import ClientId +from nautilus_trader.model.objects import Money +from tests.integration_tests.adapters.betfair.test_kit import BetfairDataProvider +from tests.integration_tests.adapters.betfair.test_kit import betting_instrument + + +def test_betfair_backtest(): + # Arrange + config = BacktestEngineConfig( + trader_id="BACKTESTER-001", + logging=LoggingConfig(bypass_logging=True), + ) + + # Build the backtest engine + engine = BacktestEngine(config=config) + + # Add a trading venue (multiple venues possible) + engine.add_venue( + venue=BETFAIR_VENUE, + oms_type=OmsType.NETTING, + account_type=AccountType.CASH, # Spot CASH account (not for perpetuals or futures) + base_currency=GBP, # Multi-currency account + starting_balances=[Money(100_000, GBP)], + book_type=BookType.L2_MBP, + ) + + # Add instruments + instruments = [ + betting_instrument( + market_id="1.166811431", + selection_id="19248890", + selection_handicap="0.0", + ), + betting_instrument( + market_id="1.166811431", + selection_id="38848248", + selection_handicap="0.0", + ), + ] + engine.add_instrument(instruments[0]) + engine.add_instrument(instruments[1]) + + # Add data + raw = list(BetfairDataProvider.market_updates()) + parser = BetfairParser(currency="GBP") + updates = [upd for update in raw for upd in parser.parse(update)] + engine.add_data(updates, client_id=ClientId("BETFAIR")) + + # Configure your strategy + strategies = [ + OrderBookImbalance( + config=OrderBookImbalanceConfig( + instrument_id=instrument.id.value, + max_trade_size=Decimal(10), + order_id_tag=instrument.selection_id, + ), + ) + for instrument in instruments + ] + engine.add_strategies(strategies) + + # Act + engine.run() + + # Assert + account = engine.trader.generate_account_report(BETFAIR_VENUE) + fills = engine.trader.generate_order_fills_report() + positions = engine.trader.generate_positions_report() + assert account.iloc[-1]["total"] == "13022.11" + assert len(fills) == 4639 + assert len(positions) == 2 diff --git a/tests/integration_tests/adapters/betfair/test_betfair_client.py b/tests/integration_tests/adapters/betfair/test_betfair_client.py index 1f22b2d01c57..61ac14f87d0d 100644 --- a/tests/integration_tests/adapters/betfair/test_betfair_client.py +++ b/tests/integration_tests/adapters/betfair/test_betfair_client.py @@ -23,7 +23,6 @@ from betfair_parser.spec.accounts.type_definitions import AccountFundsResponse from betfair_parser.spec.betting.enums import BetStatus from betfair_parser.spec.betting.enums import PersistenceType -from betfair_parser.spec.betting.enums import Side from betfair_parser.spec.betting.listings import ListMarketCatalogue from betfair_parser.spec.betting.listings import _ListMarketCatalogueParams from betfair_parser.spec.betting.orders import CancelOrders @@ -31,6 +30,7 @@ from betfair_parser.spec.betting.orders import ListCurrentOrders from betfair_parser.spec.betting.orders import PlaceOrders from betfair_parser.spec.betting.orders import ReplaceOrders +from betfair_parser.spec.betting.orders import Side from betfair_parser.spec.betting.orders import _CancelOrdersParams from betfair_parser.spec.betting.orders import _ListClearedOrdersParams from betfair_parser.spec.betting.orders import _ListCurrentOrdersParams @@ -43,7 +43,7 @@ from betfair_parser.spec.betting.type_definitions import ReplaceInstruction from betfair_parser.spec.common import OrderType from betfair_parser.spec.common import Response -from betfair_parser.spec.common import RPCError +from betfair_parser.spec.common.messages import RPCError from betfair_parser.spec.identity import Login from betfair_parser.spec.identity import _LoginParams from betfair_parser.spec.navigation import Menu @@ -197,13 +197,13 @@ async def test_place_orders(betfair_client): expected = PlaceOrders( jsonrpc="2.0", id=1, - method="", + method="SportsAPING/v1.0/placeOrders", params=_PlaceOrdersParams( market_id="1.179082386", instructions=[ PlaceInstruction( order_type=OrderType.LIMIT, - selection_id="50214", + selection_id=50214, handicap=None, side=Side.BACK, limit_order=LimitOrder( @@ -244,13 +244,13 @@ async def test_place_orders_handicap(betfair_client): expected = PlaceOrders( jsonrpc="2.0", id=1, - method="", + method="SportsAPING/v1.0/placeOrders", params=_PlaceOrdersParams( market_id="1.186249896", instructions=[ PlaceInstruction( order_type=OrderType.LIMIT, - selection_id="5304641", + selection_id=5304641, handicap="-5.5", side=Side.BACK, limit_order=LimitOrder( @@ -301,13 +301,13 @@ async def test_place_orders_market_on_close(betfair_client): expected = PlaceOrders( jsonrpc="2.0", id=1, - method="", + method="SportsAPING/v1.0/placeOrders", params=_PlaceOrdersParams( market_id="1.179082386", instructions=[ PlaceInstruction( order_type=OrderType.MARKET_ON_CLOSE, - selection_id="50214", + selection_id=50214, handicap=None, side=Side.BACK, limit_order=None, @@ -347,10 +347,10 @@ async def test_replace_orders_single(betfair_client): expected = ReplaceOrders( jsonrpc="2.0", id=1, - method="", + method="SportsAPING/v1.0/replaceOrders", params=_ReplaceOrdersParams( market_id="1.179082386", - instructions=[ReplaceInstruction(bet_id="240718603398", new_price=2.0)], + instructions=[ReplaceInstruction(bet_id=240718603398, new_price=2.0)], customer_ref="038990c619d2b5c837a6fe91f9b7b9ed", market_version=None, async_=False, @@ -359,30 +359,6 @@ async def test_replace_orders_single(betfair_client): assert request == expected -# @pytest.mark.asyncio() -# async def test_replace_orders_multi(): -# instrument = betting_instrument() -# update_order_command = TestCommandStubs.modify_order_command( -# instrument_id=instrument.id, -# price=betfair_float_to_price(2.0), -# client_order_id=ClientOrderId("1628717246480-1.186260932-rpl-0"), -# ) -# replace_order = order_update_to_replace_order_params( -# command=update_order_command, -# venue_order_id=VenueOrderId("240718603398"), -# instrument=instrument, -# ) -# with mock_client_request( -# response=BetfairResponses.betting_replace_orders_success_multi(), -# -# resp = await betfair_client.replace_orders(replace_order) -# assert len(resp["oc"][0]["orc"][0]["uo"]) == 2 -# -# expected = BetfairRequests.betting_replace_order() -# _, request = betfair_client._request.call_args[0] -# assert request == expected - - @pytest.mark.asyncio() async def test_cancel_orders(betfair_client): instrument = betting_instrument() @@ -402,11 +378,11 @@ async def test_cancel_orders(betfair_client): expected = CancelOrders( jsonrpc="2.0", id=1, - method="", + method="SportsAPING/v1.0/cancelOrders", params=_CancelOrdersParams( market_id="1.179082386", customer_ref="038990c619d2b5c837a6fe91f9b7b9ed", - instructions=[CancelInstruction(bet_id="228302937743")], + instructions=[CancelInstruction(bet_id=228302937743)], ), ) assert request == expected diff --git a/tests/integration_tests/adapters/betfair/test_betfair_common.py b/tests/integration_tests/adapters/betfair/test_betfair_common.py index 637c8cb621ba..4793711100c5 100644 --- a/tests/integration_tests/adapters/betfair/test_betfair_common.py +++ b/tests/integration_tests/adapters/betfair/test_betfair_common.py @@ -21,6 +21,7 @@ from nautilus_trader.adapters.betfair.common import MAX_BET_PRICE from nautilus_trader.adapters.betfair.common import MIN_BET_PRICE from nautilus_trader.adapters.betfair.orderbook import betfair_float_to_price +from nautilus_trader.adapters.betfair.orderbook import betfair_float_to_quantity from nautilus_trader.model.objects import Price from nautilus_trader.model.objects import Quantity from tests.integration_tests.adapters.betfair.test_kit import betting_instrument @@ -50,7 +51,7 @@ def test_notional_value(self): use_quote_for_inverse=False, ).as_decimal() # We are long 100 at 0.5 probability, aka 2.0 in odds terms - assert notional == Decimal("200.0") + assert notional == Decimal("100.0") @pytest.mark.parametrize( ("value", "n", "expected"), @@ -82,3 +83,19 @@ def test_to_dict(self): instrument = betting_instrument() data = instrument.to_dict(instrument) assert data["venue_name"] == "BETFAIR" + + @pytest.mark.parametrize( + "price, quantity, expected", + [ + (5.0, 100.0, 100), + (1.50, 100.0, 100), + (5.0, 100.0, 100), + (5.0, 300.0, 300), + ], + ) + def test_betting_instrument_notional_value(self, price, quantity, expected): + notional = self.instrument.notional_value( + price=betfair_float_to_price(price), + quantity=betfair_float_to_quantity(quantity), + ).as_double() + assert notional == expected diff --git a/tests/integration_tests/adapters/betfair/test_betfair_data.py b/tests/integration_tests/adapters/betfair/test_betfair_data.py index c0a461cde39d..d2c0fecbb015 100644 --- a/tests/integration_tests/adapters/betfair/test_betfair_data.py +++ b/tests/integration_tests/adapters/betfair/test_betfair_data.py @@ -23,31 +23,37 @@ from nautilus_trader.adapters.betfair.constants import BETFAIR_VENUE from nautilus_trader.adapters.betfair.data import BetfairDataClient -from nautilus_trader.adapters.betfair.data import BetfairParser from nautilus_trader.adapters.betfair.data_types import BetfairStartingPrice from nautilus_trader.adapters.betfair.data_types import BetfairTicker -from nautilus_trader.adapters.betfair.data_types import BSPOrderBookDeltas +from nautilus_trader.adapters.betfair.data_types import BSPOrderBookDelta from nautilus_trader.adapters.betfair.orderbook import betfair_float_to_price from nautilus_trader.adapters.betfair.orderbook import create_betfair_order_book from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider +from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProviderConfig from nautilus_trader.adapters.betfair.providers import make_instruments from nautilus_trader.adapters.betfair.providers import parse_market_catalog from nautilus_trader.common.clock import LiveClock from nautilus_trader.common.enums import LogLevel from nautilus_trader.common.logging import Logger +from nautilus_trader.core.rust.model import OrderSide from nautilus_trader.model.data.base import GenericData +from nautilus_trader.model.data.book import BookOrder from nautilus_trader.model.data.book import OrderBookDelta from nautilus_trader.model.data.book import OrderBookDeltas +from nautilus_trader.model.data.status import InstrumentClose +from nautilus_trader.model.data.status import InstrumentStatus +from nautilus_trader.model.data.status import VenueStatus from nautilus_trader.model.data.tick import TradeTick from nautilus_trader.model.data.ticker import Ticker -from nautilus_trader.model.data.venue import InstrumentClose -from nautilus_trader.model.data.venue import InstrumentStatusUpdate from nautilus_trader.model.enums import BookAction from nautilus_trader.model.enums import BookType from nautilus_trader.model.enums import InstrumentCloseType from nautilus_trader.model.enums import MarketStatus from nautilus_trader.model.identifiers import InstrumentId from nautilus_trader.model.identifiers import Symbol +from nautilus_trader.model.instruments import BettingInstrument +from nautilus_trader.model.objects import Price +from nautilus_trader.model.objects import Quantity from nautilus_trader.model.orderbook import OrderBook from nautilus_trader.test_kit.stubs.data import TestDataStubs from tests.integration_tests.adapters.betfair.test_kit import BetfairDataProvider @@ -71,14 +77,15 @@ def instrument_list(mock_load_markets_metadata): loop = asyncio.get_event_loop() logger = Logger(clock=LiveClock(), level_stdout=LogLevel.ERROR) client = BetfairTestStubs.betfair_client(loop=loop, logger=logger) - instrument_provider = BetfairInstrumentProvider(client=client, logger=logger, filters={}) + market_ids = BetfairDataProvider.market_ids() + config = BetfairInstrumentProviderConfig(market_ids=market_ids) + instrument_provider = BetfairInstrumentProvider(client=client, logger=logger, config=config) # Load instruments - market_ids = BetfairDataProvider.market_ids() catalog = parse_market_catalog(BetfairResponses.betting_list_market_catalogue()["result"]) mock_load_markets_metadata.return_value = [c for c in catalog if c.market_id in market_ids] t = loop.create_task( - instrument_provider.load_all_async(market_filter={"market_id": market_ids}), + instrument_provider.load_all_async(), ) loop.run_until_complete(t) @@ -108,7 +115,7 @@ async def test_subscriptions(data_client, instrument): # Arrange, Act data_client.subscribe_trade_ticks(instrument.id) await asyncio.sleep(0) - data_client.subscribe_instrument_status_updates(instrument.id) + data_client.subscribe_instrument_status(instrument.id) await asyncio.sleep(0) data_client.subscribe_instrument_close(instrument.id) await asyncio.sleep(0) @@ -145,7 +152,7 @@ async def test_market_sub_image_market_def(data_client, mock_data_engine_process # Assert - expected messages mock_calls = mock_data_engine_process.call_args_list result = [type(call.args[0]).__name__ for call in mock_data_engine_process.call_args_list] - expected = ["InstrumentStatusUpdate"] * 7 + ["OrderBookDeltas"] * 7 + expected = ["BettingInstrument"] * 7 + ["InstrumentStatus"] * 7 + ["OrderBookDeltas"] * 7 assert result == expected # Assert - Check orderbook prices @@ -188,7 +195,7 @@ def test_market_update(data_client, mock_data_engine_process): def test_market_update_md(data_client, mock_data_engine_process): data_client.on_market_update(BetfairStreaming.mcm_UPDATE_md()) result = [type(call.args[0]).__name__ for call in mock_data_engine_process.call_args_list] - expected = ["InstrumentStatusUpdate"] * 2 + expected = ["BettingInstrument"] * 2 + ["VenueStatus"] + ["InstrumentStatus"] * 2 assert result == expected @@ -223,22 +230,18 @@ def test_market_bsp(data_client, mock_data_engine_process): mock_call_args = [call.args[0] for call in mock_data_engine_process.call_args_list] result = Counter([type(args).__name__ for args in mock_call_args]) expected = { + "BettingInstrument": 9, "TradeTick": 95, "OrderBookDeltas": 11, - "InstrumentStatusUpdate": 9, + "InstrumentStatus": 9, "BetfairTicker": 8, - "GenericData": 8, + "GenericData": 30, "InstrumentClose": 1, } - assert result == expected + assert dict(result) == expected # Assert - Count of generic data messages - sp_deltas = [ - d - for deltas in mock_call_args - if isinstance(deltas, GenericData) - for d in deltas.data.deltas - ] + sp_deltas = [deltas.data for deltas in mock_call_args if isinstance(deltas, GenericData)] assert len(sp_deltas) == 30 @@ -257,10 +260,9 @@ def test_orderbook_repr(data_client, mock_data_engine_process): assert ob.best_bid_price() == betfair_float_to_price(1.70) -def test_orderbook_updates(data_client): +def test_orderbook_updates(data_client, parser): # Arrange order_books: dict[InstrumentId, OrderBook] = {} - parser = BetfairParser() # Act for raw_update in BetfairStreaming.market_updates(): @@ -297,24 +299,23 @@ def test_orderbook_updates(data_client): assert result == expected -def test_instrument_opening_events(data_client): +def test_instrument_opening_events(data_client, parser): updates = BetfairDataProvider.market_updates() - parser = BetfairParser() messages = parser.parse(updates[0]) - assert len(messages) == 2 - assert isinstance(messages[0], InstrumentStatusUpdate) - assert messages[0].status == MarketStatus.PRE_OPEN - assert isinstance(messages[1], InstrumentStatusUpdate) - assert messages[0].status == MarketStatus.PRE_OPEN + assert len(messages) == 4 + assert isinstance(messages[0], BettingInstrument) + assert isinstance(messages[2], InstrumentStatus) + assert messages[2].status == MarketStatus.PRE_OPEN + assert isinstance(messages[3], InstrumentStatus) + assert messages[3].status == MarketStatus.PRE_OPEN -def test_instrument_in_play_events(data_client): - parser = BetfairParser() +def test_instrument_in_play_events(data_client, parser): events = [ msg for update in BetfairDataProvider.market_updates() for msg in parser.parse(update) - if isinstance(msg, InstrumentStatusUpdate) + if isinstance(msg, InstrumentStatus) ] assert len(events) == 14 result = [ev.status for ev in events] @@ -337,23 +338,43 @@ def test_instrument_in_play_events(data_client): assert result == expected -def test_instrument_closing_events(data_client): +def test_instrument_update(data_client, cache, parser): + # Arrange + [instrument] = cache.instruments() + assert instrument.info == {} + + # Act + updates = BetfairDataProvider.market_updates() + for upd in updates[:1]: + data_client._on_market_update(mcm=upd) + new_instrument = cache.instruments() + + # Assert + result = new_instrument[2].info + assert len(result) == 41 + + +def test_instrument_closing_events(data_client, parser): updates = BetfairDataProvider.market_updates() - parser = BetfairParser() messages = parser.parse(updates[-1]) - assert len(messages) == 4 - assert isinstance(messages[0], InstrumentStatusUpdate) - assert messages[0].status == MarketStatus.CLOSED - assert isinstance(messages[2], InstrumentClose) - assert messages[2].close_price == 1.0000 - assert isinstance(messages[2], InstrumentClose) - assert messages[2].close_type == InstrumentCloseType.CONTRACT_EXPIRED - assert isinstance(messages[1], InstrumentStatusUpdate) - assert messages[1].status == MarketStatus.CLOSED - assert isinstance(messages[3], InstrumentClose) - assert messages[3].close_price == 0.0 - assert isinstance(messages[3], InstrumentClose) - assert messages[3].close_type == InstrumentCloseType.CONTRACT_EXPIRED + assert len(messages) == 7 + ins1, ins2, venue_status, status1, status2, close1, close2 = messages + + # Instrument1 + assert isinstance(ins1, BettingInstrument) + assert isinstance(status1, InstrumentStatus) + assert status1.status == MarketStatus.CLOSED + assert isinstance(close1, InstrumentClose) + assert close1.close_price == 1.0000 + assert close1.close_type == InstrumentCloseType.CONTRACT_EXPIRED + + # Instrument2 + assert isinstance(ins2, BettingInstrument) + assert isinstance(close2, InstrumentClose) + assert isinstance(status2, InstrumentStatus) + assert status2.status == MarketStatus.CLOSED + assert close2.close_price == 0.0 + assert close2.close_type == InstrumentCloseType.CONTRACT_EXPIRED def test_betfair_ticker(data_client, mock_data_engine_process) -> None: @@ -368,6 +389,10 @@ def test_betfair_ticker(data_client, mock_data_engine_process) -> None: ticker: BetfairTicker = mock_call_args[1] assert ticker.last_traded_price == 3.15 assert ticker.traded_volume == 364.45 + assert ( + str(ticker) + == "BetfairTicker(instrument_id=1.176621195-42153-0.0.BETFAIR, ltp=3.15, tv=364.45, spn=None, spf=None, ts_init=1471370160471000064)" + ) def test_betfair_ticker_sp(data_client, mock_data_engine_process): @@ -376,6 +401,7 @@ def test_betfair_ticker_sp(data_client, mock_data_engine_process): # Act for line in lines: + line = line.replace(b'"con":true', b'"con":false') data_client.on_market_update(line) # Assert @@ -396,6 +422,7 @@ def test_betfair_starting_price(data_client, mock_data_engine_process): # Act for line in lines[-100:]: + line = line.replace(b'"con":true', b'"con":false') data_client.on_market_update(line) # Assert @@ -409,14 +436,15 @@ def test_betfair_starting_price(data_client, mock_data_engine_process): assert len(starting_prices) == 36 -def test_betfair_orderbook(data_client) -> None: +def test_betfair_orderbook(data_client, parser) -> None: # Arrange books: dict[InstrumentId, OrderBook] = {} - parser = BetfairParser() # Act, Assert for update in BetfairDataProvider.market_updates(): for message in parser.parse(update): + if isinstance(message, (BettingInstrument, VenueStatus)): + continue if message.instrument_id not in books: books[message.instrument_id] = create_betfair_order_book( instrument_id=message.instrument_id, @@ -428,7 +456,7 @@ def test_betfair_orderbook(data_client) -> None: book.apply_delta(message) elif isinstance( message, - (Ticker, TradeTick, InstrumentStatusUpdate, InstrumentClose), + (Ticker, TradeTick, InstrumentStatus, InstrumentClose), ): pass else: @@ -443,39 +471,30 @@ def test_bsp_deltas_apply(data_client, instrument): book_type=BookType.L2_MBP, asks=[(0.0010000, 55.81)], ) - deltas = BSPOrderBookDeltas.from_dict( - { - "type": "BSPOrderBookDeltas", - "instrument_id": instrument.id.value, - "deltas": msgspec.json.encode( - [ - { - "type": "OrderBookDelta", - "instrument_id": instrument.id.value, - "book_type": "L2_MBP", - "action": "UPDATE", - "order": { - "price": "0.990099", - "size": "2.0", - "side": "BUY", - "order_id": 1, - }, - "flags": 0, - "sequence": 0, - "ts_event": 1667288437852999936, - "ts_init": 1667288437852999936, - }, - ], - ), - "update_id": 0, - "ts_event": 1667288437852999936, - "ts_init": 1667288437852999936, - }, + + bsp_delta = BSPOrderBookDelta( + instrument_id=instrument.id, + action=BookAction.UPDATE, + order=BookOrder( + price=Price.from_str("0.990099"), + size=Quantity.from_str("2.0"), + side=OrderSide.BUY, + order_id=1, + ), + flags=0, + sequence=0, + ts_event=1667288437852999936, + ts_init=1667288437852999936, ) # Act - book.apply(deltas) + book.apply(bsp_delta) # Assert assert book.best_ask_price() == betfair_float_to_price(0.001) assert book.best_bid_price() == betfair_float_to_price(0.990099) + + +@pytest.mark.asyncio +async def test_subscribe_instruments(data_client, instrument): + await data_client._subscribe_instrument(instrument.id) diff --git a/tests/integration_tests/adapters/betfair/test_betfair_execution.py b/tests/integration_tests/adapters/betfair/test_betfair_execution.py index 77ca2341a55a..bc78380ed7b3 100644 --- a/tests/integration_tests/adapters/betfair/test_betfair_execution.py +++ b/tests/integration_tests/adapters/betfair/test_betfair_execution.py @@ -22,8 +22,9 @@ import msgspec import pytest from betfair_parser.spec.streaming import OCM +from betfair_parser.spec.streaming import MatchedOrder +from betfair_parser.spec.streaming import Order as BFOrder from betfair_parser.spec.streaming import stream_decode -from betfair_parser.spec.streaming.ocm import MatchedOrder from nautilus_trader.adapters.betfair.client import BetfairHttpClient from nautilus_trader.adapters.betfair.constants import BETFAIR_PRICE_PRECISION @@ -34,6 +35,7 @@ from nautilus_trader.adapters.betfair.orderbook import betfair_float_to_quantity from nautilus_trader.adapters.betfair.parsing.common import betfair_instrument_id from nautilus_trader.core.rust.model import OrderSide +from nautilus_trader.core.rust.model import TimeInForce from nautilus_trader.execution.reports import OrderStatusReport from nautilus_trader.model.currencies import GBP from nautilus_trader.model.currency import Currency @@ -79,42 +81,45 @@ async def _setup_order_state( order_change_message = stream_decode(order_change_message) for oc in order_change_message.oc: for orc in oc.orc: - for order_update in orc.uo: - instrument_id = betfair_instrument_id( - market_id=oc.id, - selection_id=str(orc.id), - selection_handicap=str(orc.hc), - ) - order_id = order_update.id - venue_order_id = VenueOrderId(order_id) - client_order_id = ClientOrderId(order_id) - if not cache.instrument(instrument_id): - instrument = betting_instrument( + if orc.uo is not None: + for order_update in orc.uo: + instrument_id = betfair_instrument_id( market_id=oc.id, selection_id=str(orc.id), - selection_handicap=str(orc.hc), + selection_handicap=str(orc.hc or 0.0), ) - cache.add_instrument(instrument) - if not cache.order(client_order_id): - assert strategy is not None, "strategy can't be none if accepting order" - order = TestExecStubs.limit_order( - instrument_id=instrument_id, - price=betfair_float_to_price(order_update.p), - client_order_id=client_order_id, - ) - exec_client.venue_order_id_to_client_order_id[venue_order_id] = client_order_id - await _accept_order(order, venue_order_id, exec_client, strategy, cache) - - if include_fills and order_update.sm: - await _fill_order( - order, - exec_client=exec_client, - fill_price=order_update.avp or order_update.p, - fill_qty=order_update.sm, - venue_order_id=venue_order_id, - trade_id=trade_id, - quote_currency=GBP, + order_id = str(order_update.id) + venue_order_id = VenueOrderId(order_id) + client_order_id = ClientOrderId(order_id) + if not cache.instrument(instrument_id): + instrument = betting_instrument( + market_id=oc.id, + selection_id=str(orc.id), + selection_handicap=str(orc.hc or 0.0), + ) + cache.add_instrument(instrument) + if not cache.order(client_order_id): + assert strategy is not None, "strategy can't be none if accepting order" + order = TestExecStubs.limit_order( + instrument_id=instrument_id, + price=betfair_float_to_price(order_update.p), + client_order_id=client_order_id, ) + exec_client.venue_order_id_to_client_order_id[ + venue_order_id + ] = client_order_id + await _accept_order(order, venue_order_id, exec_client, strategy, cache) + + if include_fills and order_update.sm: + await _fill_order( + order, + exec_client=exec_client, + fill_price=order_update.avp or order_update.p, + fill_qty=order_update.sm, + venue_order_id=venue_order_id, + trade_id=trade_id, + quote_currency=GBP, + ) @pytest.fixture() @@ -303,7 +308,7 @@ async def test_modify_order_error_order_doesnt_exist( expected_args = tuple( { "strategy_id": StrategyId("S-001"), - "instrument_id": InstrumentId.from_str("1.179082386|50214|0.0.BETFAIR"), + "instrument_id": InstrumentId.from_str("1.179082386-50214-0.0.BETFAIR"), "client_order_id": ClientOrderId("O-20210410-022422-001-001-1"), "venue_order_id": None, "reason": "ORDER NOT IN CACHE", @@ -592,7 +597,7 @@ async def test_order_stream_filled_multiple_prices( status="E", sm=10, avp=1.60, - order_id=venue_order_id.value, + order_id=int(venue_order_id.value), ) await setup_order_state(order_change_message) exec_client.handle_order_stream_update(msgspec.json.encode(order_change_message)) @@ -664,9 +669,9 @@ async def test_duplicate_trade_id(exec_client, setup_order_state, fill_events, c assert isinstance(cancel, OrderCanceled) # Second order example, partial fill followed by remainder filled assert isinstance(fill2, OrderFilled) - assert fill2.trade_id.value == "c18af83bb4ca0ac45000fa380a2a5887a1bf3e75" + assert fill2.trade_id.value == "3ca6c34a1420657ca954b4adc7b85d960216a428" assert isinstance(fill3, OrderFilled) - assert fill3.trade_id.value == "561879891c1645e8627cf97ed825d16e43196408" + assert fill3.trade_id.value == "1a6688e3e01fdea842bd6e71517bbf4eaf6a1415" @pytest.mark.parametrize( @@ -828,7 +833,6 @@ async def test_order_filled_avp_update(exec_client, setup_order_state): @pytest.mark.asyncio() async def test_generate_order_status_report_client_id( - mocker, exec_client: BetfairExecutionClient, betfair_client, instrument_provider, @@ -858,7 +862,36 @@ async def test_generate_order_status_report_client_id( assert report.filled_qty == Quantity(0.0, BETFAIR_QUANTITY_PRECISION) -def test_check_cache_against_order_image(exec_client, venue_order_id): +@pytest.mark.asyncio() +async def test_generate_order_status_report_venue_order_id( + exec_client: BetfairExecutionClient, + betfair_client, + instrument_provider, + instrument: BettingInstrument, +) -> None: + # Arrange + response = BetfairResponses.list_current_orders() + response["result"]["currentOrders"] = response["result"]["currentOrders"][:1] + mock_betfair_request(betfair_client, response=response) + + client_order_id = ClientOrderId("O-20231004-0534-001-59723858-5") + venue_order_id = VenueOrderId("323427122115") + + # Act + report: OrderStatusReport = await exec_client.generate_order_status_report( + instrument_id=instrument.id, + venue_order_id=venue_order_id, + client_order_id=client_order_id, + ) + + # Assert + assert report.order_status == OrderStatus.ACCEPTED + assert report.price == Price(5.0, BETFAIR_PRICE_PRECISION) + assert report.quantity == Quantity(10.0, BETFAIR_QUANTITY_PRECISION) + assert report.filled_qty == Quantity(0.0, BETFAIR_QUANTITY_PRECISION) + + +def test_check_cache_against_order_image_raises(exec_client, venue_order_id): # Arrange ocm = BetfairStreaming.generate_order_change_message( price=5.8, @@ -868,10 +901,89 @@ def test_check_cache_against_order_image(exec_client, venue_order_id): sm=16.19, sr=3.809999999999999, avp=1.50, - order_id=venue_order_id.value, + order_id=int(venue_order_id.value), mb=[MatchedOrder(5.0, 100)], ) # Act, Assert with pytest.raises(RuntimeError): exec_client.check_cache_against_order_image(ocm) + + +@pytest.mark.asyncio +async def test_check_cache_against_order_image_passes( + exec_client, + venue_order_id, + setup_order_state_fills, +): + # Arrange + ocm = BetfairStreaming.generate_order_change_message( + price=5.8, + size=20, + side="B", + status="E", + sm=16.19, + sr=3.809999999999999, + avp=1.50, + order_id=int(venue_order_id.value), + mb=[MatchedOrder(5.8, 20)], + ) + await setup_order_state_fills(order_change_message=ocm) + + # Act, Assert + exec_client.check_cache_against_order_image(ocm) + + +@pytest.mark.asyncio +async def test_fok_order_found_in_cache(exec_client, setup_order_state, strategy, cache): + # Arrange + instrument = betting_instrument( + market_id="1.219194342", + selection_id=str(61288616), + selection_handicap=str(0.0), + ) + cache.add_instrument(instrument) + instrument_id = instrument.id + client_order_id = ClientOrderId("O-20231004-0354-001-61288616-1") + venue_order_id = VenueOrderId("323421338057") + limit_order = TestExecStubs.limit_order( + instrument_id=instrument_id, + order_side=OrderSide.SELL, + price=Price(9.6000000, BETFAIR_PRICE_PRECISION), + quantity=Quantity(2.8000, 4), + time_in_force=TimeInForce.FOK, + client_order_id=client_order_id, + ) + exec_client.venue_order_id_to_client_order_id[venue_order_id] = client_order_id + await _accept_order(limit_order, venue_order_id, exec_client, strategy, cache) + + # Act + unmatched_order = BFOrder( + id=323421338057, + p=9.6, + s=2.8, + side="L", + status="EC", + pt="L", + ot="L", + pd=1696391679000, + bsp=None, + rfo="O-20231004-0354-001", + rfs="OrderBookImbala", + rc="REG_LGA", + rac="", + md=None, + cd=1696391679000, + ld=None, + avp=None, + sm=0.0, + sr=0.0, + sl=0.0, + sc=2.8, + sv=0.0, + lsrc=None, + ) + exec_client._handle_stream_execution_complete_order_update(unmatched_order=unmatched_order) + + # Assert + assert cache.order(client_order_id).status == OrderStatus.CANCELED diff --git a/tests/integration_tests/adapters/betfair/test_betfair_factory.py b/tests/integration_tests/adapters/betfair/test_betfair_factory.py index 96ce7e30d8d4..dd35f5c22a5f 100644 --- a/tests/integration_tests/adapters/betfair/test_betfair_factory.py +++ b/tests/integration_tests/adapters/betfair/test_betfair_factory.py @@ -66,13 +66,14 @@ def test_create(self): password="SOME_BETFAIR_PASSWORD", app_key="SOME_BETFAIR_APP_KEY", cert_dir="SOME_BETFAIR_CERT_DIR", + account_currency="GBP", ) exec_config = BetfairExecClientConfig( username="SOME_BETFAIR_USERNAME", password="SOME_BETFAIR_PASSWORD", app_key="SOME_BETFAIR_APP_KEY", cert_dir="SOME_BETFAIR_CERT_DIR", - base_currency="AUD", + account_currency="GBP", ) data_client = BetfairLiveDataClientFactory.create( diff --git a/tests/integration_tests/adapters/betfair/test_betfair_parsing.py b/tests/integration_tests/adapters/betfair/test_betfair_parsing.py index 3f955fbae05d..0fc376a1246f 100644 --- a/tests/integration_tests/adapters/betfair/test_betfair_parsing.py +++ b/tests/integration_tests/adapters/betfair/test_betfair_parsing.py @@ -16,14 +16,15 @@ import asyncio import datetime from collections import Counter +from collections import defaultdict import msgspec import pytest from betfair_parser.spec.betting.enums import PersistenceType from betfair_parser.spec.betting.enums import Side -from betfair_parser.spec.betting.orders import _CancelOrdersParams -from betfair_parser.spec.betting.orders import _PlaceOrdersParams -from betfair_parser.spec.betting.orders import _ReplaceOrdersParams +from betfair_parser.spec.betting.orders import CancelOrders +from betfair_parser.spec.betting.orders import PlaceOrders +from betfair_parser.spec.betting.orders import ReplaceOrders from betfair_parser.spec.betting.type_definitions import CancelInstruction from betfair_parser.spec.betting.type_definitions import CurrentOrderSummary from betfair_parser.spec.betting.type_definitions import LimitOnCloseOrder @@ -36,17 +37,17 @@ from betfair_parser.spec.common import OrderType from betfair_parser.spec.common import decode from betfair_parser.spec.common import encode +from betfair_parser.spec.streaming import MCM +from betfair_parser.spec.streaming import BestAvailableToBack +from betfair_parser.spec.streaming import MarketChange +from betfair_parser.spec.streaming import MarketDefinition from betfair_parser.spec.streaming import stream_decode -from betfair_parser.spec.streaming.mcm import MCM -from betfair_parser.spec.streaming.mcm import BestAvailableToBack -from betfair_parser.spec.streaming.mcm import MarketChange -from betfair_parser.spec.streaming.mcm import MarketDefinition # fmt: off from nautilus_trader.adapters.betfair.common import BETFAIR_TICK_SCHEME from nautilus_trader.adapters.betfair.data_types import BetfairStartingPrice from nautilus_trader.adapters.betfair.data_types import BetfairTicker -from nautilus_trader.adapters.betfair.data_types import BSPOrderBookDeltas +from nautilus_trader.adapters.betfair.data_types import BSPOrderBookDelta from nautilus_trader.adapters.betfair.orderbook import betfair_float_to_price from nautilus_trader.adapters.betfair.orderbook import betfair_float_to_quantity from nautilus_trader.adapters.betfair.orderbook import create_betfair_order_book @@ -63,16 +64,16 @@ from nautilus_trader.adapters.betfair.parsing.streaming import market_change_to_updates from nautilus_trader.adapters.betfair.parsing.streaming import market_definition_to_betfair_starting_prices from nautilus_trader.adapters.betfair.parsing.streaming import market_definition_to_instrument_closes -from nautilus_trader.adapters.betfair.parsing.streaming import market_definition_to_instrument_status_updates +from nautilus_trader.adapters.betfair.parsing.streaming import market_definition_to_instrument_status from nautilus_trader.common.clock import LiveClock from nautilus_trader.common.logging import Logger from nautilus_trader.core.uuid import UUID4 from nautilus_trader.model.currencies import GBP from nautilus_trader.model.data.book import OrderBookDeltas +from nautilus_trader.model.data.status import InstrumentClose +from nautilus_trader.model.data.status import InstrumentStatus from nautilus_trader.model.data.tick import TradeTick from nautilus_trader.model.data.ticker import Ticker -from nautilus_trader.model.data.venue import InstrumentClose -from nautilus_trader.model.data.venue import InstrumentStatusUpdate from nautilus_trader.model.enums import AccountType from nautilus_trader.model.enums import MarketStatus from nautilus_trader.model.enums import OrderSide @@ -86,13 +87,13 @@ from nautilus_trader.model.identifiers import VenueOrderId from nautilus_trader.model.objects import AccountBalance from nautilus_trader.model.objects import Money -from nautilus_trader.model.objects import Price from nautilus_trader.model.orderbook import OrderBook from nautilus_trader.test_kit.stubs.commands import TestCommandStubs from nautilus_trader.test_kit.stubs.execution import TestExecStubs from nautilus_trader.test_kit.stubs.identifiers import TestIdStubs from tests.integration_tests.adapters.betfair.test_kit import BetfairDataProvider from tests.integration_tests.adapters.betfair.test_kit import BetfairResponses +from tests.integration_tests.adapters.betfair.test_kit import BetfairStreaming from tests.integration_tests.adapters.betfair.test_kit import BetfairTestStubs from tests.integration_tests.adapters.betfair.test_kit import betting_instrument from tests.integration_tests.adapters.betfair.test_kit import mock_betfair_request @@ -105,8 +106,9 @@ class TestBetfairParsingStreaming: def setup(self): self.instrument = betting_instrument() self.tick_scheme = BETFAIR_TICK_SCHEME + self.parser = BetfairParser(currency="GBP") - def test_market_definition_to_instrument_status_updates(self): + def test_market_definition_to_instrument_status(self): # Arrange market_definition_open = decode( encode(BetfairResponses.market_definition_open()), @@ -114,7 +116,7 @@ def test_market_definition_to_instrument_status_updates(self): ) # Act - updates = market_definition_to_instrument_status_updates( + updates = market_definition_to_instrument_status( market_definition_open, "1.205822330", 0, @@ -125,7 +127,7 @@ def test_market_definition_to_instrument_status_updates(self): result = [ upd for upd in updates - if isinstance(upd, InstrumentStatusUpdate) and upd.status == MarketStatus.PRE_OPEN + if isinstance(upd, InstrumentStatus) and upd.status == MarketStatus.PRE_OPEN ] assert len(result) == 17 @@ -166,21 +168,40 @@ def test_market_definition_to_betfair_starting_price(self): result = [upd for upd in updates if isinstance(upd, BetfairStartingPrice)] assert len(result) == 14 + def test_market_definition_to_instrument_updates(self): + # Arrange + raw = BetfairStreaming.mcm_market_definition_racing() + mcm = msgspec.json.decode(raw, type=MCM) + + # Act + updates = self.parser.parse(mcm) + + # Assert + counts = Counter([update.__class__.__name__ for update in updates]) + expected = Counter( + { + "InstrumentStatus": 7, + "OrderBookDeltas": 7, + "BettingInstrument": 7, + }, + ) + assert counts == expected + def test_market_change_bsp_updates(self): raw = b'{"id":"1.205822330","rc":[{"spb":[[1000,32.21]],"id":45368013},{"spb":[[1000,20.5]],"id":49808343},{"atb":[[1.93,10.09]],"id":49808342},{"spb":[[1000,20.5]],"id":39000334},{"spb":[[1000,84.22]],"id":16206031},{"spb":[[1000,18]],"id":10591436},{"spb":[[1000,88.96]],"id":48672282},{"spb":[[1000,18]],"id":19143530},{"spb":[[1000,20.5]],"id":6159479},{"spb":[[1000,10]],"id":25694777},{"spb":[[1000,10]],"id":49808335},{"spb":[[1000,10]],"id":49808334},{"spb":[[1000,20.5]],"id":35672106}],"con":true,"img":false}' # noqa mc = msgspec.json.decode(raw, type=MarketChange) - result = Counter([upd.__class__.__name__ for upd in market_change_to_updates(mc, 0, 0)]) - expected = Counter({"BSPOrderBookDeltas": 12, "OrderBookDeltas": 1}) + result = Counter([upd.__class__.__name__ for upd in market_change_to_updates(mc, {}, 0, 0)]) + expected = Counter({"BSPOrderBookDelta": 12, "OrderBookDeltas": 1}) assert result == expected def test_market_change_ticker(self): raw = b'{"id":"1.205822330","rc":[{"atl":[[1.98,0],[1.91,30.38]],"id":49808338},{"atb":[[3.95,2.98]],"id":49808334},{"trd":[[3.95,46.95]],"ltp":3.95,"tv":46.95,"id":49808334}],"con":true,"img":false}' # noqa mc = msgspec.json.decode(raw, type=MarketChange) - result = market_change_to_updates(mc, 0, 0) + result = market_change_to_updates(mc, {}, 0, 0) assert result[0] == TradeTick.from_dict( { "type": "TradeTick", - "instrument_id": "1.205822330|49808334|0.0.BETFAIR", + "instrument_id": "1.205822330-49808334-0.0.BETFAIR", "price": "3.95", "size": "46.950000", "aggressor_side": "NO_AGGRESSOR", @@ -192,7 +213,7 @@ def test_market_change_ticker(self): assert result[1] == BetfairTicker.from_dict( { "type": "BetfairTicker", - "instrument_id": "1.205822330|49808334|0.0.BETFAIR", + "instrument_id": "1.205822330-49808334-0.0.BETFAIR", "ts_event": 0, "ts_init": 0, "last_traded_price": 0.2531646, @@ -206,37 +227,38 @@ def test_market_change_ticker(self): @pytest.mark.parametrize( ("filename", "num_msgs"), [ - ("1.166564490.bz2", 2533), - ("1.166811431.bz2", 17846), - ("1.180305278.bz2", 15734), - ("1.206064380.bz2", 50269), + ("1.166564490.bz2", 2506), + ("1.166811431.bz2", 17855), + ("1.180305278.bz2", 15169), + ("1.206064380.bz2", 52115), ], ) def test_parsing_streaming_file(self, filename, num_msgs): mcms = BetfairDataProvider.market_updates(filename) - parser = BetfairParser() updates = [] for mcm in mcms: - upd = parser.parse(mcm) + upd = self.parser.parse(mcm) updates.extend(upd) assert len(updates) == num_msgs def test_parsing_streaming_file_message_counts(self): mcms = BetfairDataProvider.read_mcm("1.206064380.bz2") - parser = BetfairParser() - updates = Counter([x.__class__.__name__ for mcm in mcms for x in parser.parse(mcm)]) + updates = [x for mcm in mcms for x in self.parser.parse(mcm)] + counts = Counter([x.__class__.__name__ for x in updates]) expected = Counter( { "OrderBookDeltas": 40525, "BetfairTicker": 4658, - "TradeTick": 3590, - "BSPOrderBookDeltas": 1139, - "InstrumentStatusUpdate": 260, + "TradeTick": 3487, + "BettingInstrument": 260, + "BSPOrderBookDelta": 2824, + "InstrumentStatus": 260, "BetfairStartingPrice": 72, "InstrumentClose": 25, + "VenueStatus": 4, }, ) - assert updates == expected + assert counts == expected @pytest.mark.parametrize( ("filename", "book_count"), @@ -252,25 +274,52 @@ def test_parsing_streaming_file_message_counts(self): ) def test_order_book_integrity(self, filename, book_count) -> None: mcms = BetfairDataProvider.market_updates(filename) - parser = BetfairParser() books: dict[InstrumentId, OrderBook] = {} - for update in [x for mcm in mcms for x in parser.parse(mcm)]: + for update in [x for mcm in mcms for x in self.parser.parse(mcm)]: if isinstance(update, OrderBookDeltas) and not isinstance( update, - BSPOrderBookDeltas, + BSPOrderBookDelta, ): instrument_id = update.instrument_id if instrument_id not in books: - instrument = betting_instrument( - *instrument_id.value.split("|"), - ) + instrument = betting_instrument(*instrument_id.value.split("-", maxsplit=2)) books[instrument_id] = create_betfair_order_book(instrument.id) books[instrument_id].apply(update) books[instrument_id].check_integrity() result = [book.count for book in books.values()] assert result == book_count + def test_betfair_trade_sizes(self): # noqa: C901 + mcms = BetfairDataProvider.read_mcm("1.206064380.bz2") + trade_ticks: dict[InstrumentId, list[TradeTick]] = defaultdict(list) + betfair_tv: dict[int, dict[float, float]] = {} + for mcm in mcms: + for data in self.parser.parse(mcm): + if isinstance(data, TradeTick): + trade_ticks[data.instrument_id].append(data) + + for rc in [rc for mc in mcm.mc for rc in mc.rc]: + if rc.id not in betfair_tv: + betfair_tv[rc.id] = {} + if rc.trd is not None: + for trd in rc.trd: + if trd.volume > betfair_tv[rc.id].get(trd.price, 0): + betfair_tv[rc.id][trd.price] = trd.volume + + for selection_id in betfair_tv: + for price in betfair_tv[selection_id]: + instrument_id = next(ins for ins in trade_ticks if f"-{selection_id}-" in ins.value) + betfair_volume = betfair_tv[selection_id][price] + trade_volume = sum( + [ + tick.size + for tick in trade_ticks[instrument_id] + if tick.price.as_double() == price + ], + ) + assert betfair_volume == float(trade_volume) + class TestBetfairParsing: def setup(self): @@ -282,6 +331,7 @@ def setup(self): self.client = BetfairTestStubs.betfair_client(loop=self.loop, logger=self.logger) self.provider = BetfairTestStubs.instrument_provider(self.client) self.uuid = UUID4() + self.parser = BetfairParser(currency="GBP") def test_order_submit_to_betfair(self): command = TestCommandStubs.submit_order_command( @@ -291,12 +341,12 @@ def test_order_submit_to_betfair(self): ), ) result = order_submit_to_place_order_params(command=command, instrument=self.instrument) - expected = _PlaceOrdersParams( + expected = PlaceOrders.with_params( market_id="1.179082386", instructions=[ PlaceInstruction( order_type=OrderType.LIMIT, - selection_id="50214", + selection_id=50214, handicap=None, side=Side.BACK, limit_order=LimitOrder( @@ -315,6 +365,7 @@ def test_order_submit_to_betfair(self): async_=False, ) assert result == expected + assert msgspec.json.decode(msgspec.json.encode(result), type=PlaceOrders) == expected def test_order_update_to_betfair(self): modify = TestCommandStubs.modify_order_command( @@ -329,15 +380,16 @@ def test_order_update_to_betfair(self): venue_order_id=VenueOrderId("1"), instrument=self.instrument, ) - expected = _ReplaceOrdersParams( + expected = ReplaceOrders.with_params( market_id="1.179082386", - instructions=[ReplaceInstruction(bet_id="1", new_price=1.35)], + instructions=[ReplaceInstruction(bet_id=1, new_price=1.35)], customer_ref="038990c619d2b5c837a6fe91f9b7b9ed", market_version=None, async_=False, ) assert result == expected + assert msgspec.json.decode(msgspec.json.encode(result), type=ReplaceOrders) == expected def test_order_cancel_to_betfair(self): result = order_cancel_to_cancel_order_params( @@ -346,12 +398,13 @@ def test_order_cancel_to_betfair(self): ), instrument=self.instrument, ) - expected = _CancelOrdersParams( + expected = CancelOrders.with_params( market_id="1.179082386", - instructions=[CancelInstruction(bet_id="228302937743", size_reduction=None)], + instructions=[CancelInstruction(bet_id=228302937743, size_reduction=None)], customer_ref="038990c619d2b5c837a6fe91f9b7b9ed", ) assert result == expected + assert msgspec.json.decode(msgspec.json.encode(result), type=CancelOrders) == expected @pytest.mark.asyncio() async def test_account_statement(self, betfair_client): @@ -409,8 +462,7 @@ async def test_merge_order_book_deltas(self): }, ) mcm = msgspec.json.decode(raw, type=MCM) - parser = BetfairParser() - updates = parser.parse(mcm) + updates = self.parser.parse(mcm) assert len(updates) == 3 trade, ticker, deltas = updates assert isinstance(trade, TradeTick) @@ -432,7 +484,7 @@ def test_make_order_limit(self): # Assert expected = PlaceInstruction( order_type=OrderType.LIMIT, - selection_id="50214", + selection_id=50214, handicap=None, side=Side.BACK, limit_order=LimitOrder( @@ -449,6 +501,7 @@ def test_make_order_limit(self): customer_order_ref="O-20210410-022422-001", ) assert result == expected + assert msgspec.json.decode(msgspec.json.encode(result), type=PlaceInstruction) == expected def test_make_order_limit_on_close(self): order = TestExecStubs.limit_order( @@ -461,7 +514,7 @@ def test_make_order_limit_on_close(self): result = nautilus_limit_on_close_to_place_instructions(command, instrument=self.instrument) expected = PlaceInstruction( order_type=OrderType.LIMIT_ON_CLOSE, - selection_id="50214", + selection_id=50214, handicap=None, side=Side.BACK, limit_order=None, @@ -470,6 +523,7 @@ def test_make_order_limit_on_close(self): customer_order_ref="O-20210410-022422-001", ) assert result == expected + assert msgspec.json.decode(msgspec.json.encode(result), type=PlaceInstruction) == expected def test_make_order_market_buy(self): order = TestExecStubs.market_order(order_side=OrderSide.BUY) @@ -477,12 +531,12 @@ def test_make_order_market_buy(self): result = nautilus_market_to_place_instructions(command, instrument=self.instrument) expected = PlaceInstruction( order_type=OrderType.LIMIT, - selection_id="50214", + selection_id=50214, handicap=None, side=Side.BACK, limit_order=LimitOrder( size=100.0, - price=Price.from_str("1.01"), + price=1.01, persistence_type=PersistenceType.PERSIST, time_in_force=None, min_fill_size=None, @@ -494,6 +548,7 @@ def test_make_order_market_buy(self): customer_order_ref="O-20210410-022422-001", ) assert result == expected + assert msgspec.json.decode(msgspec.json.encode(result), type=PlaceInstruction) == expected def test_make_order_market_sell(self): order = TestExecStubs.market_order(order_side=OrderSide.SELL) @@ -501,12 +556,12 @@ def test_make_order_market_sell(self): result = nautilus_market_to_place_instructions(command, instrument=self.instrument) expected = PlaceInstruction( order_type=OrderType.LIMIT, - selection_id="50214", + selection_id=50214, handicap=None, side=Side.LAY, limit_order=LimitOrder( size=100.0, - price=Price.from_str("1000"), + price=1000, persistence_type=PersistenceType.PERSIST, time_in_force=None, min_fill_size=None, @@ -518,6 +573,7 @@ def test_make_order_market_sell(self): customer_order_ref="O-20210410-022422-001", ) assert result == expected + assert msgspec.json.decode(msgspec.json.encode(result), type=PlaceInstruction) == expected @pytest.mark.parametrize( ("side", "liability"), @@ -536,6 +592,7 @@ def test_make_order_market_on_close(self, side, liability): result = place_instructions.market_on_close_order expected = MarketOnCloseOrder(liability=liability) assert result == expected + assert msgspec.json.decode(msgspec.json.encode(result), type=MarketOnCloseOrder) == expected @pytest.mark.parametrize( ("status", "size", "matched", "cancelled", "expected"), @@ -596,26 +653,24 @@ def test_mcm(self) -> None: assert mcm.mc[0].rc[0].batb == expected def test_mcm_bsp_example1(self): - parser = BetfairParser() r = b'{"op":"mcm","id":1,"clk":"ANjxBACiiQQAlpQD","pt":1672131753550,"mc":[{"id":"1.208011084","marketDefinition":{"bspMarket":true,"turnInPlayEnabled":false,"persistenceEnabled":false,"marketBaseRate":7,"eventId":"31987078","eventTypeId":"4339","numberOfWinners":1,"bettingType":"ODDS","marketType":"WIN","marketTime":"2022-12-27T09:00:00.000Z","suspendTime":"2022-12-27T09:00:00.000Z","bspReconciled":true,"complete":true,"inPlay":false,"crossMatching":false,"runnersVoidable":false,"numberOfActiveRunners":0,"betDelay":0,"status":"CLOSED","settledTime":"2022-12-27T09:02:21.000Z","runners":[{"status":"WINNER","sortPriority":1,"bsp":2.0008034621107256,"id":45967562},{"status":"LOSER","sortPriority":2,"bsp":5.5,"id":45565847},{"status":"LOSER","sortPriority":3,"bsp":9.2,"id":47727833},{"status":"LOSER","sortPriority":4,"bsp":166.61668896346615,"id":47179469},{"status":"LOSER","sortPriority":5,"bsp":44,"id":51247493},{"status":"LOSER","sortPriority":6,"bsp":32,"id":42324350},{"status":"LOSER","sortPriority":7,"bsp":7.4,"id":51247494},{"status":"LOSER","sortPriority":8,"bsp":32.28604557164013,"id":48516342}],"regulators":["MR_INT"],"venue":"Warragul","countryCode":"AU","discountAllowed":true,"timezone":"Australia/Sydney","openDate":"2022-12-27T07:46:00.000Z","version":4968605121,"priceLadderDefinition":{"type":"CLASSIC"}}}]}' # noqa mcm = stream_decode(r) - updates = parser.parse(mcm) + updates = self.parser.parse(mcm) starting_prices = [upd for upd in updates if isinstance(upd, BetfairStartingPrice)] assert len(starting_prices) == 8 assert starting_prices[0].instrument_id == InstrumentId.from_str( - "1.208011084|45967562|0.0-BSP.BETFAIR", + "1.208011084-45967562-0.0-BSP.BETFAIR", ) assert starting_prices[0].bsp == 2.0008034621107256 def test_mcm_bsp_example2(self): raw = b'{"op":"mcm","clk":"7066946780","pt":1667288437853,"mc":[{"id":"1.205880280","rc":[{"spl":[[1.01,2]],"id":49892033},{"atl":[[2.8,0],[2.78,0]],"id":49892032},{"atb":[[2.8,378.82]],"id":49892032},{"trd":[[2.8,1.16],[2.78,1.18]],"ltp":2.8,"tv":2.34,"id":49892032},{"spl":[[1.01,4.79]],"id":49892030},{"spl":[[1.01,2]],"id":49892029},{"spl":[[1.01,3.79]],"id":49892028},{"spl":[[1.01,2]],"id":49892027},{"spl":[[1.01,2]],"id":49892034}],"con":true,"img":false}]}' # noqa - parser = BetfairParser() mcm = stream_decode(raw) - updates = parser.parse(mcm) + updates = self.parser.parse(mcm) single_instrument_bsp_updates = [ upd for upd in updates - if isinstance(upd, BSPOrderBookDeltas) - and upd.instrument_id == InstrumentId.from_str("1.205880280|49892033|0.0-BSP.BETFAIR") + if isinstance(upd, BSPOrderBookDelta) + and upd.instrument_id == InstrumentId.from_str("1.205880280-49892033-0.0-BSP.BETFAIR") ] assert len(single_instrument_bsp_updates) == 1 diff --git a/tests/integration_tests/adapters/betfair/test_betfair_persistence.py b/tests/integration_tests/adapters/betfair/test_betfair_persistence.py index fa3491552b41..7ccf84d6bab6 100644 --- a/tests/integration_tests/adapters/betfair/test_betfair_persistence.py +++ b/tests/integration_tests/adapters/betfair/test_betfair_persistence.py @@ -12,50 +12,48 @@ # See the License for the specific language governing permissions and # limitations under the License. # ------------------------------------------------------------------------------------------------- -import fsspec -import pytest - from nautilus_trader.adapters.betfair.data_types import BetfairStartingPrice +from nautilus_trader.adapters.betfair.data_types import BetfairTicker from nautilus_trader.adapters.betfair.data_types import BSPOrderBookDelta -from nautilus_trader.adapters.betfair.data_types import BSPOrderBookDeltas -from nautilus_trader.adapters.betfair.historic import make_betfair_reader -from nautilus_trader.persistence.external.core import RawFile -from nautilus_trader.persistence.external.core import process_raw_file -from nautilus_trader.serialization.arrow.serializer import ParquetSerializer +from nautilus_trader.core.rust.model import BookAction +from nautilus_trader.core.rust.model import OrderSide +from nautilus_trader.model.data import BookOrder +from nautilus_trader.model.objects import Price +from nautilus_trader.model.objects import Quantity +from nautilus_trader.serialization.arrow.serializer import ArrowSerializer from nautilus_trader.test_kit.mocks.data import data_catalog_setup -from tests import TEST_DATA_DIR from tests.integration_tests.adapters.betfair.test_kit import betting_instrument +from tests.integration_tests.adapters.betfair.test_kit import load_betfair_data -@pytest.mark.skip(reason="Reimplementing") class TestBetfairPersistence: def setup(self): - self.catalog = data_catalog_setup(protocol="memory") + self.catalog = data_catalog_setup(protocol="memory", path="/catalog") self.fs = self.catalog.fs self.instrument = betting_instrument() def test_bsp_delta_serialize(self): # Arrange - bsp_delta = BSPOrderBookDelta.from_dict( - { - "type": "BSPOrderBookDelta", - "instrument_id": self.instrument.id.value, - "action": "UPDATE", - "price": 0.990099, - "size": 60.07, - "side": "BUY", - "order_id": 1635313844283000000, - "ts_event": 1635313844283000000, - "ts_init": 1635313844283000000, - }, + bsp_delta = BSPOrderBookDelta( + instrument_id=self.instrument.id, + action=BookAction.UPDATE, + order=BookOrder( + price=Price.from_str("0.990099"), + size=Quantity.from_str("60.07"), + side=OrderSide.BUY, + order_id=1, + ), + ts_event=1635313844283000000, + ts_init=1635313844283000000, ) # Act - values = bsp_delta.to_dict(bsp_delta) + self.catalog.write_data([bsp_delta, bsp_delta]) + values = self.catalog.generic_data(BSPOrderBookDelta) # Assert - assert bsp_delta.from_dict(values) == bsp_delta - assert values["type"] == "BSPOrderBookDelta" + assert len(values) == 2 + assert values[1] == bsp_delta def test_betfair_starting_price_to_from_dict(self): # Arrange @@ -70,7 +68,7 @@ def test_betfair_starting_price_to_from_dict(self): ) # Act - values = bsp.to_dict() + values = bsp.to_dict(bsp) result = bsp.from_dict(values) # Assert @@ -90,25 +88,18 @@ def test_betfair_starting_price_serialization(self): ) # Act - serialized = ParquetSerializer.serialize(bsp) - [result] = ParquetSerializer.deserialize(BetfairStartingPrice, [serialized]) + serialized = ArrowSerializer.serialize(bsp) + [result] = ArrowSerializer.deserialize(BetfairStartingPrice, serialized) # Assert assert result.bsp == bsp.bsp - @pytest.mark.skip("Broken due to parquet writing") - def test_bsp_deltas(self): + def test_query_custom_type(self): # Arrange - rf = RawFile( - open_file=fsspec.open(f"{TEST_DATA_DIR}/betfair/1.206064380.bz2", compression="infer"), - block_size=None, - ) - - # Act - process_raw_file(catalog=self.catalog, reader=make_betfair_reader(), raw_file=rf) + load_betfair_data(self.catalog) # Act - data = self.catalog.query(BSPOrderBookDeltas) + data = self.catalog.query(BetfairTicker) # Assert - assert len(data) == 2824 + assert len(data) == 210 diff --git a/tests/integration_tests/adapters/betfair/test_betfair_providers.py b/tests/integration_tests/adapters/betfair/test_betfair_providers.py index 7d6c8faad637..baedfdb9bbad 100644 --- a/tests/integration_tests/adapters/betfair/test_betfair_providers.py +++ b/tests/integration_tests/adapters/betfair/test_betfair_providers.py @@ -18,11 +18,12 @@ import msgspec import pytest -from betfair_parser.spec.streaming.mcm import MCM -from betfair_parser.spec.streaming.mcm import MarketChange +from betfair_parser.spec.streaming import MCM +from betfair_parser.spec.streaming import MarketChange from nautilus_trader.adapters.betfair.parsing.core import BetfairParser from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider +from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProviderConfig from nautilus_trader.adapters.betfair.providers import load_markets from nautilus_trader.adapters.betfair.providers import load_markets_metadata from nautilus_trader.adapters.betfair.providers import make_instruments @@ -47,25 +48,27 @@ def setup(self): self.provider = BetfairInstrumentProvider( client=self.client, logger=TestComponentStubs.logger(), + config=BetfairInstrumentProviderConfig(), ) + self.parser = BetfairParser(currency="GBP") @pytest.mark.asyncio() async def test_load_markets(self): - markets = await load_markets(self.client, market_filter={}) + markets = await load_markets(self.client) assert len(markets) == 13227 - markets = await load_markets(self.client, market_filter={"event_type_name": "Basketball"}) + markets = await load_markets(self.client, event_type_names=["Basketball"]) assert len(markets) == 302 - markets = await load_markets(self.client, market_filter={"event_type_name": "Tennis"}) + markets = await load_markets(self.client, event_type_names=["Tennis"]) assert len(markets) == 1958 - markets = await load_markets(self.client, market_filter={"market_id": "1.177125728"}) + markets = await load_markets(self.client, market_ids=["1.177125728"]) assert len(markets) == 1 @pytest.mark.asyncio() async def test_load_markets_metadata(self): - markets = await load_markets(self.client, market_filter={"event_type_name": "Basketball"}) + markets = await load_markets(self.client, event_type_names=["Basketball"]) market_metadata = await load_markets_metadata(client=self.client, markets=markets) assert len(market_metadata) == 169 @@ -92,42 +95,42 @@ async def test_make_instruments(self): @pytest.mark.asyncio() async def test_load_all(self): - await self.provider.load_all_async({"event_type_name": "Tennis"}) + await self.provider.load_all_async({"event_type_names": ["Tennis"]}) assert len(self.provider.list_all()) == 4711 @pytest.mark.asyncio() async def test_list_all(self): - await self.provider.load_all_async(market_filter={"event_type_name": "Basketball"}) + await self.provider.load_all_async({"event_type_names": ["Basketball"]}) instruments = self.provider.list_all() assert len(instruments) == 23908 - @pytest.mark.asyncio() - async def test_search_instruments(self): - await self.provider.load_all_async(market_filter={"event_type_name": "Basketball"}) - instruments = self.provider.search_instruments( - instrument_filter={"market_type": "MATCH_ODDS"}, - ) - assert len(instruments) == 104 - - @pytest.mark.asyncio() - async def test_get_betting_instrument(self): - await self.provider.load_all_async(market_filter={"market_id": ["1.180678317"]}) - kw = { - "market_id": "1.180678317", - "selection_id": "11313157", - "handicap": "0.0", - } - instrument = self.provider.get_betting_instrument(**kw) - assert instrument.market_id == "1.180678317" - - # Test throwing warning - kw["handicap"] = "-1000" - instrument = self.provider.get_betting_instrument(**kw) - assert instrument is None - - # Test already in self._subscribed_instruments - instrument = self.provider.get_betting_instrument(**kw) - assert instrument is None + # @pytest.mark.asyncio() + # async def test_search_instruments(self): + # await self.provider.load_all_async(market_filter={"event_type_name": "Basketball"}) + # instruments = self.provider.search_instruments( + # instrument_filter={"market_type": "MATCH_ODDS"}, + # ) + # assert len(instruments) == 104 + + # @pytest.mark.asyncio() + # async def test_get_betting_instrument(self): + # await self.provider.load_all_async(market_filter={"market_id": ["1.180678317"]}) + # kw = { + # "market_id": "1.180678317", + # "selection_id": "11313157", + # "handicap": "0.0", + # } + # instrument = self.provider.get_betting_instrument(**kw) + # assert instrument.market_id == "1.180678317" + # + # # Test throwing warning + # kw["handicap"] = "-1000" + # instrument = self.provider.get_betting_instrument(**kw) + # assert instrument is None + # + # # Test already in self._subscribed_instruments + # instrument = self.provider.get_betting_instrument(**kw) + # assert instrument is None def test_market_update_runner_removed(self) -> None: # Arrange @@ -142,11 +145,10 @@ def test_market_update_runner_removed(self) -> None: # Act results = [] - parser = BetfairParser() - for data in parser.parse(update): + for data in self.parser.parse(update): results.append(data) # Assert - result = [r.status for r in results[:8]] + result = [r.status for r in results[8:16]] expected = [MarketStatus.PRE_OPEN] * 7 + [MarketStatus.CLOSED] assert result == expected diff --git a/tests/integration_tests/adapters/betfair/test_betfair_sockets.py b/tests/integration_tests/adapters/betfair/test_betfair_sockets.py index b88a14bcfe8f..c6035c61c52e 100644 --- a/tests/integration_tests/adapters/betfair/test_betfair_sockets.py +++ b/tests/integration_tests/adapters/betfair/test_betfair_sockets.py @@ -15,10 +15,14 @@ import asyncio +import pytest + from nautilus_trader.adapters.betfair.sockets import BetfairMarketStreamClient from nautilus_trader.adapters.betfair.sockets import BetfairOrderStreamClient +from nautilus_trader.adapters.betfair.sockets import BetfairStreamClient from nautilus_trader.common.clock import LiveClock from nautilus_trader.common.logging import Logger +from nautilus_trader.common.logging import LoggerAdapter from tests.integration_tests.adapters.betfair.test_kit import BetfairTestStubs @@ -30,6 +34,17 @@ def setup(self): self.logger = Logger(clock=self.clock, bypass=True) self.client = BetfairTestStubs.betfair_client(loop=self.loop, logger=self.logger) + def _build_stream_client(self, host: str, port: int, handler) -> BetfairStreamClient: + client = BetfairStreamClient( + http_client=self.client, + logger_adapter=LoggerAdapter("bf", self.logger), + message_handler=handler, + host=host, + port=port, + ) + client.use_ssl = False + return client + def test_unique_id(self): clients = [ BetfairMarketStreamClient( @@ -50,3 +65,32 @@ def test_unique_id(self): ] result = [c.unique_id for c in clients] assert result == sorted(set(result)) + + @pytest.mark.asyncio + async def test_socket_client_connect(self, socket_server): + # Arrange + messages = [] + host, port = socket_server + client = self._build_stream_client(host=host, port=port, handler=messages.append) + + # Act + await client.connect() + + # Assert + assert client.is_connected + await client.disconnect() + + @pytest.mark.asyncio + async def test_socket_client_reconnect(self, closing_socket_server): + # Arrange + messages = [] + host, port = closing_socket_server + client = self._build_stream_client(host=host, port=port, handler=messages.append) + + # Act + await client.connect() + await asyncio.sleep(2) + + # Assert + assert client.is_connected + await client.disconnect() diff --git a/tests/integration_tests/adapters/betfair/test_betting_account.py b/tests/integration_tests/adapters/betfair/test_betting_account.py index 89cf20236087..9e6057456856 100644 --- a/tests/integration_tests/adapters/betfair/test_betting_account.py +++ b/tests/integration_tests/adapters/betfair/test_betting_account.py @@ -266,3 +266,30 @@ def test_calculate_commission_when_given_liquidity_side_none_raises_value_error( last_px=Price.from_str("1"), liquidity_side=LiquiditySide.NO_LIQUIDITY_SIDE, ) + + @pytest.mark.parametrize( + "side, price, quantity, expected", + [ + (OrderSide.BUY, 5.0, 100.0, -100), + (OrderSide.BUY, 1.50, 100.0, -100), + (OrderSide.SELL, 5.0, 100.0, -400), + (OrderSide.SELL, 1.5, 100.0, -50), + (OrderSide.SELL, 5.0, 300.0, -1200), + (OrderSide.SELL, 10.0, 100.0, -900), + ], + ) + def test_balance_impact(self, side, price, quantity, expected): + # Arrange + account = TestExecStubs.betting_account() + instrument = self.instrument + + # Act + impact = account.balance_impact( + instrument=instrument, + quantity=Quantity(quantity, instrument.size_precision), + price=Price(price, instrument.price_precision), + order_side=side, + ) + + # Assert + assert impact == Money(expected, impact.currency) diff --git a/tests/integration_tests/adapters/betfair/test_kit.py b/tests/integration_tests/adapters/betfair/test_kit.py index 6078c97eae3b..18e96e13c7f3 100644 --- a/tests/integration_tests/adapters/betfair/test_kit.py +++ b/tests/integration_tests/adapters/betfair/test_kit.py @@ -28,21 +28,22 @@ from betfair_parser.spec.common import Request from betfair_parser.spec.common import encode from betfair_parser.spec.streaming import MCM +from betfair_parser.spec.streaming import OCM +from betfair_parser.spec.streaming import MatchedOrder +from betfair_parser.spec.streaming import Order +from betfair_parser.spec.streaming import OrderMarketChange +from betfair_parser.spec.streaming import OrderRunnerChange from betfair_parser.spec.streaming import stream_decode -from betfair_parser.spec.streaming.ocm import OCM -from betfair_parser.spec.streaming.ocm import MatchedOrder -from betfair_parser.spec.streaming.ocm import OrderAccountChange -from betfair_parser.spec.streaming.ocm import OrderChanges -from betfair_parser.spec.streaming.ocm import UnmatchedOrder from nautilus_trader.adapters.betfair.client import BetfairHttpClient from nautilus_trader.adapters.betfair.common import BETFAIR_TICK_SCHEME from nautilus_trader.adapters.betfair.constants import BETFAIR_VENUE from nautilus_trader.adapters.betfair.data import BetfairParser -from nautilus_trader.adapters.betfair.historic import make_betfair_reader +from nautilus_trader.adapters.betfair.parsing.core import betting_instruments_from_file +from nautilus_trader.adapters.betfair.parsing.core import parse_betfair_file from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider +from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProviderConfig from nautilus_trader.adapters.betfair.providers import market_definition_to_instruments -from nautilus_trader.common.providers import InstrumentProvider from nautilus_trader.config import BacktestDataConfig from nautilus_trader.config import BacktestEngineConfig from nautilus_trader.config import BacktestRunConfig @@ -55,7 +56,7 @@ from nautilus_trader.model.data.tick import TradeTick from nautilus_trader.model.identifiers import TraderId from nautilus_trader.model.instruments.betting import BettingInstrument -from nautilus_trader.persistence.external.readers import LinePreprocessor +from nautilus_trader.persistence.catalog import ParquetDataCatalog from nautilus_trader.test_kit.stubs.component import TestComponentStubs from tests import TEST_DATA_DIR @@ -85,10 +86,14 @@ def trader_id() -> TraderId: return TraderId("001") @staticmethod - def instrument_provider(betfair_client) -> BetfairInstrumentProvider: + def instrument_provider( + betfair_client, + config: Optional[BetfairInstrumentProviderConfig] = None, + ) -> BetfairInstrumentProvider: return BetfairInstrumentProvider( client=betfair_client, logger=TestComponentStubs.logger(), + config=config or BetfairInstrumentProviderConfig(), ) @staticmethod @@ -173,13 +178,13 @@ def make_order_place_response( @staticmethod def parse_betfair(line): - parser = BetfairParser() + parser = BetfairParser(currency="GBP") yield from parser.parse(stream_decode(line)) @staticmethod - def betfair_venue_config() -> BacktestVenueConfig: + def betfair_venue_config(name="BETFAIR") -> BacktestVenueConfig: return BacktestVenueConfig( # typing: ignore - name="BETFAIR", + name=name, oms_type="NETTING", account_type="BETTING", base_currency="GBP", @@ -208,11 +213,18 @@ def betfair_backtest_run_config( add_strategy=True, bypass_risk=False, flush_interval_ms: Optional[int] = None, + bypass_logging: bool = True, + log_level: str = "WARNING", + venue_name: str = "BETFAIR", ) -> BacktestRunConfig: engine_config = BacktestEngineConfig( - logging=LoggingConfig(bypass_logging=True), + logging=LoggingConfig( + log_level=log_level, + bypass_logging=bypass_logging, + ), risk_engine=RiskEngineConfig(bypass=bypass_risk), streaming=BetfairTestStubs.streaming_config( + catalog_fs_protocol=catalog_fs_protocol, catalog_path=catalog_path, flush_interval_ms=flush_interval_ms, ) @@ -233,7 +245,7 @@ def betfair_backtest_run_config( ) run_config = BacktestRunConfig( # typing: ignore engine=engine_config, - venues=[BetfairTestStubs.betfair_venue_config()], + venues=[BetfairTestStubs.betfair_venue_config(name=venue_name)], data=[ BacktestDataConfig( # typing: ignore data_cls=TradeTick.fully_qualified_name(), @@ -251,13 +263,6 @@ def betfair_backtest_run_config( ) return run_config - @staticmethod - def betfair_reader( - instrument_provider: Optional[InstrumentProvider] = None, - line_preprocessor: Optional[LinePreprocessor] = None, - ): - return make_betfair_reader(instrument_provider, line_preprocessor) - class BetfairRequests: @staticmethod @@ -550,6 +555,10 @@ def mcm_UPDATE_tv(): def market_updates(): return BetfairStreaming.load("streaming_market_updates.json", iterate=True) + @staticmethod + def mcm_market_definition_racing(): + return BetfairStreaming.load("streaming_market_definition_racing.json") + @staticmethod def generate_order_change_message( price=1.3, @@ -560,24 +569,25 @@ def generate_order_change_message( sr=0, sc=0, avp=0, - order_id: str = "248485109136", + order_id: int = 248485109136, client_order_id: str = "", mb: Optional[list[MatchedOrder]] = None, ml: Optional[list[MatchedOrder]] = None, ) -> OCM: assert side in ("B", "L"), "`side` should be 'B' or 'L'" + assert isinstance(order_id, int) return OCM( id=1, clk="1", pt=0, oc=[ - OrderAccountChange( + OrderMarketChange( id="1", orc=[ - OrderChanges( + OrderRunnerChange( id=1, uo=[ - UnmatchedOrder( + Order( id=order_id, p=price, s=size, @@ -709,7 +719,7 @@ def market_catalogue_short(): @staticmethod def read_lines(filename: str = "1.166811431.bz2") -> list[bytes]: - path = pathlib.Path(f"{TEST_DATA_DIR}/betfair/{filename}") + path = TEST_DATA_DIR / "betfair" / filename if path.suffix == ".bz2": return bz2.open(path).readlines() @@ -744,8 +754,6 @@ def _fix_ids(r): @staticmethod def mcm_to_instruments(mcm: MCM, currency="GBP") -> list[BettingInstrument]: instruments: list[BettingInstrument] = [] - if mcm.market_definition: - instruments.extend(market_definition_to_instruments(mcm.market_definition, currency)) for mc in mcm.mc: if mc.market_definition: market_def = msgspec.structs.replace(mc.market_definition, market_id=mc.id) @@ -754,7 +762,7 @@ def mcm_to_instruments(mcm: MCM, currency="GBP") -> list[BettingInstrument]: @staticmethod def betfair_feed_parsed(market_id: str = "1.166564490"): - parser = BetfairParser() + parser = BetfairParser(currency="GBP") instruments: list[BettingInstrument] = [] data = [] @@ -826,3 +834,17 @@ def betting_instrument_handicap() -> BettingInstrument: "ts_init": 0, }, ) + + +def load_betfair_data(catalog: ParquetDataCatalog) -> ParquetDataCatalog: + filename = TEST_DATA_DIR / "betfair" / "1.166564490.bz2" + + # Write betting instruments + instruments = betting_instruments_from_file(filename) + catalog.write_data(instruments) + + # Write data + data = list(parse_betfair_file(filename, currency="GBP")) + catalog.write_data(data) + + return catalog diff --git a/tests/integration_tests/adapters/binance/sandbox/sandbox_ws_futures_market.py b/tests/integration_tests/adapters/binance/sandbox/sandbox_ws_futures_market.py index 898ddd890f39..2ecbc8469b7c 100644 --- a/tests/integration_tests/adapters/binance/sandbox/sandbox_ws_futures_market.py +++ b/tests/integration_tests/adapters/binance/sandbox/sandbox_ws_futures_market.py @@ -31,6 +31,7 @@ async def test_binance_websocket_client(): logger=Logger(clock=clock), handler=print, base_url="wss://fstream.binance.com", + loop=asyncio.get_event_loop(), ) await client.connect() diff --git a/tests/integration_tests/adapters/binance/sandbox/sandbox_ws_spot_user.py b/tests/integration_tests/adapters/binance/sandbox/sandbox_ws_spot_user.py index bd2499a7c176..be0e8970a380 100644 --- a/tests/integration_tests/adapters/binance/sandbox/sandbox_ws_spot_user.py +++ b/tests/integration_tests/adapters/binance/sandbox/sandbox_ws_spot_user.py @@ -46,6 +46,7 @@ async def test_binance_websocket_client(): clock=clock, logger=Logger(clock=clock), handler=print, + loop=asyncio.get_event_loop(), ) ws.subscribe(key=key) diff --git a/tests/integration_tests/adapters/binance/test_execution_spot.py b/tests/integration_tests/adapters/binance/test_execution_spot.py index 333fe28114bb..ece5cdd5a062 100644 --- a/tests/integration_tests/adapters/binance/test_execution_spot.py +++ b/tests/integration_tests/adapters/binance/test_execution_spot.py @@ -29,7 +29,7 @@ from nautilus_trader.common.clock import LiveClock from nautilus_trader.common.logging import Logger from nautilus_trader.config import InstrumentProviderConfig -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpMethod from nautilus_trader.core.uuid import UUID4 from nautilus_trader.data.engine import DataEngine from nautilus_trader.execution.engine import ExecutionEngine diff --git a/tests/integration_tests/adapters/binance/test_http_account.py b/tests/integration_tests/adapters/binance/test_http_account.py index 89b0e5ed906d..568df3184abb 100644 --- a/tests/integration_tests/adapters/binance/test_http_account.py +++ b/tests/integration_tests/adapters/binance/test_http_account.py @@ -56,7 +56,7 @@ async def test_new_order_test_sends_expected_request(self, mocker): ) # Act - await endpoint._post( + await endpoint.post( parameters=endpoint.PostParameters( symbol=BinanceSymbol("ETHUSDT"), side=BinanceOrderSide.SELL, @@ -239,7 +239,7 @@ async def test_new_spot_oco_sends_expected_request(self, mocker): assert request["method"] == "POST" assert request["url"] == "https://api.binance.com/api/v3/order/oco" assert request["params"].startswith( - "symbol=ETHUSDT&side=BUY&quantity=100&price=5000.00&stopPrice=4000.00&listClientOrderId=1&limitClientOrderId=O-001&limitIcebergQty=50&stopClientOrderId=O-002&stopLimitPrice=3500.00&stopIcebergQty=50&stopLimitTimeInForce=GTC&recvWindow=5000×tamp=", # noqa + "symbol=ETHUSDT&side=BUY&quantity=100&price=5000.00&stopPrice=4000.00&listClientOrderId=1&limitClientOrderId=O-001&limitIcebergQty=50&stopClientOrderId=O-002&stopLimitPrice=3500.00&stopIcebergQty=50&stopLimitTimeInForce=GTC&recvWindow=5000×tamp=", ) @pytest.mark.asyncio() diff --git a/tests/integration_tests/adapters/conftest.py b/tests/integration_tests/adapters/conftest.py index fcc2e8345c22..2d7cba5a527b 100644 --- a/tests/integration_tests/adapters/conftest.py +++ b/tests/integration_tests/adapters/conftest.py @@ -13,7 +13,7 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -from typing import Optional +from typing import Any, Optional import pytest from pytest_mock import MockerFixture @@ -227,7 +227,7 @@ def components(data_engine, exec_engine, risk_engine, strategy): def _collect_events(msgbus, filter_types: Optional[tuple[type, ...]] = None): events = [] - def handler(event: Event): + def handler(event: Event) -> None: if filter_types is None or isinstance(event, filter_types): events.append(event) @@ -236,23 +236,23 @@ def handler(event: Event): @pytest.fixture() -def events(msgbus) -> list[Event]: +def events(msgbus: MessageBus) -> list[Event]: return _collect_events(msgbus, filter_types=None) @pytest.fixture() -def fill_events(msgbus): +def fill_events(msgbus: MessageBus) -> list[Event]: return _collect_events(msgbus, filter_types=(OrderFilled,)) @pytest.fixture() -def cancel_events(msgbus): +def cancel_events(msgbus: MessageBus) -> list[Event]: return _collect_events(msgbus, filter_types=(OrderCanceled,)) @pytest.fixture() -def messages(msgbus): - messages = [] +def messages(msgbus: MessageBus) -> list[Any]: + messages: list[Any] = [] msgbus.subscribe("*", handler=messages.append) return messages diff --git a/nautilus_trader/persistence/streaming/__init__.py b/tests/integration_tests/adapters/tardis/__init__.py similarity index 100% rename from nautilus_trader/persistence/streaming/__init__.py rename to tests/integration_tests/adapters/tardis/__init__.py diff --git a/nautilus_trader/serialization/arrow/serializer.pxd b/tests/integration_tests/adapters/tardis/conftest.py similarity index 71% rename from nautilus_trader/serialization/arrow/serializer.pxd rename to tests/integration_tests/adapters/tardis/conftest.py index 61a989ad209b..ec40868019b7 100644 --- a/nautilus_trader/serialization/arrow/serializer.pxd +++ b/tests/integration_tests/adapters/tardis/conftest.py @@ -13,6 +13,29 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +import pytest -cdef class ParquetSerializer: - pass + +@pytest.fixture() +def instrument_provider(): + pass # Not applicable + + +@pytest.fixture() +def data_client(): + pass # Not applicable + + +@pytest.fixture() +def exec_client(): + pass # Not applicable + + +@pytest.fixture() +def instrument(): + pass # Not applicable + + +@pytest.fixture() +def account_state(): + pass # Not applicable diff --git a/tests/integration_tests/adapters/tardis/test_loaders.py b/tests/integration_tests/adapters/tardis/test_loaders.py new file mode 100644 index 000000000000..a603290dbbd5 --- /dev/null +++ b/tests/integration_tests/adapters/tardis/test_loaders.py @@ -0,0 +1,86 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +from nautilus_trader.adapters.tardis.loaders import TardisQuoteDataLoader +from nautilus_trader.adapters.tardis.loaders import TardisTradeDataLoader +from nautilus_trader.model.enums import AggressorSide +from nautilus_trader.model.identifiers import TradeId +from nautilus_trader.model.objects import Price +from nautilus_trader.model.objects import Quantity +from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler +from nautilus_trader.persistence.wranglers import TradeTickDataWrangler +from nautilus_trader.test_kit.providers import TestInstrumentProvider +from tests import TEST_DATA_DIR + + +def test_tardis_quote_data_loader(): + # Arrange, Act + path = TEST_DATA_DIR / "tardis_quotes.csv" + ticks = TardisQuoteDataLoader.load(path) + + # Assert + assert len(ticks) == 9999 + + +def test_pre_process_with_quote_tick_data(): + # Arrange + instrument = TestInstrumentProvider.btcusdt_binance() + wrangler = QuoteTickDataWrangler(instrument=instrument) + path = TEST_DATA_DIR / "tardis_quotes.csv" + data = TardisQuoteDataLoader.load(path) + + # Act + ticks = wrangler.process( + data, + ts_init_delta=1_000_501, + ) + + # Assert + assert len(ticks) == 9999 + assert ticks[0].bid_price == Price.from_str("9681.92") + assert ticks[0].ask_price == Price.from_str("9682.00") + assert ticks[0].bid_size == Quantity.from_str("0.670000") + assert ticks[0].ask_size == Quantity.from_str("0.840000") + assert ticks[0].ts_event == 1582329603502092000 + assert ticks[0].ts_init == 1582329603503092501 + + +def test_tardis_trade_tick_loader(): + # Arrange, Act + path = TEST_DATA_DIR / "tardis_trades.csv" + ticks = TardisTradeDataLoader.load(path) + + # Assert + assert len(ticks) == 9999 + + +def test_pre_process_with_trade_tick_data(): + # Arrange + instrument = TestInstrumentProvider.btcusdt_binance() + wrangler = TradeTickDataWrangler(instrument=instrument) + path = TEST_DATA_DIR / "tardis_trades.csv" + data = TardisTradeDataLoader.load(path) + + # Act + ticks = wrangler.process(data) + + # Assert + assert len(ticks) == 9999 + assert ticks[0].price == Price.from_str("9682.00") + assert ticks[0].size == Quantity.from_str("0.132000") + assert ticks[0].aggressor_side == AggressorSide.BUYER + assert ticks[0].trade_id == TradeId("42377944") + assert ticks[0].ts_event == 1582329602418379000 + assert ticks[0].ts_init == 1582329602418379000 diff --git a/tests/integration_tests/live/test_live_node.py b/tests/integration_tests/live/test_live_node.py index 7673392002be..5ccf40b1d245 100644 --- a/tests/integration_tests/live/test_live_node.py +++ b/tests/integration_tests/live/test_live_node.py @@ -29,6 +29,7 @@ from nautilus_trader.config.common import InstrumentProviderConfig from nautilus_trader.live.node import TradingNode from nautilus_trader.model.identifiers import StrategyId +from nautilus_trader.test_kit.functions import ensure_all_tasks_completed RAW_CONFIG = msgspec.json.encode( @@ -88,6 +89,9 @@ class TestTradingNodeConfiguration: + def teardown(self): + ensure_all_tasks_completed() + def test_config_with_in_memory_execution_database(self): # Arrange loop = asyncio.new_event_loop() @@ -205,6 +209,9 @@ def test_setting_instance_id(self, monkeypatch): class TestTradingNodeOperation: + def teardown(self): + ensure_all_tasks_completed() + def test_get_event_loop_returns_a_loop(self): # Arrange loop = asyncio.new_event_loop() diff --git a/tests/integration_tests/network/conftest.py b/tests/integration_tests/network/conftest.py index 83b35b096568..f66e22941638 100644 --- a/tests/integration_tests/network/conftest.py +++ b/tests/integration_tests/network/conftest.py @@ -26,6 +26,7 @@ async def handle_echo(reader: asyncio.StreamReader, writer: asyncio.StreamWriter): async def write(): + writer.write(b"connected\r\n") while True: writer.write(b"hello\r\n") await asyncio.sleep(0.1) @@ -34,7 +35,7 @@ async def write(): while True: req = await reader.readline() - if req == b"CLOSE_STREAM": + if req.strip() == b"close": writer.close() @@ -51,7 +52,7 @@ async def socket_server(): async def fixture_closing_socket_server(): async def handler(reader: asyncio.StreamReader, writer: asyncio.StreamWriter): async def write(): - writer.write(b"hello\r\n") + writer.write(b"connected\r\n") await asyncio.sleep(0.1) await writer.drain() writer.close() diff --git a/tests/integration_tests/network/test_http.py b/tests/integration_tests/network/test_http.py index 4d9aa983a4c0..1d50537e62bf 100644 --- a/tests/integration_tests/network/test_http.py +++ b/tests/integration_tests/network/test_http.py @@ -21,9 +21,9 @@ from aiohttp import web from aiohttp.test_utils import TestServer -from nautilus_trader.core.nautilus_pyo3.network import HttpClient -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod -from nautilus_trader.core.nautilus_pyo3.network import HttpResponse +from nautilus_trader.core.nautilus_pyo3 import HttpClient +from nautilus_trader.core.nautilus_pyo3 import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpResponse @pytest.fixture(name="test_server") diff --git a/tests/integration_tests/network/test_socket.py b/tests/integration_tests/network/test_socket.py new file mode 100644 index 000000000000..9cd0efe245cd --- /dev/null +++ b/tests/integration_tests/network/test_socket.py @@ -0,0 +1,126 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import asyncio + +import pytest + +from nautilus_trader.core.nautilus_pyo3 import SocketClient +from nautilus_trader.core.nautilus_pyo3 import SocketConfig +from nautilus_trader.test_kit.functions import eventually + + +pytestmark = pytest.mark.skip(reason="WIP") + + +def _config(socket_server, handler): + host, port = socket_server + server_url = f"{host}:{port}" + return SocketConfig( + url=server_url, + handler=handler, + ssl=False, + suffix=b"\r\n", + ) + + +@pytest.mark.asyncio() +async def test_connect_and_disconnect(socket_server): + # Arrange + store = [] + + config = _config(socket_server, store.append) + client = await SocketClient.connect(config) + + # Act, Assert + await eventually(lambda: client.is_alive) + await client.disconnect() + # await eventually(lambda: not client.is_alive) + + +@pytest.mark.asyncio() +async def test_client_send_recv(socket_server): + # Arrange + store = [] + config = _config(socket_server, store.append) + client = await SocketClient.connect(config) + + await eventually(lambda: client.is_alive) + + # Act + num_messages = 3 + for _ in range(num_messages): + await client.send(b"Hello") + await asyncio.sleep(0.1) + await client.disconnect() + + # Assert + await eventually(lambda: store == [b"connected"] + [b"hello"] * 2) + await asyncio.sleep(0.1) + + +# @pytest.mark.asyncio() +# async def test_client_send_recv_json(socket_server): +# # Arrange +# store = [] +# config = _config(socket_server, store.append) +# client = await SocketClient.connect(config) +# +# await eventually(lambda: client.is_alive) +# +# # Act +# num_messages = 3 +# for _ in range(num_messages): +# await client.send(msgspec.json.encode({"method": "SUBSCRIBE"})) +# await asyncio.sleep(0.3) +# await client.disconnect() +# +# expected = [b"connected"] + [b'{"method":"SUBSCRIBE"}-response'] * 3 +# assert store == expected +# await client.disconnect() +# await eventually(lambda: not client.is_alive) + + +@pytest.mark.asyncio() +async def test_reconnect_after_close(closing_socket_server): + # Arrange + store = [] + config = _config(closing_socket_server, store.append) + client = await SocketClient.connect(config) + + await eventually(lambda: client.is_alive) + + # Act + await asyncio.sleep(2) + + # Assert + await eventually(lambda: store == [b"connected"] * 2) + + +# @pytest.mark.asyncio() +# async def test_exponential_backoff(self, websocket_server): +# # Arrange +# store = [] +# client = await WebSocketClient.connect( +# url=_server_url(websocket_server), +# handler=store.append, +# ) +# +# # Act +# for _ in range(2): +# await self.client.send(b"close") +# await asyncio.sleep(0.1) +# +# assert client.connection_retry_count == 2 diff --git a/tests/integration_tests/network/test_websocket.py b/tests/integration_tests/network/test_websocket.py index 11d44f5532f4..42e636bb01eb 100644 --- a/tests/integration_tests/network/test_websocket.py +++ b/tests/integration_tests/network/test_websocket.py @@ -19,7 +19,7 @@ import pytest from aiohttp.test_utils import TestServer -from nautilus_trader.core.nautilus_pyo3.network import WebSocketClient +from nautilus_trader.core.nautilus_pyo3 import WebSocketClient from nautilus_trader.test_kit.functions import eventually diff --git a/tests/integration_tests/orderbook/test_orderbook.py b/tests/integration_tests/orderbook/test_orderbook.py index 9147c1e79da9..c01f04e464ae 100644 --- a/tests/integration_tests/orderbook/test_orderbook.py +++ b/tests/integration_tests/orderbook/test_orderbook.py @@ -12,7 +12,6 @@ # See the License for the specific language governing permissions and # limitations under the License. # ------------------------------------------------------------------------------------------------- - import pytest from nautilus_trader.model.enums import BookType @@ -23,28 +22,23 @@ from tests import TEST_DATA_DIR -pytestmark = pytest.mark.skip(reason="Repair order book parsing") - - class TestOrderBook: def test_l1_orderbook(self): book = OrderBook( instrument_id=TestIdStubs.audusd_id(), - book_type=BookType.L1_TBBO, + book_type=BookType.L1_MBP, ) i = 0 - for i, m in enumerate(TestDataStubs.l1_feed()): # (B007) - # print(f"[{i}]", "\n", m, "\n", repr(ob), "\n") - # print("") + for i, m in enumerate(TestDataStubs.l1_feed()): if m["op"] == "update": - book.update(order=m["order"]) + book.update(order=m["order"], ts_event=0) else: raise KeyError book.check_integrity() assert i == 1999 def test_l2_feed(self): - filename = TEST_DATA_DIR + "/L2_feed.json" + filename = TEST_DATA_DIR / "L2_feed.json" book = OrderBook( instrument_id=TestIdStubs.audusd_id(), @@ -64,14 +58,15 @@ def test_l2_feed(self): elif (i, m["order"].order_id) in skip: continue elif m["op"] == "update": - book.update(order=m["order"]) + book.update(order=m["order"], ts_event=0) elif m["op"] == "delete": - book.delete(order=m["order"]) + book.delete(order=m["order"], ts_event=0) book.check_integrity() assert i == 68462 + @pytest.mark.skip("segfault on check_integrity") def test_l3_feed(self): - filename = TEST_DATA_DIR + "/L3_feed.json" + filename = TEST_DATA_DIR / "L3_feed.json" book = OrderBook( instrument_id=TestIdStubs.audusd_id(), @@ -82,16 +77,16 @@ def test_l3_feed(self): # immediately, however we may also delete later. skip_deletes = [] i = 0 - for i, m in enumerate(TestDataStubs.l3_feed(filename)): # (B007) + for i, m in enumerate(TestDataStubs.l3_feed(filename)): if m["op"] == "update": - book.update(order=m["order"]) + book.update(order=m["order"], ts_event=0) try: book.check_integrity() except RuntimeError: # BookIntegrityError was removed - book.delete(order=m["order"]) + book.delete(order=m["order"], ts_event=0) skip_deletes.append(m["order"].order_id) elif m["op"] == "delete" and m["order"].order_id not in skip_deletes: - book.delete(order=m["order"]) + book.delete(order=m["order"], ts_event=0) book.check_integrity() assert i == 100_047 assert book.best_ask_level().price == 61405.27923706 diff --git a/tests/performance_tests/test_perf_backtest.py b/tests/performance_tests/test_perf_backtest.py index 161e3376ba6d..cd4dd6220ada 100644 --- a/tests/performance_tests/test_perf_backtest.py +++ b/tests/performance_tests/test_perf_backtest.py @@ -13,7 +13,6 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -import os from datetime import datetime from decimal import Decimal @@ -136,9 +135,7 @@ def setup(): engine = BacktestEngine(config=config) provider = TestDataProvider() - interest_rate_data = pd.read_csv( - os.path.join(TEST_DATA_DIR, "short-term-interest.csv"), - ) + interest_rate_data = pd.read_csv(TEST_DATA_DIR / "short-term-interest.csv") config = FXRolloverInterestConfig(interest_rate_data) fx_rollover_interest = FXRolloverInterestModule(config) diff --git a/tests/performance_tests/test_perf_catalog.py b/tests/performance_tests/test_perf_catalog.py index d9c93e578399..ff0279a9654a 100644 --- a/tests/performance_tests/test_perf_catalog.py +++ b/tests/performance_tests/test_perf_catalog.py @@ -20,12 +20,12 @@ import pytest from nautilus_trader import PACKAGE_ROOT -from nautilus_trader.core.nautilus_pyo3.persistence import DataBackendSession -from nautilus_trader.core.nautilus_pyo3.persistence import NautilusDataType -from nautilus_trader.persistence.wranglers import list_from_capsule +from nautilus_trader.core.nautilus_pyo3 import DataBackendSession +from nautilus_trader.core.nautilus_pyo3 import NautilusDataType +from nautilus_trader.model.data.base import capsule_to_list from nautilus_trader.test_kit.mocks.data import data_catalog_setup from nautilus_trader.test_kit.performance import PerformanceHarness -from tests.unit_tests.persistence.test_catalog import TestPersistenceCatalogFile +from tests.unit_tests.persistence.test_catalog import TestPersistenceCatalog # TODO: skip in CI @@ -40,7 +40,7 @@ def test_load_quote_ticks_python(benchmark): def setup(): # Arrange - cls = TestPersistenceCatalogFile() + cls = TestPersistenceCatalog() cls.catalog = data_catalog_setup(protocol="file", path=tempdir) @@ -50,7 +50,7 @@ def setup(): return (cls.catalog,), {} def run(catalog): - quotes = catalog.quote_ticks(as_nautilus=True) + quotes = catalog.quote_ticks() assert len(quotes) == 9500 benchmark.pedantic(run, setup=setup, rounds=1, iterations=1, warmup_rounds=1) @@ -62,17 +62,17 @@ def test_load_quote_ticks_rust(benchmark): def setup(): # Arrange - cls = TestPersistenceCatalogFile() + cls = TestPersistenceCatalog() cls.catalog = data_catalog_setup(protocol="file", path=tempdir) - cls._load_quote_ticks_into_catalog(use_rust=True) + cls._load_quote_ticks_into_catalog() # Act return (cls.catalog,), {} def run(catalog): - quotes = catalog.quote_ticks(as_nautilus=True, use_rust=True) + quotes = catalog.quote_ticks() assert len(quotes) == 9500 benchmark.pedantic(run, setup=setup, rounds=1, iterations=1, warmup_rounds=1) @@ -89,7 +89,7 @@ def setup(): def run(result): count = 0 for chunk in result: - count += len(list_from_capsule(chunk)) + count += len(capsule_to_list(chunk)) assert count == 9689614 @@ -118,10 +118,10 @@ def setup(): def run(result): count = 0 for chunk in result: - ticks = list_from_capsule(chunk) + ticks = capsule_to_list(chunk) count += len(ticks) - # check total count is correct - assert count == 72536038 + # Check total count is correct + assert count == 72_536_038 benchmark.pedantic(run, setup=setup, rounds=1, iterations=1, warmup_rounds=1) diff --git a/tests/performance_tests/test_perf_http.py b/tests/performance_tests/test_perf_http.py index 0d99f5059728..357d688fba20 100644 --- a/tests/performance_tests/test_perf_http.py +++ b/tests/performance_tests/test_perf_http.py @@ -16,8 +16,8 @@ import asyncio import time -from nautilus_trader.core.nautilus_pyo3.network import HttpClient -from nautilus_trader.core.nautilus_pyo3.network import HttpMethod +from nautilus_trader.core.nautilus_pyo3 import HttpClient +from nautilus_trader.core.nautilus_pyo3 import HttpMethod CONCURRENCY = 256 diff --git a/tests/performance_tests/test_perf_orderbook.py b/tests/performance_tests/test_perf_orderbook.py index 561500b45e81..2f581620b293 100644 --- a/tests/performance_tests/test_perf_orderbook.py +++ b/tests/performance_tests/test_perf_orderbook.py @@ -39,7 +39,7 @@ def test_orderbook_updates(benchmark): instrument_id=TestIdStubs.audusd_id(), book_type=BookType.L3_MBO, ) - filename = TEST_DATA_DIR + "/L3_feed.json" + filename = TEST_DATA_DIR / "L3_feed.json" feed = TestDataStubs.l3_feed(filename) assert len(feed) == 100048 # 100k updates diff --git a/tests/test_data/bar_data.parquet b/tests/test_data/bar_data.parquet new file mode 100644 index 000000000000..ed6cd82c7762 Binary files /dev/null and b/tests/test_data/bar_data.parquet differ diff --git a/tests/test_data/bars_eurusd_2019_sim.parquet b/tests/test_data/bars_eurusd_2019_sim.parquet index 2aef74500dd9..5ba9046cddfb 100644 Binary files a/tests/test_data/bars_eurusd_2019_sim.parquet and b/tests/test_data/bars_eurusd_2019_sim.parquet differ diff --git a/tests/test_data/binance-btcusdt-depth-snap.csv b/tests/test_data/binance-btcusdt-depth-snap.csv new file mode 100644 index 000000000000..6006e210adf8 --- /dev/null +++ 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+BTCUSDT,1667347199939,2098041693435,2098041696700,a,set,20523.30,7.432,2098041693400 +BTCUSDT,1667347199939,2098041693435,2098041696700,a,set,20821.40,44.921,2098041693400 +BTCUSDT,1667347199939,2098041693435,2098041696700,a,set,20879.10,10.249,2098041693400 diff --git a/tests/unit_tests/accounting/test_calculators.py b/tests/unit_tests/accounting/test_calculators.py index 720528abf4e8..ed93b928515c 100644 --- a/tests/unit_tests/accounting/test_calculators.py +++ b/tests/unit_tests/accounting/test_calculators.py @@ -14,7 +14,6 @@ # ------------------------------------------------------------------------------------------------- import datetime -import os from decimal import Decimal import pandas as pd @@ -219,9 +218,7 @@ def test_calculate_exchange_rate_for_mid_price_type2(self): class TestRolloverInterestCalculator: def setup(self): # Fixture Setup - self.data = pd.read_csv( - os.path.join(TEST_DATA_DIR, "short-term-interest.csv"), - ) + self.data = pd.read_csv(TEST_DATA_DIR / "short-term-interest.csv") def test_rate_dataframe_returns_correct_dataframe(self): # Arrange diff --git a/tests/unit_tests/accounting/test_cash.py b/tests/unit_tests/accounting/test_cash.py index dfd1073b8a70..6a07c208b7e6 100644 --- a/tests/unit_tests/accounting/test_cash.py +++ b/tests/unit_tests/accounting/test_cash.py @@ -49,7 +49,7 @@ USDJPY_SIM = TestInstrumentProvider.default_fx_ccy("USD/JPY") ADABTC_BINANCE = TestInstrumentProvider.adabtc_binance() BTCUSDT_BINANCE = TestInstrumentProvider.btcusdt_binance() -AAPL_NASDAQ = TestInstrumentProvider.aapl_equity() +AAPL_NASDAQ = TestInstrumentProvider.equity(symbol="AAPL", venue="NASDAQ") class TestCashAccount: diff --git a/tests/unit_tests/analysis/test_reports.py b/tests/unit_tests/analysis/test_reports.py index f63714928474..2128f112346e 100644 --- a/tests/unit_tests/analysis/test_reports.py +++ b/tests/unit_tests/analysis/test_reports.py @@ -27,6 +27,7 @@ from nautilus_trader.model.identifiers import AccountId from nautilus_trader.model.identifiers import PositionId from nautilus_trader.model.identifiers import StrategyId +from nautilus_trader.model.identifiers import TradeId from nautilus_trader.model.identifiers import TraderId from nautilus_trader.model.identifiers import Venue from nautilus_trader.model.objects import AccountBalance @@ -98,6 +99,13 @@ def test_generate_orders_fills_report_with_no_order_returns_emtpy_dataframe(self # Assert assert report.empty + def test_generate_fills_report_with_no_fills_returns_emtpy_dataframe(self): + # Arrange, Act + report = ReportProvider.generate_fills_report([]) + + # Assert + assert report.empty + def test_generate_positions_report_with_no_positions_returns_emtpy_dataframe(self): # Arrange, Act report = ReportProvider.generate_positions_report([]) @@ -175,6 +183,16 @@ def test_generate_order_fills_report(self): order2.apply(TestEventStubs.order_submitted(order2)) order2.apply(TestEventStubs.order_accepted(order2)) + order3 = self.order_factory.limit( + AUDUSD_SIM.id, + OrderSide.SELL, + Quantity.from_int(1_500_000), + Price.from_str("0.80000"), + ) + + order3.apply(TestEventStubs.order_submitted(order3)) + order3.apply(TestEventStubs.order_accepted(order3)) + filled = TestEventStubs.order_filled( order1, instrument=AUDUSD_SIM, @@ -185,13 +203,24 @@ def test_generate_order_fills_report(self): order1.apply(filled) - orders = [order1, order2] + partially_filled = TestEventStubs.order_filled( + order3, + instrument=AUDUSD_SIM, + position_id=PositionId("P-1"), + strategy_id=StrategyId("S-1"), + last_px=Price.from_str("0.80011"), + last_qty=Quantity.from_int(500_000), + ) + + order3.apply(partially_filled) + + orders = [order1, order2, order3] # Act report = ReportProvider.generate_order_fills_report(orders) # Assert - assert len(report) == 1 + assert len(report) == 2 assert report.index.name == "client_order_id" assert report.index[0] == order1.client_order_id.value assert report.iloc[0]["instrument_id"] == "AUD/USD.SIM" @@ -200,6 +229,69 @@ def test_generate_order_fills_report(self): assert report.iloc[0]["quantity"] == "1500000" assert report.iloc[0]["avg_px"] == "0.80011" assert report.iloc[0]["slippage"] == "9.99999999995449e-06" + assert report.index[1] == order3.client_order_id.value + assert report.iloc[1]["instrument_id"] == "AUD/USD.SIM" + assert report.iloc[1]["side"] == "SELL" + assert report.iloc[1]["type"] == "LIMIT" + assert report.iloc[1]["quantity"] == "1500000" + assert report.iloc[1]["filled_qty"] == "500000" + assert report.iloc[1]["avg_px"] == "0.80011" + + def test_generate_fills_report(self): + # Arrange + order1 = self.order_factory.limit( + AUDUSD_SIM.id, + OrderSide.BUY, + Quantity.from_int(1_500_000), + Price.from_str("0.80010"), + ) + + order1.apply(TestEventStubs.order_submitted(order1)) + order1.apply(TestEventStubs.order_accepted(order1)) + + partially_filled1 = TestEventStubs.order_filled( + order1, + trade_id=TradeId("E-19700101-0000-000-001-1"), + instrument=AUDUSD_SIM, + position_id=PositionId("P-1"), + strategy_id=StrategyId("S-1"), + last_qty=Quantity.from_int(1_000_000), + last_px=Price.from_str("0.80011"), + ) + + partially_filled2 = TestEventStubs.order_filled( + order1, + trade_id=TradeId("E-19700101-0000-000-001-2"), + instrument=AUDUSD_SIM, + position_id=PositionId("P-1"), + strategy_id=StrategyId("S-1"), + last_qty=Quantity.from_int(500_000), + last_px=Price.from_str("0.80011"), + ) + + order1.apply(partially_filled1) + order1.apply(partially_filled2) + + orders = [order1] + + # Act + report = ReportProvider.generate_fills_report(orders) + + # Assert + assert len(report) == 2 + assert report.index.name == "client_order_id" + assert report.index[0] == order1.client_order_id.value + assert report.iloc[0]["instrument_id"] == "AUD/USD.SIM" + assert report.iloc[0]["order_side"] == "BUY" + assert report.iloc[0]["order_type"] == "LIMIT" + assert report.iloc[0]["last_qty"] == "1000000" + assert report.iloc[0]["last_px"] == "0.80011" + assert report.index[1] == order1.client_order_id.value + assert report.iloc[1]["instrument_id"] == "AUD/USD.SIM" + assert report.iloc[1]["order_side"] == "BUY" + assert report.iloc[1]["order_type"] == "LIMIT" + assert report.iloc[1]["last_qty"] == "500000" + assert report.iloc[1]["last_px"] == "0.80011" def test_generate_positions_report(self): # Arrange diff --git a/tests/unit_tests/backtest/test_config.py b/tests/unit_tests/backtest/test_config.py index f29c83d077d7..030cb35e31e6 100644 --- a/tests/unit_tests/backtest/test_config.py +++ b/tests/unit_tests/backtest/test_config.py @@ -31,14 +31,12 @@ from nautilus_trader.config.backtest import json_encoder from nautilus_trader.config.backtest import tokenize_config from nautilus_trader.config.common import NautilusConfig -from nautilus_trader.model.data import InstrumentStatusUpdate +from nautilus_trader.model.data import InstrumentStatus from nautilus_trader.model.data import OrderBookDelta from nautilus_trader.model.data import QuoteTick from nautilus_trader.model.data import TradeTick from nautilus_trader.model.identifiers import ClientId from nautilus_trader.model.identifiers import Venue -from nautilus_trader.persistence.external.core import process_files -from nautilus_trader.persistence.external.readers import CSVReader from nautilus_trader.test_kit.mocks.data import NewsEventData from nautilus_trader.test_kit.mocks.data import aud_usd_data_loader from nautilus_trader.test_kit.mocks.data import data_catalog_setup @@ -46,12 +44,12 @@ from nautilus_trader.test_kit.providers import TestInstrumentProvider from nautilus_trader.test_kit.stubs.config import TestConfigStubs from nautilus_trader.test_kit.stubs.persistence import TestPersistenceStubs -from tests import TEST_DATA_DIR -from tests.integration_tests.adapters.betfair.test_kit import BetfairTestStubs -class _TestBacktestConfig: +@pytest.mark.skipif(sys.platform == "win32", reason="Failing on windows") +class TestBacktestConfig: def setup(self): + self.fs_protocol = "file" self.catalog = data_catalog_setup(protocol=self.fs_protocol) aud_usd_data_loader(self.catalog) self.venue = Venue("SIM") @@ -66,13 +64,13 @@ def teardown(self): fs.rm(path, recursive=True) def test_backtest_config_pickle(self): - pickle.loads(pickle.dumps(self)) # noqa: S301 + pickle.loads(pickle.dumps(self.backtest_config)) # noqa: S301 def test_backtest_data_config_load(self): instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD") c = BacktestDataConfig( catalog_path=self.catalog.path, - catalog_fs_protocol=self.catalog.fs.protocol, + catalog_fs_protocol=str(self.catalog.fs.protocol), data_cls=QuoteTick, instrument_id=instrument.id.value, start_time=1580398089820000000, @@ -81,81 +79,72 @@ def test_backtest_data_config_load(self): result = c.query assert result == { - "as_nautilus": True, - "cls": QuoteTick, + "data_cls": QuoteTick, "instrument_ids": ["AUD/USD.SIM"], "filter_expr": None, "start": 1580398089820000000, "end": 1580504394501000000, - "use_rust": False, "metadata": None, } def test_backtest_data_config_generic_data(self): # Arrange TestPersistenceStubs.setup_news_event_persistence() - - process_files( - glob_path=f"{TEST_DATA_DIR}/news_events.csv", - reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser), - catalog=self.catalog, - ) + data = TestPersistenceStubs.news_events() + self.catalog.write_data(data) c = BacktestDataConfig( catalog_path=self.catalog.path, - catalog_fs_protocol=self.catalog.fs.protocol, + catalog_fs_protocol=str(self.catalog.fs.protocol), data_cls=NewsEventData, client_id="NewsClient", metadata={"kind": "news"}, ) result = c.load() - assert len(result["data"]) == 86985 - assert result["instrument"] is None - assert result["client_id"] == ClientId("NewsClient") - assert result["data"][0].data_type.metadata == {"kind": "news"} + assert len(result.data) == 86985 + assert result.instrument is None + assert result.client_id == ClientId("NewsClient") + assert result.data[0].data_type.metadata == {"kind": "news"} def test_backtest_data_config_filters(self): # Arrange TestPersistenceStubs.setup_news_event_persistence() - process_files( - glob_path=f"{TEST_DATA_DIR}/news_events.csv", - reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser), - catalog=self.catalog, - ) + data = TestPersistenceStubs.news_events() + self.catalog.write_data(data) + + # Act c = BacktestDataConfig( catalog_path=self.catalog.path, - catalog_fs_protocol=self.catalog.fs.protocol, + catalog_fs_protocol=str(self.catalog.fs.protocol), data_cls=NewsEventData, filter_expr="field('currency') == 'CHF'", client_id="NewsClient", ) result = c.load() - assert len(result["data"]) == 2745 + assert len(result.data) == 2745 - @pytest.mark.skip(reason="Requires new datafusion streaming") def test_backtest_data_config_status_updates(self): - process_files( - glob_path=TEST_DATA_DIR + "/betfair/1.166564490.bz2", - reader=BetfairTestStubs.betfair_reader(), - catalog=self.catalog, - ) + from tests.integration_tests.adapters.betfair.test_kit import load_betfair_data + + load_betfair_data(self.catalog) + c = BacktestDataConfig( catalog_path=self.catalog.path, - catalog_fs_protocol=self.catalog.fs.protocol, - data_cls=InstrumentStatusUpdate, + catalog_fs_protocol=str(self.catalog.fs.protocol), + data_cls=InstrumentStatus, ) result = c.load() - assert len(result["data"]) == 2 - assert result["instrument"] is None - assert result["client_id"] is None + assert len(result.data) == 2 + assert result.instrument is None + assert result.client_id is None def test_resolve_cls(self): config = BacktestDataConfig( catalog_path=self.catalog.path, data_cls="nautilus_trader.model.data.tick:QuoteTick", - catalog_fs_protocol=self.catalog.fs.protocol, + catalog_fs_protocol=str(self.catalog.fs.protocol), catalog_fs_storage_options={}, instrument_id="AUD/USD.IDEALPRO", start_time=1580398089820000, @@ -185,14 +174,6 @@ def test_backtest_config_to_json(self): assert msgspec.json.encode(self.backtest_config) -class TestBacktestConfigFile(_TestBacktestConfig): - fs_protocol = "file" - - -class TestBacktestConfigMemory(_TestBacktestConfig): - fs_protocol = "memory" - - class TestBacktestConfigParsing: def setup(self): self.catalog = data_catalog_setup(protocol="memory", path="/.nautilus/") @@ -216,7 +197,7 @@ def test_run_config_to_json(self) -> None: ) json = msgspec.json.encode(run_config) result = len(msgspec.json.encode(json)) - assert result == 1010 # UNIX + assert result == 986 # UNIX @pytest.mark.skipif(sys.platform == "win32", reason="redundant to also test Windows") def test_run_config_parse_obj(self) -> None: @@ -227,7 +208,7 @@ def test_run_config_parse_obj(self) -> None: BacktestVenueConfig( name="SIM", oms_type="HEDGING", - account_type="MARG IN", + account_type="MARGIN", starting_balances=["1_000_000 USD"], ), ], @@ -237,7 +218,7 @@ def test_run_config_parse_obj(self) -> None: assert isinstance(config, BacktestRunConfig) node = BacktestNode(configs=[config]) assert isinstance(node, BacktestNode) - assert len(raw) == 757 # UNIX + assert len(raw) == 737 # UNIX @pytest.mark.skipif(sys.platform == "win32", reason="redundant to also test Windows") def test_backtest_data_config_to_dict(self) -> None: @@ -258,7 +239,7 @@ def test_backtest_data_config_to_dict(self) -> None: ) json = msgspec.json.encode(run_config) result = len(msgspec.json.encode(json)) - assert result == 1866 + assert result == 1798 @pytest.mark.skipif(sys.platform == "win32", reason="redundant to also test Windows") def test_backtest_run_config_id(self) -> None: @@ -266,7 +247,7 @@ def test_backtest_run_config_id(self) -> None: print("token:", token) value: bytes = msgspec.json.encode(self.backtest_config.dict(), enc_hook=json_encoder) print("token_value:", value.decode()) - assert token == "acf938231c1e196f54f34716dd4feb5e16f820087ca3b5b15bccf7b8e2e36bd0" # UNIX + assert token == "d1add7c871b0bdd762b495345e394276431eda714a00d839037df33e8a427fd1" # UNIX @pytest.mark.skip(reason="fix after merge") @pytest.mark.parametrize( @@ -283,8 +264,8 @@ def test_backtest_run_config_id(self) -> None: ("catalog",), {}, ( - "8485d8c61bb15514769412bc4c0fb0a662617b3245d751c40e3627a1b6762ba0", # unix - "d32e5785aad958ec163da39ba501a8fbe654fd973ada46e21907631824369ce4", # windows + "8485d8c61bb15514769412bc4c0fb0a662617b3245d751c40e3627a1b6762ba0", # UNIX + "d32e5785aad958ec163da39ba501a8fbe654fd973ada46e21907631824369ce4", # Windows ), ), ( diff --git a/tests/unit_tests/backtest/test_data_loaders.py b/tests/unit_tests/backtest/test_data_loaders.py index f76df20d8612..737d93b27b3b 100644 --- a/tests/unit_tests/backtest/test_data_loaders.py +++ b/tests/unit_tests/backtest/test_data_loaders.py @@ -13,7 +13,6 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -import os from nautilus_trader.model.identifiers import InstrumentId from nautilus_trader.model.identifiers import Symbol @@ -57,7 +56,7 @@ def test_default_fx_with_3_dp_returns_expected_instrument(self): class TestParquetTickDataLoaders: def test_btcusdt_trade_ticks_from_parquet_loader_return_expected_row(self): # Arrange, Act - path = os.path.join(TEST_DATA_DIR, "binance-btcusdt-trades.parquet") + path = TEST_DATA_DIR / "binance-btcusdt-trades.parquet" ticks = ParquetTickDataLoader.load(path) # Assert @@ -70,7 +69,7 @@ def test_btcusdt_trade_ticks_from_parquet_loader_return_expected_row(self): def test_btcusdt_quote_ticks_from_parquet_loader_return_expected_row(self): # Arrange, Act - path = os.path.join(TEST_DATA_DIR, "binance-btcusdt-quotes.parquet") + path = TEST_DATA_DIR / "binance-btcusdt-quotes.parquet" ticks = ParquetTickDataLoader.load(path) # Assert diff --git a/tests/unit_tests/backtest/test_data_wranglers.py b/tests/unit_tests/backtest/test_data_wranglers.py index b022f2d464ec..a31ffd6df2d4 100644 --- a/tests/unit_tests/backtest/test_data_wranglers.py +++ b/tests/unit_tests/backtest/test_data_wranglers.py @@ -13,15 +13,14 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -import os + +import pandas as pd from nautilus_trader.common.clock import TestClock from nautilus_trader.model.enums import AggressorSide from nautilus_trader.model.identifiers import TradeId from nautilus_trader.model.objects import Price from nautilus_trader.model.objects import Quantity -from nautilus_trader.persistence.loaders import TardisQuoteDataLoader -from nautilus_trader.persistence.loaders import TardisTradeDataLoader from nautilus_trader.persistence.wranglers import BarDataWrangler from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler from nautilus_trader.persistence.wranglers import TradeTickDataWrangler @@ -29,7 +28,6 @@ from nautilus_trader.test_kit.providers import TestInstrumentProvider from nautilus_trader.test_kit.stubs.data import TestDataStubs from nautilus_trader.test_kit.stubs.identifiers import TestIdStubs -from tests import TEST_DATA_DIR AUDUSD_SIM = TestIdStubs.audusd_id() @@ -68,8 +66,8 @@ def test_process_tick_data(self): assert ticks[0].ask_price == Price.from_str("86.728") assert ticks[0].bid_size == Quantity.from_int(1_000_000) assert ticks[0].ask_size == Quantity.from_int(1_000_000) - assert ticks[0].ts_event == 1357077600295000064 - assert ticks[0].ts_event == 1357077600295000064 + assert ticks[0].ts_event == 1357077600295000000 + assert ticks[0].ts_init == 1357077600295000000 def test_process_tick_data_with_delta(self): # Arrange @@ -92,8 +90,27 @@ def test_process_tick_data_with_delta(self): assert ticks[0].ask_price == Price.from_str("86.728") assert ticks[0].bid_size == Quantity.from_int(1_000_000) assert ticks[0].ask_size == Quantity.from_int(1_000_000) - assert ticks[0].ts_event == 1357077600295000064 - assert ticks[0].ts_init == 1357077600296000564 # <-- delta diff + assert ticks[0].ts_event == 1357077600295000000 + assert ticks[0].ts_init == 1357077600296000500 # <-- delta diff + + def test_process_handles_nanosecond_timestamps(self): + # Arrange + usdjpy = TestInstrumentProvider.default_fx_ccy("USD/JPY") + wrangler = QuoteTickDataWrangler(instrument=usdjpy) + df = pd.DataFrame.from_dict( + { + "timestamp": [pd.Timestamp("2023-01-04 23:59:01.642000+0000", tz="UTC")], + "bid_price": [1.0], + "ask_price": [1.0], + }, + ) + df = df.set_index("timestamp") + + # Act + ticks = wrangler.process(df) + + # Assert + assert ticks[0].ts_event == 1672876741642000000 def test_pre_process_bar_data_with_delta(self): # Arrange @@ -177,8 +194,8 @@ def test_process(self): assert ticks[0].size == Quantity.from_str("2.67900") assert ticks[0].aggressor_side == AggressorSide.SELLER assert ticks[0].trade_id == TradeId("148568980") - assert ticks[0].ts_event == 1597399200223000064 - assert ticks[0].ts_init == 1597399200223000064 + assert ticks[0].ts_event == 1597399200223000000 + assert ticks[0].ts_init == 1597399200223000000 def test_process_with_delta(self): # Arrange @@ -198,8 +215,29 @@ def test_process_with_delta(self): assert ticks[0].size == Quantity.from_str("2.67900") assert ticks[0].aggressor_side == AggressorSide.SELLER assert ticks[0].trade_id == TradeId("148568980") - assert ticks[0].ts_event == 1597399200223000064 - assert ticks[0].ts_init == 1597399200224000564 # <-- delta diff + assert ticks[0].ts_event == 1597399200223000000 + assert ticks[0].ts_init == 1597399200224000500 # <-- delta diff + + def test_process_handles_nanosecond_timestamps(self): + # Arrange + usdjpy = TestInstrumentProvider.default_fx_ccy("USD/JPY") + wrangler = TradeTickDataWrangler(instrument=usdjpy) + df = pd.DataFrame.from_dict( + { + "timestamp": [pd.Timestamp("2023-01-04 23:59:01.642000+0000", tz="UTC")], + "side": ["BUY"], + "trade_id": [TestIdStubs.trade_id()], + "price": [1.0], + "quantity": [1.0], + }, + ) + df = df.set_index("timestamp") + + # Act + ticks = wrangler.process(df) + + # Assert + assert ticks[0].ts_event == 1672876741642000000 class TestBarDataWrangler: @@ -290,72 +328,3 @@ def test_process(self): assert bars[0].volume == Quantity.from_str("36304.2") assert bars[0].ts_event == 1637971200000000000 assert bars[0].ts_init == 1637971200000000000 - - -class TestTardisQuoteDataWrangler: - def setup(self): - # Fixture Setup - self.clock = TestClock() - - def test_tick_data(self): - # Arrange, Act - path = os.path.join(TEST_DATA_DIR, "tardis_quotes.csv") - ticks = TardisQuoteDataLoader.load(path) - - # Assert - assert len(ticks) == 9999 - - def test_pre_process_with_tick_data(self): - # Arrange - instrument = TestInstrumentProvider.btcusdt_binance() - wrangler = QuoteTickDataWrangler(instrument=instrument) - path = os.path.join(TEST_DATA_DIR, "tardis_quotes.csv") - data = TardisQuoteDataLoader.load(path) - - # Act - ticks = wrangler.process( - data, - ts_init_delta=1_000_501, - ) - - # Assert - assert len(ticks) == 9999 - assert ticks[0].bid_price == Price.from_str("9681.92") - assert ticks[0].ask_price == Price.from_str("9682.00") - assert ticks[0].bid_size == Quantity.from_str("0.670000") - assert ticks[0].ask_size == Quantity.from_str("0.840000") - assert ticks[0].ts_event == 1582329603502091776 - assert ticks[0].ts_init == 1582329603503092277 - - -class TestTardisTradeDataWrangler: - def setup(self): - # Fixture Setup - self.clock = TestClock() - - def test_tick_data(self): - # Arrange, Act - path = os.path.join(TEST_DATA_DIR, "tardis_trades.csv") - ticks = TardisTradeDataLoader.load(path) - - # Assert - assert len(ticks) == 9999 - - def test_process(self): - # Arrange - instrument = TestInstrumentProvider.btcusdt_binance() - wrangler = TradeTickDataWrangler(instrument=instrument) - path = os.path.join(TEST_DATA_DIR, "tardis_trades.csv") - data = TardisTradeDataLoader.load(path) - - # Act - ticks = wrangler.process(data) - - # Assert - assert len(ticks) == 9999 - assert ticks[0].price == Price.from_str("9682.00") - assert ticks[0].size == Quantity.from_str("0.132000") - assert ticks[0].aggressor_side == AggressorSide.BUYER - assert ticks[0].trade_id == TradeId("42377944") - assert ticks[0].ts_event == 1582329602418379008 - assert ticks[0].ts_init == 1582329602418379008 diff --git a/tests/unit_tests/backtest/test_engine.py b/tests/unit_tests/backtest/test_engine.py index 03fa9e522771..5a910e1c815e 100644 --- a/tests/unit_tests/backtest/test_engine.py +++ b/tests/unit_tests/backtest/test_engine.py @@ -13,6 +13,7 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +import sys import tempfile from decimal import Decimal from typing import Optional @@ -25,6 +26,7 @@ from nautilus_trader.backtest.models import FillModel from nautilus_trader.config import LoggingConfig from nautilus_trader.config import StreamingConfig +from nautilus_trader.config.common import ImportableControllerConfig from nautilus_trader.config.error import InvalidConfiguration from nautilus_trader.core.uuid import UUID4 from nautilus_trader.examples.strategies.ema_cross import EMACross @@ -38,7 +40,7 @@ from nautilus_trader.model.data import BookOrder from nautilus_trader.model.data import DataType from nautilus_trader.model.data import GenericData -from nautilus_trader.model.data import InstrumentStatusUpdate +from nautilus_trader.model.data import InstrumentStatus from nautilus_trader.model.data import OrderBookDelta from nautilus_trader.model.data import OrderBookDeltas from nautilus_trader.model.enums import AccountType @@ -54,6 +56,7 @@ from nautilus_trader.model.objects import Money from nautilus_trader.model.objects import Price from nautilus_trader.model.objects import Quantity +from nautilus_trader.persistence import wranglers_v2 from nautilus_trader.persistence.catalog.parquet import ParquetDataCatalog from nautilus_trader.persistence.wranglers import BarDataWrangler from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler @@ -65,6 +68,7 @@ from nautilus_trader.test_kit.stubs.data import MyData from nautilus_trader.test_kit.stubs.data import TestDataStubs from nautilus_trader.trading.strategy import Strategy +from tests import TEST_DATA_DIR ETHUSDT_BINANCE = TestInstrumentProvider.ethusdt_binance() @@ -81,7 +85,7 @@ def setup(self): BacktestEngineConfig(logging=LoggingConfig(bypass_logging=True)), ) - def create_engine(self, config: Optional[BacktestEngineConfig] = None): + def create_engine(self, config: Optional[BacktestEngineConfig] = None) -> BacktestEngine: engine = BacktestEngine(config) engine.add_venue( venue=Venue("SIM"), @@ -167,6 +171,7 @@ def test_account_state_timestamp(self): assert len(report) == 1 assert report.index[0] == start + @pytest.mark.skipif(sys.platform == "win32", reason="Failing on windows") def test_persistence_files_cleaned_up(self): # Arrange temp_dir = tempfile.mkdtemp() @@ -243,6 +248,24 @@ def test_set_instance_id(self): assert engine1.kernel.instance_id.value == instance_id assert engine2.kernel.instance_id.value != instance_id + def test_controller(self): + # Arrange - Controller class + config = BacktestEngineConfig( + logging=LoggingConfig(bypass_logging=True), + controller=ImportableControllerConfig( + controller_path="nautilus_trader.test_kit.mocks.controller:MyController", + config_path="nautilus_trader.test_kit.mocks.controller:ControllerConfig", + config={}, + ), + ) + engine = self.create_engine(config=config) + + # Act + engine.run() + + # Assert + assert len(engine.kernel.trader.strategies()) == 1 + class TestBacktestEngineCashAccount: def setup(self) -> None: @@ -296,6 +319,18 @@ def setup(self): fill_model=FillModel(), ) + def test_add_pyo3_data_raises_type_error(self) -> None: + # Arrange + path = TEST_DATA_DIR / "truefx-audusd-ticks.csv" + df = pd.read_csv(path) + + wrangler = wranglers_v2.QuoteTickDataWrangler.from_instrument(AUDUSD_SIM) + ticks = wrangler.from_pandas(df) + + # Act, Assert + with pytest.raises(TypeError): + self.engine.add_data(ticks) + def test_add_generic_data_adds_to_engine(self): # Arrange data_type = DataType(MyData, metadata={"news_wire": "hacks"}) @@ -521,13 +556,13 @@ def test_add_bars_adds_to_engine(self): def test_add_instrument_status_to_engine(self): # Arrange data = [ - InstrumentStatusUpdate( + InstrumentStatus( instrument_id=USDJPY_SIM.id, status=MarketStatus.CLOSED, ts_init=0, ts_event=0, ), - InstrumentStatusUpdate( + InstrumentStatus( instrument_id=USDJPY_SIM.id, status=MarketStatus.OPEN, ts_init=0, @@ -622,14 +657,14 @@ def test_run_ema_cross_with_added_bars(self): assert strategy.fast_ema.count == 30117 assert self.engine.iteration == 60234 assert self.engine.portfolio.account(self.venue).balance_total(USD) == Money( - 1011166.89, + 1_011_166.89, USD, ) def test_dump_pickled_data(self): # Arrange, # Act, # Assert pickled = self.engine.dump_pickled_data() - assert 5060610 <= len(pickled) <= 5060654 + assert 5_060_610 <= len(pickled) <= 5_060_654 def test_load_pickled_data(self): # Arrange @@ -658,6 +693,6 @@ def test_load_pickled_data(self): assert strategy.fast_ema.count == 30117 assert self.engine.iteration == 60234 assert self.engine.portfolio.account(self.venue).balance_total(USD) == Money( - 1011166.89, + 1_011_166.89, USD, ) diff --git a/tests/unit_tests/backtest/test_exchange.py b/tests/unit_tests/backtest/test_exchange.py index 259e87bdc2bd..18b5cdcfcb95 100644 --- a/tests/unit_tests/backtest/test_exchange.py +++ b/tests/unit_tests/backtest/test_exchange.py @@ -22,6 +22,8 @@ from nautilus_trader.backtest.execution_client import BacktestExecClient from nautilus_trader.backtest.models import FillModel from nautilus_trader.backtest.models import LatencyModel +from nautilus_trader.backtest.modules import SimulationModule +from nautilus_trader.backtest.modules import SimulationModuleConfig from nautilus_trader.common.clock import TestClock from nautilus_trader.common.enums import LogLevel from nautilus_trader.common.logging import Logger @@ -35,6 +37,7 @@ from nautilus_trader.execution.messages import ModifyOrder from nautilus_trader.model.currencies import JPY from nautilus_trader.model.currencies import USD +from nautilus_trader.model.data.tick import TradeTick from nautilus_trader.model.enums import AccountType from nautilus_trader.model.enums import AggressorSide from nautilus_trader.model.enums import BookType @@ -263,7 +266,7 @@ def test_process_quote_tick_updates_market(self) -> None: self.exchange.process_quote_tick(tick) # Assert - assert self.exchange.get_book(USDJPY_SIM.id).book_type == BookType.L1_TBBO + assert self.exchange.get_book(USDJPY_SIM.id).book_type == BookType.L1_MBP assert self.exchange.best_ask_price(USDJPY_SIM.id) == Price.from_str("90.005") assert self.exchange.best_bid_price(USDJPY_SIM.id) == Price.from_str("90.002") @@ -1643,6 +1646,65 @@ def test_cancel_all_orders_with_sell_side_filter_cancels_all_sell_orders(self) - assert order3.status == OrderStatus.ACCEPTED assert len(self.exchange.get_open_orders()) == 1 + def test_batch_cancel_orders_all_open_orders_for_batch(self) -> None: + # Arrange: Prepare market + tick = TestDataStubs.quote_tick( + instrument=USDJPY_SIM, + bid_price=90.002, + ask_price=90.005, + ) + self.data_engine.process(tick) + self.exchange.process_quote_tick(tick) + + order1 = self.strategy.order_factory.limit( + USDJPY_SIM.id, + OrderSide.SELL, + Quantity.from_int(100_000), + Price.from_str("90.030"), + ) + + order2 = self.strategy.order_factory.limit( + USDJPY_SIM.id, + OrderSide.SELL, + Quantity.from_int(100_000), + Price.from_str("90.020"), + ) + + order3 = self.strategy.order_factory.limit( + USDJPY_SIM.id, + OrderSide.SELL, + Quantity.from_int(100_000), + Price.from_str("90.010"), + ) + + order4 = self.strategy.order_factory.limit( + USDJPY_SIM.id, + OrderSide.SELL, + Quantity.from_int(100_000), + Price.from_str("90.010"), + ) + + self.strategy.submit_order(order1) + self.strategy.submit_order(order2) + self.strategy.submit_order(order3) + self.strategy.submit_order(order4) + self.exchange.process(0) + + self.strategy.cancel_order(order4) + self.exchange.process(0) + + # Act + self.strategy.cancel_orders([order1, order2, order3, order4]) + self.exchange.process(0) + + # Assert + assert order1.status == OrderStatus.CANCELED + assert order2.status == OrderStatus.CANCELED + assert order3.status == OrderStatus.CANCELED + assert order3.status == OrderStatus.CANCELED + assert len(self.exchange.get_open_orders()) == 0 + assert self.exec_engine.event_count == 12 + def test_modify_stop_order_when_order_does_not_exist(self) -> None: # Arrange command = ModifyOrder( @@ -2437,6 +2499,40 @@ def test_process_quote_tick_fills_sell_limit_order(self) -> None: assert order.avg_px == 90.100 assert self.exchange.get_account().balance_total(USD) == Money(999998.00, USD) + def test_process_trade_tick_fills_sell_limit_order(self) -> None: + # Arrange: Prepare market + tick = TestDataStubs.quote_tick( + instrument=USDJPY_SIM, + bid_price=90.002, + ask_price=90.005, + ) + self.data_engine.process(tick) + self.exchange.process_quote_tick(tick) + + order = self.strategy.order_factory.limit( + USDJPY_SIM.id, + OrderSide.SELL, + Quantity.from_int(100_000), + Price.from_str("90.100"), + ) + + self.strategy.submit_order(order) + self.exchange.process(0) + + # Act + trade = TestDataStubs.trade_tick( + instrument=USDJPY_SIM, + price=91.000, + ) + + self.exchange.process_trade_tick(trade) + + # Assert + assert order.status == OrderStatus.FILLED + assert len(self.exchange.get_open_orders()) == 0 + assert order.avg_px == 90.100 + assert self.exchange.get_account().balance_total(USD) == Money(999998.00, USD) + def test_realized_pnl_contains_commission(self) -> None: # Arrange: Prepare market tick = TestDataStubs.quote_tick( @@ -2755,3 +2851,162 @@ def test_latency_model_large_int(self) -> None: # Assert assert entry.status == OrderStatus.ACCEPTED assert entry.quantity == 200000 + + +class TestSimulatedExchangeL2: + def setup(self) -> None: + # Fixture Setup + self.clock = TestClock() + self.logger = Logger( + clock=self.clock, + level_stdout=LogLevel.DEBUG, + bypass=True, + ) + + self.trader_id = TestIdStubs.trader_id() + + self.msgbus = MessageBus( + trader_id=self.trader_id, + clock=self.clock, + logger=self.logger, + ) + + self.cache = TestComponentStubs.cache() + + self.portfolio = Portfolio( + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + self.data_engine = DataEngine( + msgbus=self.msgbus, + clock=self.clock, + cache=self.cache, + logger=self.logger, + ) + + self.exec_engine = ExecutionEngine( + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + config=ExecEngineConfig(debug=True), + ) + + self.risk_engine = RiskEngine( + portfolio=self.portfolio, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + config=RiskEngineConfig(debug=True), + ) + + class TradeTickFillModule(SimulationModule): + def pre_process(self, data): + if isinstance(data, TradeTick): + matching_engine = self.exchange.get_matching_engine(data.instrument_id) + book = matching_engine.get_book() + for order in self.cache.orders_open(instrument_id=data.instrument_id): + book.update_trade_tick(data) + fills = matching_engine.determine_limit_price_and_volume(order) + matching_engine.apply_fills( + order=order, + fills=fills, + liquidity_side=LiquiditySide.MAKER, + ) + + def process(self, uint64_t_ts_now): + pass + + def reset(self): + pass + + config = SimulationModuleConfig() + self.module = TradeTickFillModule(config) + + self.exchange = SimulatedExchange( + venue=Venue("SIM"), + oms_type=OmsType.HEDGING, + account_type=AccountType.MARGIN, + base_currency=USD, + starting_balances=[Money(1_000_000, USD)], + default_leverage=Decimal(50), + leverages={AUDUSD_SIM.id: Decimal(10)}, + instruments=[USDJPY_SIM], + modules=[self.module], + fill_model=FillModel(), + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + latency_model=LatencyModel(0), + book_type=BookType.L2_MBP, + ) + + self.exec_client = BacktestExecClient( + exchange=self.exchange, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + # Wire up components + self.exec_engine.register_client(self.exec_client) + self.exchange.register_client(self.exec_client) + + self.cache.add_instrument(USDJPY_SIM) + + # Create mock strategy + self.strategy = MockStrategy(bar_type=TestDataStubs.bartype_usdjpy_1min_bid()) + self.strategy.register( + trader_id=self.trader_id, + portfolio=self.portfolio, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + # Start components + self.exchange.reset() + self.data_engine.start() + self.exec_engine.start() + self.strategy.start() + + def test_process_trade_tick_fills_sell_limit_order(self) -> None: + # Arrange: Prepare market + tick = TestDataStubs.quote_tick( + instrument=USDJPY_SIM, + bid_price=90.002, + ask_price=90.005, + ) + self.data_engine.process(tick) + self.exchange.process_quote_tick(tick) + + order = self.strategy.order_factory.limit( + USDJPY_SIM.id, + OrderSide.SELL, + Quantity.from_int(100_000), + Price.from_str("91.000"), + ) + + self.strategy.submit_order(order) + self.exchange.process(0) + + # Act + trade = TestDataStubs.trade_tick( + instrument=USDJPY_SIM, + price=91.000, + ) + self.module.pre_process(trade) + self.exchange.process_trade_tick(trade) + + # Assert + assert order.status == OrderStatus.FILLED + assert len(self.exchange.get_open_orders()) == 0 + assert order.avg_px == 91.000 + assert self.exchange.get_account().balance_total(USD) == Money(999997.98, USD) diff --git a/tests/unit_tests/backtest/test_matching_engine.py b/tests/unit_tests/backtest/test_matching_engine.py index 5b36eb9d2c17..22cce789351c 100644 --- a/tests/unit_tests/backtest/test_matching_engine.py +++ b/tests/unit_tests/backtest/test_matching_engine.py @@ -67,7 +67,7 @@ def setup(self): instrument=self.instrument, raw_id=0, fill_model=FillModel(), - book_type=BookType.L1_TBBO, + book_type=BookType.L1_MBP, oms_type=OmsType.NETTING, reject_stop_orders=True, msgbus=self.msgbus, diff --git a/tests/unit_tests/backtest/test_modules.py b/tests/unit_tests/backtest/test_modules.py index 4c5c25e796ba..e1c3aa3ec85d 100644 --- a/tests/unit_tests/backtest/test_modules.py +++ b/tests/unit_tests/backtest/test_modules.py @@ -23,6 +23,7 @@ from nautilus_trader.common.logging import LoggerAdapter from nautilus_trader.config import BacktestEngineConfig from nautilus_trader.config import LoggingConfig +from nautilus_trader.core.data import Data from nautilus_trader.model.currencies import USD from nautilus_trader.model.enums import AccountType from nautilus_trader.model.enums import OmsType @@ -70,10 +71,31 @@ def test_fx_rollover_interest_module(self): def test_python_module(self): # Arrange class PythonModule(SimulationModule): - def process(self, ts_now: int): + def process(self, ts_now: int) -> None: assert self.exchange - def log_diagnostics(self, log: LoggerAdapter): + def log_diagnostics(self, log: LoggerAdapter) -> None: + pass + + config = SimulationModuleConfig() + engine = self.create_engine(modules=[PythonModule(config)]) + + # Act + engine.run() + + def test_pre_process_custom_order_fill(self): + # Arrange + class PythonModule(SimulationModule): + def pre_process(self, data: Data) -> None: + if data.ts_init == 1359676979900000000: + assert data + matching_engine = self.exchange.get_matching_engine(data.instrument_id) + assert matching_engine + + def process(self, ts_now: int) -> None: + assert self.exchange + + def log_diagnostics(self, log: LoggerAdapter) -> None: pass config = SimulationModuleConfig() diff --git a/tests/unit_tests/backtest/test_node.py b/tests/unit_tests/backtest/test_node.py index 8a8c14290505..867d2a2a634e 100644 --- a/tests/unit_tests/backtest/test_node.py +++ b/tests/unit_tests/backtest/test_node.py @@ -16,6 +16,7 @@ from decimal import Decimal import msgspec.json +import pytest from nautilus_trader.backtest.engine import BacktestEngineConfig from nautilus_trader.backtest.node import BacktestNode @@ -32,7 +33,7 @@ class TestBacktestNode: def setup(self): - self.catalog = data_catalog_setup(protocol="memory", path="/.nautilus/catalog") + self.catalog = data_catalog_setup(protocol="file", path="./data_catalog") self.venue_config = BacktestVenueConfig( name="SIM", oms_type="HEDGING", @@ -42,8 +43,8 @@ def setup(self): # fill_model=fill_model, # TODO(cs): Implement next iteration ) self.data_config = BacktestDataConfig( - catalog_path="/.nautilus/catalog", - catalog_fs_protocol="memory", + catalog_path=self.catalog.path, + catalog_fs_protocol=self.catalog.fs_protocol, data_cls=QuoteTick, instrument_id="AUD/USD.SIM", start_time=1580398089820000000, @@ -89,6 +90,7 @@ def test_run(self): # Assert assert len(results) == 1 + @pytest.mark.skip(reason="Aborting on macOS?") def test_backtest_run_batch_sync(self): # Arrange config = BacktestRunConfig( @@ -121,6 +123,7 @@ def test_backtest_run_results(self): # == "BacktestResult(trader_id='BACKTESTER-000', machine_id='CJDS-X99-Ubuntu', run_config_id='e7647ae948f030bbd50e0b6cb58f67ae', instance_id='ecdf513e-9b07-47d5-9742-3b984a27bb52', run_id='d4d7a09c-fac7-4240-b80a-fd7a7d8f217c', run_started=1648796370520892000, run_finished=1648796371603767000, backtest_start=1580398089820000000, backtest_end=1580504394500999936, elapsed_time=106304.680999, iterations=100000, total_events=192, total_orders=96, total_positions=48, stats_pnls={'USD': {'PnL': -3634.12, 'PnL%': Decimal('-0.36341200'), 'Max Winner': 2673.19, 'Avg Winner': 530.0907692307693, 'Min Winner': 123.13, 'Min Loser': -16.86, 'Avg Loser': -263.9497142857143, 'Max Loser': -616.84, 'Expectancy': -48.89708333333337, 'Win Rate': 0.2708333333333333}}, stats_returns={'Annual Volatility (Returns)': 0.01191492048585753, 'Average (Return)': -3.3242292920660964e-05, 'Average Loss (Return)': -0.00036466955522398476, 'Average Win (Return)': 0.0007716524869588397, 'Sharpe Ratio': -0.7030729097982443, 'Sortino Ratio': -1.492072178035927, 'Profit Factor': 0.8713073377919724, 'Risk Return Ratio': -0.04428943030649289})" # noqa # ) + # TODO: Make catalog path absolute (will only work when running tests from 'top level') def test_node_config_from_raw(self): # Arrange raw = msgspec.json.encode( @@ -140,8 +143,7 @@ def test_node_config_from_raw(self): ], "data": [ { - "catalog_path": "/.nautilus/catalog", - "catalog_fs_protocol": "memory", + "catalog_path": "data_catalog", "data_cls": QuoteTick.fully_qualified_name(), "instrument_id": "AUD/USD.SIM", "start_time": 1580398089820000000, diff --git a/tests/unit_tests/cache/test_execution.py b/tests/unit_tests/cache/test_execution.py index cb39cbef3d84..df94d619f8b0 100644 --- a/tests/unit_tests/cache/test_execution.py +++ b/tests/unit_tests/cache/test_execution.py @@ -405,6 +405,7 @@ def test_add_market_order(self): assert order not in self.cache.orders_emulated() assert not self.cache.is_order_inflight(order.client_order_id) assert not self.cache.is_order_emulated(order.client_order_id) + assert not self.cache.is_order_pending_cancel_local(order.client_order_id) assert self.cache.venue_order_id(order.client_order_id) is None assert order in self.cache.orders_for_exec_spawn(order.client_order_id) assert order in self.cache.orders_for_exec_algorithm(order.exec_algorithm_id) diff --git a/tests/unit_tests/common/test_actor.py b/tests/unit_tests/common/test_actor.py index ea195ecd7bba..d6a24344f603 100644 --- a/tests/unit_tests/common/test_actor.py +++ b/tests/unit_tests/common/test_actor.py @@ -47,7 +47,7 @@ from nautilus_trader.model.identifiers import Symbol from nautilus_trader.model.identifiers import Venue from nautilus_trader.msgbus.bus import MessageBus -from nautilus_trader.persistence.streaming.writer import StreamingFeatherWriter +from nautilus_trader.persistence.writer import StreamingFeatherWriter from nautilus_trader.test_kit.mocks.actors import KaboomActor from nautilus_trader.test_kit.mocks.actors import MockActor from nautilus_trader.test_kit.mocks.data import data_catalog_setup @@ -403,7 +403,7 @@ def test_on_ticker_when_not_overridden_does_nothing(self) -> None: # Assert assert True # Exception not raised - def test_on_venue_status_update_when_not_overridden_does_nothing(self) -> None: + def test_on_venue_status_when_not_overridden_does_nothing(self) -> None: # Arrange actor = Actor(config=ActorConfig(component_id=self.component_id)) actor.register_base( @@ -414,12 +414,12 @@ def test_on_venue_status_update_when_not_overridden_does_nothing(self) -> None: ) # Act - actor.on_venue_status_update(TestDataStubs.venue_status_update()) + actor.on_venue_status(TestDataStubs.venue_status()) # Assert assert True # Exception not raised - def test_on_instrument_status_update_when_not_overridden_does_nothing(self) -> None: + def test_on_instrument_status_when_not_overridden_does_nothing(self) -> None: # Arrange actor = Actor(config=ActorConfig(component_id=self.component_id)) actor.register_base( @@ -430,7 +430,7 @@ def test_on_instrument_status_update_when_not_overridden_does_nothing(self) -> N ) # Act - actor.on_instrument_status_update(TestDataStubs.instrument_status_update()) + actor.on_instrument_status(TestDataStubs.instrument_status()) # Assert assert True # Exception not raised @@ -1947,7 +1947,7 @@ def test_publish_data_persist(self) -> None: clock=self.clock, logger=self.logger, ) - catalog = data_catalog_setup(protocol="memory") + catalog = data_catalog_setup(protocol="memory", path="/catalog") writer = StreamingFeatherWriter( path=catalog.path, @@ -1964,7 +1964,7 @@ def test_publish_data_persist(self) -> None: actor.publish_signal(name="Test", value=5.0, ts_event=0) # Assert - assert catalog.fs.exists(f"{catalog.path}/genericdata_SignalTest.feather") + assert catalog.fs.exists(f"{catalog.path}/genericdata_signal_test.feather") def test_subscribe_bars(self) -> None: # Arrange @@ -2006,7 +2006,7 @@ def test_unsubscribe_bars(self) -> None: assert self.data_engine.subscribed_bars() == [] assert self.data_engine.command_count == 2 - def test_subscribe_venue_status_updates(self) -> None: + def test_subscribe_venue_status(self) -> None: # Arrange actor = MockActor() actor.register_base( @@ -2016,10 +2016,10 @@ def test_subscribe_venue_status_updates(self) -> None: logger=self.logger, ) - actor.subscribe_venue_status_updates(Venue("NYMEX")) + actor.subscribe_venue_status(Venue("NYMEX")) # Assert - # TODO(cs): DataEngine.subscribed_venue_status_updates() + # TODO(cs): DataEngine.subscribed_venue_status() def test_request_data_sends_request_to_data_engine(self) -> None: # Arrange diff --git a/tests/unit_tests/core/test_core_pyo3.py b/tests/unit_tests/core/test_core_pyo3.py new file mode 100644 index 000000000000..6f07408d402d --- /dev/null +++ b/tests/unit_tests/core/test_core_pyo3.py @@ -0,0 +1,53 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import pytest + +from nautilus_trader.core.nautilus_pyo3 import convert_to_snake_case + + +@pytest.mark.parametrize( + ("input", "expected"), + [ + # PascalCase + ["SomePascalCase", "some_pascal_case"], + ["AnotherExample", "another_example"], + # camelCase + ["someCamelCase", "some_camel_case"], + ["yetAnotherExample", "yet_another_example"], + # kebab-case + ["some-kebab-case", "some_kebab_case"], + ["dashed-word-example", "dashed_word_example"], + # snake_case + ["already_snake_case", "already_snake_case"], + ["no_change_needed", "no_change_needed"], + # UPPER_CASE + ["UPPER_CASE_EXAMPLE", "upper_case_example"], + ["ANOTHER_UPPER_CASE", "another_upper_case"], + # Mixed Cases + ["MiXeD_CaseExample", "mi_xe_d_case_example"], + ["Another-OneHere", "another_one_here"], + # Use case + ["BSPOrderBookDelta", "bsp_order_book_delta"], + ["OrderBookDelta", "order_book_delta"], + ["TradeTick", "trade_tick"], + ], +) +def test_convert_to_snake_case(input: str, expected: str) -> None: + # Arrange, Act + result = convert_to_snake_case(input) + + # Assert + assert result == expected diff --git a/tests/unit_tests/core/test_inspect.py b/tests/unit_tests/core/test_inspect.py index 89e125f3e642..5b8cc8620a3b 100644 --- a/tests/unit_tests/core/test_inspect.py +++ b/tests/unit_tests/core/test_inspect.py @@ -18,7 +18,6 @@ from nautilus_trader.adapters.betfair.data_types import BetfairStartingPrice from nautilus_trader.adapters.betfair.data_types import BetfairTicker -from nautilus_trader.core.inspect import get_size_of from nautilus_trader.core.inspect import is_nautilus_class from nautilus_trader.model.data import OrderBookDelta from nautilus_trader.model.data import TradeTick @@ -39,16 +38,3 @@ def test_is_nautilus_class(cls, is_nautilus): # Arrange, Act, Assert assert is_nautilus_class(cls=cls) is is_nautilus - - -@pytest.mark.skip(reason="Flaky and probably being removed") -def test_get_size_of(): - # Arrange, Act - result1 = get_size_of(0) - result2 = get_size_of(1.1) - result3 = get_size_of("abc") - - # Assert - assert result1 == 24 - assert result2 == 24 - assert result3 == 52 diff --git a/tests/unit_tests/core/test_uuid.py b/tests/unit_tests/core/test_uuid.py index 4f20e77dd2db..c1cc5b1b4622 100644 --- a/tests/unit_tests/core/test_uuid.py +++ b/tests/unit_tests/core/test_uuid.py @@ -13,10 +13,23 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +import pickle + from nautilus_trader.core.uuid import UUID4 class TestUUID: + def test_pickling_round_trip(self): + # Arrange + uuid = UUID4() + + # Act + pickled = pickle.dumps(uuid) + unpickled = pickle.loads(pickled) # noqa + + # Assert + assert unpickled == uuid + def test_equality(self): # Arrange, Act uuid1 = UUID4("c2988650-5beb-8af8-e714-377a3a1c26ed") diff --git a/tests/unit_tests/core/test_uuid_pyo3.py b/tests/unit_tests/core/test_uuid_pyo3.py new file mode 100644 index 000000000000..b4881f551527 --- /dev/null +++ b/tests/unit_tests/core/test_uuid_pyo3.py @@ -0,0 +1,69 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import pickle + +from nautilus_trader.core.nautilus_pyo3 import UUID4 + + +class TestUUID: + def test_pickling_round_trip(self): + # Arrange + uuid = UUID4() + + # Act + pickled = pickle.dumps(uuid) + unpickled = pickle.loads(pickled) # noqa + + # Assert + assert unpickled == uuid + + def test_equality(self): + # Arrange, Act + uuid1 = UUID4("c2988650-5beb-8af8-e714-377a3a1c26ed") + uuid2 = UUID4("c2988650-5beb-8af8-e714-377a3a1c26ed") + uuid3 = UUID4("a2988650-5beb-8af8-e714-377a3a1c26ed") + + # Assert + assert uuid1 == uuid1 + assert uuid1 == uuid2 + assert uuid2 != uuid3 + + def test_hash(self): + # Arrange + uuid1 = UUID4("c2988650-5beb-8af8-e714-377a3a1c26ed") + uuid2 = UUID4("c2988650-5beb-8af8-e714-377a3a1c26ed") + + # Act, Assert + assert isinstance((hash(uuid1)), int) + assert hash(uuid1) == hash(uuid2) + + def test_str_and_repr(self): + # Arrange + uuid = UUID4("c2988650-5beb-8af8-e714-377a3a1c26ed") + + # Act, Assert + assert uuid.value == "c2988650-5beb-8af8-e714-377a3a1c26ed" + assert str(uuid) == "c2988650-5beb-8af8-e714-377a3a1c26ed" + assert repr(uuid) == "UUID4('c2988650-5beb-8af8-e714-377a3a1c26ed')" + + def test_uuid4_produces_valid_uuid4(self): + # Arrange, Act + result = UUID4() + + # Assert + assert isinstance(result, UUID4) + assert len(str(result)) == 36 + assert len(str(result).replace("-", "")) == 32 diff --git a/tests/unit_tests/data/test_aggregation.py b/tests/unit_tests/data/test_aggregation.py index 64b349ee3ba7..51f5f1c11505 100644 --- a/tests/unit_tests/data/test_aggregation.py +++ b/tests/unit_tests/data/test_aggregation.py @@ -13,7 +13,6 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -import os from datetime import timedelta from decimal import Decimal @@ -1246,7 +1245,7 @@ def test_update_timer_with_test_clock_sends_single_bar_to_handler(self): ) def test_aggregation_for_same_sec_and_minute_intervals(self, step, aggregation): # Arrange - prepare data - path = os.path.join(TEST_DATA_DIR, "binance-btcusdt-quotes.parquet") + path = TEST_DATA_DIR / "binance-btcusdt-quotes.parquet" df_ticks = ParquetTickDataLoader.load(path) wrangler = QuoteTickDataWrangler(BTCUSDT_BINANCE) @@ -1273,7 +1272,7 @@ def test_aggregation_for_same_sec_and_minute_intervals(self, step, aggregation): event.handle() # Assert - assert clock.timestamp_ns() == 1610064046674000128 + assert clock.timestamp_ns() == 1610064046674000000 assert aggregator.interval_ns == 1_000_000_000 assert aggregator.next_close_ns == 1610064047000000000 assert handler[0].open == Price.from_str("39432.99") @@ -1286,7 +1285,7 @@ def test_aggregation_for_same_sec_and_minute_intervals(self, step, aggregation): def test_do_not_build_with_no_updates(self): # Arrange - path = os.path.join(TEST_DATA_DIR, "binance-btcusdt-quotes.parquet") + path = TEST_DATA_DIR / "binance-btcusdt-quotes.parquet" df_ticks = ParquetTickDataLoader.load(path) wrangler = QuoteTickDataWrangler(BTCUSDT_BINANCE) @@ -1318,7 +1317,7 @@ def test_do_not_build_with_no_updates(self): def test_timestamp_on_close_false_timestamps_ts_event_as_open(self): # Arrange - path = os.path.join(TEST_DATA_DIR, "binance-btcusdt-quotes.parquet") + path = TEST_DATA_DIR / "binance-btcusdt-quotes.parquet" df_ticks = ParquetTickDataLoader.load(path) wrangler = QuoteTickDataWrangler(BTCUSDT_BINANCE) diff --git a/tests/unit_tests/data/test_engine.py b/tests/unit_tests/data/test_engine.py index 356f90fe3c65..4b7eae668bca 100644 --- a/tests/unit_tests/data/test_engine.py +++ b/tests/unit_tests/data/test_engine.py @@ -15,7 +15,7 @@ import sys -import pandas as pd +import pytest from nautilus_trader.backtest.data_client import BacktestMarketDataClient from nautilus_trader.common.clock import TestClock @@ -51,19 +51,13 @@ from nautilus_trader.model.objects import Quantity from nautilus_trader.model.orderbook import OrderBook from nautilus_trader.msgbus.bus import MessageBus -from nautilus_trader.persistence.external.core import process_files -from nautilus_trader.persistence.external.core import write_objects -from nautilus_trader.persistence.external.readers import CSVReader -from nautilus_trader.persistence.wranglers import BarDataWrangler from nautilus_trader.portfolio.portfolio import Portfolio from nautilus_trader.test_kit.mocks.data import data_catalog_setup from nautilus_trader.test_kit.providers import TestInstrumentProvider from nautilus_trader.test_kit.stubs.component import TestComponentStubs -from nautilus_trader.test_kit.stubs.data import UNIX_EPOCH from nautilus_trader.test_kit.stubs.data import TestDataStubs from nautilus_trader.test_kit.stubs.identifiers import TestIdStubs from nautilus_trader.trading.filters import NewsEvent -from tests import TEST_DATA_DIR from tests.unit_tests.portfolio.test_portfolio import BETFAIR @@ -2053,13 +2047,14 @@ def test_request_instruments_reaches_client(self): assert len(handler) == 1 assert handler[0].data == [BTCUSDT_BINANCE, ETHUSDT_BINANCE] + @pytest.mark.skipif(sys.platform == "win32", reason="Failing on windows") def test_request_instrument_when_catalog_registered(self): # Arrange catalog = data_catalog_setup(protocol="file") idealpro = Venue("IDEALPRO") instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD", venue=idealpro) - write_objects(catalog=catalog, chunk=[instrument]) + catalog.write_data([instrument]) self.data_engine.register_catalog(catalog) @@ -2082,13 +2077,14 @@ def test_request_instrument_when_catalog_registered(self): assert len(handler) == 1 assert len(handler[0].data) == 1 + @pytest.mark.skipif(sys.platform == "win32", reason="Failing on windows") def test_request_instruments_for_venue_when_catalog_registered(self): # Arrange catalog = data_catalog_setup(protocol="file") idealpro = Venue("IDEALPRO") instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD", venue=idealpro) - write_objects(catalog=catalog, chunk=[instrument]) + catalog.write_data([instrument]) self.data_engine.register_catalog(catalog) @@ -2167,7 +2163,7 @@ def test_request_instruments_for_venue_when_catalog_registered(self): # data: bytes = writer.flush_bytes() # f.write(data) # - # self.data_engine.register_catalog(catalog, use_rust=True) + # self.data_engine.register_catalog(catalog) # # # Act # handler: list[DataResponse] = [] @@ -2250,7 +2246,7 @@ def test_request_instruments_for_venue_when_catalog_registered(self): # data: bytes = writer.flush_bytes() # f.write(data) # - # self.data_engine.register_catalog(catalog, use_rust=True) + # self.data_engine.register_catalog(catalog) # # # Act # handler: list[DataResponse] = [] @@ -2294,72 +2290,64 @@ def test_request_instruments_for_venue_when_catalog_registered(self): # assert len(handler[1].data) == 100 # assert isinstance(handler[0].data, list) # assert isinstance(handler[0].data[0], TradeTick) - - def test_request_bars_when_catalog_registered(self): - # Arrange - catalog = data_catalog_setup(protocol="file") - self.clock.set_time(to_time_ns=1638058200000000000) # <- Set to end of data - - bar_type = TestDataStubs.bartype_adabtc_binance_1min_last() - instrument = TestInstrumentProvider.adabtc_binance() - wrangler = BarDataWrangler(bar_type, instrument) - - def parser(data): - data["timestamp"] = data["timestamp"].astype("datetime64[ms]") - bars = wrangler.process(data.set_index("timestamp")) - return bars - - binance_spot_header = [ - "timestamp", - "open", - "high", - "low", - "close", - "volume", - "ts_close", - "quote_volume", - "n_trades", - "taker_buy_base_volume", - "taker_buy_quote_volume", - "ignore", - ] - reader = CSVReader(block_parser=parser, header=binance_spot_header) - - _ = process_files( - glob_path=f"{TEST_DATA_DIR}/ADABTC-1m-2021-11-*.csv", - reader=reader, - catalog=catalog, - ) - - self.data_engine.register_catalog(catalog) - - # Act - handler = [] - request = DataRequest( - client_id=None, - venue=BINANCE, - data_type=DataType( - Bar, - metadata={ - "bar_type": BarType( - InstrumentId(Symbol("ADABTC"), BINANCE), - BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST), - ), - "start": UNIX_EPOCH, - "end": pd.Timestamp(sys.maxsize, tz="UTC"), - }, - ), - callback=handler.append, - request_id=UUID4(), - ts_init=self.clock.timestamp_ns(), - ) - - # Act - self.msgbus.request(endpoint="DataEngine.request", request=request) - - # Assert - assert self.data_engine.request_count == 1 - assert len(handler) == 1 - assert len(handler[0].data) == 21 - assert handler[0].data[0].ts_init == 1637971200000000000 - assert handler[0].data[-1].ts_init == 1638058200000000000 + # + # def test_request_bars_when_catalog_registered(self): + # # Arrange + # catalog = data_catalog_setup(protocol="file") + # self.clock.set_time(to_time_ns=1638058200000000000) # <- Set to end of data + # + # bar_type = TestDataStubs.bartype_adabtc_binance_1min_last() + # instrument = TestInstrumentProvider.adabtc_binance() + # wrangler = BarDataWrangler(bar_type, instrument) + # + # binance_spot_header = [ + # "timestamp", + # "open", + # "high", + # "low", + # "close", + # "volume", + # "ts_close", + # "quote_volume", + # "n_trades", + # "taker_buy_base_volume", + # "taker_buy_quote_volume", + # "ignore", + # ] + # df = pd.read_csv(f"{TEST_DATA_DIR}/ADABTC-1m-2021-11-27.csv", names=binance_spot_header) + # df["timestamp"] = df["timestamp"].astype("datetime64[ms]") + # bars = wrangler.process(df.set_index("timestamp")) + # catalog.write_data(bars) + # + # self.data_engine.register_catalog(catalog) + # + # # Act + # handler = [] + # request = DataRequest( + # client_id=None, + # venue=BINANCE, + # data_type=DataType( + # Bar, + # metadata={ + # "bar_type": BarType( + # InstrumentId(Symbol("ADABTC"), BINANCE), + # BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST), + # ), + # "start": UNIX_EPOCH, + # "end": pd.Timestamp(sys.maxsize, tz="UTC"), + # }, + # ), + # callback=handler.append, + # request_id=UUID4(), + # ts_init=self.clock.timestamp_ns(), + # ) + # + # # Act + # self.msgbus.request(endpoint="DataEngine.request", request=request) + # + # # Assert + # assert self.data_engine.request_count == 1 + # assert len(handler) == 1 + # assert len(handler[0].data) == 21 + # assert handler[0].data[0].ts_init == 1637971200000000000 + # assert handler[0].data[-1].ts_init == 1638058200000000000 diff --git a/tests/unit_tests/execution/test_algorithm.py b/tests/unit_tests/execution/test_algorithm.py index 7e10fa24cbce..db71acf2fd9b 100644 --- a/tests/unit_tests/execution/test_algorithm.py +++ b/tests/unit_tests/execution/test_algorithm.py @@ -29,6 +29,7 @@ from nautilus_trader.config import DataEngineConfig from nautilus_trader.config import ExecEngineConfig from nautilus_trader.config import RiskEngineConfig +from nautilus_trader.config import StrategyConfig from nautilus_trader.config.common import ImportableExecAlgorithmConfig from nautilus_trader.core.datetime import secs_to_nanos from nautilus_trader.data.engine import DataEngine @@ -172,7 +173,8 @@ def setup(self) -> None: update = TestEventStubs.margin_account_state(account_id=AccountId("BINANCE-001")) self.portfolio.update_account(update) - self.strategy = Strategy() + config = StrategyConfig(manage_gtd_expiry=True) + self.strategy = Strategy(config) self.strategy.register( trader_id=self.trader_id, portfolio=self.portfolio, @@ -620,7 +622,7 @@ def test_exec_algorithm_on_order_list_emulated_with_entry_exec_algorithm(self) - exec_spawn_id = original_entry_order.client_order_id # Act - self.strategy.submit_order_list(bracket, manage_gtd_expiry=True) + self.strategy.submit_order_list(bracket) # Trigger ENTRY order release self.data_engine.process(tick2) @@ -714,7 +716,7 @@ def test_exec_algorithm_on_emulated_bracket_with_exec_algo_entry(self) -> None: exec_spawn_id = entry_order.client_order_id # Act - self.strategy.submit_order_list(bracket, manage_gtd_expiry=True) + self.strategy.submit_order_list(bracket) # Trigger ENTRY order release self.data_engine.process(tick2) @@ -829,7 +831,7 @@ def test_exec_algorithm_on_emulated_bracket_with_partially_multi_filled_sl(self) tp_order = bracket.orders[2] # Act - self.strategy.submit_order_list(bracket, manage_gtd_expiry=True) + self.strategy.submit_order_list(bracket) # Trigger ENTRY order release self.data_engine.process(tick2) diff --git a/tests/unit_tests/execution/test_emulator_list.py b/tests/unit_tests/execution/test_emulator_list.py index b7b13c7faea7..2a70ef98f71e 100644 --- a/tests/unit_tests/execution/test_emulator_list.py +++ b/tests/unit_tests/execution/test_emulator_list.py @@ -13,9 +13,14 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +from decimal import Decimal + import pandas as pd import pytest +from nautilus_trader.backtest.exchange import SimulatedExchange +from nautilus_trader.backtest.execution_client import BacktestExecClient +from nautilus_trader.backtest.models import FillModel from nautilus_trader.cache.cache import Cache from nautilus_trader.common.clock import TestClock from nautilus_trader.common.enums import LogLevel @@ -23,29 +28,31 @@ from nautilus_trader.config import DataEngineConfig from nautilus_trader.config import ExecEngineConfig from nautilus_trader.config import RiskEngineConfig +from nautilus_trader.config.common import OrderEmulatorConfig from nautilus_trader.data.engine import DataEngine from nautilus_trader.execution.emulator import OrderEmulator from nautilus_trader.execution.engine import ExecutionEngine -from nautilus_trader.model.currencies import USD +from nautilus_trader.model.currencies import ETH +from nautilus_trader.model.currencies import USDT from nautilus_trader.model.enums import AccountType from nautilus_trader.model.enums import ContingencyType +from nautilus_trader.model.enums import OmsType from nautilus_trader.model.enums import OrderSide from nautilus_trader.model.enums import OrderStatus from nautilus_trader.model.enums import OrderType from nautilus_trader.model.enums import TimeInForce from nautilus_trader.model.enums import TriggerType from nautilus_trader.model.identifiers import AccountId -from nautilus_trader.model.identifiers import ClientId from nautilus_trader.model.identifiers import OrderListId from nautilus_trader.model.identifiers import PositionId from nautilus_trader.model.identifiers import Venue +from nautilus_trader.model.objects import Money from nautilus_trader.model.objects import Quantity from nautilus_trader.model.orders.list import OrderList from nautilus_trader.msgbus.bus import MessageBus from nautilus_trader.portfolio.portfolio import Portfolio from nautilus_trader.risk.engine import RiskEngine from nautilus_trader.test_kit.mocks.cache_database import MockCacheDatabase -from nautilus_trader.test_kit.mocks.exec_clients import MockExecutionClient from nautilus_trader.test_kit.providers import TestInstrumentProvider from nautilus_trader.test_kit.stubs.data import TestDataStubs from nautilus_trader.test_kit.stubs.events import TestEventStubs @@ -124,23 +131,41 @@ def setup(self): cache=self.cache, clock=self.clock, logger=self.logger, + config=OrderEmulatorConfig(debug=True), ) self.venue = Venue("BINANCE") - self.exec_client = MockExecutionClient( - client_id=ClientId(self.venue.value), + self.exchange = SimulatedExchange( venue=self.venue, + oms_type=OmsType.NETTING, account_type=AccountType.MARGIN, - base_currency=USD, + base_currency=None, # Multi-asset wallet + starting_balances=[Money(200, ETH), Money(1_000_000, USDT)], + default_leverage=Decimal(10), + leverages={}, + instruments=[ETHUSDT_PERP_BINANCE], + modules=[], + fill_model=FillModel(), + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + self.exec_client = BacktestExecClient( + exchange=self.exchange, msgbus=self.msgbus, cache=self.cache, clock=self.clock, logger=self.logger, ) + # Wire up components + self.exec_engine.register_client(self.exec_client) + self.exchange.register_client(self.exec_client) + update = TestEventStubs.margin_account_state(account_id=self.account_id) self.portfolio.update_account(update) - self.exec_engine.register_client(self.exec_client) self.strategy = Strategy() self.strategy.register( @@ -515,6 +540,51 @@ def test_rejected_oto_entry_cancels_contingencies( assert bracket.orders[1].status == OrderStatus.CANCELED assert bracket.orders[2].status == OrderStatus.CANCELED + @pytest.mark.parametrize( + "contingency_type", + [ + ContingencyType.OCO, + ContingencyType.OUO, + ], + ) + def test_cancel_bracket( + self, + contingency_type, + ): + # Arrange + bracket = self.strategy.order_factory.bracket( + instrument_id=ETHUSDT_PERP_BINANCE.id, + order_side=OrderSide.BUY, + quantity=ETHUSDT_PERP_BINANCE.make_qty(10), + entry_price=ETHUSDT_PERP_BINANCE.make_price(5000.0), + sl_trigger_price=ETHUSDT_PERP_BINANCE.make_price(4900.0), + tp_price=ETHUSDT_PERP_BINANCE.make_price(5100.0), + entry_order_type=OrderType.LIMIT, + emulation_trigger=TriggerType.BID_ASK, + contingency_type=contingency_type, + ) + + self.strategy.submit_order_list( + order_list=bracket, + position_id=PositionId("P-001"), + ) + + # Act + self.strategy.cancel_order(bracket.orders[1]) + + # Assert + matching_core = self.emulator.get_matching_core(ETHUSDT_PERP_BINANCE.id) + entry_order = self.cache.order(bracket.orders[0].client_order_id) + sl_order = self.cache.order(bracket.orders[1].client_order_id) + tp_order = self.cache.order(bracket.orders[2].client_order_id) + assert self.exec_engine.command_count == 0 + assert bracket.orders[0].status == OrderStatus.EMULATED + assert bracket.orders[1].status == OrderStatus.CANCELED + assert bracket.orders[2].status == OrderStatus.CANCELED + assert matching_core.order_exists(entry_order.client_order_id) + assert not matching_core.order_exists(sl_order.client_order_id) + assert not matching_core.order_exists(tp_order.client_order_id) + @pytest.mark.parametrize( "contingency_type", [ @@ -1058,7 +1128,7 @@ def test_released_order_with_quote_quantity_sets_contingent_orders_to_base_quant assert not entry_order.is_quote_quantity assert not sl_order.is_quote_quantity assert not tp_order.is_quote_quantity - assert entry_order.is_active_local + assert not entry_order.is_active_local assert sl_order.is_active_local assert tp_order.is_active_local assert entry_order.quantity == ETHUSDT_PERP_BINANCE.make_qty(0.002) @@ -1067,3 +1137,162 @@ def test_released_order_with_quote_quantity_sets_contingent_orders_to_base_quant assert entry_order.leaves_qty == ETHUSDT_PERP_BINANCE.make_qty(0.002) assert sl_order.leaves_qty == ETHUSDT_PERP_BINANCE.make_qty(0.002) assert tp_order.leaves_qty == ETHUSDT_PERP_BINANCE.make_qty(0.002) + + def test_restart_emulator_with_emulated_parent(self): + # Arrange + bracket = self.strategy.order_factory.bracket( + instrument_id=ETHUSDT_PERP_BINANCE.id, + order_side=OrderSide.BUY, + quantity=ETHUSDT_PERP_BINANCE.make_qty(10), + entry_price=ETHUSDT_PERP_BINANCE.make_price(5000.0), + sl_trigger_price=ETHUSDT_PERP_BINANCE.make_price(4900.0), + tp_price=ETHUSDT_PERP_BINANCE.make_price(5100.0), + entry_order_type=OrderType.LIMIT, + emulation_trigger=TriggerType.BID_ASK, + contingency_type=ContingencyType.OUO, + ) + + self.strategy.submit_order_list( + order_list=bracket, + position_id=PositionId("P-001"), + ) + + self.emulator.stop() + self.emulator.reset() + + # Act + self.emulator.start() + + # Assert + assert len(self.emulator.get_submit_order_commands()) == 1 + assert self.emulator.get_matching_core(ETHUSDT_PERP_BINANCE.id).get_orders() == [ + bracket.first, + ] + assert bracket.orders[0].status == OrderStatus.EMULATED + assert bracket.orders[1].status == OrderStatus.INITIALIZED + assert bracket.orders[2].status == OrderStatus.INITIALIZED + + def test_restart_emulator_with_partially_filled_parent(self): + # Arrange + bracket = self.strategy.order_factory.bracket( + instrument_id=ETHUSDT_PERP_BINANCE.id, + order_side=OrderSide.BUY, + quantity=ETHUSDT_PERP_BINANCE.make_qty(10), + entry_price=ETHUSDT_PERP_BINANCE.make_price(5000.0), + sl_trigger_price=ETHUSDT_PERP_BINANCE.make_price(4900.0), + tp_price=ETHUSDT_PERP_BINANCE.make_price(5100.0), + entry_order_type=OrderType.LIMIT, + emulation_trigger=TriggerType.BID_ASK, + contingency_type=ContingencyType.OUO, + ) + + self.strategy.submit_order_list( + order_list=bracket, + position_id=PositionId("P-001"), + ) + + tick = TestDataStubs.quote_tick( + instrument=ETHUSDT_PERP_BINANCE, + bid_price=5000.0, + ask_price=5000.0, + ) + + self.data_engine.process(tick) + self.exchange.process_quote_tick(tick) + self.exchange.process(0) + + self.emulator.stop() + self.emulator.reset() + + # Act + self.emulator.start() + + # Assert + entry_order = self.cache.order(bracket.orders[0].client_order_id) + assert entry_order.status == OrderStatus.FILLED + assert bracket.orders[1].status == OrderStatus.EMULATED + assert bracket.orders[2].status == OrderStatus.EMULATED + + def test_restart_emulator_then_cancel_bracket(self): + # Arrange + bracket = self.strategy.order_factory.bracket( + instrument_id=ETHUSDT_PERP_BINANCE.id, + order_side=OrderSide.BUY, + quantity=ETHUSDT_PERP_BINANCE.make_qty(10), + entry_price=ETHUSDT_PERP_BINANCE.make_price(5000.0), + sl_trigger_price=ETHUSDT_PERP_BINANCE.make_price(4900.0), + tp_price=ETHUSDT_PERP_BINANCE.make_price(5100.0), + entry_order_type=OrderType.LIMIT, + emulation_trigger=TriggerType.BID_ASK, + contingency_type=ContingencyType.OUO, + ) + + self.strategy.submit_order_list( + order_list=bracket, + position_id=PositionId("P-001"), + ) + + self.emulator.stop() + self.emulator.reset() + self.emulator.start() + + # Act + self.strategy.cancel_order(bracket.orders[1]) + + # Assert + entry_order = self.cache.order(bracket.orders[0].client_order_id) + assert entry_order.status == OrderStatus.EMULATED + assert bracket.orders[1].status == OrderStatus.CANCELED + assert bracket.orders[2].status == OrderStatus.CANCELED + + def test_restart_emulator_with_closed_parent_position(self): + # Arrange + bracket = self.strategy.order_factory.bracket( + instrument_id=ETHUSDT_PERP_BINANCE.id, + order_side=OrderSide.BUY, + quantity=ETHUSDT_PERP_BINANCE.make_qty(10), + entry_price=ETHUSDT_PERP_BINANCE.make_price(5000.0), + sl_trigger_price=ETHUSDT_PERP_BINANCE.make_price(4900.0), + tp_price=ETHUSDT_PERP_BINANCE.make_price(5100.0), + entry_order_type=OrderType.LIMIT, + emulation_trigger=TriggerType.BID_ASK, + contingency_type=ContingencyType.OUO, + ) + + position_id = PositionId("P-001") + self.strategy.submit_order_list( + order_list=bracket, + position_id=position_id, + ) + + tick = TestDataStubs.quote_tick( + instrument=ETHUSDT_PERP_BINANCE, + bid_price=5000.0, + ask_price=5000.0, + ) + + self.data_engine.process(tick) + self.exchange.process_quote_tick(tick) + self.exchange.process(0) + + self.emulator.stop() + self.emulator.reset() + + closing_order = self.strategy.order_factory.market( + instrument_id=ETHUSDT_PERP_BINANCE.id, + order_side=OrderSide.SELL, + quantity=ETHUSDT_PERP_BINANCE.make_qty(10), + ) + + self.strategy.submit_order(closing_order, position_id=position_id) + self.exchange.process(0) + + # Act + self.emulator.start() + + # Assert + entry_order = self.cache.order(bracket.orders[0].client_order_id) + assert entry_order.status == OrderStatus.FILLED + assert closing_order.status == OrderStatus.FILLED + assert bracket.orders[1].status == OrderStatus.CANCELED + assert bracket.orders[2].status == OrderStatus.CANCELED diff --git a/tests/unit_tests/execution/test_messages.py b/tests/unit_tests/execution/test_messages.py index d5ecf6a1f5d6..6719e8350f85 100644 --- a/tests/unit_tests/execution/test_messages.py +++ b/tests/unit_tests/execution/test_messages.py @@ -16,6 +16,7 @@ from nautilus_trader.common.clock import TestClock from nautilus_trader.common.factories import OrderFactory from nautilus_trader.core.uuid import UUID4 +from nautilus_trader.execution.messages import BatchCancelOrders from nautilus_trader.execution.messages import CancelAllOrders from nautilus_trader.execution.messages import CancelOrder from nautilus_trader.execution.messages import ModifyOrder @@ -315,6 +316,62 @@ def test_cancel_all_orders_command_to_from_dict_and_str_repr(self): == f"CancelAllOrders(client_id=None, trader_id=TRADER-001, strategy_id=S-001, instrument_id=AUD/USD.SIM, order_side=NO_ORDER_SIDE, command_id={uuid}, ts_init=0)" # noqa ) + def test_batch_cancel_orders_command_to_from_dict_and_str_repr(self): + # Arrange + uuid1 = UUID4() + uuid2 = UUID4() + uuid3 = UUID4() + uuid4 = UUID4() + + cancel1 = CancelOrder( + trader_id=TraderId("TRADER-001"), + strategy_id=StrategyId("S-001"), + instrument_id=AUDUSD_SIM.id, + client_order_id=ClientOrderId("O-1234561"), + venue_order_id=VenueOrderId("1"), + command_id=uuid1, + ts_init=self.clock.timestamp_ns(), + ) + cancel2 = CancelOrder( + trader_id=TraderId("TRADER-001"), + strategy_id=StrategyId("S-001"), + instrument_id=AUDUSD_SIM.id, + client_order_id=ClientOrderId("O-1234562"), + venue_order_id=VenueOrderId("2"), + command_id=uuid2, + ts_init=self.clock.timestamp_ns(), + ) + cancel3 = CancelOrder( + trader_id=TraderId("TRADER-001"), + strategy_id=StrategyId("S-001"), + instrument_id=AUDUSD_SIM.id, + client_order_id=ClientOrderId("O-1234563"), + venue_order_id=VenueOrderId("3"), + command_id=uuid3, + ts_init=self.clock.timestamp_ns(), + ) + + command = BatchCancelOrders( + trader_id=TraderId("TRADER-001"), + strategy_id=StrategyId("S-001"), + instrument_id=AUDUSD_SIM.id, + cancels=[cancel1, cancel2, cancel3], + command_id=uuid4, + ts_init=self.clock.timestamp_ns(), + ) + + # Act, Assert + assert BatchCancelOrders.from_dict(BatchCancelOrders.to_dict(command)) == command + assert ( + str(command) + == f"BatchCancelOrders(instrument_id=AUD/USD.SIM, cancels=[CancelOrder(client_id=SIM, trader_id=TRADER-001, strategy_id=S-001, instrument_id=AUD/USD.SIM, client_order_id=O-1234561, venue_order_id=1, command_id={uuid1}, ts_init=0), CancelOrder(client_id=SIM, trader_id=TRADER-001, strategy_id=S-001, instrument_id=AUD/USD.SIM, client_order_id=O-1234562, venue_order_id=2, command_id={uuid2}, ts_init=0), CancelOrder(client_id=SIM, trader_id=TRADER-001, strategy_id=S-001, instrument_id=AUD/USD.SIM, client_order_id=O-1234563, venue_order_id=3, command_id={uuid3}, ts_init=0)])" # noqa + ) + # TODO: TBC + # assert ( + # repr(command) + # == f"BatchCancelOrders(client_id=SIM, trader_id=TRADER-001, strategy_id=S-001, instrument_id=AUD/USD.SIM, client_order_id=O-123456, venue_order_id=None, command_id={uuid}, ts_init=0)" # noqa + # ) + def test_query_order_command_to_from_dict_and_str_repr(self): # Arrange uuid = UUID4() diff --git a/tests/unit_tests/live/test_data_engine.py b/tests/unit_tests/live/test_data_engine.py index b5cb7f6c1106..3f4b336c60ee 100644 --- a/tests/unit_tests/live/test_data_engine.py +++ b/tests/unit_tests/live/test_data_engine.py @@ -34,6 +34,7 @@ from nautilus_trader.model.identifiers import Venue from nautilus_trader.msgbus.bus import MessageBus from nautilus_trader.portfolio.portfolio import Portfolio +from nautilus_trader.test_kit.functions import ensure_all_tasks_completed from nautilus_trader.test_kit.providers import TestInstrumentProvider from nautilus_trader.test_kit.stubs.component import TestComponentStubs from nautilus_trader.test_kit.stubs.data import TestDataStubs @@ -83,9 +84,10 @@ def setup(self): ) def teardown(self): + ensure_all_tasks_completed() self.engine.dispose() - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_start_when_loop_not_running_logs(self): # Arrange, Act self.engine.start() @@ -94,7 +96,7 @@ async def test_start_when_loop_not_running_logs(self): assert True # No exceptions raised self.engine.stop() - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_message_qsize_at_max_blocks_on_put_data_command(self): # Arrange self.msgbus.deregister(endpoint="DataEngine.execute", handler=self.engine.execute) @@ -128,7 +130,7 @@ async def test_message_qsize_at_max_blocks_on_put_data_command(self): assert self.engine.cmd_qsize() == 1 assert self.engine.command_count == 0 - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_message_qsize_at_max_blocks_on_send_request(self): # Arrange self.msgbus.deregister(endpoint="DataEngine.execute", handler=self.engine.execute) @@ -172,7 +174,7 @@ async def test_message_qsize_at_max_blocks_on_send_request(self): assert self.engine.req_qsize() == 1 assert self.engine.command_count == 0 - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_message_qsize_at_max_blocks_on_receive_response(self): # Arrange self.msgbus.deregister(endpoint="DataEngine.execute", handler=self.engine.execute) @@ -208,7 +210,7 @@ async def test_message_qsize_at_max_blocks_on_receive_response(self): assert self.engine.res_qsize() == 1 assert self.engine.command_count == 0 - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_data_qsize_at_max_blocks_on_put_data(self): # Arrange self.msgbus.deregister(endpoint="DataEngine.execute", handler=self.engine.execute) @@ -236,7 +238,7 @@ async def test_data_qsize_at_max_blocks_on_put_data(self): assert self.engine.data_qsize() == 1 assert self.engine.data_count == 0 - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_start(self): # Arrange, Act self.engine.start() @@ -248,7 +250,7 @@ async def test_start(self): # Tear Down self.engine.stop() - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_kill_when_running_and_no_messages_on_queues(self): # Arrange, Act self.engine.start() @@ -258,7 +260,7 @@ async def test_kill_when_running_and_no_messages_on_queues(self): # Assert assert self.engine.is_stopped - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_kill_when_not_running_with_messages_on_queue(self): # Arrange, Act self.engine.kill() @@ -266,7 +268,7 @@ async def test_kill_when_not_running_with_messages_on_queue(self): # Assert assert self.engine.data_qsize() == 0 - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_execute_command_processes_message(self): # Arrange self.engine.start() @@ -290,7 +292,7 @@ async def test_execute_command_processes_message(self): # Tear Down self.engine.stop() - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_send_request_processes_message(self): # Arrange self.engine.start() @@ -324,7 +326,7 @@ async def test_send_request_processes_message(self): # Tear Down self.engine.stop() - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_receive_response_processes_message(self): # Arrange self.engine.start() @@ -350,7 +352,7 @@ async def test_receive_response_processes_message(self): # Tear Down self.engine.stop() - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_process_data_processes_data(self): # Arrange self.engine.start() diff --git a/tests/unit_tests/live/test_execution_engine.py b/tests/unit_tests/live/test_execution_engine.py index 2562b6e24f28..415623680f56 100644 --- a/tests/unit_tests/live/test_execution_engine.py +++ b/tests/unit_tests/live/test_execution_engine.py @@ -60,6 +60,7 @@ from nautilus_trader.model.objects import Quantity from nautilus_trader.msgbus.bus import MessageBus from nautilus_trader.portfolio.portfolio import Portfolio +from nautilus_trader.test_kit.functions import ensure_all_tasks_completed from nautilus_trader.test_kit.mocks.exec_clients import MockLiveExecutionClient from nautilus_trader.test_kit.providers import TestInstrumentProvider from nautilus_trader.test_kit.stubs.component import TestComponentStubs @@ -195,9 +196,14 @@ def setup(self): def teardown(self): self.data_engine.stop() self.risk_engine.stop() - self.exec_engine.stop() self.emulator.stop() self.strategy.stop() + + if self.exec_engine.is_running: + self.exec_engine.stop() + + ensure_all_tasks_completed() + self.exec_engine.dispose() @pytest.mark.asyncio() @@ -236,7 +242,10 @@ async def test_message_qsize_at_max_blocks_on_put_command(self): cache=self.cache, clock=self.clock, logger=self.logger, - config=LiveExecEngineConfig(qsize=1), + config=LiveExecEngineConfig( + debug=True, + inflight_check_threshold_ms=0, + ), ) strategy = Strategy() @@ -270,7 +279,7 @@ async def test_message_qsize_at_max_blocks_on_put_command(self): await asyncio.sleep(0.1) # Assert - assert self.exec_engine.cmd_qsize() == 1 + assert self.exec_engine.cmd_qsize() == 2 assert self.exec_engine.command_count == 0 @pytest.mark.asyncio() @@ -300,7 +309,10 @@ async def test_message_qsize_at_max_blocks_on_put_event(self): cache=self.cache, clock=self.clock, logger=self.logger, - config=LiveExecEngineConfig(qsize=1), + config=LiveExecEngineConfig( + debug=True, + inflight_check_threshold_ms=0, + ), ) strategy = Strategy() @@ -354,8 +366,6 @@ async def test_start(self): @pytest.mark.asyncio() async def test_kill_when_running_and_no_messages_on_queues(self): # Arrange, Act - self.exec_engine.start() - await asyncio.sleep(0) self.exec_engine.kill() # Assert @@ -364,6 +374,8 @@ async def test_kill_when_running_and_no_messages_on_queues(self): @pytest.mark.asyncio() async def test_kill_when_not_running_with_messages_on_queue(self): # Arrange, Act + self.exec_engine.stop() + await asyncio.sleep(0) self.exec_engine.kill() # Assert @@ -411,7 +423,8 @@ async def test_execute_command_places_command_on_queue(self): # Tear Down self.exec_engine.stop() - def test_handle_order_status_report(self): + @pytest.mark.asyncio + async def test_handle_order_status_report(self): # Arrange order_report = OrderStatusReport( account_id=AccountId("SIM-001"), @@ -451,7 +464,8 @@ def test_handle_order_status_report(self): # Assert assert self.exec_engine.report_count == 1 - def test_handle_trade_report(self): + @pytest.mark.asyncio + async def test_handle_trade_report(self): # Arrange trade_report = TradeReport( account_id=AccountId("SIM-001"), @@ -476,7 +490,8 @@ def test_handle_trade_report(self): # Assert assert self.exec_engine.report_count == 1 - def test_handle_position_status_report(self): + @pytest.mark.asyncio + async def test_handle_position_status_report(self): # Arrange position_report = PositionStatusReport( account_id=AccountId("SIM-001"), @@ -495,7 +510,8 @@ def test_handle_position_status_report(self): # Assert assert self.exec_engine.report_count == 1 - def test_execution_mass_status(self): + @pytest.mark.asyncio + async def test_execution_mass_status(self): # Arrange mass_status = ExecutionMassStatus( client_id=ClientId("SIM"), @@ -511,9 +527,10 @@ def test_execution_mass_status(self): # Assert assert self.exec_engine.report_count == 1 - @pytest.mark.asyncio() + @pytest.mark.asyncio async def test_check_inflight_order_status(self): # Arrange + # Deregister test fixture ExecutionEngine from msgbus) order = self.strategy.order_factory.limit( instrument_id=AUDUSD_SIM.id, order_side=OrderSide.BUY, @@ -521,13 +538,11 @@ async def test_check_inflight_order_status(self): price=AUDUSD_SIM.make_price(0.70000), ) + # Act self.strategy.submit_order(order) self.exec_engine.process(TestEventStubs.order_submitted(order)) await asyncio.sleep(2.0) # Default threshold 1000ms - # Act - await self.exec_engine._check_inflight_orders() - # Assert - assert self.exec_engine.command_count == 3 + assert self.exec_engine.command_count >= 2 diff --git a/tests/unit_tests/live/test_execution_recon.py b/tests/unit_tests/live/test_execution_recon.py index 8877b01ba5ec..ba2a579ce859 100644 --- a/tests/unit_tests/live/test_execution_recon.py +++ b/tests/unit_tests/live/test_execution_recon.py @@ -49,6 +49,7 @@ from nautilus_trader.model.objects import Quantity from nautilus_trader.msgbus.bus import MessageBus from nautilus_trader.portfolio.portfolio import Portfolio +from nautilus_trader.test_kit.functions import ensure_all_tasks_completed from nautilus_trader.test_kit.mocks.exec_clients import MockLiveExecutionClient from nautilus_trader.test_kit.providers import TestInstrumentProvider from nautilus_trader.test_kit.stubs.component import TestComponentStubs @@ -142,6 +143,13 @@ def setup(self): self.cache.add_instrument(AUDUSD_SIM) def teardown(self): + self.data_engine.stop() + self.risk_engine.stop() + self.exec_engine.stop() + + ensure_all_tasks_completed() + + self.exec_engine.dispose() self.client.dispose() @pytest.mark.asyncio() diff --git a/tests/unit_tests/live/test_risk_engine.py b/tests/unit_tests/live/test_risk_engine.py index 2a81c74dea4b..176fe2562f39 100644 --- a/tests/unit_tests/live/test_risk_engine.py +++ b/tests/unit_tests/live/test_risk_engine.py @@ -36,6 +36,7 @@ from nautilus_trader.model.objects import Quantity from nautilus_trader.msgbus.bus import MessageBus from nautilus_trader.portfolio.portfolio import Portfolio +from nautilus_trader.test_kit.functions import ensure_all_tasks_completed from nautilus_trader.test_kit.mocks.exec_clients import MockExecutionClient from nautilus_trader.test_kit.providers import TestInstrumentProvider from nautilus_trader.test_kit.stubs.component import TestComponentStubs @@ -128,6 +129,14 @@ def setup(self): # Wire up components self.exec_engine.register_client(self.exec_client) + def teardown(self): + if self.risk_engine.is_running: + self.risk_engine.stop() + + ensure_all_tasks_completed() + + self.risk_engine.dispose() + @pytest.mark.asyncio() async def test_start_when_loop_not_running_logs(self): # Arrange, Act @@ -248,9 +257,6 @@ async def test_start(self): # Assert assert self.risk_engine.is_running - # Tear Down - self.risk_engine.stop() - @pytest.mark.asyncio() async def test_kill_when_running_and_no_messages_on_queues(self): # Arrange, Act @@ -308,11 +314,6 @@ async def test_execute_command_places_command_on_queue(self): assert self.risk_engine.cmd_qsize() == 0 assert self.risk_engine.command_count == 1 - # Tear Down - self.risk_engine.stop() - await self.risk_engine.get_cmd_queue_task() - await self.risk_engine.get_evt_queue_task() - @pytest.mark.asyncio() async def test_handle_position_opening_with_position_id_none(self): # Arrange @@ -343,8 +344,3 @@ async def test_handle_position_opening_with_position_id_none(self): # Assert assert self.risk_engine.cmd_qsize() == 0 assert self.risk_engine.event_count == 1 - - # Tear Down - self.risk_engine.stop() - await self.risk_engine.get_cmd_queue_task() - await self.risk_engine.get_evt_queue_task() diff --git a/tests/unit_tests/model/instruments/__init__.py b/tests/unit_tests/model/instruments/__init__.py new file mode 100644 index 000000000000..e69de29bb2d1 diff --git a/tests/unit_tests/model/instruments/test_crypto_future_pyo3.py b/tests/unit_tests/model/instruments/test_crypto_future_pyo3.py new file mode 100644 index 000000000000..5ef25dccb9ff --- /dev/null +++ b/tests/unit_tests/model/instruments/test_crypto_future_pyo3.py @@ -0,0 +1,58 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +from nautilus_trader.core.nautilus_pyo3 import CryptoFuture +from nautilus_trader.test_kit.rust.instruments import TestInstrumentProviderPyo3 + + +crypto_future_btcusdt = TestInstrumentProviderPyo3.btcusdt_future_binance() + + +class TestCryptoFuture: + def test_equality(self): + item_1 = TestInstrumentProviderPyo3.btcusdt_future_binance() + item_2 = TestInstrumentProviderPyo3.btcusdt_future_binance() + assert item_1 == item_2 + + def test_hash(self): + assert hash(crypto_future_btcusdt) == hash(crypto_future_btcusdt) + + def test_to_dict(self): + result = crypto_future_btcusdt.to_dict() + assert CryptoFuture.from_dict(result) == crypto_future_btcusdt + assert result == { + "type": "CryptoPerpetual", + "id": "BTCUSDT_220325.BINANCE", + "raw_symbol": "BTCUSDT", + "underlying": "BTC", + "quote_currency": "USDT", + "settlement_currency": "USDT", + "expiration": 1648166400000000000, + "price_precision": 2, + "size_precision": 6, + "price_increment": "0.01", + "size_increment": "0.000001", + "margin_maint": 0.0, + "margin_init": 0.0, + "maker_fee": 0.0, + "taker_fee": 0.0, + "lot_size": None, + "max_notional": None, + "max_price": "1000000.0", + "max_quantity": "9000", + "min_notional": "10.00000000 USDT", + "min_price": "0.01", + "min_quantity": "0.00001", + } diff --git a/tests/unit_tests/model/instruments/test_crypto_perpetual_pyo3.py b/tests/unit_tests/model/instruments/test_crypto_perpetual_pyo3.py new file mode 100644 index 000000000000..47db75f75d9a --- /dev/null +++ b/tests/unit_tests/model/instruments/test_crypto_perpetual_pyo3.py @@ -0,0 +1,57 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +from nautilus_trader.core.nautilus_pyo3 import CryptoPerpetual +from nautilus_trader.test_kit.rust.instruments import TestInstrumentProviderPyo3 + + +crypto_perpetual_ethusdt_perp = TestInstrumentProviderPyo3.ethusdt_perp_binance() + + +class TestCryptoPerpetual: + def test_equality(self): + item_1 = TestInstrumentProviderPyo3.ethusdt_perp_binance() + item_2 = TestInstrumentProviderPyo3.ethusdt_perp_binance() + assert item_1 == item_2 + + def test_hash(self): + assert hash(crypto_perpetual_ethusdt_perp) == hash(crypto_perpetual_ethusdt_perp) + + def test_to_dict(self): + dict = crypto_perpetual_ethusdt_perp.to_dict() + assert CryptoPerpetual.from_dict(dict) == crypto_perpetual_ethusdt_perp + assert dict == { + "type": "CryptoPerpetual", + "id": "ETHUSDT-PERP.BINANCE", + "raw_symbol": "ETHUSDT", + "base_currency": "ETH", + "quote_currency": "USDT", + "settlement_currency": "USDT", + "price_precision": 2, + "size_precision": 0, + "price_increment": "0.01", + "size_increment": "0.001", + "lot_size": None, + "max_quantity": "10000", + "min_quantity": "0.001", + "max_notional": None, + "min_notional": "10.00000000 USDT", + "max_price": "15000.0", + "min_price": "1.0", + "margin_maint": 0.0, + "margin_init": 0.0, + "maker_fee": 0.0, + "taker_fee": 0.0, + } diff --git a/tests/unit_tests/model/test_bar.py b/tests/unit_tests/model/test_bar.py index 81090e2cf992..45f014bd5b53 100644 --- a/tests/unit_tests/model/test_bar.py +++ b/tests/unit_tests/model/test_bar.py @@ -308,6 +308,38 @@ def test_bar_type_hash_str_and_repr(self): assert str(bar_type) == "AUD/USD.SIM-1-MINUTE-BID-EXTERNAL" assert repr(bar_type) == "BarType(AUD/USD.SIM-1-MINUTE-BID-EXTERNAL)" + @pytest.mark.parametrize( + ("input", "expected_err"), + [ + [ + "AUD/USD.-0-0-0-0", + "Error parsing `BarType` from 'AUD/USD.-0-0-0-0', invalid token: 'AUD/USD.' at position 0", + ], + [ + "AUD/USD.SIM-a-0-0-0", + "Error parsing `BarType` from 'AUD/USD.SIM-a-0-0-0', invalid token: 'a' at position 1", + ], + [ + "AUD/USD.SIM-1000-a-0-0", + "Error parsing `BarType` from 'AUD/USD.SIM-1000-a-0-0', invalid token: 'a' at position 2", + ], + [ + "AUD/USD.SIM-1000-TICK-a-0", + "Error parsing `BarType` from 'AUD/USD.SIM-1000-TICK-a-0', invalid token: 'a' at position 3", + ], + [ + "AUD/USD.SIM-1000-TICK-LAST-a", + "Error parsing `BarType` from 'AUD/USD.SIM-1000-TICK-LAST-a', invalid token: 'a' at position 4", + ], + ], + ) + def test_bar_type_from_str_with_invalid_values(self, input: str, expected_err: str) -> None: + # Arrange, Act + with pytest.raises(ValueError) as exc_info: + BarType.from_str(input) + + assert str(exc_info.value) == expected_err + @pytest.mark.parametrize( "value", ["", "AUD/USD", "AUD/USD.IDEALPRO-1-MILLISECOND-BID"], diff --git a/tests/unit_tests/model/test_bar_pyo3.py b/tests/unit_tests/model/test_bar_pyo3.py new file mode 100644 index 000000000000..6495c388434e --- /dev/null +++ b/tests/unit_tests/model/test_bar_pyo3.py @@ -0,0 +1,640 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import pickle +from datetime import timedelta + +import pytest + +from nautilus_trader.core.nautilus_pyo3 import AggregationSource +from nautilus_trader.core.nautilus_pyo3 import Bar +from nautilus_trader.core.nautilus_pyo3 import BarAggregation +from nautilus_trader.core.nautilus_pyo3 import BarSpecification +from nautilus_trader.core.nautilus_pyo3 import BarType +from nautilus_trader.core.nautilus_pyo3 import InstrumentId +from nautilus_trader.core.nautilus_pyo3 import Price +from nautilus_trader.core.nautilus_pyo3 import PriceType +from nautilus_trader.core.nautilus_pyo3 import Quantity +from nautilus_trader.core.nautilus_pyo3 import Symbol +from nautilus_trader.core.nautilus_pyo3 import Venue + + +pytestmark = pytest.mark.skip(reason="WIP") + +AUDUSD_SIM = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) +GBPUSD_SIM = InstrumentId(Symbol("GBP/USD"), Venue("SIM")) + +ONE_MIN_BID = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID) +AUDUSD_1_MIN_BID = BarType(AUDUSD_SIM, ONE_MIN_BID) +GBPUSD_1_MIN_BID = BarType(GBPUSD_SIM, ONE_MIN_BID) + + +class TestBarSpecification: + def test_bar_spec_equality(self): + # Arrange + bar_spec1 = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID) + bar_spec2 = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID) + bar_spec3 = BarSpecification(1, BarAggregation.MINUTE, PriceType.ASK) + + # Act, Assert + assert bar_spec1 == bar_spec1 + assert bar_spec1 == bar_spec2 + assert bar_spec1 != bar_spec3 + + def test_bar_spec_comparison(self): + # Arrange + bar_spec1 = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID) + bar_spec2 = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID) + bar_spec3 = BarSpecification(1, BarAggregation.MINUTE, PriceType.ASK) + + # Act, Assert + assert bar_spec1 <= bar_spec2 + assert bar_spec3 > bar_spec1 + assert bar_spec1 < bar_spec3 + assert bar_spec3 >= bar_spec1 + + def test_bar_spec_pickle(self): + # Arrange + bar_spec = BarSpecification(1000, BarAggregation.TICK, PriceType.LAST) + + # Act + pickled = pickle.dumps(bar_spec) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) + + # Assert + assert unpickled == bar_spec + + def test_bar_spec_hash_str_and_repr(self): + # Arrange + bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID) + + # Act, Assert + assert isinstance(hash(bar_spec), int) + assert str(bar_spec) == "1-MINUTE-BID" + assert repr(bar_spec) == "BarSpecification(1-MINUTE-BID)" + + @pytest.mark.skip(reason="WIP") + @pytest.mark.parametrize( + "aggregation", + [ + BarAggregation.TICK, + BarAggregation.MONTH, + ], + ) + def test_timedelta_for_unsupported_aggregations_raises_value_error(self, aggregation): + # Arrange, Act, Assert + with pytest.raises(ValueError): + spec = BarSpecification(1, aggregation, price_type=PriceType.LAST) + _ = spec.timedelta + + @pytest.mark.parametrize( + ("step", "aggregation", "expected"), + [ + [ + 500, + BarAggregation.MILLISECOND, + timedelta(milliseconds=500), + ], + [ + 10, + BarAggregation.SECOND, + timedelta(seconds=10), + ], + [ + 5, + BarAggregation.MINUTE, + timedelta(minutes=5), + ], + [ + 1, + BarAggregation.HOUR, + timedelta(hours=1), + ], + [ + 1, + BarAggregation.DAY, + timedelta(days=1), + ], + [ + 1, + BarAggregation.WEEK, + timedelta(days=7), + ], + ], + ) + def test_timedelta_given_various_values_returns_expected( + self, + step, + aggregation, + expected, + ): + # Arrange, Act + spec = BarSpecification( + step=step, + aggregation=aggregation, + price_type=PriceType.LAST, + ) + + # Assert + assert spec.timedelta == expected + + @pytest.mark.parametrize( + "value", + ["", "1", "-1-TICK-MID", "1-TICK_MID"], + ) + def test_from_str_given_various_invalid_strings_raises_value_error(self, value): + # Arrange, Act, Assert + with pytest.raises(ValueError): + BarSpecification.from_str(value) + + @pytest.mark.parametrize( + ("value", "expected"), + [ + [ + "300-MILLISECOND-LAST", + BarSpecification(300, BarAggregation.MILLISECOND, PriceType.LAST), + ], + [ + "1-MINUTE-BID", + BarSpecification(1, BarAggregation.MINUTE, PriceType.BID), + ], + [ + "15-MINUTE-MID", + BarSpecification(15, BarAggregation.MINUTE, PriceType.MID), + ], + [ + "100-TICK-LAST", + BarSpecification(100, BarAggregation.TICK, PriceType.LAST), + ], + [ + "10000-VALUE_IMBALANCE-MID", + BarSpecification(10000, BarAggregation.VALUE_IMBALANCE, PriceType.MID), + ], + ], + ) + def test_from_str_given_various_valid_string_returns_expected_specification( + self, + value, + expected, + ): + # Arrange, Act + spec = BarSpecification.from_str(value) + + # Assert + assert spec == expected + + @pytest.mark.parametrize( + ("bar_spec", "is_time_aggregated", "is_threshold_aggregated", "is_information_aggregated"), + [ + [ + BarSpecification(1, BarAggregation.SECOND, PriceType.BID), + True, + False, + False, + ], + [ + BarSpecification(1, BarAggregation.MINUTE, PriceType.BID), + True, + False, + False, + ], + [ + BarSpecification(1000, BarAggregation.TICK, PriceType.MID), + False, + True, + False, + ], + [ + BarSpecification(10000, BarAggregation.VALUE_RUNS, PriceType.MID), + False, + False, + True, + ], + ], + ) + def test_aggregation_queries( + self, + bar_spec, + is_time_aggregated, + is_threshold_aggregated, + is_information_aggregated, + ): + # Arrange, Act, Assert + assert bar_spec.is_time_aggregated() == is_time_aggregated + assert bar_spec.is_threshold_aggregated() == is_threshold_aggregated + assert bar_spec.is_information_aggregated() == is_information_aggregated + assert BarSpecification.check_time_aggregated(bar_spec.aggregation) == is_time_aggregated + assert ( + BarSpecification.check_threshold_aggregated(bar_spec.aggregation) + == is_threshold_aggregated + ) + assert ( + BarSpecification.check_information_aggregated(bar_spec.aggregation) + == is_information_aggregated + ) + + def test_properties(self): + # Arrange, Act + bar_spec = BarSpecification(1, BarAggregation.HOUR, PriceType.BID) + + # Assert + assert bar_spec.step == 1 + assert bar_spec.aggregation == BarAggregation.HOUR + assert bar_spec.price_type == PriceType.BID + + +class TestBarType: + def test_bar_type_equality(self): + # Arrange + instrument_id1 = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + instrument_id2 = InstrumentId(Symbol("GBP/USD"), Venue("SIM")) + bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID) + bar_type1 = BarType(instrument_id1, bar_spec) + bar_type2 = BarType(instrument_id1, bar_spec) + bar_type3 = BarType(instrument_id2, bar_spec) + + # Act, Assert + assert bar_type1 == bar_type1 + assert bar_type1 == bar_type2 + assert bar_type1 != bar_type3 + + def test_bar_type_comparison(self): + # Arrange + instrument_id1 = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + instrument_id2 = InstrumentId(Symbol("GBP/USD"), Venue("SIM")) + bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID) + bar_type1 = BarType(instrument_id1, bar_spec) + bar_type2 = BarType(instrument_id1, bar_spec) + bar_type3 = BarType(instrument_id2, bar_spec) + + # Act, Assert + assert bar_type1 <= bar_type2 + assert bar_type1 < bar_type3 + assert bar_type3 > bar_type1 + assert bar_type3 >= bar_type1 + + def test_bar_type_pickle(self): + # Arrange + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID) + bar_type = BarType(instrument_id, bar_spec) + + # Act + pickled = pickle.dumps(bar_type) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) + + # Assert + assert unpickled == bar_type + + def test_bar_type_hash_str_and_repr(self): + # Arrange + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID) + bar_type = BarType(instrument_id, bar_spec) + + # Act, Assert + assert isinstance(hash(bar_type), int) + assert str(bar_type) == "AUD/USD.SIM-1-MINUTE-BID-EXTERNAL" + assert repr(bar_type) == "BarType(AUD/USD.SIM-1-MINUTE-BID-EXTERNAL)" + + @pytest.mark.parametrize( + ("input", "expected_err"), + [ + [ + "AUD/USD.-0-0-0-0", + "Error parsing `BarType` from 'AUD/USD.-0-0-0-0', invalid token: 'AUD/USD.' at position 0", + ], + [ + "AUD/USD.SIM-a-0-0-0", + "Error parsing `BarType` from 'AUD/USD.SIM-a-0-0-0', invalid token: 'a' at position 1", + ], + [ + "AUD/USD.SIM-1000-a-0-0", + "Error parsing `BarType` from 'AUD/USD.SIM-1000-a-0-0', invalid token: 'a' at position 2", + ], + [ + "AUD/USD.SIM-1000-TICK-a-0", + "Error parsing `BarType` from 'AUD/USD.SIM-1000-TICK-a-0', invalid token: 'a' at position 3", + ], + [ + "AUD/USD.SIM-1000-TICK-LAST-a", + "Error parsing `BarType` from 'AUD/USD.SIM-1000-TICK-LAST-a', invalid token: 'a' at position 4", + ], + ], + ) + def test_bar_type_from_str_with_invalid_values(self, input: str, expected_err: str) -> None: + # Arrange, Act + with pytest.raises(ValueError) as exc_info: + BarType.from_str(input) + + assert str(exc_info.value) == expected_err + + @pytest.mark.parametrize( + "value", + ["", "AUD/USD", "AUD/USD.IDEALPRO-1-MILLISECOND-BID"], + ) + def test_from_str_given_various_invalid_strings_raises_value_error(self, value): + # Arrange, Act, Assert + with pytest.raises(ValueError): + BarType.from_str(value) + + @pytest.mark.parametrize( + ("value", "expected"), + [ + [ + "AUD/USD.IDEALPRO-1-MINUTE-BID-EXTERNAL", + BarType( + InstrumentId(Symbol("AUD/USD"), Venue("IDEALPRO")), + BarSpecification(1, BarAggregation.MINUTE, PriceType.BID), + ), + ], + [ + "GBP/USD.SIM-1000-TICK-MID-INTERNAL", + BarType( + InstrumentId(Symbol("GBP/USD"), Venue("SIM")), + BarSpecification(1000, BarAggregation.TICK, PriceType.MID), + AggregationSource.INTERNAL, + ), + ], + [ + "AAPL.NYSE-1-HOUR-MID-INTERNAL", + BarType( + InstrumentId(Symbol("AAPL"), Venue("NYSE")), + BarSpecification(1, BarAggregation.HOUR, PriceType.MID), + AggregationSource.INTERNAL, + ), + ], + [ + "BTCUSDT.BINANCE-100-TICK-LAST-INTERNAL", + BarType( + InstrumentId(Symbol("BTCUSDT"), Venue("BINANCE")), + BarSpecification(100, BarAggregation.TICK, PriceType.LAST), + AggregationSource.INTERNAL, + ), + ], + [ + "ETHUSDT-PERP.BINANCE-100-TICK-LAST-INTERNAL", + BarType( + InstrumentId(Symbol("ETHUSDT-PERP"), Venue("BINANCE")), + BarSpecification(100, BarAggregation.TICK, PriceType.LAST), + AggregationSource.INTERNAL, + ), + ], + ], + ) + def test_from_str_given_various_valid_string_returns_expected_specification( + self, + value, + expected, + ): + # Arrange, Act + bar_type = BarType.from_str(value) + + # Assert + assert expected == bar_type + + def test_properties(self): + # Arrange, Act + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID) + bar_type = BarType(instrument_id, bar_spec, AggregationSource.EXTERNAL) + + # Assert + assert bar_type.instrument_id == instrument_id + assert bar_type.spec == bar_spec + assert bar_type.aggregation_source == AggregationSource.EXTERNAL + + +class TestBar: + def test_fully_qualified_name(self): + # Arrange, Act, Assert + assert Bar.fully_qualified_name() == "nautilus_trader.core.nautilus_pyo3.model:Bar" + + def test_validation_when_high_below_open_raises_value_error(self): + # Arrange, Act, Assert + with pytest.raises(ValueError): + Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00001"), + Price.from_str("1.00000"), # <-- High below open + Price.from_str("1.00000"), + Price.from_str("1.00000"), + Quantity.from_int(100_000), + 0, + 0, + ) + + def test_validation_when_high_below_low_raises_value_error(self): + # Arrange, Act, Assert + with pytest.raises(ValueError): + Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00001"), + Price.from_str("1.00000"), # <-- High below low + Price.from_str("1.00002"), + Price.from_str("1.00003"), + Quantity.from_int(100_000), + 0, + 0, + ) + + def test_validation_when_high_below_close_raises_value_error(self): + # Arrange, Act, Assert + with pytest.raises(ValueError): + Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00000"), + Price.from_str("1.00000"), # <-- High below close + Price.from_str("1.00000"), + Price.from_str("1.00001"), + Quantity.from_int(100_000), + 0, + 0, + ) + + def test_validation_when_low_above_close_raises_value_error(self): + # Arrange, Act, Assert + with pytest.raises(ValueError): + Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00000"), + Price.from_str("1.00005"), + Price.from_str("1.00000"), + Price.from_str("0.99999"), # <-- Close below low + Quantity.from_int(100_000), + 0, + 0, + ) + + def test_validation_when_low_above_open_raises_value_error(self): + # Arrange, Act, Assert + with pytest.raises(ValueError): + Bar( + AUDUSD_1_MIN_BID, + Price.from_str("0.99999"), # <-- Open below low + Price.from_str("1.00000"), + Price.from_str("1.00000"), + Price.from_str("1.00000"), + Quantity.from_int(100_000), + 0, + 0, + ) + + def test_equality(self): + # Arrange + bar1 = Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00001"), + Price.from_str("1.00004"), + Price.from_str("1.00001"), + Price.from_str("1.00001"), + Quantity.from_int(100_000), + 0, + 0, + ) + + bar2 = Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00000"), + Price.from_str("1.00004"), + Price.from_str("1.00000"), + Price.from_str("1.00003"), + Quantity.from_int(100_000), + 0, + 0, + ) + + # Act, Assert + assert bar1 == bar1 + assert bar1 != bar2 + + def test_hash_str_repr(self): + # Arrange + bar = Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00001"), + Price.from_str("1.00004"), + Price.from_str("1.00000"), + Price.from_str("1.00003"), + Quantity.from_int(100_000), + 0, + 0, + ) + + # Act, Assert + assert isinstance(hash(bar), int) + assert ( + str(bar) == "AUD/USD.SIM-1-MINUTE-BID-EXTERNAL,1.00001,1.00004,1.00000,1.00003,100000,0" + ) + assert ( + repr(bar) + == "Bar(AUD/USD.SIM-1-MINUTE-BID-EXTERNAL,1.00001,1.00004,1.00000,1.00003,100000,0)" + ) + + def test_is_single_price(self): + # Arrange + bar1 = Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00000"), + Price.from_str("1.00000"), + Price.from_str("1.00000"), + Price.from_str("1.00000"), + Quantity.from_int(100_000), + 0, + 0, + ) + + bar2 = Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00000"), + Price.from_str("1.00004"), + Price.from_str("1.00000"), + Price.from_str("1.00003"), + Quantity.from_int(100_000), + 0, + 0, + ) + + # Act, Assert + assert bar1.is_single_price() + assert not bar2.is_single_price() + + def test_to_dict(self): + # Arrange + bar = Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00001"), + Price.from_str("1.00004"), + Price.from_str("1.00000"), + Price.from_str("1.00003"), + Quantity.from_int(100_000), + 0, + 0, + ) + + # Act + values = Bar.to_dict(bar) + + # Assert + assert values == { + "type": "Bar", + "bar_type": "AUD/USD.SIM-1-MINUTE-BID-EXTERNAL", + "open": "1.00001", + "high": "1.00004", + "low": "1.00000", + "close": "1.00003", + "volume": "100000", + "ts_event": 0, + "ts_init": 0, + } + + def test_from_dict_returns_expected_bar(self): + # Arrange + bar = Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00001"), + Price.from_str("1.00004"), + Price.from_str("1.00000"), + Price.from_str("1.00003"), + Quantity.from_int(100_000), + 0, + 0, + ) + + # Act + result = Bar.from_dict(Bar.to_dict(bar)) + + # Assert + assert result == bar + + def test_pickle_bar(self): + # Arrange + bar = Bar( + AUDUSD_1_MIN_BID, + Price.from_str("1.00001"), + Price.from_str("1.00004"), + Price.from_str("1.00000"), + Price.from_str("1.00003"), + Quantity.from_int(100_000), + 0, + 0, + ) + + # Act + pickled = pickle.dumps(bar) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) + + # Assert + assert unpickled == bar diff --git a/tests/unit_tests/model/test_currency_pyo3.py b/tests/unit_tests/model/test_currency_pyo3.py new file mode 100644 index 000000000000..8b462bfb397d --- /dev/null +++ b/tests/unit_tests/model/test_currency_pyo3.py @@ -0,0 +1,265 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import pickle + +import pytest + +from nautilus_trader.core.nautilus_pyo3 import Currency +from nautilus_trader.core.nautilus_pyo3 import CurrencyType + + +AUD = Currency.from_str("AUD") +BTC = Currency.from_str("BTC") +ETH = Currency.from_str("ETH") +GBP = Currency.from_str("GBP") + + +class TestCurrency: + def test_currency_with_negative_precision_raises_overflow_error(self): + # Arrange, Act, Assert + with pytest.raises(OverflowError): + Currency( + code="AUD", + precision=-1, + iso4217=36, + name="Australian dollar", + currency_type=CurrencyType.FIAT, + ) + + def test_currency_with_precision_over_maximum_raises_value_error(self): + # Arrange, Act, Assert + with pytest.raises(ValueError): + Currency( + code="AUD", + precision=10, + iso4217=36, + name="Australian dollar", + currency_type=CurrencyType.FIAT, + ) + + def test_currency_properties(self): + # Testing this as `code` and `precision` are being returned from Rust + # Arrange + currency = Currency( + code="AUD", + precision=2, + iso4217=36, + name="Australian dollar", + currency_type=CurrencyType.FIAT, + ) + + # Act, Assert + assert currency.code == "AUD" + assert currency.precision == 2 + assert currency.iso4217 == 36 + assert currency.name == "Australian dollar" + assert currency.currency_type == CurrencyType.FIAT + + def test_currency_equality(self): + # Arrange + currency1 = Currency( + code="AUD", + precision=2, + iso4217=36, + name="Australian dollar", + currency_type=CurrencyType.FIAT, + ) + + currency2 = Currency( + code="AUD", + precision=2, + iso4217=36, + name="Australian dollar", + currency_type=CurrencyType.FIAT, + ) + + currency3 = Currency( + code="GBP", + precision=2, + iso4217=826, + name="British pound", + currency_type=CurrencyType.FIAT, + ) + + # Act, Assert + assert currency1 == currency1 + assert currency1 == currency2 + assert currency1 != currency3 + + def test_currency_hash(self): + # Arrange + currency = Currency( + code="AUD", + precision=2, + iso4217=36, + name="Australian dollar", + currency_type=CurrencyType.FIAT, + ) + + # Act, Assert + assert isinstance(hash(currency), int) + assert hash(currency) == hash(currency) + + def test_str_repr(self): + # Arrange + currency = Currency( + code="AUD", + precision=2, + iso4217=36, + name="Australian dollar", + currency_type=CurrencyType.FIAT, + ) + + # Act, Assert + assert str(currency) == "AUD" + assert currency.code == "AUD" + assert currency.name == "Australian dollar" + assert ( + repr(currency) + == 'Currency { code: u!("AUD"), precision: 2, iso4217: 36, name: u!("Australian dollar"), currency_type: Fiat }' + ) + + def test_currency_pickle(self): + # Arrange + currency = Currency( + code="AUD", + precision=2, + iso4217=36, + name="Australian dollar", + currency_type=CurrencyType.FIAT, + ) + + # Act + pickled = pickle.dumps(currency) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) + + # Assert + assert unpickled == currency + assert ( + repr(unpickled) + == 'Currency { code: u!("AUD"), precision: 2, iso4217: 36, name: u!("Australian dollar"), currency_type: Fiat }' + ) + + def test_register_adds_currency_to_internal_currency_map(self): + # Arrange, Act + ape_coin = Currency( + code="APE", + precision=8, + iso4217=0, + name="ApeCoin", + currency_type=CurrencyType.CRYPTO, + ) + + Currency.register(ape_coin) + result = Currency.from_str("APE") + + assert result == ape_coin + + def test_register_when_overwrite_false_does_not_overwrite_internal_currency_map(self): + # Arrange, Act + another_aud = Currency( + code="AUD", + precision=8, # <-- Different precision + iso4217=0, + name="AUD", + currency_type=CurrencyType.CRYPTO, + ) + Currency.register(another_aud, overwrite=False) + + result = Currency.from_str("AUD") + + assert result.precision == 2 # Correct precision from built-in currency + assert result.currency_type == CurrencyType.FIAT + + def test_from_internal_map_when_unknown(self): + # Arrange, Act, Assert + result = Currency.from_str("SOME_CURRENCY") + + # Assert + assert result.code == "SOME_CURRENCY" + assert result.precision == 8 + assert result.currency_type == CurrencyType.CRYPTO + + def test_from_internal_map_when_exists(self): + # Arrange, Act + result = Currency.from_str("AUD") + + # Assert + assert result.code == "AUD" + assert result.precision == 2 + assert result.iso4217 == 36 + assert result.name == "Australian dollar" + assert result.currency_type == CurrencyType.FIAT + + def test_from_str_in_strict_mode_given_unknown_code_raises_value_error(self): + # Arrange, Act, Assert + with pytest.raises(ValueError): + Currency.from_str("SOME_CURRENCY", strict=True) + + def test_from_str_not_in_strict_mode_returns_crypto(self): + # Arrange, Act + result = Currency.from_str("ZXX_EXOTIC", strict=False) + + # Assert + assert result.code == "ZXX_EXOTIC" + assert result.precision == 8 + assert result.iso4217 == 0 + assert result.name == "ZXX_EXOTIC" + assert result.currency_type == CurrencyType.CRYPTO + + @pytest.mark.parametrize( + ("string", "expected"), + [["AUD", AUD], ["GBP", GBP], ["BTC", BTC], ["ETH", ETH]], + ) + def test_from_str(self, string, expected): + # Arrange, Act + result = Currency.from_str(string) + + # Assert + assert result == expected + + @pytest.mark.parametrize( + ("string", "expected"), + [["AUD", True], ["BTC", False], ["XAG", False]], + ) + def test_is_fiat(self, string, expected): + # Arrange, Act + result = Currency.is_fiat(string) + + # Assert + assert result == expected + + @pytest.mark.parametrize( + ("string", "expected"), + [["BTC", True], ["AUD", False], ["XAG", False]], + ) + def test_is_crypto(self, string, expected): + # Arrange, Act + result = Currency.is_crypto(string) + + # Assert + assert result == expected + + @pytest.mark.parametrize( + ("string", "expected"), + [["BTC", False], ["AUD", False], ["XAG", True]], + ) + def test_is_commodity_backed(self, string, expected): + # Arrange, Act + result = Currency.is_commodity_backed(string) + + # Assert + assert result == expected diff --git a/tests/unit_tests/model/test_enums.py b/tests/unit_tests/model/test_enums.py index ce8ba07b59e2..3412596dbaea 100644 --- a/tests/unit_tests/model/test_enums.py +++ b/tests/unit_tests/model/test_enums.py @@ -25,6 +25,7 @@ from nautilus_trader.model.enums import BookType from nautilus_trader.model.enums import ContingencyType from nautilus_trader.model.enums import CurrencyType +from nautilus_trader.model.enums import HaltReason from nautilus_trader.model.enums import InstrumentCloseType from nautilus_trader.model.enums import LiquiditySide from nautilus_trader.model.enums import MarketStatus @@ -59,6 +60,8 @@ from nautilus_trader.model.enums import contingency_type_to_str from nautilus_trader.model.enums import currency_type_from_str from nautilus_trader.model.enums import currency_type_to_str +from nautilus_trader.model.enums import halt_reason_from_str +from nautilus_trader.model.enums import halt_reason_to_str from nautilus_trader.model.enums import instrument_close_type_from_str from nautilus_trader.model.enums import instrument_close_type_to_str from nautilus_trader.model.enums import liquidity_side_from_str @@ -369,7 +372,7 @@ class TestBookType: @pytest.mark.parametrize( ("enum", "expected"), [ - [BookType.L1_TBBO, "L1_TBBO"], + [BookType.L1_MBP, "L1_MBP"], [BookType.L2_MBP, "L2_MBP"], [BookType.L3_MBO, "L3_MBO"], ], @@ -385,7 +388,7 @@ def test_orderbook_level_to_str(self, enum, expected): ("string", "expected"), [ ["", None], - ["L1_TBBO", BookType.L1_TBBO], + ["L1_MBP", BookType.L1_MBP], ["L2_MBP", BookType.L2_MBP], ["L3_MBO", BookType.L3_MBO], ], @@ -495,6 +498,38 @@ def test_option_kind_from_str(self, string, expected): assert result == expected +class TestHaltReason: + @pytest.mark.parametrize( + ("enum", "expected"), + [ + [HaltReason.NOT_HALTED, "NOT_HALTED"], + [HaltReason.GENERAL, "GENERAL"], + [HaltReason.VOLATILITY, "VOLATILITY"], + ], + ) + def test_halt_reason_to_str(self, enum, expected): + # Arrange, Act + result = halt_reason_to_str(enum) + + # Assert + assert result == expected + + @pytest.mark.parametrize( + ("string", "expected"), + [ + ["NOT_HALTED", HaltReason.NOT_HALTED], + ["GENERAL", HaltReason.GENERAL], + ["VOLATILITY", HaltReason.VOLATILITY], + ], + ) + def test_halt_reason_from_str(self, string, expected): + # Arrange, Act + result = halt_reason_from_str(string) + + # Assert + assert result == expected + + class TestInstrumentCloseType: @pytest.mark.parametrize( ("enum", "expected"), diff --git a/tests/unit_tests/model/test_events.py b/tests/unit_tests/model/test_events.py index 471ece20c150..2df93de522e2 100644 --- a/tests/unit_tests/model/test_events.py +++ b/tests/unit_tests/model/test_events.py @@ -298,7 +298,7 @@ def test_order_accepted_event_to_from_dict_and_str_repr(self): assert OrderAccepted.from_dict(OrderAccepted.to_dict(event)) == event assert ( str(event) - == "OrderAccepted(instrument_id=BTCUSDT.BINANCE, client_order_id=O-2020872378423, venue_order_id=123456, account_id=SIM-000, ts_event=0)" # noqa + == "OrderAccepted(instrument_id=BTCUSDT.BINANCE, client_order_id=O-2020872378423, venue_order_id=123456, account_id=SIM-000, ts_event=0)" ) assert ( repr(event) @@ -350,7 +350,7 @@ def test_order_canceled_event_to_from_dict_and_str_repr(self): assert OrderCanceled.from_dict(OrderCanceled.to_dict(event)) == event assert ( str(event) - == "OrderCanceled(instrument_id=BTCUSDT.BINANCE, client_order_id=O-2020872378423, venue_order_id=123456, account_id=SIM-000, ts_event=0)" # noqa + == "OrderCanceled(instrument_id=BTCUSDT.BINANCE, client_order_id=O-2020872378423, venue_order_id=123456, account_id=SIM-000, ts_event=0)" ) assert ( repr(event) @@ -376,7 +376,7 @@ def test_order_expired_event_to_from_dict_and_str_repr(self): assert OrderExpired.from_dict(OrderExpired.to_dict(event)) == event assert ( str(event) - == "OrderExpired(instrument_id=BTCUSDT.BINANCE, client_order_id=O-2020872378423, venue_order_id=123456, account_id=SIM-000, ts_event=0)" # noqa + == "OrderExpired(instrument_id=BTCUSDT.BINANCE, client_order_id=O-2020872378423, venue_order_id=123456, account_id=SIM-000, ts_event=0)" ) assert ( repr(event) @@ -402,7 +402,7 @@ def test_order_triggered_event_to_from_dict_and_str_repr(self): assert OrderTriggered.from_dict(OrderTriggered.to_dict(event)) == event assert ( str(event) - == "OrderTriggered(instrument_id=BTCUSDT.BINANCE, client_order_id=O-2020872378423, venue_order_id=123456, account_id=SIM-000, ts_event=0)" # noqa + == "OrderTriggered(instrument_id=BTCUSDT.BINANCE, client_order_id=O-2020872378423, venue_order_id=123456, account_id=SIM-000, ts_event=0)" ) assert ( repr(event) diff --git a/tests/unit_tests/model/test_identifiers.py b/tests/unit_tests/model/test_identifiers.py index abdaa4db3150..35412e6debdc 100644 --- a/tests/unit_tests/model/test_identifiers.py +++ b/tests/unit_tests/model/test_identifiers.py @@ -18,298 +18,203 @@ import pytest from nautilus_trader.model.identifiers import AccountId -from nautilus_trader.model.identifiers import ClientOrderId from nautilus_trader.model.identifiers import ExecAlgorithmId from nautilus_trader.model.identifiers import InstrumentId -from nautilus_trader.model.identifiers import StrategyId from nautilus_trader.model.identifiers import Symbol from nautilus_trader.model.identifiers import TraderId from nautilus_trader.model.identifiers import Venue -class TestIdentifiers: - def test_equality(self): - # Arrange - id1 = Symbol("abc123") - id2 = Symbol("abc123") - id3 = Symbol("def456") - - # Act, Assert - assert id1.value == "abc123" - assert id1 == id1 - assert id1 == id2 - assert id1 != id3 - - def test_comparison(self): - # Arrange - string1 = Symbol("123") - string2 = Symbol("456") - string3 = Symbol("abc") - string4 = Symbol("def") - - # Act, Assert - assert string1 <= string1 - assert string1 <= string2 - assert string1 < string2 - assert string2 > string1 - assert string2 >= string1 - assert string2 >= string2 - assert string3 <= string4 - - def test_hash(self): - # Arrange - identifier1 = Symbol("abc") - identifier2 = Symbol("abc") - - # Act, Assert - assert isinstance(hash(identifier1), int) - assert hash(identifier1) == hash(identifier2) - - def test_identifier_equality(self): - # Arrange - id1 = Symbol("some-id-1") - id2 = Symbol("some-id-2") - - # Act, Assert - assert id1 == id1 - assert id1 != id2 - - def test_identifier_to_str(self): - # Arrange - identifier = Symbol("some-id") - - # Act - result = str(identifier) - - # Assert - assert result == "some-id" - - def test_identifier_repr(self): - # Arrange - identifier = Symbol("some-id") - - # Act - result = repr(identifier) - - # Assert - assert result == "Symbol('some-id')" - - def test_trader_identifier(self): - # Arrange, Act - trader_id1 = TraderId("TESTER-000") - trader_id2 = TraderId("TESTER-001") - - # Assert - assert trader_id1 == trader_id1 - assert trader_id1 != trader_id2 - assert trader_id1.value == "TESTER-000" - assert trader_id1.get_tag() == "000" - - def test_account_identifier(self): - # Arrange, Act - account_id1 = AccountId("SIM-02851908") - account_id2 = AccountId("SIM-09999999") - - # Assert - assert account_id1 == account_id1 - assert account_id1 != account_id2 - assert "SIM-02851908", account_id1.value - assert account_id1 == AccountId("SIM-02851908") - - -class TestSymbol: - def test_symbol_equality(self): - # Arrange - symbol1 = Symbol("AUD/USD") - symbol2 = Symbol("ETH/USD") - symbol3 = Symbol("AUD/USD") - - # Act, Assert - assert symbol1 == symbol1 - assert symbol1 != symbol2 - assert symbol1 == symbol3 - - def test_symbol_str(self): - # Arrange - symbol = Symbol("AUD/USD") - - # Act, Assert - assert str(symbol) == "AUD/USD" - - def test_symbol_repr(self): - # Arrange - symbol = Symbol("AUD/USD") - - # Act, Assert - assert repr(symbol) == "Symbol('AUD/USD')" - - def test_symbol_pickling(self): - # Arrange - symbol = Symbol("AUD/USD") - - # Act - pickled = pickle.dumps(symbol) - unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) - - # Act, Assert - assert symbol == unpickled +def test_trader_identifier() -> None: + # Arrange, Act + trader_id1 = TraderId("TESTER-000") + trader_id2 = TraderId("TESTER-001") + # Assert + assert trader_id1 == trader_id1 + assert trader_id1 != trader_id2 + assert trader_id1.value == "TESTER-000" -class TestVenue: - def test_venue_equality(self): - # Arrange - venue1 = Venue("SIM") - venue2 = Venue("IDEALPRO") - venue3 = Venue("SIM") - # Act, Assert - assert venue1 == venue1 - assert venue1 != venue2 - assert venue1 == venue3 +def test_account_identifier() -> None: + # Arrange, Act + account_id1 = AccountId("SIM-02851908") + account_id2 = AccountId("SIM-09999999") - def test_venue_is_synthetic(self): - # Arrange - venue1 = Venue("SYNTH") - venue2 = Venue("SIM") + # Assert + assert account_id1 == account_id1 + assert account_id1 != account_id2 + assert "SIM-02851908", account_id1.value + assert account_id1 == AccountId("SIM-02851908") - # Act, Assert - assert venue1.is_synthetic() - assert not venue2.is_synthetic() - def test_venue_str(self): - # Arrange - venue = Venue("NYMEX") +def test_symbol_equality() -> None: + # Arrange + symbol1 = Symbol("AUD/USD") + symbol2 = Symbol("ETH/USD") + symbol3 = Symbol("AUD/USD") - # Act, Assert - assert str(venue) == "NYMEX" + # Act, Assert + assert symbol1 == symbol1 + assert symbol1 != symbol2 + assert symbol1 == symbol3 - def test_venue_repr(self): - # Arrange - venue = Venue("NYMEX") - # Act, Assert - assert repr(venue) == "Venue('NYMEX')" +def test_symbol_str() -> None: + # Arrange + symbol = Symbol("AUD/USD") - def test_venue_pickling(self): - # Arrange - venue = Venue("NYMEX") + # Act, Assert + assert str(symbol) == "AUD/USD" - # Act - pickled = pickle.dumps(venue) - unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) - # Act, Assert - assert venue == unpickled +def test_symbol_repr() -> None: + # Arrange + symbol = Symbol("AUD/USD") + # Act, Assert + assert repr(symbol) == "Symbol('AUD/USD')" -class TestInstrumentId: - def test_instrument_id_equality(self): - # Arrange - instrument_id1 = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) - instrument_id2 = InstrumentId(Symbol("AUD/USD"), Venue("IDEALPRO")) - instrument_id3 = InstrumentId(Symbol("GBP/USD"), Venue("SIM")) - # Act, Assert - assert instrument_id1 == instrument_id1 - assert instrument_id1 != instrument_id2 - assert instrument_id1 != instrument_id3 +def test_symbol_pickling() -> None: + # Arrange + symbol = Symbol("AUD/USD") - def test_instrument_id_is_synthetic(self): - # Arrange - instrument_id1 = InstrumentId(Symbol("BTC-ETH"), Venue("SYNTH")) - instrument_id2 = InstrumentId(Symbol("AUD/USD"), Venue("IDEALPRO")) + # Act + pickled = pickle.dumps(symbol) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) - # Act, Assert - assert instrument_id1.is_synthetic() - assert not instrument_id2.is_synthetic() + # Act, Assert + assert symbol == unpickled - def test_instrument_id_str(self): - # Arrange - instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) - # Act, Assert - assert str(instrument_id) == "AUD/USD.SIM" +def test_venue_equality() -> None: + # Arrange + venue1 = Venue("SIM") + venue2 = Venue("IDEALPRO") + venue3 = Venue("SIM") - def test_pickling(self): - # Arrange - instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + # Act, Assert + assert venue1 == venue1 + assert venue1 != venue2 + assert venue1 == venue3 - # Act - pickled = pickle.dumps(instrument_id) - unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) - # Act, Assert - assert unpickled == instrument_id +def test_venue_str() -> None: + # Arrange + venue = Venue("NYMEX") - def test_instrument_id_repr(self): - # Arrange - instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + # Act, Assert + assert str(venue) == "NYMEX" - # Act, Assert - assert repr(instrument_id) == "InstrumentId('AUD/USD.SIM')" - def test_parse_instrument_id_from_str(self): - # Arrange - instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) +def test_venue_repr() -> None: + # Arrange + venue = Venue("NYMEX") - # Act - result = InstrumentId.from_str(str(instrument_id)) + # Act, Assert + assert repr(venue) == "Venue('NYMEX')" - # Assert - assert str(result.symbol) == "AUD/USD" - assert str(result.venue) == "SIM" - assert result == instrument_id +def test_venue_pickling() -> None: + # Arrange + venue = Venue("NYMEX") -class TestStrategyId: - def test_is_external(self): - # Arrange - strategy1 = StrategyId("EXTERNAL") - strategy2 = StrategyId("MyStrategy-001") + # Act + pickled = pickle.dumps(venue) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) - # Act, Assert - assert strategy1.is_external() - assert not strategy2.is_external() + # Act, Assert + assert venue == unpickled -class TestExecAlgorithmId: - def test_exec_algorithm_id(self): - # Arrange - exec_algorithm_id1 = ExecAlgorithmId("VWAP") - exec_algorithm_id2 = ExecAlgorithmId("TWAP") +def test_instrument_id_equality() -> None: + # Arrange + instrument_id1 = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + instrument_id2 = InstrumentId(Symbol("AUD/USD"), Venue("IDEALPRO")) + instrument_id3 = InstrumentId(Symbol("GBP/USD"), Venue("SIM")) - # Act, Assert - assert exec_algorithm_id1 == exec_algorithm_id1 - assert exec_algorithm_id1 != exec_algorithm_id2 - assert isinstance(hash(exec_algorithm_id1), int) - assert str(exec_algorithm_id1) == "VWAP" - assert repr(exec_algorithm_id1) == "ExecAlgorithmId('VWAP')" + # Act, Assert + assert instrument_id1 == instrument_id1 + assert instrument_id1 != instrument_id2 + assert instrument_id1 != instrument_id3 + + +def test_instrument_id_str() -> None: + # Arrange + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + + # Act, Assert + assert str(instrument_id) == "AUD/USD.SIM" + + +def test_instrument_id_pickling() -> None: + # Arrange + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + + # Act + pickled = pickle.dumps(instrument_id) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) + + # Act, Assert + assert unpickled == instrument_id + + +def test_instrument_id_repr() -> None: + # Arrange + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + + # Act, Assert + assert repr(instrument_id) == "InstrumentId('AUD/USD.SIM')" + + +def test_instrument_id_from_str() -> None: + # Arrange + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + + # Act + result = InstrumentId.from_str(str(instrument_id)) + + # Assert + assert str(result.symbol) == "AUD/USD" + assert str(result.venue) == "SIM" + assert result == instrument_id @pytest.mark.parametrize( - ("client_order_id", "trader_id", "expected"), + ("input", "expected_err"), [ [ - ClientOrderId("O-20210410-022422-001-001-001"), - TraderId("TRADER-001"), - True, + "BTCUSDT", + "Error parsing `InstrumentId` from 'BTCUSDT': Missing '.' separator between symbol and venue components", ], [ - ClientOrderId("O-20210410-022422-001-001-001"), - TraderId("TRADER-000"), # <-- Different trader ID - False, + ".USDT", + "Error parsing `InstrumentId` from '.USDT': Condition failed: invalid string for `Symbol` value, was empty", ], [ - ClientOrderId("O-001"), # <-- Some custom ID without enough components - TraderId("TRADER-001"), - False, + "BTC.", + "Error parsing `InstrumentId` from 'BTC.': Condition failed: invalid string for `Venue` value, was empty", ], ], ) -def test_client_order_id_is_this_trader( - client_order_id: ClientOrderId, - trader_id: TraderId, - expected: bool, -) -> None: - # Arrange, Act, Assert - assert client_order_id.is_this_trader(trader_id) == expected +def test_instrument_id_from_str_when_invalid(input: str, expected_err: str) -> None: + # Arrange, Act + with pytest.raises(ValueError) as exc_info: + InstrumentId.from_str(input) + + # Assert + assert str(exc_info.value) == expected_err + + +def test_exec_algorithm_id() -> None: + # Arrange + exec_algorithm_id1 = ExecAlgorithmId("VWAP") + exec_algorithm_id2 = ExecAlgorithmId("TWAP") + + # Act, Assert + assert exec_algorithm_id1 == exec_algorithm_id1 + assert exec_algorithm_id1 != exec_algorithm_id2 + assert isinstance(hash(exec_algorithm_id1), int) + assert str(exec_algorithm_id1) == "VWAP" + assert repr(exec_algorithm_id1) == "ExecAlgorithmId('VWAP')" diff --git a/tests/unit_tests/model/test_identifiers_pyo3.py b/tests/unit_tests/model/test_identifiers_pyo3.py new file mode 100644 index 000000000000..df037e5159b5 --- /dev/null +++ b/tests/unit_tests/model/test_identifiers_pyo3.py @@ -0,0 +1,220 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import pickle + +import pytest + +from nautilus_trader.core.nautilus_pyo3 import AccountId +from nautilus_trader.core.nautilus_pyo3 import ExecAlgorithmId +from nautilus_trader.core.nautilus_pyo3 import InstrumentId +from nautilus_trader.core.nautilus_pyo3 import Symbol +from nautilus_trader.core.nautilus_pyo3 import TraderId +from nautilus_trader.core.nautilus_pyo3 import Venue + + +def test_trader_identifier() -> None: + # Arrange, Act + trader_id1 = TraderId("TESTER-000") + trader_id2 = TraderId("TESTER-001") + + # Assert + assert trader_id1 == trader_id1 + assert trader_id1 != trader_id2 + assert trader_id1.value == "TESTER-000" + + +def test_account_identifier() -> None: + # Arrange, Act + account_id1 = AccountId("SIM-02851908") + account_id2 = AccountId("SIM-09999999") + + # Assert + assert account_id1 == account_id1 + assert account_id1 != account_id2 + assert "SIM-02851908", account_id1.value + assert account_id1 == AccountId("SIM-02851908") + + +def test_symbol_equality() -> None: + # Arrange + symbol1 = Symbol("AUD/USD") + symbol2 = Symbol("ETH/USD") + symbol3 = Symbol("AUD/USD") + + # Act, Assert + assert symbol1 == symbol1 + assert symbol1 != symbol2 + assert symbol1 == symbol3 + + +def test_symbol_str() -> None: + # Arrange + symbol = Symbol("AUD/USD") + + # Act, Assert + assert str(symbol) == "AUD/USD" + + +def test_symbol_repr() -> None: + # Arrange + symbol = Symbol("AUD/USD") + + # Act, Assert + assert repr(symbol) == "Symbol('AUD/USD')" + + +def test_symbol_pickling() -> None: + # Arrange + symbol = Symbol("AUD/USD") + + # Act + pickled = pickle.dumps(symbol) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) + + # Act, Assert + assert symbol == unpickled + + +def test_venue_equality() -> None: + # Arrange + venue1 = Venue("SIM") + venue2 = Venue("IDEALPRO") + venue3 = Venue("SIM") + + # Act, Assert + assert venue1 == venue1 + assert venue1 != venue2 + assert venue1 == venue3 + + +def test_venue_str() -> None: + # Arrange + venue = Venue("NYMEX") + + # Act, Assert + assert str(venue) == "NYMEX" + + +def test_venue_repr() -> None: + # Arrange + venue = Venue("NYMEX") + + # Act, Assert + assert repr(venue) == "Venue('NYMEX')" + + +def test_venue_pickling() -> None: + # Arrange + venue = Venue("NYMEX") + + # Act + pickled = pickle.dumps(venue) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) + + # Act, Assert + assert venue == unpickled + + +def test_instrument_id_equality() -> None: + # Arrange + instrument_id1 = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + instrument_id2 = InstrumentId(Symbol("AUD/USD"), Venue("IDEALPRO")) + instrument_id3 = InstrumentId(Symbol("GBP/USD"), Venue("SIM")) + + # Act, Assert + assert instrument_id1 == instrument_id1 + assert instrument_id1 != instrument_id2 + assert instrument_id1 != instrument_id3 + + +def test_instrument_id_str() -> None: + # Arrange + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + + # Act, Assert + assert str(instrument_id) == "AUD/USD.SIM" + + +def test_instrument_id_pickling() -> None: + # Arrange + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + + # Act + pickled = pickle.dumps(instrument_id) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) + + # Act, Assert + assert unpickled == instrument_id + + +def test_instrument_id_repr() -> None: + # Arrange + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + + # Act, Assert + assert repr(instrument_id) == "InstrumentId('AUD/USD.SIM')" + + +def test_instrument_id_from_str() -> None: + # Arrange + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + + # Act + result = InstrumentId.from_str(str(instrument_id)) + + # Assert + assert str(result.symbol) == "AUD/USD" + assert str(result.venue) == "SIM" + assert result == instrument_id + + +@pytest.mark.parametrize( + ("input", "expected_err"), + [ + [ + "BTCUSDT", + "Error parsing `InstrumentId` from 'BTCUSDT': Missing '.' separator between symbol and venue components", + ], + [ + ".USDT", + "Error parsing `InstrumentId` from '.USDT': Condition failed: invalid string for `Symbol` value, was empty", + ], + [ + "BTC.", + "Error parsing `InstrumentId` from 'BTC.': Condition failed: invalid string for `Venue` value, was empty", + ], + ], +) +def test_instrument_id_from_str_when_invalid(input: str, expected_err: str) -> None: + # Arrange, Act + with pytest.raises(ValueError) as exc_info: + InstrumentId.from_str(input) + + # Assert + assert str(exc_info.value) == expected_err + + +def test_exec_algorithm_id() -> None: + # Arrange + exec_algorithm_id1 = ExecAlgorithmId("VWAP") + exec_algorithm_id2 = ExecAlgorithmId("TWAP") + + # Act, Assert + assert exec_algorithm_id1 == exec_algorithm_id1 + assert exec_algorithm_id1 != exec_algorithm_id2 + assert isinstance(hash(exec_algorithm_id1), int) + assert str(exec_algorithm_id1) == "VWAP" + assert repr(exec_algorithm_id1) == "ExecAlgorithmId('VWAP')" diff --git a/tests/unit_tests/model/test_instrument.py b/tests/unit_tests/model/test_instrument.py index 94131eed6e70..1c88bffc10e7 100644 --- a/tests/unit_tests/model/test_instrument.py +++ b/tests/unit_tests/model/test_instrument.py @@ -44,8 +44,8 @@ BTCUSDT_BINANCE = TestInstrumentProvider.btcusdt_binance() BTCUSDT_220325 = TestInstrumentProvider.btcusdt_future_binance() ETHUSD_BITMEX = TestInstrumentProvider.ethusd_bitmex() -AAPL_EQUITY = TestInstrumentProvider.aapl_equity() -ES_FUTURE = TestInstrumentProvider.es_future() +AAPL_EQUITY = TestInstrumentProvider.equity(symbol="AAPL", venue="NASDAQ") +ES_FUTURE = TestInstrumentProvider.future(symbol="ESZ21", underlying="ES", venue="CME") AAPL_OPTION = TestInstrumentProvider.aapl_option() diff --git a/tests/unit_tests/model/test_objects_money.py b/tests/unit_tests/model/test_objects_money.py index 9754ce91793b..018cda1e208e 100644 --- a/tests/unit_tests/model/test_objects_money.py +++ b/tests/unit_tests/model/test_objects_money.py @@ -22,6 +22,7 @@ from nautilus_trader.model.currencies import AUD from nautilus_trader.model.currencies import USD from nautilus_trader.model.currencies import USDT +from nautilus_trader.model.currency import Currency from nautilus_trader.model.identifiers import InstrumentId from nautilus_trader.model.identifiers import Symbol from nautilus_trader.model.identifiers import Venue @@ -173,6 +174,26 @@ def test_from_str_when_malformed_raises_value_error(self) -> None: with pytest.raises(ValueError): Money.from_str(value) + @pytest.mark.parametrize( + ("value", "currency", "expected"), + [ + [0, USDT, Money(0, USDT)], + [1_000_000_000, USD, Money(1.00, USD)], + [10_000_000_000, AUD, Money(10.00, AUD)], + ], + ) + def test_from_raw_given_valid_values_returns_expected_result( + self, + value: str, + currency: Currency, + expected: Money, + ) -> None: + # Arrange, Act + result = Money.from_raw(value, currency) + + # Assert + assert result == expected + @pytest.mark.parametrize( ("value", "expected"), [ @@ -183,8 +204,8 @@ def test_from_str_when_malformed_raises_value_error(self) -> None: ) def test_from_str_given_valid_strings_returns_expected_result( self, - value, - expected, + value: str, + expected: Money, ) -> None: # Arrange, Act result1 = Money.from_str(value) diff --git a/tests/unit_tests/model/test_objects_money_pyo3.py b/tests/unit_tests/model/test_objects_money_pyo3.py new file mode 100644 index 000000000000..5d2579886436 --- /dev/null +++ b/tests/unit_tests/model/test_objects_money_pyo3.py @@ -0,0 +1,310 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import math +import pickle +from typing import Any + +import pytest + +from nautilus_trader.core.nautilus_pyo3 import Currency + +# from nautilus_trader.model.objects import AccountBalance +# from nautilus_trader.model.objects import MarginBalance +from nautilus_trader.core.nautilus_pyo3 import Money + + +AUD = Currency.from_str("AUD") +USD = Currency.from_str("USD") +USDT = Currency.from_str("USDT") + + +class TestMoney: + def test_instantiate_with_nan_raises_value_error(self): + # Arrange, Act, Assert + with pytest.raises(ValueError): + Money(math.nan, currency=USD) + + def test_instantiate_with_none_value_raises_type_error(self) -> None: + # Arrange, Act, Assert + with pytest.raises(TypeError): + Money(None, currency=USD) + + def test_instantiate_with_none_currency_raises_type_error(self) -> None: + # Arrange, Act, Assert + with pytest.raises(TypeError): + Money(1.0, None) + + def test_instantiate_with_value_exceeding_positive_limit_raises_value_error(self) -> None: + # Arrange, Act, Assert + with pytest.raises(ValueError): + Money(9_223_372_036 + 1, currency=USD) + + def test_instantiate_with_value_exceeding_negative_limit_raises_value_error(self) -> None: + # Arrange, Act, Assert + with pytest.raises(ValueError): + Money(-9_223_372_036 - 1, currency=USD) + + @pytest.mark.parametrize( + ("value", "expected"), + [ + [0, Money(0, USD)], + [1, Money(1, USD)], + [-1, Money(-1, USD)], + ], + ) + def test_instantiate_with_various_valid_inputs_returns_expected_money( + self, + value: Any, + expected: Money, + ) -> None: + # Arrange, Act + money = Money(value, USD) + + # Assert + assert money == expected + + def test_pickling(self): + # Arrange + money = Money(1, USD) + + # Act + pickled = pickle.dumps(money) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) + + # Assert + assert unpickled == money + + def test_as_double_returns_expected_result(self) -> None: + # Arrange, Act + money = Money(1, USD) + + # Assert + assert money.as_double() == 1.0 + assert money.raw == 1_000_000_000 + assert str(money) == "1.00 USD" + + def test_initialized_with_many_decimals_rounds_to_currency_precision(self) -> None: + # Arrange, Act + result1 = Money(1000.333, USD) + result2 = Money(5005.556666, USD) + + # Assert + assert result1.raw == 1_000_330_000_000 + assert result2.raw == 5_005_560_000_000 + assert str(result1) == "1000.33 USD" + assert str(result2) == "5005.56 USD" + assert result1.to_formatted_str() == "1_000.33 USD" + assert result2.to_formatted_str() == "5_005.56 USD" + + def test_equality_with_different_currencies_raises_value_error(self) -> None: + # Arrange + money1 = Money(1, USD) + money2 = Money(1, AUD) + + # Act, Assert + with pytest.raises(ValueError): + assert money1 != money2 + + def test_equality(self) -> None: + # Arrange + money1 = Money(1, USD) + money2 = Money(1, USD) + money3 = Money(2, USD) + + # Act, Assert + assert money1 == money2 + assert money1 != money3 + + def test_hash(self) -> None: + # Arrange + money0 = Money(0, USD) + + # Act, Assert + assert isinstance(hash(money0), int) + assert hash(money0) == hash(money0) + + def test_str(self) -> None: + # Arrange + money0 = Money(0, USD) + money1 = Money(1, USD) + money2 = Money(1_000_000, USD) + + # Act, Assert + assert str(money0) == "0.00 USD" + assert str(money1) == "1.00 USD" + assert str(money2) == "1000000.00 USD" + assert money2.to_formatted_str() == "1_000_000.00 USD" + + def test_repr(self) -> None: + # Arrange + money = Money(1.00, USD) + + # Act + result = repr(money) + + # Assert + assert result == "Money('1.00', USD)" + + @pytest.mark.parametrize( + ("value", "currency", "expected"), + [ + [0, USDT, Money(0, USDT)], + [1_000_000_000, USD, Money(1.00, USD)], + [10_000_000_000, AUD, Money(10.00, AUD)], + ], + ) + def test_from_raw_given_valid_values_returns_expected_result( + self, + value: int, + currency: Currency, + expected: Money, + ) -> None: + # Arrange, Act + result = Money.from_raw(value, currency) + + # Assert + assert result == expected + + def test_from_str_when_malformed_raises_value_error(self) -> None: + # Arrange + value = "@" + + # Act, Assert + with pytest.raises(ValueError): + Money.from_str(value) + + @pytest.mark.parametrize( + ("value", "expected"), + [ + ["1.00 USDT", Money(1.00, USDT)], + ["1.00 USD", Money(1.00, USD)], + ["1.001 AUD", Money(1.00, AUD)], + ], + ) + def test_from_str_given_valid_strings_returns_expected_result( + self, + value: str, + expected: Money, + ) -> None: + # Arrange, Act + result1 = Money.from_str(value) + result2 = Money.from_str(value) + + # Assert + assert result1 == result2 + assert result1 == expected + + +# class TestAccountBalance: +# def test_equality(self): +# # Arrange, Act +# balance1 = AccountBalance( +# total=Money(1, USD), +# locked=Money(0, USD), +# free=Money(1, USD), +# ) +# +# balance2 = AccountBalance( +# total=Money(1, USD), +# locked=Money(0, USD), +# free=Money(1, USD), +# ) +# +# balance3 = AccountBalance( +# total=Money(2, USD), +# locked=Money(0, USD), +# free=Money(2, USD), +# ) +# +# # Act, Assert +# assert balance1 == balance1 +# assert balance1 == balance2 +# assert balance1 != balance3 +# +# def test_instantiate_str_repr(self): +# # Arrange, Act +# balance = AccountBalance( +# total=Money(1_525_000, USD), +# locked=Money(25_000, USD), +# free=Money(1_500_000, USD), +# ) +# +# # Assert +# assert ( +# str(balance) +# == "AccountBalance(total=1_525_000.00 USD, locked=25_000.00 USD, free=1_500_000.00 USD)" +# ) +# assert ( +# repr(balance) +# == "AccountBalance(total=1_525_000.00 USD, locked=25_000.00 USD, free=1_500_000.00 USD)" +# ) +# +# +# class TestMarginBalance: +# def test_equality(self): +# # Arrange, Act +# margin1 = MarginBalance( +# initial=Money(5_000, USD), +# maintenance=Money(25_000, USD), +# ) +# margin2 = MarginBalance( +# initial=Money(5_000, USD), +# maintenance=Money(25_000, USD), +# ) +# margin3 = MarginBalance( +# initial=Money(10_000, USD), +# maintenance=Money(50_000, USD), +# ) +# +# # Assert +# assert margin1 == margin1 +# assert margin1 == margin2 +# assert margin1 != margin3 +# +# def test_instantiate_str_repr_with_instrument_id(self): +# # Arrange, Act +# margin = MarginBalance( +# initial=Money(5_000, USD), +# maintenance=Money(25_000, USD), +# instrument_id=InstrumentId(Symbol("AUD/USD"), Venue("IDEALPRO")), +# ) +# +# # Assert +# assert ( +# str(margin) +# == "MarginBalance(initial=5_000.00 USD, maintenance=25_000.00 USD, instrument_id=AUD/USD.IDEALPRO)" +# ) +# assert ( +# repr(margin) +# == "MarginBalance(initial=5_000.00 USD, maintenance=25_000.00 USD, instrument_id=AUD/USD.IDEALPRO)" +# ) +# +# def test_instantiate_str_repr_without_instrument_id(self): +# # Arrange, Act +# margin = MarginBalance( +# initial=Money(5_000, USD), +# maintenance=Money(25_000, USD), +# ) +# +# # Assert +# assert ( +# str(margin) +# == "MarginBalance(initial=5_000.00 USD, maintenance=25_000.00 USD, instrument_id=None)" +# ) +# assert ( +# repr(margin) +# == "MarginBalance(initial=5_000.00 USD, maintenance=25_000.00 USD, instrument_id=None)" +# ) diff --git a/tests/unit_tests/model/test_objects_price_pyo3.py b/tests/unit_tests/model/test_objects_price_pyo3.py index 96ff0efa9fc9..f06421488bbc 100644 --- a/tests/unit_tests/model/test_objects_price_pyo3.py +++ b/tests/unit_tests/model/test_objects_price_pyo3.py @@ -19,7 +19,7 @@ import pytest -from nautilus_trader.core.nautilus_pyo3.model import Price +from nautilus_trader.core.nautilus_pyo3 import Price class TestPrice: @@ -30,9 +30,6 @@ def test_instantiate_with_nan_raises_value_error(self): def test_instantiate_with_none_value_raises_type_error(self): # Arrange, Act, Assert - with pytest.raises(TypeError): - Price(None) - with pytest.raises(TypeError): Price(None, precision=0) diff --git a/tests/unit_tests/model/test_objects_quantity_pyo3.py b/tests/unit_tests/model/test_objects_quantity_pyo3.py index 7e0788331ac5..d70428b77520 100644 --- a/tests/unit_tests/model/test_objects_quantity_pyo3.py +++ b/tests/unit_tests/model/test_objects_quantity_pyo3.py @@ -19,7 +19,7 @@ import pytest -from nautilus_trader.core.nautilus_pyo3.model import Quantity +from nautilus_trader.core.nautilus_pyo3 import Quantity class TestQuantity: @@ -868,9 +868,9 @@ def test_from_str_returns_expected_value(self): ["100000000", "100_000_000"], ], ) - def test_str_and_to_str(self, value, expected): + def test_str_and_to_formatted_str(self, value, expected): # Arrange, Act, Assert - assert Quantity.from_str(value).to_str() == expected + assert Quantity.from_str(value).to_formatted_str() == expected def test_str_repr(self): # Arrange diff --git a/tests/unit_tests/model/test_orderbook.py b/tests/unit_tests/model/test_orderbook.py index c6c08a6ee30a..05623e3d1d1a 100644 --- a/tests/unit_tests/model/test_orderbook.py +++ b/tests/unit_tests/model/test_orderbook.py @@ -14,6 +14,7 @@ # ------------------------------------------------------------------------------------------------- import copy +import pickle import msgspec import pandas as pd @@ -94,7 +95,7 @@ def test_order_book_pickleable(self): updates = [OrderBookDelta.from_dict(upd) for upd in raw_updates] # Act, Assert - for update in updates[:2]: + for update in updates: book.apply_delta(update) copy.deepcopy(book) @@ -117,11 +118,11 @@ def test_create_level_1_order_book(self): # Arrange, Act book = OrderBook( instrument_id=self.instrument.id, - book_type=BookType.L1_TBBO, + book_type=BookType.L1_MBP, ) # Assert - assert book.book_type == BookType.L1_TBBO + assert book.book_type == BookType.L1_MBP def test_create_level_2_order_book(self): # Arrange, Act @@ -360,7 +361,7 @@ def test_add(self): def test_delete_l1(self): book = OrderBook( instrument_id=self.instrument.id, - book_type=BookType.L1_TBBO, + book_type=BookType.L1_MBP, ) order = TestDataStubs.order(price=10.0, side=OrderSide.BUY) book.update(order, 0) @@ -528,22 +529,22 @@ def test_orderbook_midpoint_empty(self): # assert self.empty_book.ts_last == delta.ts_init @pytest.mark.skip(reason="TBD") - def test_l3_get_price_for_volume(self): - bid_price = self.sample_book.get_price_for_volume(True, 5.0) - ask_price = self.sample_book.get_price_for_volume(False, 12.0) + def test_l3_get_price_for_size(self): + bid_price = self.sample_book.get_price_for_size(True, 5.0) + ask_price = self.sample_book.get_price_for_size(False, 12.0) assert bid_price == 0.88600 assert ask_price == 0.0 @pytest.mark.skip(reason="TBD") @pytest.mark.parametrize( - ("is_buy", "quote_volume", "expected"), + ("is_buy", "quote_size", "expected"), [ (True, 0.8860, 0.8860), (False, 0.8300, 0.8300), ], ) - def test_l3_get_price_for_quote_volume(self, is_buy, quote_volume, expected): - assert self.sample_book.get_price_for_quote_volume(is_buy, quote_volume) == expected + def test_l3_get_price_for_quote_size(self, is_buy, quote_size, expected): + assert self.sample_book.get_price_for_quote_size(is_buy, quote_size) == expected @pytest.mark.skip(reason="TBD") @pytest.mark.parametrize( @@ -560,8 +561,8 @@ def test_l3_get_price_for_quote_volume(self, is_buy, quote_volume, expected): (False, 0.88700, 0.0), ], ) - def test_get_volume_for_price(self, is_buy, price, expected): - assert self.sample_book.get_volume_for_price(is_buy, price) == expected + def test_get_quantity_for_price(self, is_buy, price, expected): + assert self.sample_book.get_quantity_for_price(is_buy, price) == expected @pytest.mark.skip(reason="TBD") @pytest.mark.parametrize( @@ -578,12 +579,12 @@ def test_get_volume_for_price(self, is_buy, price, expected): (False, 0.88700, 0.0), ], ) - def test_get_quote_volume_for_price(self, is_buy, price, expected): - assert self.sample_book.get_quote_volume_for_price(is_buy, price) == expected + def test_get_quote_size_for_price(self, is_buy, price, expected): + assert self.sample_book.get_quote_size_for_price(is_buy, price) == expected @pytest.mark.skip(reason="TBD") @pytest.mark.parametrize( - ("is_buy", "volume", "expected"), + ("is_buy", "size", "expected"), [ (True, 1.0, 0.886), (True, 3.0, 0.886), @@ -596,8 +597,8 @@ def test_get_quote_volume_for_price(self, is_buy, price, expected): (False, 5.0, 0.828), ], ) - def test_get_vwap_for_volume(self, is_buy, volume, expected): - assert self.sample_book.get_vwap_for_volume(is_buy, volume) == pytest.approx(expected, 0.01) + def test_get_vwap_for_size(self, is_buy, size, expected): + assert self.sample_book.get_vwap_for_size(is_buy, size) == pytest.approx(expected, 0.01) @pytest.mark.skip(reason="TBD") def test_l2_update(self): @@ -644,3 +645,57 @@ def test_l2_update(self): expected_bid = Price(0.990099, 6) expected_bid.add(BookOrder(0.990099, 2.0, OrderSide.BUY, "0.99010")) assert book.best_bid_price() == expected_bid + + def test_book_order_pickle_round_trip(self): + # Arrange + book = TestDataStubs.make_book( + instrument=self.instrument, + book_type=BookType.L2_MBP, + bids=[(0.0040000, 100.0)], + asks=[(0.0010000, 55.81)], + ) + # Act + pickled = pickle.dumps(book) + unpickled = pickle.loads(pickled) # noqa + + # Assert + assert str(book) == str(unpickled) + assert book.bids()[0].orders()[0].price == Price.from_str("0.00400") + + def test_orderbook_deep_copy(self): + # Arrange + instrument_id = InstrumentId.from_str("1.166564490-237491-0.0.BETFAIR") + book = OrderBook(instrument_id, BookType.L2_MBP) + + def make_delta(side: OrderSide, price: float, size: float, ts): + order = BookOrder( + price=Price(price, 2), + size=Quantity(size, 0), + side=side, + order_id=0, + ) + return TestDataStubs.order_book_delta( + instrument_id=instrument_id, + order=order, + ts_init=ts, + ts_event=ts, + ) + + updates = [ + TestDataStubs.order_book_delta_clear(instrument_id=instrument_id), + make_delta(OrderSide.BUY, price=2.0, size=77.0, ts=1), + make_delta(OrderSide.BUY, price=1.0, size=2.0, ts=2), + make_delta(OrderSide.BUY, price=1.0, size=40.0, ts=3), + make_delta(OrderSide.BUY, price=1.0, size=331.0, ts=4), + ] + + # Act + for update in updates: + print(update) + book.apply_delta(update) + book.check_integrity() + new = copy.deepcopy(book) + + # Assert + assert book.ts_last == new.ts_last + assert book.sequence == new.sequence diff --git a/tests/unit_tests/model/test_orderbook_data.py b/tests/unit_tests/model/test_orderbook_data.py index 1a166fd3b659..5ba664485d59 100644 --- a/tests/unit_tests/model/test_orderbook_data.py +++ b/tests/unit_tests/model/test_orderbook_data.py @@ -29,8 +29,51 @@ AUDUSD = TestIdStubs.audusd_id() -def test_book_order_pickle_round_trip(): - # Arrange +def test_book_order_from_raw() -> None: + # Arrange, Act + order = BookOrder.from_raw( + side=OrderSide.BUY, + price_raw=10000000000, + price_prec=1, + size_raw=5000000000, + size_prec=0, + order_id=1, + ) + + # Assert + assert str(order) == "BookOrder { side: Buy, price: 10.0, size: 5, order_id: 1 }" + + +def test_delta_fully_qualified_name() -> None: + # Arrange, Act, Assert + assert OrderBookDelta.fully_qualified_name() == "nautilus_trader.model.data.book:OrderBookDelta" + + +def test_delta_from_raw() -> None: + # Arrange, Act + delta = OrderBookDelta.from_raw( + instrument_id=AUDUSD, + action=BookAction.ADD, + side=OrderSide.BUY, + price_raw=10000000000, + price_prec=1, + size_raw=5000000000, + size_prec=0, + order_id=1, + flags=0, + sequence=123456789, + ts_event=5_000_000, + ts_init=1_000_000_000, + ) + + # Assert + assert ( + str(delta) + == "OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder { side: Buy, price: 10.0, size: 5, order_id: 1 }, flags=0, sequence=123456789, ts_event=5000000, ts_init=1000000000)" # noqa + ) + + +def test_delta_pickle_round_trip() -> None: order = BookOrder( side=OrderSide.BUY, price=Price.from_str("10.0"), @@ -38,359 +81,336 @@ def test_book_order_pickle_round_trip(): order_id=1, ) + delta = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.ADD, + order=order, + flags=0, + sequence=123456789, + ts_event=0, + ts_init=1_000_000_000, + ) + # Act - pickled = pickle.dumps(order) + pickled = pickle.dumps(delta) unpickled = pickle.loads(pickled) # noqa # Assert - assert order == unpickled - - -class TestOrderBookDelta: - def test_fully_qualified_name(self): - # Arrange, Act, Assert - assert ( - OrderBookDelta.fully_qualified_name() - == "nautilus_trader.model.data.book:OrderBookDelta" - ) - - def test_pickle_round_trip(self): - order = BookOrder( - side=OrderSide.BUY, - price=Price.from_str("10.0"), - size=Quantity.from_str("5"), - order_id=1, - ) - - delta = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.ADD, - order=order, - flags=0, - sequence=123456789, - ts_event=0, - ts_init=1_000_000_000, - ) - - # Act - pickled = pickle.dumps(delta) - unpickled = pickle.loads(pickled) # noqa - - # Assert - assert delta == unpickled - - def test_hash_str_and_repr(self): - # Arrange - order = BookOrder( - side=OrderSide.BUY, - price=Price.from_str("10.0"), - size=Quantity.from_str("5"), - order_id=1, - ) - - delta = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.ADD, - order=order, - flags=0, - sequence=123456789, - ts_event=0, - ts_init=1_000_000_000, - ) - - # Act, Assert - assert isinstance(hash(delta), int) - assert ( - str(delta) - == f"OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder {{ side: Buy, price: 10.0, size: 5, order_id: 1 }}, flags=0, sequence=123456789, ts_event=0, ts_init=1000000000)" # noqa - ) - assert ( - repr(delta) - == f"OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder {{ side: Buy, price: 10.0, size: 5, order_id: 1 }}, flags=0, sequence=123456789, ts_event=0, ts_init=1000000000)" # noqa - ) - - def test_with_null_book_order(self): - # Arrange - delta = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.CLEAR, - order=NULL_ORDER, - flags=32, - sequence=123456789, - ts_event=0, - ts_init=1_000_000_000, - ) - - # Act, Assert - assert isinstance(hash(delta), int) - assert ( - str(delta) - == f"OrderBookDelta(instrument_id=AUD/USD.SIM, action=CLEAR, order=BookOrder {{ side: NoOrderSide, price: 0, size: 0, order_id: 0 }}, flags=32, sequence=123456789, ts_event=0, ts_init=1000000000)" # noqa - ) - assert ( - repr(delta) - == f"OrderBookDelta(instrument_id=AUD/USD.SIM, action=CLEAR, order=BookOrder {{ side: NoOrderSide, price: 0, size: 0, order_id: 0 }}, flags=32, sequence=123456789, ts_event=0, ts_init=1000000000)" # noqa - ) - - def test_clear_delta(self): - # Arrange, Act - delta = OrderBookDelta.clear( - instrument_id=AUDUSD, - ts_event=0, - ts_init=1_000_000_000, - sequence=42, - ) - - # Assert - assert delta.action == BookAction.CLEAR - assert delta.sequence == 42 - assert delta.ts_event == 0 - assert delta.ts_init == 1_000_000_000 - - def test_to_dict_with_order_returns_expected_dict(self): - # Arrange - order = BookOrder( - side=OrderSide.BUY, - price=Price.from_str("10.0"), - size=Quantity.from_str("5"), - order_id=1, - ) - - delta = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.ADD, - order=order, - flags=0, - sequence=3, - ts_event=1, - ts_init=2, - ) - - # Act - result = OrderBookDelta.to_dict(delta) - - # Assert - assert result == { - "type": "OrderBookDelta", - "instrument_id": "AUD/USD.SIM", - "action": "ADD", - "order": { - "side": "BUY", - "price": "10.0", - "size": "5", - "order_id": 1, - }, - "flags": 0, - "sequence": 3, - "ts_event": 1, - "ts_init": 2, - } - - def test_from_dict_returns_expected_delta(self): - # Arrange - order = BookOrder( - side=OrderSide.BUY, - price=Price.from_str("10.0"), - size=Quantity.from_str("5"), - order_id=1, - ) - - delta = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.ADD, - order=order, - flags=0, - sequence=3, - ts_event=1, - ts_init=2, - ) - - # Act - result = OrderBookDelta.from_dict(OrderBookDelta.to_dict(delta)) - - # Assert - assert result == delta - - def test_from_dict_returns_expected_clear(self): - # Arrange - delta = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.CLEAR, - order=None, - flags=0, - sequence=3, - ts_event=0, - ts_init=0, - ) - - # Act - result = OrderBookDelta.from_dict(OrderBookDelta.to_dict(delta)) - - # Assert - assert result == delta - - -class TestOrderBookDeltas: - def test_fully_qualified_name(self): - # Arrange, Act, Assert - assert ( - OrderBookDeltas.fully_qualified_name() - == "nautilus_trader.model.data.book:OrderBookDeltas" - ) - - def test_hash_str_and_repr(self): - # Arrange - order1 = BookOrder( - side=OrderSide.BUY, - price=Price.from_str("10.0"), - size=Quantity.from_str("5"), - order_id=1, - ) - - delta1 = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.ADD, - order=order1, - flags=0, - sequence=0, - ts_event=0, - ts_init=0, - ) - - order2 = BookOrder( - side=OrderSide.BUY, - price=Price.from_str("10.0"), - size=Quantity.from_str("15"), - order_id=2, - ) - - delta2 = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.ADD, - order=order2, - flags=0, - sequence=1, - ts_event=0, - ts_init=0, - ) - - deltas = OrderBookDeltas( - instrument_id=AUDUSD, - deltas=[delta1, delta2], - ) - - # Act, Assert - assert isinstance(hash(deltas), int) - - # TODO(cs): String format TBD - # assert ( - # str(deltas) - # == "OrderBookDeltas(instrument_id=AUD/USD.SIM, [OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder(10.0, 5.0, BUY, 1), sequence=0, ts_event=0, ts_init=0), OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder(10.0, 15.0, BUY, 2), sequence=0, ts_event=0, ts_init=0)], sequence=0, ts_event=0, ts_init=0)" # noqa - # ) - # assert ( - # repr(deltas) - # == "OrderBookDeltas(instrument_id=AUD/USD.SIM, [OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder(10.0, 5.0, BUY, 1), sequence=0, ts_event=0, ts_init=0), OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder(10.0, 15.0, BUY, 2), sequence=0, ts_event=0, ts_init=0)], sequence=0, ts_event=0, ts_init=0)" # noqa - # ) - - def test_to_dict(self): - # Arrange - order1 = BookOrder( - side=OrderSide.BUY, - price=Price.from_str("10.0"), - size=Quantity.from_str("5"), - order_id=1, - ) - - delta1 = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.ADD, - order=order1, - flags=0, - sequence=0, - ts_event=0, - ts_init=0, - ) - - order2 = BookOrder( - side=OrderSide.BUY, - price=Price.from_str("10.0"), - size=Quantity.from_str("15"), - order_id=2, - ) - - delta2 = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.ADD, - order=order2, - flags=0, - sequence=1, - ts_event=0, - ts_init=0, - ) - - deltas = OrderBookDeltas( - instrument_id=AUDUSD, - deltas=[delta1, delta2], - ) - - # Act - result = OrderBookDeltas.to_dict(deltas) - - # Assert - # TODO(cs): TBD - assert result - # assert result == { - # "type": "OrderBookDeltas", - # "instrument_id": "AUD/USD.SIM", - # "deltas": b'[{"type":"OrderBookDelta","instrument_id":"AUD/USD.SIM","action":"ADD","price":10.0,"size":5.0,"side":"BUY","order_id":"1","sequence":0,"ts_event":0,"ts_init":0},{"type":"OrderBookDelta","instrument_id":"AUD/USD.SIM","action":"ADD","price":10.0,"size":15.0,"side":"BUY","order_id":"2","sequence":0,"ts_event":0,"ts_init":0}]', # noqa - # "sequence": 0, - # "ts_event": 0, - # "ts_init": 0, - # } - - def test_from_dict_returns_expected_dict(self): - # Arrange - order1 = BookOrder( - side=OrderSide.BUY, - price=Price.from_str("10.0"), - size=Quantity.from_str("5"), - order_id=1, - ) - - delta1 = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.ADD, - order=order1, - flags=0, - sequence=0, - ts_event=0, - ts_init=0, - ) - - order2 = BookOrder( - side=OrderSide.BUY, - price=Price.from_str("10.0"), - size=Quantity.from_str("15"), - order_id=2, - ) - - delta2 = OrderBookDelta( - instrument_id=AUDUSD, - action=BookAction.ADD, - order=order2, - flags=0, - sequence=1, - ts_event=0, - ts_init=0, - ) - - deltas = OrderBookDeltas( - instrument_id=AUDUSD, - deltas=[delta1, delta2], - ) - - # Act - result = OrderBookDeltas.from_dict(OrderBookDeltas.to_dict(deltas)) - - # Assert - assert result == deltas + assert delta == unpickled + + +def test_delta_hash_str_and_repr() -> None: + # Arrange + order = BookOrder( + side=OrderSide.BUY, + price=Price.from_str("10.0"), + size=Quantity.from_str("5"), + order_id=1, + ) + + delta = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.ADD, + order=order, + flags=0, + sequence=123456789, + ts_event=0, + ts_init=1_000_000_000, + ) + + # Act, Assert + assert isinstance(hash(delta), int) + assert ( + str(delta) + == "OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder { side: Buy, price: 10.0, size: 5, order_id: 1 }, flags=0, sequence=123456789, ts_event=0, ts_init=1000000000)" # noqa + ) + assert ( + repr(delta) + == "OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder { side: Buy, price: 10.0, size: 5, order_id: 1 }, flags=0, sequence=123456789, ts_event=0, ts_init=1000000000)" # noqa + ) + + +def test_delta_with_null_book_order() -> None: + # Arrange + delta = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.CLEAR, + order=NULL_ORDER, + flags=32, + sequence=123456789, + ts_event=0, + ts_init=1_000_000_000, + ) + + # Act, Assert + assert isinstance(hash(delta), int) + assert ( + str(delta) + == "OrderBookDelta(instrument_id=AUD/USD.SIM, action=CLEAR, order=BookOrder { side: NoOrderSide, price: 0, size: 0, order_id: 0 }, flags=32, sequence=123456789, ts_event=0, ts_init=1000000000)" # noqa + ) + assert ( + repr(delta) + == "OrderBookDelta(instrument_id=AUD/USD.SIM, action=CLEAR, order=BookOrder { side: NoOrderSide, price: 0, size: 0, order_id: 0 }, flags=32, sequence=123456789, ts_event=0, ts_init=1000000000)" # noqa + ) + + +def test_delta_clear() -> None: + # Arrange, Act + delta = OrderBookDelta.clear( + instrument_id=AUDUSD, + ts_event=0, + ts_init=1_000_000_000, + sequence=42, + ) + + # Assert + assert delta.action == BookAction.CLEAR + assert delta.sequence == 42 + assert delta.ts_event == 0 + assert delta.ts_init == 1_000_000_000 + + +def test_delta_to_dict_with_order_returns_expected_dict() -> None: + # Arrange + order = BookOrder( + side=OrderSide.BUY, + price=Price.from_str("10.0"), + size=Quantity.from_str("5"), + order_id=1, + ) + + delta = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.ADD, + order=order, + flags=0, + sequence=3, + ts_event=1, + ts_init=2, + ) + + # Act + result = OrderBookDelta.to_dict(delta) + + # Assert + assert result == { + "type": "OrderBookDelta", + "instrument_id": "AUD/USD.SIM", + "action": "ADD", + "order": { + "side": "BUY", + "price": "10.0", + "size": "5", + "order_id": 1, + }, + "flags": 0, + "sequence": 3, + "ts_event": 1, + "ts_init": 2, + } + + +def test_delta_from_dict_returns_expected_delta() -> None: + # Arrange + order = BookOrder( + side=OrderSide.BUY, + price=Price.from_str("10.0"), + size=Quantity.from_str("5"), + order_id=1, + ) + + delta = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.ADD, + order=order, + flags=0, + sequence=3, + ts_event=1, + ts_init=2, + ) + + # Act + result = OrderBookDelta.from_dict(OrderBookDelta.to_dict(delta)) + + # Assert + assert result == delta + + +def test_delta_from_dict_returns_expected_clear() -> None: + # Arrange + delta = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.CLEAR, + order=None, + flags=0, + sequence=3, + ts_event=0, + ts_init=0, + ) + + # Act + result = OrderBookDelta.from_dict(OrderBookDelta.to_dict(delta)) + + # Assert + assert result == delta + + +def test_deltas_fully_qualified_name() -> None: + # Arrange, Act, Assert + assert ( + OrderBookDeltas.fully_qualified_name() == "nautilus_trader.model.data.book:OrderBookDeltas" + ) + + +def test_deltas_hash_str_and_repr() -> None: + # Arrange + order1 = BookOrder( + side=OrderSide.BUY, + price=Price.from_str("10.0"), + size=Quantity.from_str("5"), + order_id=1, + ) + + delta1 = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.ADD, + order=order1, + flags=0, + sequence=0, + ts_event=0, + ts_init=0, + ) + + order2 = BookOrder( + side=OrderSide.BUY, + price=Price.from_str("10.0"), + size=Quantity.from_str("15"), + order_id=2, + ) + + delta2 = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.ADD, + order=order2, + flags=0, + sequence=1, + ts_event=0, + ts_init=0, + ) + + deltas = OrderBookDeltas( + instrument_id=AUDUSD, + deltas=[delta1, delta2], + ) + + # Act, Assert + assert isinstance(hash(deltas), int) + assert ( + str(deltas) + == "OrderBookDeltas(instrument_id=AUD/USD.SIM, [OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder { side: Buy, price: 10.0, size: 5, order_id: 1 }, flags=0, sequence=0, ts_event=0, ts_init=0), OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder { side: Buy, price: 10.0, size: 15, order_id: 2 }, flags=0, sequence=1, ts_event=0, ts_init=0)], is_snapshot=False, sequence=1, ts_event=0, ts_init=0)" # noqa + ) + assert ( + repr(deltas) + == "OrderBookDeltas(instrument_id=AUD/USD.SIM, [OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder { side: Buy, price: 10.0, size: 5, order_id: 1 }, flags=0, sequence=0, ts_event=0, ts_init=0), OrderBookDelta(instrument_id=AUD/USD.SIM, action=ADD, order=BookOrder { side: Buy, price: 10.0, size: 15, order_id: 2 }, flags=0, sequence=1, ts_event=0, ts_init=0)], is_snapshot=False, sequence=1, ts_event=0, ts_init=0)" # noqa + ) + + +def test_deltas_to_dict() -> None: + # Arrange + order1 = BookOrder( + side=OrderSide.BUY, + price=Price.from_str("10.0"), + size=Quantity.from_str("5"), + order_id=1, + ) + + delta1 = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.ADD, + order=order1, + flags=0, + sequence=0, + ts_event=0, + ts_init=0, + ) + + order2 = BookOrder( + side=OrderSide.BUY, + price=Price.from_str("10.0"), + size=Quantity.from_str("15"), + order_id=2, + ) + + delta2 = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.ADD, + order=order2, + flags=0, + sequence=1, + ts_event=0, + ts_init=0, + ) + + deltas = OrderBookDeltas( + instrument_id=AUDUSD, + deltas=[delta1, delta2], + ) + + # Act + result = OrderBookDeltas.to_dict(deltas) + + # Assert + assert result + assert result == { + "type": "OrderBookDeltas", + "instrument_id": "AUD/USD.SIM", + "deltas": b'[{"type":"OrderBookDelta","instrument_id":"AUD/USD.SIM","action":"ADD","order":{"side":"BUY","price":"10.0","size":"5","order_id":1},"flags":0,"sequence":0,"ts_event":0,"ts_init":0},{"type":"OrderBookDelta","instrument_id":"AUD/USD.SIM","action":"ADD","order":{"side":"BUY","price":"10.0","size":"15","order_id":2},"flags":0,"sequence":1,"ts_event":0,"ts_init":0}]', # noqa + } + + +def test_deltas_from_dict_returns_expected_dict() -> None: + # Arrange + order1 = BookOrder( + side=OrderSide.BUY, + price=Price.from_str("10.0"), + size=Quantity.from_str("5"), + order_id=1, + ) + + delta1 = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.ADD, + order=order1, + flags=0, + sequence=0, + ts_event=0, + ts_init=0, + ) + + order2 = BookOrder( + side=OrderSide.BUY, + price=Price.from_str("10.0"), + size=Quantity.from_str("15"), + order_id=2, + ) + + delta2 = OrderBookDelta( + instrument_id=AUDUSD, + action=BookAction.ADD, + order=order2, + flags=0, + sequence=1, + ts_event=0, + ts_init=0, + ) + + deltas = OrderBookDeltas( + instrument_id=AUDUSD, + deltas=[delta1, delta2], + ) + + # Act + result = OrderBookDeltas.from_dict(OrderBookDeltas.to_dict(deltas)) + + # Assert + assert result == deltas diff --git a/tests/unit_tests/model/test_orders_pyo3.py b/tests/unit_tests/model/test_orders_pyo3.py index 5be39db8d9a3..2ec8e4c04428 100644 --- a/tests/unit_tests/model/test_orders_pyo3.py +++ b/tests/unit_tests/model/test_orders_pyo3.py @@ -15,21 +15,19 @@ import pytest -from nautilus_trader.core.nautilus_pyo3.core import UUID4 -from nautilus_trader.core.nautilus_pyo3.model import AccountId -from nautilus_trader.core.nautilus_pyo3.model import ClientOrderId -from nautilus_trader.core.nautilus_pyo3.model import MarketOrder -from nautilus_trader.core.nautilus_pyo3.model import OrderSide -from nautilus_trader.core.nautilus_pyo3.model import PositionSide -from nautilus_trader.core.nautilus_pyo3.model import Quantity -from nautilus_trader.core.nautilus_pyo3.model import StrategyId -from nautilus_trader.core.nautilus_pyo3.model import TraderId -from nautilus_trader.test_kit.providers import TestInstrumentProvider +from nautilus_trader.core.nautilus_pyo3 import UUID4 +from nautilus_trader.core.nautilus_pyo3 import AccountId +from nautilus_trader.core.nautilus_pyo3 import ClientOrderId +from nautilus_trader.core.nautilus_pyo3 import InstrumentId +from nautilus_trader.core.nautilus_pyo3 import MarketOrder +from nautilus_trader.core.nautilus_pyo3 import OrderSide +from nautilus_trader.core.nautilus_pyo3 import PositionSide +from nautilus_trader.core.nautilus_pyo3 import Quantity +from nautilus_trader.core.nautilus_pyo3 import StrategyId +from nautilus_trader.core.nautilus_pyo3 import TraderId -AUDUSD_SIM = TestInstrumentProvider.default_fx_ccy("AUD/USD") - -pytestmark = pytest.mark.skip(reason="WIP") +AUDUSD_SIM = InstrumentId.from_str("AUD/USD.SIM") class TestOrders: @@ -39,22 +37,6 @@ def setup(self): self.strategy_id = StrategyId("S-001") self.account_id = AccountId("SIM-000") - def test_identifier(self): - TraderId("") - - def test_opposite_side_given_invalid_value_raises_value_error(self): - # Arrange, Act, Assert - with pytest.raises(ValueError): - MarketOrder.opposite_side(0) # <-- Invalid value - - def test_flatten_side_given_invalid_value_or_flat_raises_value_error(self): - # Arrange, Act - with pytest.raises(ValueError): - MarketOrder.closing_side(0) # <-- Invalid value - - with pytest.raises(ValueError): - MarketOrder.closing_side(PositionSide.FLAT) - @pytest.mark.parametrize( ("side", "expected"), [ @@ -76,7 +58,11 @@ def test_opposite_side_returns_expected_sides(self, side, expected): [PositionSide.SHORT, OrderSide.BUY], ], ) - def test_closing_side_returns_expected_sides(self, side, expected): + def test_closing_side_returns_expected_sides( + self, + side: PositionSide, + expected: OrderSide, + ) -> None: # Arrange, Act result = MarketOrder.closing_side(side) @@ -109,7 +95,7 @@ def test_would_reduce_only_with_various_values_returns_expected( order = MarketOrder( self.trader_id, self.strategy_id, - AUDUSD_SIM.id, + AUDUSD_SIM, ClientOrderId("O-123456"), order_side, Quantity.from_int(1), @@ -118,32 +104,29 @@ def test_would_reduce_only_with_various_values_returns_expected( ) # Act, Assert - assert ( - order.would_reduce_only(position_side=position_side, position_qty=position_qty) - == expected - ) - - def test_market_order_with_quantity_zero_raises_value_error(self): - # Arrange, Act, Assert - with pytest.raises(ValueError): - MarketOrder( - self.trader_id, - self.strategy_id, - AUDUSD_SIM.id, - ClientOrderId("O-123456"), - OrderSide.BUY, - Quantity.zero(), # <- invalid - UUID4(), - 0, - ) + assert order.would_reduce_only(side=position_side, position_qty=position_qty) == expected + # def test_market_order_with_quantity_zero_raises_value_error(self): + # # Arrange, Act, Assert + # with pytest.raises(ValueError): + # MarketOrder( + # self.trader_id, + # self.strategy_id, + # AUDUSD_SIM, + # ClientOrderId("O-123456"), + # OrderSide.BUY, + # Quantity.zero(), # <-- Invalid value + # UUID4(), + # 0, + # ) + # # def test_market_order_with_invalid_tif_raises_value_error(self): # # Arrange, Act, Assert # with pytest.raises(ValueError): # MarketOrder( # self.trader_id, # self.strategy_id, - # AUDUSD_SIM.id, + # AUDUSD_SIM, # ClientOrderId("O-123456"), # OrderSide.BUY, # Quantity.from_int(100_000), @@ -158,7 +141,7 @@ def test_market_order_with_quantity_zero_raises_value_error(self): # StopMarketOrder( # self.trader_id, # self.strategy_id, - # AUDUSD_SIM.id, + # AUDUSD_SIM, # ClientOrderId("O-123456"), # OrderSide.BUY, # Quantity.from_int(100_000), @@ -175,7 +158,7 @@ def test_market_order_with_quantity_zero_raises_value_error(self): # StopLimitOrder( # self.trader_id, # self.strategy_id, - # AUDUSD_SIM.id, + # AUDUSD_SIM, # ClientOrderId("O-123456"), # OrderSide.BUY, # Quantity.from_int(100_000), @@ -193,7 +176,7 @@ def test_market_order_with_quantity_zero_raises_value_error(self): # MarketToLimitOrder( # self.trader_id, # self.strategy_id, - # AUDUSD_SIM.id, + # AUDUSD_SIM, # ClientOrderId("O-123456"), # OrderSide.BUY, # Quantity.from_int(100_000), @@ -205,7 +188,7 @@ def test_market_order_with_quantity_zero_raises_value_error(self): # def test_overfill_limit_buy_order_raises_value_error(self): # # Arrange, Act, Assert # order = self.order_factory.limit( - # AUDUSD_SIM.id, + # AUDUSD_SIM, # OrderSide.BUY, # Quantity.from_int(100_000), # Price.from_str("1.00000"), @@ -226,7 +209,7 @@ def test_market_order_with_quantity_zero_raises_value_error(self): # def test_reset_order_factory(self): # # Arrange # self.order_factory.limit( - # AUDUSD_SIM.id, + # AUDUSD_SIM, # OrderSide.BUY, # Quantity.from_int(100_000), # Price.from_str("1.00000"), @@ -236,7 +219,7 @@ def test_market_order_with_quantity_zero_raises_value_error(self): # self.order_factory.reset() # # order2 = self.order_factory.limit( - # AUDUSD_SIM.id, + # AUDUSD_SIM, # OrderSide.BUY, # Quantity.from_int(100_000), # Price.from_str("1.00000"), diff --git a/tests/unit_tests/model/test_position.py b/tests/unit_tests/model/test_position.py index 272159642f45..5ce79e68bb05 100644 --- a/tests/unit_tests/model/test_position.py +++ b/tests/unit_tests/model/test_position.py @@ -44,7 +44,7 @@ from nautilus_trader.test_kit.stubs.identifiers import TestIdStubs -AAPL_NASDAQ = TestInstrumentProvider.aapl_equity() +AAPL_NASDAQ = TestInstrumentProvider.equity(symbol="AAPL", venue="NASDAQ") AUDUSD_SIM = TestInstrumentProvider.default_fx_ccy("AUD/USD") BTCUSDT_BINANCE = TestInstrumentProvider.btcusdt_binance() ETHUSDT_BINANCE = TestInstrumentProvider.ethusdt_binance() diff --git a/tests/unit_tests/model/test_venue.py b/tests/unit_tests/model/test_status.py similarity index 79% rename from tests/unit_tests/model/test_venue.py rename to tests/unit_tests/model/test_status.py index 86fa3dc43771..53f9c134ce13 100644 --- a/tests/unit_tests/model/test_venue.py +++ b/tests/unit_tests/model/test_status.py @@ -14,8 +14,8 @@ # ------------------------------------------------------------------------------------------------- from nautilus_trader.model.data import InstrumentClose -from nautilus_trader.model.data import InstrumentStatusUpdate -from nautilus_trader.model.data import VenueStatusUpdate +from nautilus_trader.model.data import InstrumentStatus +from nautilus_trader.model.data import VenueStatus from nautilus_trader.model.enums import InstrumentCloseType from nautilus_trader.model.enums import MarketStatus from nautilus_trader.model.identifiers import InstrumentId @@ -31,7 +31,7 @@ class TestVenue: def test_venue_status(self): # Arrange - update = VenueStatusUpdate( + update = VenueStatus( venue=Venue("BINANCE"), status=MarketStatus.OPEN, ts_event=0, @@ -39,21 +39,24 @@ def test_venue_status(self): ) # Act, Assert - assert VenueStatusUpdate.from_dict(VenueStatusUpdate.to_dict(update)) == update - assert repr(update) == "VenueStatusUpdate(venue=BINANCE, status=OPEN)" + assert VenueStatus.from_dict(VenueStatus.to_dict(update)) == update + assert repr(update) == "VenueStatus(venue=BINANCE, status=OPEN)" def test_instrument_status(self): # Arrange - update = InstrumentStatusUpdate( + update = InstrumentStatus( instrument_id=InstrumentId(Symbol("BTCUSDT"), Venue("BINANCE")), - status=MarketStatus.PAUSE, + status=MarketStatus.OPEN, ts_event=0, ts_init=0, ) # Act, Assert - assert InstrumentStatusUpdate.from_dict(InstrumentStatusUpdate.to_dict(update)) == update - assert repr(update) == "InstrumentStatusUpdate(instrument_id=BTCUSDT.BINANCE, status=PAUSE)" + assert InstrumentStatus.from_dict(InstrumentStatus.to_dict(update)) == update + assert ( + repr(update) + == "InstrumentStatus(instrument_id=BTCUSDT.BINANCE, trading_session=Regular, status=OPEN, halt_reason=NOT_HALTED, ts_event=0)" + ) def test_instrument_close(self): # Arrange diff --git a/tests/unit_tests/model/test_tick_pyo3.py b/tests/unit_tests/model/test_tick_pyo3.py new file mode 100644 index 000000000000..7e250f97d5e9 --- /dev/null +++ b/tests/unit_tests/model/test_tick_pyo3.py @@ -0,0 +1,315 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import pickle + +import pytest + +from nautilus_trader.core.nautilus_pyo3 import AggressorSide +from nautilus_trader.core.nautilus_pyo3 import InstrumentId +from nautilus_trader.core.nautilus_pyo3 import Price +from nautilus_trader.core.nautilus_pyo3 import PriceType +from nautilus_trader.core.nautilus_pyo3 import Quantity +from nautilus_trader.core.nautilus_pyo3 import QuoteTick +from nautilus_trader.core.nautilus_pyo3 import Symbol +from nautilus_trader.core.nautilus_pyo3 import TradeId +from nautilus_trader.core.nautilus_pyo3 import TradeTick +from nautilus_trader.core.nautilus_pyo3 import Venue + + +AUDUSD_SIM_ID = InstrumentId.from_str("AUD/USD.SIM") + + +class TestQuoteTick: + def test_pickling_instrument_id_round_trip(self): + pickled = pickle.dumps(AUDUSD_SIM_ID) + unpickled = pickle.loads(pickled) # noqa + + assert unpickled == AUDUSD_SIM_ID + + def test_fully_qualified_name(self): + # Arrange, Act, Assert + assert ( + QuoteTick.fully_qualified_name() == "nautilus_trader.core.nautilus_pyo3.model:QuoteTick" + ) + + def test_tick_hash_str_and_repr(self): + # Arrange + instrument_id = InstrumentId(Symbol("AUD/USD"), Venue("SIM")) + + tick = QuoteTick( + instrument_id=instrument_id, + bid_price=Price.from_str("1.00000"), + ask_price=Price.from_str("1.00001"), + bid_size=Quantity.from_int(1), + ask_size=Quantity.from_int(1), + ts_event=3, + ts_init=4, + ) + + # Act, Assert + assert isinstance(hash(tick), int) + assert str(tick) == "AUD/USD.SIM,1.00000,1.00001,1,1,3" + assert repr(tick) == "QuoteTick(AUD/USD.SIM,1.00000,1.00001,1,1,3)" + + def test_extract_price_with_various_price_types_returns_expected_values(self): + # Arrange + tick = QuoteTick( + instrument_id=AUDUSD_SIM_ID, + bid_price=Price.from_str("1.00000"), + ask_price=Price.from_str("1.00001"), + bid_size=Quantity.from_int(1), + ask_size=Quantity.from_int(1), + ts_event=0, + ts_init=0, + ) + + # Act + result1 = tick.extract_price(PriceType.ASK) + result2 = tick.extract_price(PriceType.MID) + result3 = tick.extract_price(PriceType.BID) + + # Assert + assert result1 == Price.from_str("1.00001") + assert result2 == Price.from_str("1.000005") + assert result3 == Price.from_str("1.00000") + + def test_extract_volume_with_various_price_types_returns_expected_values(self): + # Arrange + tick = QuoteTick( + instrument_id=AUDUSD_SIM_ID, + bid_price=Price.from_str("1.00000"), + ask_price=Price.from_str("1.00001"), + bid_size=Quantity.from_int(500_000), + ask_size=Quantity.from_int(800_000), + ts_event=0, + ts_init=0, + ) + + # Act + result1 = tick.extract_volume(PriceType.ASK) + result2 = tick.extract_volume(PriceType.MID) + result3 = tick.extract_volume(PriceType.BID) + + # Assert + assert result1 == Quantity.from_int(800_000) + assert result2 == Quantity.from_int(650_000) # Average size + assert result3 == Quantity.from_int(500_000) + + def test_as_dict_returns_expected_dict(self): + # Arrange + tick = QuoteTick( + instrument_id=AUDUSD_SIM_ID, + bid_price=Price.from_str("1.00000"), + ask_price=Price.from_str("1.00001"), + bid_size=Quantity.from_int(1), + ask_size=Quantity.from_int(1), + ts_event=1, + ts_init=2, + ) + + # Act + result = QuoteTick.as_dict(tick) + + # Assert + assert result == { + "type": "QuoteTick", + "instrument_id": "AUD/USD.SIM", + "bid_price": "1.00000", + "ask_price": "1.00001", + "bid_size": "1", + "ask_size": "1", + "ts_event": 1, + "ts_init": 2, + } + + def test_from_dict_returns_expected_tick(self): + # Arrange + tick = QuoteTick( + instrument_id=AUDUSD_SIM_ID, + bid_price=Price.from_str("1.00000"), + ask_price=Price.from_str("1.00001"), + bid_size=Quantity.from_int(1), + ask_size=Quantity.from_int(1), + ts_event=1, + ts_init=2, + ) + + # Act + result = QuoteTick.from_dict(QuoteTick.as_dict(tick)) + + # Assert + assert result == tick + + @pytest.mark.skip(reason="Potentially don't expose through Python API") + def test_from_raw_returns_expected_tick(self): + # Arrange, Act + tick = QuoteTick.from_raw( + AUDUSD_SIM_ID, + 1000000000, + 1000010000, + 5, + 5, + 1000000000, + 2000000000, + 0, + 0, + 1, + 2, + ) + + # Assert + assert tick.instrument_id == AUDUSD_SIM_ID + assert tick.bid_price == Price.from_str("1.00000") + assert tick.ask_price == Price.from_str("1.00001") + assert tick.bid_size == Quantity.from_int(1) + assert tick.ask_size == Quantity.from_int(2) + assert tick.ts_event == 1 + assert tick.ts_init == 2 + + def test_pickling_round_trip_results_in_expected_tick(self): + # Arrange + tick = QuoteTick( + instrument_id=AUDUSD_SIM_ID, + bid_price=Price.from_str("1.00000"), + ask_price=Price.from_str("1.00001"), + bid_size=Quantity.from_int(1), + ask_size=Quantity.from_int(1), + ts_event=1, + ts_init=2, + ) + + # Act + pickled = pickle.dumps(tick) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) + + # Assert + assert tick == unpickled + + +class TestTradeTick: + def test_fully_qualified_name(self): + # Arrange, Act, Assert + assert ( + TradeTick.fully_qualified_name() == "nautilus_trader.core.nautilus_pyo3.model:TradeTick" + ) + + def test_hash_str_and_repr(self): + # Arrange + tick = TradeTick( + instrument_id=AUDUSD_SIM_ID, + price=Price.from_str("1.00000"), + size=Quantity.from_int(50_000), + aggressor_side=AggressorSide.BUYER, + trade_id=TradeId("123456789"), + ts_event=1, + ts_init=2, + ) + + # Act, Assert + assert isinstance(hash(tick), int) + assert str(tick) == "AUD/USD.SIM,1.00000,50000,BUYER,123456789,1" + assert repr(tick) == "TradeTick(AUD/USD.SIM,1.00000,50000,BUYER,123456789,1)" + + def test_as_dict_returns_expected_dict(self): + # Arrange + tick = TradeTick( + instrument_id=AUDUSD_SIM_ID, + price=Price.from_str("1.00000"), + size=Quantity.from_int(10_000), + aggressor_side=AggressorSide.BUYER, + trade_id=TradeId("123456789"), + ts_event=1, + ts_init=2, + ) + + # Act + result = TradeTick.as_dict(tick) + + # Assert + assert result == { + "type": "TradeTick", + "instrument_id": "AUD/USD.SIM", + "price": "1.00000", + "size": "10000", + "aggressor_side": "BUYER", + "trade_id": "123456789", + "ts_event": 1, + "ts_init": 2, + } + + def test_from_dict_returns_expected_tick(self): + # Arrange + tick = TradeTick( + instrument_id=AUDUSD_SIM_ID, + price=Price.from_str("1.00000"), + size=Quantity.from_int(10_000), + aggressor_side=AggressorSide.BUYER, + trade_id=TradeId("123456789"), + ts_event=1, + ts_init=2, + ) + + # Act + result = TradeTick.from_dict(TradeTick.as_dict(tick)) + + # Assert + assert result == tick + + def test_pickling_round_trip_results_in_expected_tick(self): + # Arrange + tick = TradeTick( + instrument_id=AUDUSD_SIM_ID, + price=Price.from_str("1.00000"), + size=Quantity.from_int(50_000), + aggressor_side=AggressorSide.BUYER, + trade_id=TradeId("123456789"), + ts_event=1, + ts_init=2, + ) + + # Act + pickled = pickle.dumps(tick) + unpickled = pickle.loads(pickled) # noqa S301 (pickle is safe here) + + # Assert + assert unpickled == tick + assert repr(unpickled) == "TradeTick(AUD/USD.SIM,1.00000,50000,BUYER,123456789,1)" + + @pytest.mark.skip(reason="Potentially don't expose through Python API") + def test_from_raw_returns_expected_tick(self): + # Arrange, Act + trade_id = TradeId("123458") + + tick = TradeTick.from_raw( + AUDUSD_SIM_ID, + 1000010000, + 5, + 10000000000000, + 0, + AggressorSide.BUYER, + trade_id, + 1, + 2, + ) + + # Assert + assert tick.instrument_id == AUDUSD_SIM_ID + assert tick.trade_id == trade_id + assert tick.price == Price.from_str("1.00001") + assert tick.size == Quantity.from_int(10_000) + assert tick.aggressor_side == AggressorSide.BUYER + assert tick.ts_event == 1 + assert tick.ts_init == 2 diff --git a/tests/unit_tests/persistence/conftest.py b/tests/unit_tests/persistence/conftest.py new file mode 100644 index 000000000000..e9d5c7c5aac3 --- /dev/null +++ b/tests/unit_tests/persistence/conftest.py @@ -0,0 +1,47 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import pytest + +from nautilus_trader.adapters.betfair.parsing.core import betting_instruments_from_file +from nautilus_trader.adapters.betfair.parsing.core import parse_betfair_file +from nautilus_trader.persistence.catalog.parquet import ParquetDataCatalog +from nautilus_trader.test_kit.mocks.data import data_catalog_setup +from tests import TEST_DATA_DIR + + +@pytest.fixture(name="memory_data_catalog") +def fixture_memory_data_catalog() -> ParquetDataCatalog: + return data_catalog_setup(protocol="memory") + + +@pytest.fixture(name="data_catalog") +def fixture_data_catalog() -> ParquetDataCatalog: + return data_catalog_setup(protocol="file") + + +@pytest.fixture(name="betfair_catalog") +def fixture_betfair_catalog(data_catalog: ParquetDataCatalog) -> ParquetDataCatalog: + filename = TEST_DATA_DIR / "betfair" / "1.166564490.bz2" + + # Write betting instruments + instruments = betting_instruments_from_file(filename) + data_catalog.write_data(instruments) + + # Write data + data = list(parse_betfair_file(filename, currency="GBP")) + data_catalog.write_data(data) + + return data_catalog diff --git a/tests/unit_tests/persistence/external/test_core.py b/tests/unit_tests/persistence/external/test_core.py deleted file mode 100644 index 8b03e70913f6..000000000000 --- a/tests/unit_tests/persistence/external/test_core.py +++ /dev/null @@ -1,598 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import asyncio -import pickle -import sys - -import fsspec -import numpy as np -import pandas as pd -import pyarrow as pa -import pyarrow.dataset as ds -import pyarrow.parquet as pq -import pytest - -from nautilus_trader.adapters.betfair.historic import make_betfair_reader -from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider -from nautilus_trader.model.data import QuoteTick -from nautilus_trader.model.data import TradeTick -from nautilus_trader.model.enums import AggressorSide -from nautilus_trader.model.identifiers import TradeId -from nautilus_trader.model.objects import Price -from nautilus_trader.model.objects import Quantity -from nautilus_trader.persistence.external.core import RawFile -from nautilus_trader.persistence.external.core import _validate_dataset -from nautilus_trader.persistence.external.core import dicts_to_dataframes -from nautilus_trader.persistence.external.core import process_files -from nautilus_trader.persistence.external.core import process_raw_file -from nautilus_trader.persistence.external.core import scan_files -from nautilus_trader.persistence.external.core import split_and_serialize -from nautilus_trader.persistence.external.core import validate_data_catalog -from nautilus_trader.persistence.external.core import write_objects -from nautilus_trader.persistence.external.core import write_parquet -from nautilus_trader.persistence.external.core import write_parquet_rust -from nautilus_trader.persistence.external.core import write_tables -from nautilus_trader.persistence.external.readers import CSVReader -from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler -from nautilus_trader.test_kit.mocks.data import NewsEventData -from nautilus_trader.test_kit.mocks.data import data_catalog_setup -from nautilus_trader.test_kit.providers import TestInstrumentProvider -from nautilus_trader.test_kit.stubs.identifiers import TestIdStubs -from nautilus_trader.test_kit.stubs.persistence import TestPersistenceStubs -from tests import TEST_DATA_DIR -from tests.integration_tests.adapters.betfair.test_kit import BetfairTestStubs - - -pytestmark = pytest.mark.skip(reason="WIP pending catalog refactor") - - -class _TestPersistenceCore: - def setup(self) -> None: - self.catalog = data_catalog_setup(protocol=self.fs_protocol) # type: ignore - self.fs: fsspec.AbstractFileSystem = self.catalog.fs - - def teardown(self): - # Cleanup - path = self.catalog.path - fs = self.catalog.fs - if fs.exists(path): - fs.rm(path, recursive=True) - - def _load_data_into_catalog(self): - self.instrument_provider = BetfairInstrumentProvider.from_instruments([]) - result = process_files( - glob_path=TEST_DATA_DIR + "/betfair/1.166564490*.bz2", - reader=BetfairTestStubs.betfair_reader(instrument_provider=self.instrument_provider), - instrument_provider=self.instrument_provider, - catalog=self.catalog, - ) - - assert result - data = ( - self.catalog.instruments(as_nautilus=True) - + self.catalog.instrument_status_updates(as_nautilus=True) - + self.catalog.trade_ticks(as_nautilus=True) - + self.catalog.order_book_deltas(as_nautilus=True) - + self.catalog.tickers(as_nautilus=True) - ) - return data - - def test_raw_file_block_size_read(self): - # Arrange - self._load_data_into_catalog() - raw_file = RawFile(fsspec.open(f"{TEST_DATA_DIR}/betfair/1.166564490.bz2")) - data = b"".join(raw_file.iter()) - - # Act - raw_file = RawFile( - fsspec.open(f"{TEST_DATA_DIR}/betfair/1.166564490.bz2"), - block_size=1000, - ) - blocks = list(raw_file.iter()) - - # Assert - assert len(blocks) == 18 - assert b"".join(blocks) == data - assert len(data) == 17338 - - def test_raw_file_process(self): - # Arrange - rf = RawFile( - open_file=fsspec.open(f"{TEST_DATA_DIR}/betfair/1.166564490.bz2", compression="infer"), - block_size=None, - ) - - # Act - process_raw_file(catalog=self.catalog, reader=make_betfair_reader(), raw_file=rf) - - # Assert - assert len(self.catalog.instruments()) == 2 - - def test_raw_file_pickleable(self) -> None: - # Arrange - self._load_data_into_catalog() - path = TEST_DATA_DIR + "/betfair/1.166811431.bz2" # total size = 151707 - expected = RawFile(open_file=fsspec.open(path, compression="infer")) - - # Act - data = pickle.dumps(expected) - result: RawFile = pickle.loads(data) # noqa: S301 - - # Assert - assert result.open_file.fs == expected.open_file.fs - assert result.open_file.path == expected.open_file.path - assert result.block_size == expected.block_size - assert result.open_file.compression == "bz2" - - @pytest.mark.parametrize( - ("glob", "num_files"), - [ - # ("**.json", 4), - # ("**.txt", 3), - ("**.parquet", 7), - # ("**.csv", 16), - ], - ) - def test_scan_paths(self, glob, num_files): - self._load_data_into_catalog() - files = scan_files(glob_path=f"{TEST_DATA_DIR}/{glob}") - assert len(files) == num_files - - def test_scan_file_filter(self): - self._load_data_into_catalog() - files = scan_files(glob_path=f"{TEST_DATA_DIR}/*.csv") - assert len(files) == 16 - - files = scan_files(glob_path=f"{TEST_DATA_DIR}/*jpy*.csv") - assert len(files) == 3 - - def test_nautilus_chunk_to_dataframes(self): - # Arrange, Act - data = self._load_data_into_catalog() - dfs = split_and_serialize(data) - result = {} - for cls in dfs: - for ins in dfs[cls]: - result[cls.__name__] = len(dfs[cls][ins]) - - # Assert - assert result == { - "BetfairTicker": 83, - "BettingInstrument": 2, - "InstrumentStatusUpdate": 1, - "OrderBookDelta": 1077, - "TradeTick": 114, - } - - def test_write_parquet_determine_partitions_writes_instrument_id(self): - # Arrange - self._load_data_into_catalog() - quote = QuoteTick( - instrument_id=TestIdStubs.audusd_id(), - bid_price=Price.from_str("0.80"), - ask_price=Price.from_str("0.81"), - bid_size=Quantity.from_int(1_000), - ask_size=Quantity.from_int(1_000), - ts_event=0, - ts_init=0, - ) - chunk = [quote] - tables = dicts_to_dataframes(split_and_serialize(chunk)) - - # Act - write_tables(catalog=self.catalog, tables=tables) - - # Assert - files = [ - f["name"] - for f in self.fs.ls(f"{self.catalog.path}/data/quote_tick.parquet", detail=True) - ] - - expected = f"{self.catalog.path}/data/quote_tick.parquet/instrument_id=AUD-USD.SIM" - - assert expected in files - - def test_data_catalog_instruments_no_partition(self): - # Arrange, Act - self._load_data_into_catalog() - path = f"{self.catalog.path}/data/betting_instrument.parquet" - dataset = pq.ParquetDataset( - path_or_paths=path, - filesystem=self.fs, - ) - - # TODO deprecation warning - partitions = dataset.partitioning - - # Assert - # TODO(cs): Assert partitioning for catalog v2 - assert partitions - - def test_data_catalog_metadata(self): - # Arrange, Act, Assert - self._load_data_into_catalog() - assert ds.parquet_dataset( - f"{self.catalog.path}/data/trade_tick.parquet/_common_metadata", - filesystem=self.fs, - ) - - def test_data_catalog_dataset_types(self): - # Arrange - self._load_data_into_catalog() - - # Act - dataset = ds.dataset( - f"{self.catalog.path}/data/trade_tick.parquet", - filesystem=self.catalog.fs, - ) - schema = { - n: t.__class__.__name__ for n, t in zip(dataset.schema.names, dataset.schema.types) - } - - # Assert - assert schema == { - "price": "DataType", - "size": "DataType", - "aggressor_side": "DictionaryType", - "trade_id": "DataType", - "ts_event": "DataType", - "ts_init": "DataType", - } - - def test_data_catalog_instruments_load(self): - # Arrange - instruments = [ - TestInstrumentProvider.aapl_equity(), - TestInstrumentProvider.es_future(), - TestInstrumentProvider.aapl_option(), - ] - write_objects(catalog=self.catalog, chunk=instruments) - - # Act - instruments = self.catalog.instruments(as_nautilus=True) - - # Assert - assert len(instruments) == 3 - - def test_data_catalog_instruments_filter_by_instrument_id(self): - # Arrange - self._load_data_into_catalog() - instruments = [ - TestInstrumentProvider.aapl_equity(), - TestInstrumentProvider.es_future(), - TestInstrumentProvider.aapl_option(), - ] - write_objects(catalog=self.catalog, chunk=instruments) - - # Act - instrument_ids = [instrument.id.value for instrument in instruments] - instruments = self.catalog.instruments(instrument_ids=instrument_ids) - - # Assert - assert len(instruments) == 3 - - def test_repartition_dataset(self): - # Arrange - self._load_data_into_catalog() - fs = self.catalog.fs - root = self.catalog.path - path = "sample.parquet" - - # Write some out of order, overlapping - for start_date in ("2020-01-01", "2020-01-8", "2020-01-04"): - df = pd.DataFrame( - { - "value": np.arange(5), - "instrument_id": ["a", "a", "a", "b", "b"], - "ts_init": [ts.value for ts in pd.date_range(start_date, periods=5, tz="UTC")], - }, - ) - write_parquet( - fs=fs, - path=f"{root}/{path}", - df=df, - schema=pa.schema( - {"value": pa.float64(), "instrument_id": pa.string(), "ts_init": pa.uint64()}, - ), - partition_cols=["instrument_id"], - ) - - original_partitions = fs.glob(f"{root}/{path}/**/*.parquet") - - # Act - _validate_dataset(catalog=self.catalog, path=f"{root}/{path}") - new_partitions = fs.glob(f"{root}/{path}/**/*.parquet") - - # Assert - assert len(original_partitions) == 6 - expected = [ - f"{self.catalog.path}/sample.parquet/instrument_id=a/20200101.parquet", - f"{self.catalog.path}/sample.parquet/instrument_id=a/20200104.parquet", - f"{self.catalog.path}/sample.parquet/instrument_id=a/20200108.parquet", - f"{self.catalog.path}/sample.parquet/instrument_id=b/20200101.parquet", - f"{self.catalog.path}/sample.parquet/instrument_id=b/20200104.parquet", - f"{self.catalog.path}/sample.parquet/instrument_id=b/20200108.parquet", - ] - assert new_partitions == expected - - def test_validate_data_catalog(self): - # Arrange - self._load_data_into_catalog() - - # Act - validate_data_catalog(catalog=self.catalog) - - # Assert - new_partitions = [ - f for f in self.fs.glob(f"{self.catalog.path}/**/*.parquet") if self.fs.isfile(f) - ] - ins1, ins2 = self.catalog.instruments()["id"].tolist() - - expected = [ - e.replace("|", "-") - for e in [ - f"{self.catalog.path}/data/betfair_ticker.parquet/instrument_id={ins1}/20191220.parquet", - f"{self.catalog.path}/data/betfair_ticker.parquet/instrument_id={ins2}/20191220.parquet", - f"{self.catalog.path}/data/betting_instrument.parquet/0.parquet", - f"{self.catalog.path}/data/instrument_status_update.parquet/instrument_id={ins1}/20191220.parquet", - f"{self.catalog.path}/data/instrument_status_update.parquet/instrument_id={ins2}/20191220.parquet", - f"{self.catalog.path}/data/order_book_delta.parquet/instrument_id={ins1}/20191220.parquet", - f"{self.catalog.path}/data/order_book_delta.parquet/instrument_id={ins2}/20191220.parquet", - f"{self.catalog.path}/data/trade_tick.parquet/instrument_id={ins1}/20191220.parquet", - f"{self.catalog.path}/data/trade_tick.parquet/instrument_id={ins2}/20191220.parquet", - ] - ] - assert sorted(new_partitions) == sorted(expected) - - def test_split_and_serialize_generic_data_gets_correct_class(self): - # Arrange - self._load_data_into_catalog() - TestPersistenceStubs.setup_news_event_persistence() - process_files( - glob_path=f"{TEST_DATA_DIR}/news_events.csv", - reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser), - catalog=self.catalog, - ) - objs = self.catalog.generic_data( - cls=NewsEventData, - filter_expr=ds.field("currency") == "USD", - as_nautilus=True, - ) - - # Act - split = split_and_serialize(objs) - - # Assert - assert NewsEventData in split - assert None in split[NewsEventData] - assert len(split[NewsEventData][None]) == 22941 - - @pytest.mark.skipif(sys.platform == "win32", reason="Failing on windows and being rewritten") - def test_catalog_generic_data_not_overwritten(self): - # Arrange - self._load_data_into_catalog() - TestPersistenceStubs.setup_news_event_persistence() - process_files( - glob_path=f"{TEST_DATA_DIR}/news_events.csv", - reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser), - catalog=self.catalog, - ) - objs = self.catalog.generic_data( - cls=NewsEventData, - filter_expr=ds.field("currency") == "USD", - as_nautilus=True, - ) - - # Clear the catalog again - self.catalog = data_catalog_setup(protocol="memory") - - assert ( - len(self.catalog.generic_data(NewsEventData, raise_on_empty=False, as_nautilus=True)) - == 0 - ) - - chunk1, chunk2 = objs[:10], objs[5:15] - - # Act, Assert - write_objects(catalog=self.catalog, chunk=chunk1) - assert len(self.catalog.generic_data(NewsEventData)) == 10 - - write_objects(catalog=self.catalog, chunk=chunk2) - assert len(self.catalog.generic_data(NewsEventData)) == 15 - - -class TestPersistenceCoreMemory(_TestPersistenceCore): - fs_protocol = "memory" - - @pytest.mark.asyncio() - async def test_load_text_betfair(self): - self._load_data_into_catalog() - # Arrange - instrument_provider = BetfairInstrumentProvider.from_instruments([]) - - # Act - files = process_files( - glob_path=f"{TEST_DATA_DIR}/**.bz2", - reader=BetfairTestStubs.betfair_reader(instrument_provider=instrument_provider), - catalog=self.catalog, - instrument_provider=instrument_provider, - ) - - await asyncio.sleep(2) # Allow `ThreadPoolExecutor` to complete processing - - # Assert # TODO(bm): `process_files` is non-deterministic? - assert files == { - TEST_DATA_DIR + "/1.166564490.bz2": 2908, - TEST_DATA_DIR + "/betfair/1.180305278.bz2": 17085, - TEST_DATA_DIR + "/betfair/1.166811431.bz2": 22692, - } or { - TEST_DATA_DIR + "/1.166564490.bz2": 2908, - TEST_DATA_DIR + "/betfair/1.180305278.bz2": 17087, - TEST_DATA_DIR + "/betfair/1.166811431.bz2": 22692, - } - - -class TestPersistenceCoreFile(_TestPersistenceCore): - fs_protocol = "file" - """ - TODO These tests fail on windows and Memory fs due to fsspec prepending forward - slash to window paths. - - OSError: [WinError 123] Failed querying information for path - '/C:/Users/user/AppData/Local/Temp/tmpa2tso19k/sample.parquet' - - """ - - def test_write_parquet_no_partitions(self): - self._load_data_into_catalog() - - # Arrange - df = pd.DataFrame( - {"value": np.random.random(5), "instrument_id": ["a", "a", "a", "b", "b"]}, - ) - fs = self.catalog.fs - root = self.catalog.path - - # Act - write_parquet( - fs=fs, - path=f"{root}/sample.parquet", - df=df, - schema=pa.schema({"value": pa.float64(), "instrument_id": pa.string()}), - partition_cols=None, - ) - result = ds.dataset(f"{root}/sample.parquet").to_table().to_pandas() - - # Assert - assert result.equals(df) - - def test_write_parquet_partitions(self): - self._load_data_into_catalog() - # Arrange - fs = self.catalog.fs - root = self.catalog.path - path = "sample.parquet" - - df = pd.DataFrame( - {"value": np.random.random(5), "instrument_id": ["a", "a", "a", "b", "b"]}, - ) - - # Act - write_parquet( - fs=fs, - path=f"{root}/{path}", - df=df, - schema=pa.schema({"value": pa.float64(), "instrument_id": pa.string()}), - partition_cols=["instrument_id"], - ) - dataset = ds.dataset(root + "/sample.parquet") - result = dataset.to_table().to_pandas() - - # Assert - assert result.equals(df[["value"]]) # instrument_id is a partition now - assert dataset.files[0].startswith( - f"{self.catalog.path}/sample.parquet/instrument_id=a/", - ) - assert dataset.files[1].startswith( - f"{self.catalog.path}/sample.parquet/instrument_id=b/", - ) - - @pytest.mark.skip(reason="Implement with new Rust datafusion backend") - def test_process_files_use_rust_writes_expected(self): - # Arrange - instrument = TestInstrumentProvider.default_fx_ccy("USD/JPY") - - def block_parser(df): - df = df.set_index("timestamp") - df.index = pd.to_datetime(df.index) - yield from QuoteTickDataWrangler(instrument=instrument).process(df) - - # Act - process_files( - glob_path=TEST_DATA_DIR + "/truefx-usdjpy-ticks.csv", - reader=CSVReader(block_parser=block_parser), - use_rust=True, - catalog=self.catalog, - instrument=instrument, - ) - - path = f"{self.catalog.path}/data/quote_tick.parquet/instrument_id=USD-JPY.SIM/1357077600295000064-1357079713493999872-0.parquet" - assert self.fs.exists(path) - - @pytest.mark.skip(reason="Implement with new Rust datafusion backend") - def test_write_parquet_rust_quote_ticks_writes_expected(self): - # Arrange - instrument = TestInstrumentProvider.default_fx_ccy("EUR/USD") - - objs = [ - QuoteTick( - instrument_id=instrument.id, - bid_price=Price.from_str("4507.24000000"), - ask_price=Price.from_str("4507.25000000"), - bid_size=Quantity.from_str("2.35950000"), - ask_size=Quantity.from_str("2.84570000"), - ts_event=1, - ts_init=1, - ), - QuoteTick( - instrument_id=instrument.id, - bid_price=Price.from_str("4507.24000000"), - ask_price=Price.from_str("4507.25000000"), - bid_size=Quantity.from_str("2.35950000"), - ask_size=Quantity.from_str("2.84570000"), - ts_event=10, - ts_init=10, - ), - ] - # Act - write_parquet_rust(self.catalog, objs, instrument) - - path = f"{self.catalog.path}/data/quote_tick.parquet/instrument_id=EUR-USD.SIM/0000000000000000001-0000000000000000010-0.parquet" - - assert self.fs.exists(path) - assert len(pd.read_parquet(path)) == 2 - - @pytest.mark.skip(reason="Implement with new Rust datafusion backend") - def test_write_parquet_rust_trade_ticks_writes_expected(self): - # Arrange - instrument = TestInstrumentProvider.default_fx_ccy("EUR/USD") - - objs = [ - TradeTick( - instrument_id=instrument.id, - price=Price.from_str("2.0"), - size=Quantity.from_int(10), - aggressor_side=AggressorSide.NO_AGGRESSOR, - trade_id=TradeId("1"), - ts_event=1, - ts_init=1, - ), - TradeTick( - instrument_id=instrument.id, - price=Price.from_str("2.0"), - size=Quantity.from_int(10), - aggressor_side=AggressorSide.NO_AGGRESSOR, - trade_id=TradeId("1"), - ts_event=10, - ts_init=10, - ), - ] - # Act - write_parquet_rust(self.catalog, objs, instrument) - - path = f"{self.catalog.path}/data/trade_tick.parquet/instrument_id=EUR-USD.SIM/0000000000000000001-0000000000000000010-0.parquet" - - assert self.fs.exists(path) diff --git a/tests/unit_tests/persistence/external/test_metadata.py b/tests/unit_tests/persistence/external/test_metadata.py deleted file mode 100644 index 70f6ea5a36e0..000000000000 --- a/tests/unit_tests/persistence/external/test_metadata.py +++ /dev/null @@ -1,47 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -from unittest.mock import patch - -import pytest -from fsspec.implementations.ftp import FTPFileSystem -from fsspec.implementations.local import LocalFileSystem - -from nautilus_trader.persistence.external.metadata import _glob_path_to_fs - - -CASES = [ - ("/home/test/file.csv", LocalFileSystem, {"protocol": "file"}), - ( - "ftp://test@0.0.0.0/home/test/file.csv", - FTPFileSystem, - {"host": "0.0.0.0", "protocol": "ftp", "username": "test"}, # noqa: S104 - ), -] - - -@patch("nautilus_trader.persistence.external.metadata.fsspec.filesystem") -@pytest.mark.parametrize(("glob", "kw"), [(path, kw) for path, _, kw in CASES]) -def test_glob_path_to_fs_inferred(mock, glob, kw): - _glob_path_to_fs(glob) - mock.assert_called_with(**kw) - - -@patch("fsspec.implementations.ftp.FTPFileSystem._connect") -@patch("fsspec.implementations.ftp.FTPFileSystem.__del__") -@pytest.mark.parametrize(("glob", "cls"), [(path, cls) for path, cls, _ in CASES]) -def test_glob_path_to_fs(_mock1, _mock2, glob, cls): - fs = _glob_path_to_fs(glob) - assert isinstance(fs, cls) diff --git a/tests/unit_tests/persistence/external/test_parsers.py b/tests/unit_tests/persistence/external/test_parsers.py deleted file mode 100644 index a008e134ed28..000000000000 --- a/tests/unit_tests/persistence/external/test_parsers.py +++ /dev/null @@ -1,264 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - - -import msgspec -import pandas as pd -import pytest - -from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider -from nautilus_trader.model.instruments.currency_pair import CurrencyPair -from nautilus_trader.persistence.external.core import make_raw_files -from nautilus_trader.persistence.external.core import process_files -from nautilus_trader.persistence.external.core import process_raw_file -from nautilus_trader.persistence.external.readers import ByteReader -from nautilus_trader.persistence.external.readers import CSVReader -from nautilus_trader.persistence.external.readers import LinePreprocessor -from nautilus_trader.persistence.external.readers import TextReader -from nautilus_trader.persistence.wranglers import BarDataWrangler -from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler -from nautilus_trader.test_kit.mocks.data import MockReader -from nautilus_trader.test_kit.mocks.data import data_catalog_setup -from nautilus_trader.test_kit.stubs.data import TestDataStubs -from nautilus_trader.test_kit.stubs.data import TestInstrumentProvider -from tests import TEST_DATA_DIR -from tests.integration_tests.adapters.betfair.test_kit import BetfairDataProvider -from tests.integration_tests.adapters.betfair.test_kit import BetfairTestStubs -from tests.integration_tests.adapters.betfair.test_kit import betting_instrument - - -pytestmark = pytest.mark.skip(reason="WIP pending catalog refactor") - - -class TestPersistenceParsers: - def setup(self): - self.catalog = data_catalog_setup(protocol="memory") - self.reader = MockReader() - self.line_preprocessor = TestLineProcessor() - - def test_line_preprocessor_preprocess(self): - line = b'2021-06-29T06:04:11.943000 - {"op":"mcm","id":1,"clk":"AOkiAKEMAL4P","pt":1624946651810}\n' - line, data = self.line_preprocessor.pre_process(line=line) - assert line == b'{"op":"mcm","id":1,"clk":"AOkiAKEMAL4P","pt":1624946651810}' - assert data == {"ts_init": 1624946651943000000} - - def test_line_preprocessor_post_process(self): - obj = TestDataStubs.trade_tick() - data = {"ts_init": pd.Timestamp("2021-06-29T06:04:11.943000", tz="UTC").value} - obj = self.line_preprocessor.post_process(obj=obj, state=data) - assert obj.ts_init == 1624946651943000000 - - def test_byte_reader_parser(self): - def block_parser(block: bytes): - for raw in block.split(b"\\n"): - ts, line = raw.split(b" - ") - state = {"ts_init": pd.Timestamp(ts.decode(), tz="UTC").value} - line = line.strip().replace(b"b'", b"") - msgspec.json.decode(line) - for obj in BetfairTestStubs.parse_betfair( - line, - ): - values = obj.to_dict(obj) - values["ts_init"] = state["ts_init"] - yield obj.from_dict(values) - - provider = BetfairInstrumentProvider.from_instruments( - [betting_instrument()], - ) - block = BetfairDataProvider.badly_formatted_log() - reader = ByteReader(block_parser=block_parser, instrument_provider=provider) - - data = list(reader.parse(block=block)) - result = [pd.Timestamp(d.ts_init).isoformat() for d in data] - expected = ["2021-06-29T06:03:14.528000"] - assert result == expected - - def test_text_reader_instrument(self): - def parser(line): - from decimal import Decimal - - from nautilus_trader.model.currencies import BTC - from nautilus_trader.model.currencies import USDT - from nautilus_trader.model.enums import AssetClass - from nautilus_trader.model.enums import AssetType - from nautilus_trader.model.identifiers import InstrumentId - from nautilus_trader.model.identifiers import Symbol - from nautilus_trader.model.identifiers import Venue - from nautilus_trader.model.objects import Price - from nautilus_trader.model.objects import Quantity - - assert ( # type: ignore # noqa: F631 - Decimal, - AssetType, - AssetClass, - USDT, - BTC, - CurrencyPair, - InstrumentId, - Symbol, - Venue, - Price, - Quantity, - ) # Ensure imports stay - - # Replace str repr with "fully qualified" string we can `eval` - replacements = { - b"id=BTCUSDT.BINANCE": b"instrument_id=InstrumentId(Symbol('BTCUSDT'), venue=Venue('BINANCE'))", - b"raw_symbol=BTCUSDT": b"raw_symbol=Symbol('BTCUSDT')", - b"price_increment=0.01": b"price_increment=Price.from_str('0.01')", - b"size_increment=0.000001": b"size_increment=Quantity.from_str('0.000001')", - b"margin_init=0": b"margin_init=Decimal(0)", - b"margin_maint=0": b"margin_maint=Decimal(0)", - b"maker_fee=0.001": b"maker_fee=Decimal(0.001)", - b"taker_fee=0.001": b"taker_fee=Decimal(0.001)", - } - for k, v in replacements.items(): - line = line.replace(k, v) - - yield eval(line) # noqa - - reader = TextReader(line_parser=parser) - raw_file = make_raw_files(glob_path=f"{TEST_DATA_DIR}/binance-btcusdt-instrument.txt")[0] - result = process_raw_file(catalog=self.catalog, raw_file=raw_file, reader=reader) - expected = 1 - assert result == expected - - def test_csv_reader_dataframe(self): - def parser(data): - if data is None: - return - data.loc[:, "timestamp"] = pd.to_datetime(data["timestamp"]) - instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD") - wrangler = QuoteTickDataWrangler(instrument) - ticks = wrangler.process(data.set_index("timestamp")) - yield from ticks - - reader = CSVReader(block_parser=parser, as_dataframe=True) - raw_file = make_raw_files(glob_path=f"{TEST_DATA_DIR}/truefx-audusd-ticks.csv")[0] - result = process_raw_file(catalog=self.catalog, raw_file=raw_file, reader=reader) - assert result == 100000 - - def test_csv_reader_headerless_dataframe(self): - bar_type = TestDataStubs.bartype_adabtc_binance_1min_last() - instrument = TestInstrumentProvider.adabtc_binance() - wrangler = BarDataWrangler(bar_type, instrument) - - def parser(data): - data["timestamp"] = data["timestamp"].astype("datetime64[ms]") - bars = wrangler.process(data.set_index("timestamp")) - return bars - - binance_spot_header = [ - "timestamp", - "open", - "high", - "low", - "close", - "volume", - "ts_close", - "quote_volume", - "n_trades", - "taker_buy_base_volume", - "taker_buy_quote_volume", - "ignore", - ] - reader = CSVReader(block_parser=parser, header=binance_spot_header) - in_ = process_files( - glob_path=f"{TEST_DATA_DIR}/ADABTC-1m-2021-11-*.csv", - reader=reader, - catalog=self.catalog, - ) - assert sum(in_.values()) == 21 - - def test_csv_reader_dataframe_separator(self): - bar_type = TestDataStubs.bartype_adabtc_binance_1min_last() - instrument = TestInstrumentProvider.adabtc_binance() - wrangler = BarDataWrangler(bar_type, instrument) - - def parser(data): - data["timestamp"] = data["timestamp"].astype("datetime64[ms]") - bars = wrangler.process(data.set_index("timestamp")) - return bars - - binance_spot_header = [ - "timestamp", - "open", - "high", - "low", - "close", - "volume", - "ts_close", - "quote_volume", - "n_trades", - "taker_buy_base_volume", - "taker_buy_quote_volume", - "ignore", - ] - reader = CSVReader(block_parser=parser, header=binance_spot_header, separator="|") - in_ = process_files( - glob_path=f"{TEST_DATA_DIR}/ADABTC_pipe_separated-1m-2021-11-*.csv", - reader=reader, - catalog=self.catalog, - ) - assert sum(in_.values()) == 10 - - def test_text_reader(self) -> None: - provider = BetfairInstrumentProvider.from_instruments([]) - reader: TextReader = BetfairTestStubs.betfair_reader(provider) - raw_file = make_raw_files(glob_path=f"{TEST_DATA_DIR}/betfair/1.166811431.bz2")[0] - result = process_raw_file(catalog=self.catalog, raw_file=raw_file, reader=reader) - assert result == 22692 - - def test_byte_json_parser(self): - def parser(block): - for data in msgspec.json.decode(block): - obj = CurrencyPair.from_dict(data) - yield obj - - reader = ByteReader(block_parser=parser) - raw_file = make_raw_files(glob_path=f"{TEST_DATA_DIR}/crypto*.json")[0] - result = process_raw_file(catalog=self.catalog, raw_file=raw_file, reader=reader) - assert result == 6 - - # def test_parquet_reader(self): - # def parser(data): - # if data is None: - # return - # data.loc[:, "timestamp"] = pd.to_datetime(data.index) - # data = data.set_index("timestamp")[["bid", "ask", "bid_size", "ask_size"]] - # instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD") - # wrangler = QuoteTickDataWrangler(instrument) - # ticks = wrangler.process(data) - # yield from ticks - # - # reader = ParquetReader(parser=parser) - # raw_file = make_raw_files(glob_path=f"{TEST_DATA_DIR}/quote_tick_data.parquet")[0] - # result = process_raw_file(catalog=self.catalog, raw_file=raw_file, reader=reader) - # assert result == 9500 - - -class TestLineProcessor(LinePreprocessor): - @staticmethod - def pre_process(line): - ts, raw = line.split(b" - ") - data = {"ts_init": pd.Timestamp(ts.decode(), tz="UTC").value} - line = raw.strip() - return line, data - - @staticmethod - def post_process(obj, state): - values = obj.to_dict(obj) - values["ts_init"] = state["ts_init"] - return obj.from_dict(values) diff --git a/tests/unit_tests/persistence/external/test_util.py b/tests/unit_tests/persistence/external/test_util.py deleted file mode 100644 index 78fe85cf6639..000000000000 --- a/tests/unit_tests/persistence/external/test_util.py +++ /dev/null @@ -1,206 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - - -import pandas as pd -import pytest - -from nautilus_trader.persistence.external.util import Singleton -from nautilus_trader.persistence.external.util import clear_singleton_instances -from nautilus_trader.persistence.external.util import is_filename_in_time_range -from nautilus_trader.persistence.external.util import parse_filename -from nautilus_trader.persistence.external.util import parse_filename_start -from nautilus_trader.persistence.external.util import resolve_kwargs - - -def test_resolve_kwargs(): - def func1(): - pass - - def func2(a, b, c): - pass - - assert resolve_kwargs(func1) == {} - assert resolve_kwargs(func2, 1, 2, 3) == {"a": 1, "b": 2, "c": 3} - assert resolve_kwargs(func2, 1, 2, c=3) == {"a": 1, "b": 2, "c": 3} - assert resolve_kwargs(func2, 1, c=3, b=2) == {"a": 1, "b": 2, "c": 3} - assert resolve_kwargs(func2, a=1, b=2, c=3) == {"a": 1, "b": 2, "c": 3} - - -def test_singleton_without_init(): - # Arrange - class Test(metaclass=Singleton): - pass - - # Arrange - test1 = Test() - test2 = Test() - - # Assert - assert test1 is test2 - - -def test_singleton_with_init(): - # Arrange - class Test(metaclass=Singleton): - def __init__(self, a, b): - self.a = a - self.b = b - - # Act - test1 = Test(1, 1) - test2 = Test(1, 1) - test3 = Test(1, 2) - - # Assert - assert test1 is test2 - assert test2 is not test3 - - -def test_clear_instance(): - # Arrange - class Test(metaclass=Singleton): - pass - - # Act - Test() - assert Test._instances - - clear_singleton_instances(Test) - - # Assert - assert not Test._instances - - -def test_dict_kwarg(): - # Arrange - class Test(metaclass=Singleton): - def __init__(self, a, b): - self.a = a - self.b = b - - # Act - test1 = Test(1, b={"hello": "world"}) - - # Assert - assert test1.a == 1 - assert test1.b == {"hello": "world"} - instances = {(("a", 1), ("b", (("hello", "world"),))): test1} - assert Test._instances == instances - - -@pytest.mark.parametrize( - ("filename", "expected"), - [ - [ - "1577836800000000000-1578182400000000000-0.parquet", - (1577836800000000000, 1578182400000000000), - ], - [ - "/data/test/sample.parquet/instrument_id=a/1577836800000000000-1578182400000000000-0.parquet", - (None, None), - ], - ], -) -def test_parse_filename(filename, expected): - assert parse_filename(filename) == expected - - -@pytest.mark.parametrize( - ("filename", "start", "end", "expected"), - [ - [ - "1546383600000000000-1577826000000000000-SIM-1-HOUR-BID-EXTERNAL-0.parquet", - 0, - 9223372036854775807, - True, - ], - [ - "0000000000000000005-0000000000000000008-0.parquet", - 4, - 7, - True, - ], - [ - "0000000000000000005-0000000000000000008-0.parquet", - 6, - 9, - True, - ], - [ - "0000000000000000005-0000000000000000008-0.parquet", - 6, - 7, - True, - ], - [ - "0000000000000000005-0000000000000000008-0.parquet", - 4, - 9, - True, - ], - [ - "0000000000000000005-0000000000000000008-0.parquet", - 7, - 10, - True, - ], - [ - "0000000000000000005-0000000000000000008-0.parquet", - 9, - 10, - False, - ], - [ - "0000000000000000005-0000000000000000008-0.parquet", - 2, - 4, - False, - ], - [ - "0000000000000000005-0000000000000000008-0.parquet", - 0, - 9223372036854775807, - True, - ], - ], -) -def test_is_filename_in_time_range(filename, start, end, expected): - assert is_filename_in_time_range(filename, start, end) is expected - - -@pytest.mark.parametrize( - ("filename", "expected"), - [ - [ - "/data/test/sample.parquet/instrument_id=a/1577836800000000000-1578182400000000000-0.parquet", - ("a", pd.Timestamp("2020-01-01 00:00:00")), - ], - [ - "1546383600000000000-1577826000000000000-SIM-1-HOUR-BID-EXTERNAL-0.parquet", - (None, pd.Timestamp("2019-01-01 23:00:00")), - ], - [ - "/data/test/sample.parquet/instrument_id=a/0648140b1fd7491a97983c0c6ece8d57.parquet", - None, - ], - [ - "0648140b1fd7491a97983c0c6ece8d57.parquet", - None, - ], - ], -) -def test_parse_filename_start(filename, expected): - assert parse_filename_start(filename) == expected diff --git a/tests/unit_tests/persistence/test_backend.py b/tests/unit_tests/persistence/test_backend.py index 30b9a9233f77..749df9423b46 100644 --- a/tests/unit_tests/persistence/test_backend.py +++ b/tests/unit_tests/persistence/test_backend.py @@ -18,70 +18,105 @@ import pandas as pd from nautilus_trader import PACKAGE_ROOT -from nautilus_trader.core.nautilus_pyo3.persistence import DataBackendSession -from nautilus_trader.core.nautilus_pyo3.persistence import NautilusDataType -from nautilus_trader.persistence.wranglers import list_from_capsule +from nautilus_trader.core.nautilus_pyo3 import DataBackendSession +from nautilus_trader.core.nautilus_pyo3 import NautilusDataType +from nautilus_trader.model.data.base import capsule_to_list -def test_python_catalog_data(): - trades_path = os.path.join(PACKAGE_ROOT, "tests/test_data/trade_tick_data.parquet") - quotes_path = os.path.join(PACKAGE_ROOT, "tests/test_data/quote_tick_data.parquet") +def test_backend_session_order_book() -> None: + # Arrange + parquet_data_path = os.path.join(PACKAGE_ROOT, "tests/test_data/order_book_deltas.parquet") + assert pd.read_parquet(parquet_data_path).shape[0] == 1077 session = DataBackendSession() - session.add_file("trade_ticks", trades_path, NautilusDataType.TradeTick) - session.add_file("quote_ticks", quotes_path, NautilusDataType.QuoteTick) + session.add_file(NautilusDataType.OrderBookDelta, "order_book_deltas", parquet_data_path) + + # Act result = session.to_query_result() ticks = [] for chunk in result: - ticks.extend(list_from_capsule(chunk)) + ticks.extend(capsule_to_list(chunk)) - assert len(ticks) == 9600 + # Assert + assert len(ticks) == 1077 is_ascending = all(ticks[i].ts_init <= ticks[i].ts_init for i in range(len(ticks) - 1)) assert is_ascending -def test_python_catalog_trades(): - trades_path = os.path.join(PACKAGE_ROOT, "tests/test_data/trade_tick_data.parquet") +def test_backend_session_quotes() -> None: + # Arrange + parquet_data_path = os.path.join(PACKAGE_ROOT, "tests/test_data/quote_tick_data.parquet") session = DataBackendSession() - session.add_file("trade_ticks", trades_path, NautilusDataType.TradeTick) + session.add_file(NautilusDataType.QuoteTick, "quote_ticks", parquet_data_path) + + # Act result = session.to_query_result() ticks = [] for chunk in result: - ticks.extend(list_from_capsule(chunk)) + ticks.extend(capsule_to_list(chunk)) - assert len(ticks) == 100 + # Assert + assert len(ticks) == 9500 + assert str(ticks[-1]) == "EUR/USD.SIM,1.12130,1.12132,0,0,1577919652000000125" is_ascending = all(ticks[i].ts_init <= ticks[i].ts_init for i in range(len(ticks) - 1)) assert is_ascending -def test_python_catalog_quotes(): - parquet_data_path = os.path.join(PACKAGE_ROOT, "tests/test_data/quote_tick_data.parquet") +def test_backend_session_trades() -> None: + # Arrange + trades_path = os.path.join(PACKAGE_ROOT, "tests/test_data/trade_tick_data.parquet") session = DataBackendSession() - session.add_file("quote_ticks", parquet_data_path, NautilusDataType.QuoteTick) + session.add_file(NautilusDataType.TradeTick, "trade_ticks", trades_path) + + # Act result = session.to_query_result() ticks = [] for chunk in result: - ticks.extend(list_from_capsule(chunk)) + ticks.extend(capsule_to_list(chunk)) - assert len(ticks) == 9500 - assert str(ticks[-1]) == "EUR/USD.SIM,1.12130,1.12132,0,0,1577919652000000125" + # Assert + assert len(ticks) == 100 is_ascending = all(ticks[i].ts_init <= ticks[i].ts_init for i in range(len(ticks) - 1)) assert is_ascending -def test_python_catalog_order_book(): - parquet_data_path = os.path.join(PACKAGE_ROOT, "tests/test_data/order_book_deltas.parquet") - assert pd.read_parquet(parquet_data_path).shape[0] == 1077 +def test_backend_session_bars() -> None: + # Arrange + trades_path = os.path.join(PACKAGE_ROOT, "tests/test_data/bar_data.parquet") session = DataBackendSession() - session.add_file("order_book_deltas", parquet_data_path, NautilusDataType.OrderBookDelta) + session.add_file(NautilusDataType.Bar, "bars_01", trades_path) + + # Act + result = session.to_query_result() + + bars = [] + for chunk in result: + bars.extend(capsule_to_list(chunk)) + + # Assert + assert len(bars) == 10 + is_ascending = all(bars[i].ts_init <= bars[i].ts_init for i in range(len(bars) - 1)) + assert is_ascending + + +def test_backend_session_multiple_types() -> None: + # Arrange + trades_path = os.path.join(PACKAGE_ROOT, "tests/test_data/trade_tick_data.parquet") + quotes_path = os.path.join(PACKAGE_ROOT, "tests/test_data/quote_tick_data.parquet") + session = DataBackendSession() + session.add_file(NautilusDataType.TradeTick, "trades_01", trades_path) + session.add_file(NautilusDataType.QuoteTick, "quotes_01", quotes_path) + + # Act result = session.to_query_result() ticks = [] for chunk in result: - ticks.extend(list_from_capsule(chunk)) + ticks.extend(capsule_to_list(chunk)) - assert len(ticks) == 1077 + # Assert + assert len(ticks) == 9600 is_ascending = all(ticks[i].ts_init <= ticks[i].ts_init for i in range(len(ticks) - 1)) assert is_ascending diff --git a/tests/unit_tests/persistence/test_catalog.py b/tests/unit_tests/persistence/test_catalog.py index 735246c48a70..ef0d4ea32300 100644 --- a/tests/unit_tests/persistence/test_catalog.py +++ b/tests/unit_tests/persistence/test_catalog.py @@ -14,510 +14,115 @@ # ------------------------------------------------------------------------------------------------- import datetime -import os +import sys from decimal import Decimal +from typing import ClassVar import fsspec import pyarrow.dataset as ds import pytest -from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider +from nautilus_trader.core.rust.model import AggressorSide +from nautilus_trader.core.rust.model import BookAction from nautilus_trader.model.currencies import USD from nautilus_trader.model.data import GenericData from nautilus_trader.model.data import QuoteTick from nautilus_trader.model.data import TradeTick -from nautilus_trader.model.enums import AggressorSide from nautilus_trader.model.identifiers import InstrumentId from nautilus_trader.model.identifiers import Symbol from nautilus_trader.model.identifiers import TradeId from nautilus_trader.model.identifiers import Venue -from nautilus_trader.model.instruments.betting import BettingInstrument -from nautilus_trader.model.instruments.equity import Equity +from nautilus_trader.model.instruments import BettingInstrument +from nautilus_trader.model.instruments import Equity from nautilus_trader.model.objects import Price from nautilus_trader.model.objects import Quantity -from nautilus_trader.persistence.external.core import dicts_to_dataframes -from nautilus_trader.persistence.external.core import process_files -from nautilus_trader.persistence.external.core import split_and_serialize -from nautilus_trader.persistence.external.core import write_objects -from nautilus_trader.persistence.external.core import write_tables -from nautilus_trader.persistence.external.readers import CSVReader -from nautilus_trader.persistence.wranglers import BarDataWrangler +from nautilus_trader.persistence.catalog.parquet import ParquetDataCatalog from nautilus_trader.test_kit.mocks.data import NewsEventData from nautilus_trader.test_kit.mocks.data import data_catalog_setup from nautilus_trader.test_kit.providers import TestInstrumentProvider from nautilus_trader.test_kit.stubs.data import TestDataStubs -from nautilus_trader.test_kit.stubs.identifiers import TestIdStubs from nautilus_trader.test_kit.stubs.persistence import TestPersistenceStubs -from tests import TEST_DATA_DIR -from tests.integration_tests.adapters.betfair.test_kit import BetfairTestStubs -pytestmark = pytest.mark.skip(reason="WIP pending catalog refactor") +class TestPersistenceCatalog: + FS_PROTOCOL: ClassVar["str"] = "file" - -# TODO: Implement with new Rust datafusion backend -# class TestPersistenceCatalogRust: -# def setup(self) -> None: -# self.catalog = data_catalog_setup(protocol="file") -# self.fs: fsspec.AbstractFileSystem = self.catalog.fs -# self.instrument = TestInstrumentProvider.default_fx_ccy("EUR/USD", Venue("SIM")) -# -# def teardown(self) -> None: -# # Cleanup -# path = self.catalog.path -# fs = self.catalog.fs -# if fs.exists(path): -# fs.rm(path, recursive=True) -# -# def _load_quote_ticks_into_catalog_rust(self) -> list[QuoteTick]: -# parquet_data_path = os.path.join(TEST_DATA_DIR, "quote_tick_data.parquet") -# assert os.path.exists(parquet_data_path) -# -# reader = ParquetReader( -# parquet_data_path, -# 1000, -# ParquetType.QuoteTick, -# ParquetReaderType.File, -# ) -# -# mapped_chunk = map(QuoteTick.list_from_capsule, reader) -# quotes = list(itertools.chain(*mapped_chunk)) -# -# min_timestamp = str(quotes[0].ts_init).rjust(19, "0") -# max_timestamp = str(quotes[-1].ts_init).rjust(19, "0") -# -# # Write EUR/USD and USD/JPY rust quotes -# for instrument_id in ("EUR/USD.SIM", "USD/JPY.SIM"): -# # Reset reader -# reader = ParquetReader( -# parquet_data_path, -# 1000, -# ParquetType.QuoteTick, -# ParquetReaderType.File, -# ) -# -# metadata = { -# "instrument_id": instrument_id, -# "price_precision": "5", -# "size_precision": "0", -# } -# writer = ParquetWriter( -# ParquetType.QuoteTick, -# metadata, -# ) -# -# file_path = os.path.join( -# self.catalog.path, -# "data", -# "quote_tick.parquet", -# f"instrument_id={instrument_id.replace('/', '-')}", # EUR-USD.SIM, USD-JPY.SIM -# f"{min_timestamp}-{max_timestamp}-0.parquet", -# ) -# -# os.makedirs(os.path.dirname(file_path), exist_ok=True) -# with open(file_path, "wb") as f: -# for chunk in reader: -# writer.write(chunk) -# data: bytes = writer.flush_bytes() -# f.write(data) -# -# return quotes -# -# def _load_trade_ticks_into_catalog_rust(self) -> list[TradeTick]: -# parquet_data_path = os.path.join(TEST_DATA_DIR, "trade_tick_data.parquet") -# assert os.path.exists(parquet_data_path) -# reader = ParquetReader( -# parquet_data_path, -# 100, -# ParquetType.TradeTick, -# ParquetReaderType.File, -# ) -# -# mapped_chunk = map(TradeTick.list_from_capsule, reader) -# trades = list(itertools.chain(*mapped_chunk)) -# -# min_timestamp = str(trades[0].ts_init).rjust(19, "0") -# max_timestamp = str(trades[-1].ts_init).rjust(19, "0") -# -# # Reset reader -# reader = ParquetReader( -# parquet_data_path, -# 100, -# ParquetType.TradeTick, -# ParquetReaderType.File, -# ) -# -# metadata = { -# "instrument_id": "EUR/USD.SIM", -# "price_precision": "5", -# "size_precision": "0", -# } -# writer = ParquetWriter( -# ParquetType.TradeTick, -# metadata, -# ) -# -# file_path = os.path.join( -# self.catalog.path, -# "data", -# "trade_tick.parquet", -# "instrument_id=EUR-USD.SIM", -# f"{min_timestamp}-{max_timestamp}-0.parquet", -# ) -# -# os.makedirs(os.path.dirname(file_path), exist_ok=True) -# with open(file_path, "wb") as f: -# for chunk in reader: -# writer.write(chunk) -# data: bytes = writer.flush_bytes() -# f.write(data) -# -# return trades -# -# def test_get_files_for_expected_instrument_id(self): -# # Arrange -# self._load_quote_ticks_into_catalog_rust() -# -# # Act -# files1 = self.catalog.get_files(cls=QuoteTick, instrument_id="USD/JPY.SIM") -# files2 = self.catalog.get_files(cls=QuoteTick, instrument_id="EUR/USD.SIM") -# files3 = self.catalog.get_files(cls=QuoteTick, instrument_id="USD/CHF.SIM") -# -# # Assert -# assert files1 == [ -# f"{self.catalog.path}/data/quote_tick.parquet/instrument_id=USD-JPY.SIM/1577898000000000065-1577919652000000125-0.parquet", -# ] -# assert files2 == [ -# f"{self.catalog.path}/data/quote_tick.parquet/instrument_id=EUR-USD.SIM/1577898000000000065-1577919652000000125-0.parquet", -# ] -# assert files3 == [] -# -# def test_get_files_for_no_instrument_id(self): -# # Arrange -# self._load_quote_ticks_into_catalog_rust() -# -# # Act -# files = self.catalog.get_files(cls=QuoteTick) -# -# # Assert -# assert files == [ -# f"{self.catalog.path}/data/quote_tick.parquet/instrument_id=EUR-USD.SIM/1577898000000000065-1577919652000000125-0.parquet", -# f"{self.catalog.path}/data/quote_tick.parquet/instrument_id=USD-JPY.SIM/1577898000000000065-1577919652000000125-0.parquet", -# ] -# -# def test_get_files_for_timestamp_range(self): -# # Arrange -# self._load_quote_ticks_into_catalog_rust() -# start = 1577898000000000065 -# end = 1577919652000000125 -# -# # Act -# files1 = self.catalog.get_files( -# cls=QuoteTick, -# instrument_id="EUR/USD.SIM", -# start_nanos=start, -# end_nanos=start, -# ) -# -# files2 = self.catalog.get_files( -# cls=QuoteTick, -# instrument_id="EUR/USD.SIM", -# start_nanos=0, -# end_nanos=start - 1, -# ) -# -# files3 = self.catalog.get_files( -# cls=QuoteTick, -# instrument_id="EUR/USD.SIM", -# start_nanos=end + 1, -# end_nanos=sys.maxsize, -# ) -# -# # Assert -# assert files1 == [ -# f"{self.catalog.path}/data/quote_tick.parquet/instrument_id=EUR-USD.SIM/1577898000000000065-1577919652000000125-0.parquet", -# ] -# assert files2 == [] -# assert files3 == [] -# -# def test_data_catalog_quote_ticks_as_nautilus_use_rust(self): -# # Arrange -# self._load_quote_ticks_into_catalog_rust() -# -# # Act -# quote_ticks = self.catalog.quote_ticks( -# as_nautilus=True, -# use_rust=True, -# instrument_ids=["EUR/USD.SIM"], -# ) -# -# # Assert -# assert all(isinstance(tick, QuoteTick) for tick in quote_ticks) -# assert len(quote_ticks) == 9500 -# -# def test_data_catalog_quote_ticks_as_nautilus_use_rust_with_date_range(self): -# # Arrange -# self._load_quote_ticks_into_catalog_rust() -# -# start_timestamp = 1577898181000000440 # index 44 -# end_timestamp = 1577898572000000953 # index 99 -# -# # Act -# quote_ticks = self.catalog.quote_ticks( -# as_nautilus=True, -# use_rust=True, -# instrument_ids=["EUR/USD.SIM"], -# start=start_timestamp, -# end=end_timestamp, -# ) -# -# # Assert -# assert all(isinstance(tick, QuoteTick) for tick in quote_ticks) -# assert len(quote_ticks) == 54 -# assert quote_ticks[0].ts_init == start_timestamp -# assert quote_ticks[-1].ts_init == end_timestamp -# -# def test_data_catalog_quote_ticks_as_nautilus_use_rust_with_date_range_with_multiple_instrument_ids( -# self, -# ): -# # Arrange -# self._load_quote_ticks_into_catalog_rust() -# -# start_timestamp = 1577898181000000440 # EUR/USD.SIM index 44 -# end_timestamp = 1577898572000000953 # EUR/USD.SIM index 99 -# -# # Act -# quote_ticks = self.catalog.quote_ticks( -# as_nautilus=True, -# use_rust=True, -# instrument_ids=["EUR/USD.SIM", "USD/JPY.SIM"], -# start=start_timestamp, -# end=end_timestamp, -# ) -# -# # Assert -# assert all(isinstance(tick, QuoteTick) for tick in quote_ticks) -# -# instrument1_quote_ticks = [t for t in quote_ticks if str(t.instrument_id) == "EUR/USD.SIM"] -# assert len(instrument1_quote_ticks) == 54 -# -# instrument2_quote_ticks = [t for t in quote_ticks if str(t.instrument_id) == "USD/JPY.SIM"] -# assert len(instrument2_quote_ticks) == 54 -# -# assert quote_ticks[0].ts_init == start_timestamp -# assert quote_ticks[-1].ts_init == end_timestamp - -# def test_data_catalog_use_rust_quote_ticks_round_trip(self): -# # Arrange -# instrument = TestInstrumentProvider.default_fx_ccy("EUR/USD") -# -# parquet_data_glob_path = TEST_DATA_DIR + "/quote_tick_data.parquet" -# assert os.path.exists(parquet_data_glob_path) -# -# def block_parser(df): -# df = df.set_index("ts_event") -# df.index = df.ts_init.apply(unix_nanos_to_dt) -# objs = QuoteTickDataWrangler(instrument=instrument).process(df) -# yield from objs -# -# # Act -# process_files( -# glob_path=parquet_data_glob_path, -# reader=ParquetByteReader(parser=block_parser), -# use_rust=True, -# catalog=self.catalog, -# instrument=instrument, -# ) -# -# quote_ticks = self.catalog.quote_ticks( -# as_nautilus=True, -# use_rust=True, -# instrument_ids=["EUR/USD.SIM"], -# ) -# -# assert all(isinstance(tick, QuoteTick) for tick in quote_ticks) -# assert len(quote_ticks) == 9500 - -# def test_data_catalog_quote_ticks_use_rust(self): -# # Arrange -# quotes = self._load_quote_ticks_into_catalog_rust() -# -# # Act -# qdf = self.catalog.quote_ticks(use_rust=True, instrument_ids=["EUR/USD.SIM"]) -# -# # Assert -# assert isinstance(qdf, pd.DataFrame) -# assert len(qdf) == 9500 -# assert qdf.bid.equals(pd.Series([float(q.bid) for q in quotes])) -# assert qdf.ask.equals(pd.Series([float(q.ask) for q in quotes])) -# assert qdf.bid_size.equals(pd.Series([float(q.bid_size) for q in quotes])) -# assert qdf.ask_size.equals(pd.Series([float(q.ask_size) for q in quotes])) -# assert (qdf.instrument_id == "EUR/USD.SIM").all -# -# def test_data_catalog_trade_ticks_as_nautilus_use_rust(self): -# # Arrange -# self._load_trade_ticks_into_catalog_rust() -# -# # Act -# trade_ticks = self.catalog.trade_ticks( -# as_nautilus=True, -# use_rust=True, -# instrument_ids=["EUR/USD.SIM"], -# ) -# -# # Assert -# assert all(isinstance(tick, TradeTick) for tick in trade_ticks) -# assert len(trade_ticks) == 100 - - -class _TestPersistenceCatalog: def setup(self) -> None: - self.catalog = data_catalog_setup(protocol=self.fs_protocol) # type: ignore - self._load_data_into_catalog() + self.catalog = data_catalog_setup(protocol=self.FS_PROTOCOL) self.fs: fsspec.AbstractFileSystem = self.catalog.fs - def teardown(self): - # Cleanup - path = self.catalog.path - fs = self.catalog.fs - if fs.exists(path): - fs.rm(path, recursive=True) - - def _load_data_into_catalog(self): - self.instrument_provider = BetfairInstrumentProvider.from_instruments([]) - # Write some betfair trades and orderbook - process_files( - glob_path=TEST_DATA_DIR + "/betfair/1.166564490.bz2", - reader=BetfairTestStubs.betfair_reader(instrument_provider=self.instrument_provider), - instrument_provider=self.instrument_provider, - catalog=self.catalog, - ) - - def test_partition_key_correctly_remapped(self): - # Arrange - instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD") - tick = QuoteTick( - instrument_id=instrument.id, - bid_price=Price(10, 1), - ask_price=Price(11, 1), - bid_size=Quantity(10, 1), - ask_size=Quantity(10, 1), - ts_init=0, - ts_event=0, - ) - tables = dicts_to_dataframes(split_and_serialize([tick])) - - write_tables(catalog=self.catalog, tables=tables) - - # Act - df = self.catalog.quote_ticks() - - # Assert - assert len(df) == 1 - self.fs.isdir( - os.path.join(self.catalog.path, "data", "quote_tick.parquet/instrument_id=AUD-USD.SIM"), - ) - # Ensure we "unmap" the keys that we write the partition filenames as; - # this instrument_id should be AUD/USD not AUD-USD - assert df.iloc[0]["instrument_id"] == instrument.id.value - - def test_list_data_types(self): - data_types = self.catalog.list_data_types() - + def test_list_data_types(self, betfair_catalog: ParquetDataCatalog) -> None: + data_types = betfair_catalog.list_data_types() expected = [ "betfair_ticker", "betting_instrument", - "instrument_status_update", + "instrument_status", "order_book_delta", "trade_tick", ] assert data_types == expected - def test_list_partitions(self): - # Arrange - instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD") - tick = QuoteTick( - instrument_id=instrument.id, - bid_price=Price(10, 1), - ask_price=Price(11, 1), - bid_size=Quantity(10, 1), - ask_size=Quantity(10, 1), - ts_init=0, - ts_event=0, - ) - tables = dicts_to_dataframes(split_and_serialize([tick])) - write_tables(catalog=self.catalog, tables=tables) - - # Act - self.catalog.list_partitions(QuoteTick) - - # Assert - # TODO(cs): Assert new HivePartitioning object for catalog v2 - - def test_data_catalog_query_filtered(self): + def test_catalog_query_filtered( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: ticks = self.catalog.trade_ticks() - assert len(ticks) == 312 + assert len(ticks) == 283 ticks = self.catalog.trade_ticks(start="2019-12-20 20:56:18") - assert len(ticks) == 123 + assert len(ticks) == 121 ticks = self.catalog.trade_ticks(start=1576875378384999936) - assert len(ticks) == 123 + assert len(ticks) == 121 ticks = self.catalog.trade_ticks(start=datetime.datetime(2019, 12, 20, 20, 56, 18)) - assert len(ticks) == 123 + assert len(ticks) == 121 deltas = self.catalog.order_book_deltas() assert len(deltas) == 2384 - filtered_deltas = self.catalog.order_book_deltas(filter_expr=ds.field("action") == "DELETE") + def test_catalog_query_custom_filtered( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: + filtered_deltas = self.catalog.order_book_deltas( + where=f"action = '{BookAction.DELETE.value}'", + ) assert len(filtered_deltas) == 351 - def test_data_catalog_trade_ticks_as_nautilus(self): - trade_ticks = self.catalog.trade_ticks(as_nautilus=True) - assert all(isinstance(tick, TradeTick) for tick in trade_ticks) - assert len(trade_ticks) == 312 - - def test_data_catalog_instruments_df(self): + def test_catalog_instruments_df( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: instruments = self.catalog.instruments() assert len(instruments) == 2 - def test_writing_instruments_doesnt_overwrite(self): - instruments = self.catalog.instruments(as_nautilus=True) - write_objects(catalog=self.catalog, chunk=[instruments[0]]) - write_objects(catalog=self.catalog, chunk=[instruments[1]]) - instruments = self.catalog.instruments(as_nautilus=True) - assert len(instruments) == 2 - - def test_writing_instruments_overwrite(self): - instruments = self.catalog.instruments(as_nautilus=True) - write_objects(catalog=self.catalog, chunk=[instruments[0]], merge_existing_data=False) - write_objects(catalog=self.catalog, chunk=[instruments[1]], merge_existing_data=False) - instruments = self.catalog.instruments(as_nautilus=True) - assert len(instruments) == 1 - - def test_data_catalog_instruments_filtered_df(self): - instrument_id = self.catalog.instruments(as_nautilus=True)[0].id.value + def test_catalog_instruments_filtered_df( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: + instrument_id = self.catalog.instruments()[0].id.value instruments = self.catalog.instruments(instrument_ids=[instrument_id]) assert len(instruments) == 1 - assert instruments["id"].iloc[0] == instrument_id - - def test_data_catalog_instruments_as_nautilus(self): - instruments = self.catalog.instruments(as_nautilus=True) assert all(isinstance(ins, BettingInstrument) for ins in instruments) + assert instruments[0].id.value == instrument_id - def test_data_catalog_currency_with_null_max_price_loads(self): + @pytest.mark.skipif(sys.platform == "win32", reason="Failing on windows") + def test_catalog_currency_with_null_max_price_loads( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: # Arrange instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD", venue=Venue("SIM")) - write_objects(catalog=self.catalog, chunk=[instrument]) + betfair_catalog.write_data([instrument]) # Act - instrument = self.catalog.instruments(instrument_ids=["AUD/USD.SIM"], as_nautilus=True)[0] + instrument = self.catalog.instruments(instrument_ids=["AUD/USD.SIM"])[0] # Assert assert instrument.max_price is None - def test_data_catalog_instrument_ids_correctly_unmapped(self): + def test_catalog_instrument_ids_correctly_unmapped(self) -> None: # Arrange instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD", venue=Venue("SIM")) trade_tick = TradeTick( @@ -529,109 +134,165 @@ def test_data_catalog_instrument_ids_correctly_unmapped(self): ts_event=0, ts_init=0, ) - write_objects(catalog=self.catalog, chunk=[instrument, trade_tick]) + self.catalog.write_data([instrument, trade_tick]) # Act self.catalog.instruments() - instrument = self.catalog.instruments(instrument_ids=["AUD/USD.SIM"], as_nautilus=True)[0] - trade_tick = self.catalog.trade_ticks(instrument_ids=["AUD/USD.SIM"], as_nautilus=True)[0] + instrument = self.catalog.instruments(instrument_ids=["AUD/USD.SIM"])[0] + trade_tick = self.catalog.trade_ticks(instrument_ids=["AUD/USD.SIM"])[0] # Assert assert instrument.id.value == "AUD/USD.SIM" assert trade_tick.instrument_id.value == "AUD/USD.SIM" - def test_data_catalog_filter(self): + @pytest.mark.skip(reason="Not yet partitioning") + def test_partioning_min_rows_per_group( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: + # Arrange + instrument = Equity( + instrument_id=InstrumentId(symbol=Symbol("AAPL"), venue=Venue("NASDAQ")), + raw_symbol=Symbol("AAPL"), + currency=USD, + price_precision=2, + price_increment=Price.from_str("0.01"), + multiplier=Quantity.from_int(1), + lot_size=Quantity.from_int(1), + isin="US0378331005", + ts_event=0, + ts_init=0, + margin_init=Decimal("0.01"), + margin_maint=Decimal("0.005"), + maker_fee=Decimal("0.005"), + taker_fee=Decimal("0.01"), + ) + quote_ticks = [] + + # Num quotes needs to be less than 5000 (default value for max_rows_per_group) + expected_num_quotes = 100 + + for _ in range(expected_num_quotes): + quote_tick = QuoteTick( + instrument_id=instrument.id, + bid_price=Price.from_str("2.1"), + ask_price=Price.from_str("2.0"), + bid_size=Quantity.from_int(10), + ask_size=Quantity.from_int(10), + ts_event=0, + ts_init=0, + ) + quote_ticks.append(quote_tick) + + # Act + self.catalog.write_data(data=quote_ticks, partitioning=["ts_event"]) + + result = len(self.catalog.quote_ticks()) + + # Assert + assert result == expected_num_quotes + + def test_catalog_filter( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: # Arrange, Act deltas = self.catalog.order_book_deltas() - filtered_deltas = self.catalog.order_book_deltas(filter_expr=ds.field("action") == "DELETE") + filtered_deltas = self.catalog.order_book_deltas( + where=f"Action = {BookAction.DELETE.value}", + ) # Assert assert len(deltas) == 2384 assert len(filtered_deltas) == 351 - def test_data_catalog_generic_data(self): + def test_catalog_generic_data(self) -> None: # Arrange TestPersistenceStubs.setup_news_event_persistence() - process_files( - glob_path=f"{TEST_DATA_DIR}/news_events.csv", - reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser), - catalog=self.catalog, - ) + data = TestPersistenceStubs.news_events() + self.catalog.write_data(data) # Act df = self.catalog.generic_data(cls=NewsEventData, filter_expr=ds.field("currency") == "USD") data = self.catalog.generic_data( cls=NewsEventData, filter_expr=ds.field("currency") == "CHF", - as_nautilus=True, ) # Assert assert df is not None assert data is not None - assert len(df) == 22925 + assert len(df) == 22941 assert len(data) == 2745 assert isinstance(data[0], GenericData) - def test_data_catalog_bars(self): + def test_catalog_bars(self) -> None: # Arrange bar_type = TestDataStubs.bartype_adabtc_binance_1min_last() instrument = TestInstrumentProvider.adabtc_binance() - wrangler = BarDataWrangler(bar_type, instrument) - - def parser(data): - data["timestamp"] = data["timestamp"].astype("datetime64[ms]") - bars = wrangler.process(data.set_index("timestamp")) - return bars - - binance_spot_header = [ - "timestamp", - "open", - "high", - "low", - "close", - "volume", - "ts_close", - "quote_volume", - "n_trades", - "taker_buy_base_volume", - "taker_buy_quote_volume", - "ignore", - ] - reader = CSVReader(block_parser=parser, header=binance_spot_header) + stub_bars = TestDataStubs.binance_bars_from_csv( + "ADABTC-1m-2021-11-27.csv", + bar_type, + instrument, + ) # Act - _ = process_files( - glob_path=f"{TEST_DATA_DIR}/ADABTC-1m-2021-11-*.csv", - reader=reader, - catalog=self.catalog, - ) + self.catalog.write_data(stub_bars) # Assert - bars = self.catalog.bars() - assert len(bars) == 21 + bars = self.catalog.bars(bar_types=[str(bar_type)]) + all_bars = self.catalog.bars() + assert len(all_bars) == 10 + assert len(bars) == len(stub_bars) == 10 - def test_catalog_bar_query_instrument_id(self): + def test_catalog_multiple_bar_types(self) -> None: # Arrange - bar = TestDataStubs.bar_5decimal() - write_objects(catalog=self.catalog, chunk=[bar]) + bar_type1 = TestDataStubs.bartype_adabtc_binance_1min_last() + instrument1 = TestInstrumentProvider.adabtc_binance() + stub_bars1 = TestDataStubs.binance_bars_from_csv( + "ADABTC-1m-2021-11-27.csv", + bar_type1, + instrument1, + ) + + bar_type2 = TestDataStubs.bartype_btcusdt_binance_100tick_last() + instrument2 = TestInstrumentProvider.btcusdt_binance() + stub_bars2 = TestDataStubs.binance_bars_from_csv( + "ADABTC-1m-2021-11-27.csv", + bar_type2, + instrument2, + ) # Act - objs = self.catalog.bars(instrument_ids=[TestIdStubs.audusd_id().value], as_nautilus=True) - data = self.catalog.bars(instrument_ids=[TestIdStubs.audusd_id().value]) + self.catalog.write_data(stub_bars1) + self.catalog.write_data(stub_bars2) # Assert - assert len(objs) == 1 - assert data.shape[0] == 1 - assert "instrument_id" in data.columns + bars1 = self.catalog.bars(bar_types=[str(bar_type1)]) + bars2 = self.catalog.bars(bar_types=[str(bar_type2)]) + all_bars = self.catalog.bars() + assert len(all_bars) == 20 + assert len(bars1) == 10 + assert len(bars2) == 10 + + def test_catalog_bar_query_instrument_id( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: + # Arrange + bar = TestDataStubs.bar_5decimal() + betfair_catalog.write_data([bar]) + + # Act + data = self.catalog.bars(bar_types=[str(bar.bar_type)]) - def test_catalog_projections(self): - projections = {"tid": ds.field("trade_id")} - trades = self.catalog.trade_ticks(projections=projections) - assert "tid" in trades.columns - assert trades["trade_id"].equals(trades["tid"]) + # Assert + assert len(data) == 1 - def test_catalog_persists_equity(self): + def test_catalog_persists_equity( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: # Arrange instrument = Equity( instrument_id=InstrumentId(symbol=Symbol("AAPL"), venue=Venue("NASDAQ")), @@ -661,9 +322,8 @@ def test_catalog_persists_equity(self): ) # Act - write_objects(catalog=self.catalog, chunk=[instrument, quote_tick]) + betfair_catalog.write_data([instrument, quote_tick]) instrument_from_catalog = self.catalog.instruments( - as_nautilus=True, instrument_ids=[instrument.id.value], )[0] @@ -673,10 +333,30 @@ def test_catalog_persists_equity(self): assert instrument.margin_init == instrument_from_catalog.margin_init assert instrument.margin_maint == instrument_from_catalog.margin_maint + def test_list_backtest_runs( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: + # Arrange + mock_folder = f"{betfair_catalog.path}/backtest/abc" + betfair_catalog.fs.mkdir(mock_folder) + + # Act + result = betfair_catalog.list_backtest_runs() + + # Assert + assert result == ["abc"] -class TestPersistenceCatalogFile(_TestPersistenceCatalog): - fs_protocol = "file" + def test_list_live_runs( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: + # Arrange + mock_folder = f"{betfair_catalog.path}/live/abc" + betfair_catalog.fs.mkdir(mock_folder) + # Act + result = betfair_catalog.list_live_runs() -class TestPersistenceCatalogMemory(_TestPersistenceCatalog): - fs_protocol = "memory" + # Assert + assert result == ["abc"] diff --git a/tests/unit_tests/serialization/test_util.py b/tests/unit_tests/persistence/test_funcs.py similarity index 71% rename from tests/unit_tests/serialization/test_util.py rename to tests/unit_tests/persistence/test_funcs.py index 9c74c6154273..fd09ded1660c 100644 --- a/tests/unit_tests/serialization/test_util.py +++ b/tests/unit_tests/persistence/test_funcs.py @@ -18,21 +18,8 @@ from nautilus_trader.model.data import OrderBookDelta from nautilus_trader.model.data import TradeTick -from nautilus_trader.serialization.arrow.util import camel_to_snake_case -from nautilus_trader.serialization.arrow.util import class_to_filename -from nautilus_trader.serialization.arrow.util import clean_key - - -@pytest.mark.parametrize( - ("s", "expected"), - [ - ("BSPOrderBookDelta", "bsp_order_book_delta"), - ("OrderBookDelta", "order_book_delta"), - ("TradeTick", "trade_tick"), - ], -) -def test_camel_to_snake_case(s, expected): - assert camel_to_snake_case(s) == expected +from nautilus_trader.persistence.funcs import class_to_filename +from nautilus_trader.persistence.funcs import clean_windows_key @pytest.mark.parametrize( @@ -41,8 +28,8 @@ def test_camel_to_snake_case(s, expected): ("Instrument\\ID:hello", "Instrument-ID-hello"), ], ) -def test_clean_key(s, expected): - assert clean_key(s) == expected +def test_clean_windows_key(s, expected): + assert clean_windows_key(s) == expected @pytest.mark.parametrize( diff --git a/tests/unit_tests/persistence/test_metadata.py b/tests/unit_tests/persistence/test_metadata.py deleted file mode 100644 index 53624ac9c1b6..000000000000 --- a/tests/unit_tests/persistence/test_metadata.py +++ /dev/null @@ -1,49 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import fsspec - -from nautilus_trader.model.identifiers import Venue -from nautilus_trader.persistence.external.core import write_objects -from nautilus_trader.persistence.external.metadata import load_mappings -from nautilus_trader.test_kit.mocks.data import data_catalog_setup -from nautilus_trader.test_kit.providers import TestInstrumentProvider -from nautilus_trader.test_kit.stubs.data import TestDataStubs - - -class TestPersistenceBatching: - def setup(self) -> None: - self.catalog = data_catalog_setup(protocol="memory") - self.fs: fsspec.AbstractFileSystem = self.catalog.fs - - def test_metadata_multiple_instruments(self) -> None: - # Arrange - audusd = TestInstrumentProvider.default_fx_ccy("AUD/USD", Venue("OANDA")) - gbpusd = TestInstrumentProvider.default_fx_ccy("GBP/USD", Venue("OANDA")) - audusd_trade = TestDataStubs.trade_tick(instrument=audusd) - gbpusd_trade = TestDataStubs.trade_tick(instrument=gbpusd) - - # Act - write_objects(self.catalog, [audusd_trade, gbpusd_trade]) - - # Assert - meta = load_mappings(fs=self.fs, path=f"{self.catalog.path}/data/trade_tick.parquet") - expected = { - "instrument_id": { - "GBP/USD.OANDA": "GBP-USD.OANDA", - "AUD/USD.OANDA": "AUD-USD.OANDA", - }, - } - assert meta == expected diff --git a/tests/unit_tests/persistence/test_streaming.py b/tests/unit_tests/persistence/test_streaming.py index 09b2622fb8a8..b1388ea47010 100644 --- a/tests/unit_tests/persistence/test_streaming.py +++ b/tests/unit_tests/persistence/test_streaming.py @@ -13,77 +13,48 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +import copy import sys from collections import Counter +from typing import Optional import msgspec.json import pytest -from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider from nautilus_trader.backtest.node import BacktestNode -from nautilus_trader.common.clock import LiveClock -from nautilus_trader.common.logging import Logger -from nautilus_trader.common.logging import LoggerAdapter from nautilus_trader.config import BacktestDataConfig from nautilus_trader.config import BacktestEngineConfig from nautilus_trader.config import BacktestRunConfig from nautilus_trader.config import ImportableStrategyConfig from nautilus_trader.config import NautilusKernelConfig from nautilus_trader.core.data import Data -from nautilus_trader.model.data import InstrumentStatusUpdate +from nautilus_trader.core.rust.model import BookType +from nautilus_trader.model.data import InstrumentStatus +from nautilus_trader.model.data import OrderBookDelta from nautilus_trader.model.data import TradeTick -from nautilus_trader.persistence.external.core import process_files -from nautilus_trader.persistence.external.readers import CSVReader -from nautilus_trader.persistence.streaming.writer import generate_signal_class +from nautilus_trader.model.identifiers import InstrumentId +from nautilus_trader.model.orderbook import OrderBook +from nautilus_trader.persistence.catalog.parquet import ParquetDataCatalog +from nautilus_trader.persistence.writer import generate_signal_class from nautilus_trader.test_kit.mocks.data import NewsEventData -from nautilus_trader.test_kit.mocks.data import data_catalog_setup from nautilus_trader.test_kit.stubs.persistence import TestPersistenceStubs -from tests import TEST_DATA_DIR from tests.integration_tests.adapters.betfair.test_kit import BetfairTestStubs -pytestmark = pytest.mark.skip(reason="WIP pending catalog refactor") - - @pytest.mark.skipif(sys.platform == "win32", reason="failing on Windows") class TestPersistenceStreaming: - def setup(self): - self.catalog = data_catalog_setup(protocol="memory", path="/.nautilus/catalog") # , - self.fs = self.catalog.fs - self._load_data_into_catalog() - self._logger = Logger(clock=LiveClock()) - self.logger = LoggerAdapter("test", logger=self._logger) - - def _load_data_into_catalog(self): - self.instrument_provider = BetfairInstrumentProvider.from_instruments([]) - result = process_files( - glob_path=TEST_DATA_DIR + "/betfair/1.166564490.bz2", - reader=BetfairTestStubs.betfair_reader(instrument_provider=self.instrument_provider), - instrument_provider=self.instrument_provider, - catalog=self.catalog, - ) - assert result - data = ( - self.catalog.instruments(as_nautilus=True) - + self.catalog.instrument_status_updates(as_nautilus=True) - + self.catalog.trade_ticks(as_nautilus=True) - + self.catalog.order_book_deltas(as_nautilus=True) - + self.catalog.tickers(as_nautilus=True) - ) - assert len(data) == 2535 - - @pytest.mark.skipif(sys.platform == "win32", reason="Currently flaky on Windows") - def test_feather_writer(self): - # Arrange - instrument = self.catalog.instruments(as_nautilus=True)[0] - - catalog_path = "/.nautilus/catalog" + def setup(self) -> None: + self.catalog: Optional[ParquetDataCatalog] = None + def _run_default_backtest(self, betfair_catalog): + self.catalog = betfair_catalog + instrument = self.catalog.instruments()[0] run_config = BetfairTestStubs.betfair_backtest_run_config( - catalog_path=catalog_path, - catalog_fs_protocol="memory", + catalog_path=betfair_catalog.path, + catalog_fs_protocol="file", instrument_id=instrument.id.value, - flush_interval_ms=5000, + flush_interval_ms=5_000, + bypass_logging=False, ) node = BacktestNode(configs=[run_config]) @@ -91,55 +62,65 @@ def test_feather_writer(self): # Act backtest_result = node.run() + return backtest_result + + def test_feather_writer(self, betfair_catalog): + # Arrange + backtest_result = self._run_default_backtest(betfair_catalog) + instance_id = backtest_result[0].instance_id + # Assert - result = self.catalog.read_backtest( - backtest_run_id=backtest_result[0].instance_id, + result = betfair_catalog.read_backtest( + instance_id=instance_id, raise_on_failed_deserialize=True, ) result = dict(Counter([r.__class__.__name__ for r in result])) expected = { - "AccountState": 670, + "AccountState": 772, "BettingInstrument": 1, "ComponentStateChanged": 21, - "OrderAccepted": 324, - "OrderBookDeltas": 1078, - "OrderFilled": 346, - "OrderInitialized": 325, - "OrderSubmitted": 325, - "PositionChanged": 343, + "OrderAccepted": 375, + "OrderBookDelta": 1307, + "OrderFilled": 397, + "OrderInitialized": 376, + "OrderSubmitted": 376, + "PositionChanged": 394, "PositionClosed": 2, "PositionOpened": 3, - "TradeTick": 198, + "TradeTick": 179, } assert result == expected - def test_feather_writer_generic_data(self): + def test_feather_writer_generic_data( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: # Arrange + self.catalog = betfair_catalog TestPersistenceStubs.setup_news_event_persistence() - process_files( - glob_path=f"{TEST_DATA_DIR}/news_events.csv", - reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser), - catalog=self.catalog, - ) + # Load news events into catalog + news_events = TestPersistenceStubs.news_events() + self.catalog.write_data(news_events) data_config = BacktestDataConfig( catalog_path=self.catalog.path, - catalog_fs_protocol="memory", + catalog_fs_protocol="file", data_cls=NewsEventData.fully_qualified_name(), client_id="NewsClient", ) # Add some arbitrary instrument data to appease BacktestEngine instrument_data_config = BacktestDataConfig( catalog_path=self.catalog.path, - catalog_fs_protocol="memory", - data_cls=InstrumentStatusUpdate.fully_qualified_name(), + catalog_fs_protocol="file", + data_cls=InstrumentStatus.fully_qualified_name(), ) streaming = BetfairTestStubs.streaming_config( catalog_path=self.catalog.path, + catalog_fs_protocol="file", ) run_config = BacktestRunConfig( @@ -154,24 +135,29 @@ def test_feather_writer_generic_data(self): # Assert result = self.catalog.read_backtest( - backtest_run_id=r[0].instance_id, + instance_id=r[0].instance_id, raise_on_failed_deserialize=True, ) - result = Counter([r.__class__.__name__ for r in result]) - assert result["NewsEventData"] == 86985 + result = Counter([r.__class__.__name__ for r in result]) # type: ignore + assert result["NewsEventData"] == 86985 # type: ignore - def test_feather_writer_signal_data(self): + def test_feather_writer_signal_data( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: # Arrange + self.catalog = betfair_catalog instrument_id = self.catalog.instruments(as_nautilus=True)[0].id.value data_config = BacktestDataConfig( catalog_path=self.catalog.path, - catalog_fs_protocol="memory", + catalog_fs_protocol="file", data_cls=TradeTick, ) streaming = BetfairTestStubs.streaming_config( catalog_path=self.catalog.path, + catalog_fs_protocol="file", ) run_config = BacktestRunConfig( engine=BacktestEngineConfig( @@ -194,14 +180,14 @@ def test_feather_writer_signal_data(self): # Assert result = self.catalog.read_backtest( - backtest_run_id=r[0].instance_id, + instance_id=r[0].instance_id, raise_on_failed_deserialize=True, ) - result = Counter([r.__class__.__name__ for r in result]) - assert result["SignalCounter"] == 198 + result = Counter([r.__class__.__name__ for r in result]) # type: ignore + assert result["SignalCounter"] == 179 # type: ignore - def test_generate_signal_class(self): + def test_generate_signal_class(self) -> None: # Arrange cls = generate_signal_class(name="test", value_type=float) @@ -214,15 +200,20 @@ def test_generate_signal_class(self): assert instance.value == 5.0 assert instance.ts_init == 0 - def test_config_write(self): + def test_config_write( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: # Arrange + self.catalog = betfair_catalog instrument_id = self.catalog.instruments(as_nautilus=True)[0].id.value streaming = BetfairTestStubs.streaming_config( catalog_path=self.catalog.path, + catalog_fs_protocol="file", ) data_config = BacktestDataConfig( catalog_path=self.catalog.path, - catalog_fs_protocol="memory", + catalog_fs_protocol="file", data_cls=TradeTick, ) @@ -246,7 +237,80 @@ def test_config_write(self): r = node.run() # Assert - config_file = f"{self.catalog.path}/backtest/{r[0].instance_id}.feather/config.json" + config_file = f"{self.catalog.path}/backtest/{r[0].instance_id}/config.json" assert self.catalog.fs.exists(config_file) raw = self.catalog.fs.open(config_file, "rb").read() assert msgspec.json.decode(raw, type=NautilusKernelConfig) + + @pytest.mark.skip(reason="Reading backtests appears broken") + def test_feather_reader_returns_cython_objects( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: + # Arrange + backtest_result = self._run_default_backtest(betfair_catalog) + instance_id = backtest_result[0].instance_id + + # Act + assert self.catalog + result = self.catalog.read_backtest( + instance_id=instance_id, + raise_on_failed_deserialize=True, + ) + + # Assert + assert len([d for d in result if isinstance(d, TradeTick)]) == 179 + assert len([d for d in result if isinstance(d, OrderBookDelta)]) == 1307 + + def test_feather_reader_order_book_deltas( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: + # Arrange + backtest_result = self._run_default_backtest(betfair_catalog) + book = OrderBook( + instrument_id=InstrumentId.from_str("1.166564490-237491-0.0.BETFAIR"), + book_type=BookType.L2_MBP, + ) + + # Act + assert self.catalog + result = self.catalog.read_backtest( + instance_id=backtest_result[0].instance_id, + raise_on_failed_deserialize=True, + ) + + updates = [d for d in result if isinstance(d, OrderBookDelta)] + + # Assert + for update in updates[:10]: + book.apply_delta(update) + copy.deepcopy(book) + + def test_read_backtest( + self, + betfair_catalog: ParquetDataCatalog, + ) -> None: + # Arrange + [backtest_result] = self._run_default_backtest(betfair_catalog) + + # Act + data = betfair_catalog.read_backtest(backtest_result.instance_id) + counts = dict(Counter([d.__class__.__name__ for d in data])) + + # Assert + expected = { + "OrderBookDelta": 1307, + "AccountState": 772, + "OrderFilled": 397, + "PositionChanged": 394, + "OrderInitialized": 376, + "OrderSubmitted": 376, + "OrderAccepted": 375, + "TradeTick": 179, + "ComponentStateChanged": 21, + "PositionOpened": 3, + "PositionClosed": 2, + "BettingInstrument": 1, + } + assert counts == expected diff --git a/tests/unit_tests/persistence/test_streaming_batching.py b/tests/unit_tests/persistence/test_streaming_batching.py deleted file mode 100644 index 613c0a6dc3be..000000000000 --- a/tests/unit_tests/persistence/test_streaming_batching.py +++ /dev/null @@ -1,351 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import os - -import pandas as pd - -from nautilus_trader.model.data import QuoteTick -from nautilus_trader.model.data import TradeTick -from nautilus_trader.model.identifiers import Venue -from nautilus_trader.persistence.streaming.batching import generate_batches_rust -from nautilus_trader.test_kit.providers import TestInstrumentProvider -from tests import TEST_DATA_DIR - - -class TestBatchingData: - test_parquet_files = [ - os.path.join(TEST_DATA_DIR, "quote_tick_eurusd_2019_sim_rust.parquet"), - os.path.join(TEST_DATA_DIR, "quote_tick_usdjpy_2019_sim_rust.parquet"), - os.path.join(TEST_DATA_DIR, "bars_eurusd_2019_sim.parquet"), - ] - - test_instruments = [ - TestInstrumentProvider.default_fx_ccy("EUR/USD", venue=Venue("SIM")), - TestInstrumentProvider.default_fx_ccy("USD/JPY", venue=Venue("SIM")), - TestInstrumentProvider.default_fx_ccy("EUR/USD", venue=Venue("SIM")), - ] - test_instrument_ids = [x.id for x in test_instruments] - - -class TestGenerateBatches(TestBatchingData): - def test_generate_batches_returns_empty_list_before_start_timestamp_with_end_timestamp(self): - start_timestamp = 1546389021944999936 - batch_gen = generate_batches_rust( - files=[self.test_parquet_files[1]], - cls=QuoteTick, - batch_size=1000, - start_nanos=start_timestamp, - end_nanos=1546394394948999936, - ) - batches = list(batch_gen) - assert [len(x) for x in batches] == [0, 0, 0, 0, 172, 1000, 1000, 1000, 1000, 887] - assert batches[4][0].ts_init == start_timestamp - - ################################# - batch_gen = generate_batches_rust( - files=[self.test_parquet_files[1]], - cls=QuoteTick, - batch_size=1000, - start_nanos=start_timestamp - 1, - end_nanos=1546394394948999936, - ) - batches = list(batch_gen) - assert [len(x) for x in batches] == [0, 0, 0, 0, 172, 1000, 1000, 1000, 1000, 887] - assert batches[4][0].ts_init == start_timestamp - - def test_generate_batches_returns_batches_of_expected_size(self): - batch_gen = generate_batches_rust( - files=[self.test_parquet_files[1]], - cls=QuoteTick, - batch_size=1000, - ) - batches = list(batch_gen) - assert all(len(x) == 1000 for x in batches) - - def test_generate_batches_returns_empty_list_before_start_timestamp(self): - # Arrange - parquet_data_path = self.test_parquet_files[0] - start_timestamp = 1546383601403000064 # index 10 (1st item in batch) - batch_gen = generate_batches_rust( - files=[parquet_data_path], - cls=QuoteTick, - batch_size=10, - start_nanos=start_timestamp, - ) - - # Act - batch = next(batch_gen, None) - - # Assert - assert batch == [] - - ############################################# - # Arrange - parquet_data_path = self.test_parquet_files[0] - start_timestamp = 1546383601862999808 # index 18 (last item in batch) - batch_gen = generate_batches_rust( - files=[parquet_data_path], - cls=QuoteTick, - batch_size=10, - start_nanos=start_timestamp, - ) - # Act - batch = next(batch_gen, None) - - # Assert - assert batch == [] - - ################################################### - # Arrange - parquet_data_path = self.test_parquet_files[0] - start_timestamp = 1546383601352000000 # index 9 - batch_gen = generate_batches_rust( - files=[parquet_data_path], - cls=QuoteTick, - batch_size=10, - start_nanos=start_timestamp, - ) - - # Act - batch = next(batch_gen, None) - - # Assert - assert batch != [] - - def test_generate_batches_trims_first_batch_by_start_timestamp(self): - def create_test_batch_gen(start_timestamp): - parquet_data_path = self.test_parquet_files[0] - return generate_batches_rust( - files=[parquet_data_path], - cls=QuoteTick, - batch_size=10, - start_nanos=start_timestamp, - ) - - start_timestamp = 1546383605776999936 - batches = list( - generate_batches_rust( - files=[self.test_parquet_files[0]], - cls=QuoteTick, - batch_size=300, - start_nanos=start_timestamp, - ), - ) - - first_timestamp = batches[0][0].ts_init - assert first_timestamp == start_timestamp - - ############################################################### - # Timestamp, index -1, exists - start_timestamp = 1546383601301000192 # index 8 - batch_gen = create_test_batch_gen(start_timestamp) - - # Act - batches = list(batch_gen) - - # Assert - first_timestamp = batches[0][0].ts_init - assert first_timestamp == start_timestamp - - ############################################################### - # Timestamp, index 0, exists - start_timestamp = 1546383600078000128 # index 0 - batch_gen = create_test_batch_gen(start_timestamp) - - # Act - batches = list(batch_gen) - - # Assert - first_timestamp = batches[0][0].ts_init - assert first_timestamp == start_timestamp - - ############################################################### - # Timestamp, index 0, NOT exists - start_timestamp = 1546383600078000128 # index 0 - batch_gen = create_test_batch_gen(start_timestamp - 1) - - # Act - batches = list(batch_gen) - - # Assert - first_timestamp = batches[0][0].ts_init - assert first_timestamp == start_timestamp - - ############################################################### - # Timestamp, index -1, NOT exists - start_timestamp = 1546383601301000192 # index 8 - batch_gen = create_test_batch_gen(start_timestamp - 1) - - # Act - batches = list(batch_gen) - - # Assert - first_timestamp = batches[0][0].ts_init - assert first_timestamp == start_timestamp - ############################################################### - # Arrange - - start_timestamp = 1546383600691000064 - batch_gen = create_test_batch_gen(start_timestamp) - - # Act - batches = list(batch_gen) - - # Assert - first_batch = batches[0] - print(len(first_batch)) - assert len(first_batch) == 5 - - first_timestamp = first_batch[0].ts_init - assert first_timestamp == start_timestamp - ############################################################### - # Starts on next timestamp if start_timestamp NOT exists - # Arrange - start_timestamp = 1546383600078000128 # index 0 - next_timestamp = 1546383600180000000 # index 1 - batch_gen = create_test_batch_gen(start_timestamp + 1) - - # Act - batches = list(batch_gen) - - # Assert - first_timestamp = batches[0][0].ts_init - assert first_timestamp == next_timestamp - - def test_generate_batches_trims_end_batch_returns_no_empty_batch(self): - parquet_data_path = self.test_parquet_files[0] - - # Timestamp, index -1, NOT exists - # Arrange - end_timestamp = 1546383601914000128 # index 19 - batch_gen = generate_batches_rust( - files=[parquet_data_path], - cls=QuoteTick, - batch_size=10, - end_nanos=end_timestamp, - ) - - # Act - batches = list(batch_gen) - - # Assert - last_batch = batches[-1] - assert last_batch != [] - - def test_generate_batches_trims_end_batch_by_end_timestamp(self): - def create_test_batch_gen(end_timestamp): - parquet_data_path = self.test_parquet_files[0] - return generate_batches_rust( - files=[parquet_data_path], - cls=QuoteTick, - batch_size=10, - end_nanos=end_timestamp, - ) - - ############################################################### - # Timestamp, index 0 - end_timestamp = 1546383601403000064 # index 10 - batches = list(create_test_batch_gen(end_timestamp)) - last_timestamp = batches[-1][-1].ts_init - assert last_timestamp == end_timestamp - - batches = list(create_test_batch_gen(end_timestamp + 1)) - last_timestamp = batches[-1][-1].ts_init - assert last_timestamp == end_timestamp - - ############################################################### - # Timestamp index -1 - end_timestamp = 1546383601914000128 # index 19 - - batches = list(create_test_batch_gen(end_timestamp)) - last_timestamp = batches[-1][-1].ts_init - assert last_timestamp == end_timestamp - - batches = list(create_test_batch_gen(end_timestamp + 1)) - last_timestamp = batches[-1][-1].ts_init - assert last_timestamp == end_timestamp - - ############################################################### - # Ends on prev timestamp - - end_timestamp = 1546383601301000192 # index 8 - prev_timestamp = 1546383601197999872 # index 7 - batches = list(create_test_batch_gen(end_timestamp - 1)) - last_timestamp = batches[-1][-1].ts_init - assert last_timestamp == prev_timestamp - - def test_generate_batches_returns_valid_data_quote_tick(self): - # Arrange - parquet_data_path = self.test_parquet_files[0] - batch_gen = generate_batches_rust( - files=[parquet_data_path], - cls=QuoteTick, - batch_size=300, - ) - - expected = pd.read_parquet(parquet_data_path) - - # Act - results = [] - for batch in batch_gen: - results.extend(batch) - - # Assert - assert len(results) == len(expected) - assert [x.ts_init for x in results] == list(expected.ts_init) - - def test_generate_batches_returns_valid_data_trade_tick(self): - # Arrange - parquet_data_path = os.path.join(TEST_DATA_DIR, "trade_tick_data.parquet") - batch_gen = generate_batches_rust( - files=[parquet_data_path], - cls=TradeTick, - batch_size=300, - ) - - expected = pd.read_parquet(parquet_data_path) - - # Act - results = [] - for batch in batch_gen: - results.extend(batch) - - # Assert - assert len(results) == len(expected) - assert [x.ts_init for x in results] == list(expected.ts_init) - - def test_generate_batches_returns_has_inclusive_start_and_end(self): - # Arrange - parquet_data_path = self.test_parquet_files[0] - - expected = pd.read_parquet(parquet_data_path) - - batch_gen = generate_batches_rust( - files=[parquet_data_path], - cls=QuoteTick, - batch_size=500, - start_nanos=expected.iloc[0].ts_init, - end_nanos=expected.iloc[-1].ts_init, - ) - - # Act - results = [] - for batch in batch_gen: - results.extend(batch) - - # Assert - assert len(results) == len(expected) - assert [x.ts_init for x in results] == list(expected.ts_init) diff --git a/tests/unit_tests/persistence/test_streaming_engine.py b/tests/unit_tests/persistence/test_streaming_engine.py deleted file mode 100644 index 4d62b5ac52cb..000000000000 --- a/tests/unit_tests/persistence/test_streaming_engine.py +++ /dev/null @@ -1,628 +0,0 @@ -# ------------------------------------------------------------------------------------------------- -# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. -# https://nautechsystems.io -# -# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); -# You may not use this file except in compliance with the License. -# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html -# -# Unless required by applicable law or agreed to in writing, software -# distributed under the License is distributed on an "AS IS" BASIS, -# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. -# See the License for the specific language governing permissions and -# limitations under the License. -# ------------------------------------------------------------------------------------------------- - -import os - -import fsspec -import pandas as pd -import pytest - -from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProvider -from nautilus_trader.backtest.node import BacktestNode -from nautilus_trader.config import BacktestDataConfig -from nautilus_trader.config import BacktestEngineConfig -from nautilus_trader.config import BacktestRunConfig -from nautilus_trader.model.data import Bar -from nautilus_trader.model.data import OrderBookDelta -from nautilus_trader.model.data import QuoteTick -from nautilus_trader.model.identifiers import Venue -from nautilus_trader.persistence.external.core import process_files -from nautilus_trader.persistence.external.readers import CSVReader -from nautilus_trader.persistence.funcs import parse_bytes -from nautilus_trader.persistence.streaming.batching import generate_batches -from nautilus_trader.persistence.streaming.batching import generate_batches_rust -from nautilus_trader.persistence.streaming.engine import StreamingEngine -from nautilus_trader.persistence.streaming.engine import _BufferIterator -from nautilus_trader.persistence.streaming.engine import _StreamingBuffer -from nautilus_trader.test_kit.mocks.data import NewsEventData -from nautilus_trader.test_kit.mocks.data import data_catalog_setup -from nautilus_trader.test_kit.providers import TestInstrumentProvider -from nautilus_trader.test_kit.stubs.persistence import TestPersistenceStubs -from tests import TEST_DATA_DIR -from tests.integration_tests.adapters.betfair.test_kit import BetfairTestStubs - - -pytestmark = pytest.mark.skip(reason="WIP pending catalog refactor") - - -@pytest.mark.skip(reason="Rust datafusion backend currently being integrated") -class TestBatchingData: - test_parquet_files = [ - os.path.join(TEST_DATA_DIR, "quote_tick_eurusd_2019_sim_rust.parquet"), - os.path.join(TEST_DATA_DIR, "quote_tick_usdjpy_2019_sim_rust.parquet"), - os.path.join(TEST_DATA_DIR, "bars_eurusd_2019_sim.parquet"), - ] - - test_instruments = [ - TestInstrumentProvider.default_fx_ccy("EUR/USD", venue=Venue("SIM")), - TestInstrumentProvider.default_fx_ccy("USD/JPY", venue=Venue("SIM")), - TestInstrumentProvider.default_fx_ccy("EUR/USD", venue=Venue("SIM")), - ] - test_instrument_ids = [x.id for x in test_instruments] - - -class TestBuffer(TestBatchingData): - @pytest.mark.parametrize( - ("trim_timestamp", "expected"), - [ - [1546383600588999936, 1546383600588999936], # 4, 4 - [1546383600588999936 + 1, 1546383600588999936], # 4, 4 - [1546383600588999936 - 1, 1546383600487000064], # 4, 3 - ], - ) - def test_removed_chunk_has_correct_last_timestamp( - self, - trim_timestamp: int, - expected: int, - ): - # Arrange - buffer = _StreamingBuffer( - generate_batches_rust( - files=[self.test_parquet_files[0]], - cls=QuoteTick, - batch_size=10, - ), - ) - - # Act - buffer.add_data() - removed = buffer.remove_front(trim_timestamp) # timestamp exists - - # Assert - assert removed[-1].ts_init == expected - - @pytest.mark.parametrize( - ("trim_timestamp", "expected"), - [ - [1546383600588999936, 1546383600691000064], # 4, 5 - [1546383600588999936 + 1, 1546383600691000064], # 4, 5 - [1546383600588999936 - 1, 1546383600588999936], # 4, 4 - ], - ) - def test_streaming_buffer_remove_front_has_correct_next_timestamp( - self, - trim_timestamp: int, - expected: int, - ): - # Arrange - buffer = _StreamingBuffer( - generate_batches_rust( - files=[self.test_parquet_files[0]], - cls=QuoteTick, - batch_size=10, - ), - ) - - # Act - buffer.add_data() - buffer.remove_front(trim_timestamp) # timestamp exists - - # Assert - next_timestamp = buffer._data[0].ts_init - assert next_timestamp == expected - - -class TestBufferIterator(TestBatchingData): - def test_iterate_returns_expected_timestamps_single(self): - # Arrange - batches = generate_batches_rust( - files=[self.test_parquet_files[0]], - cls=QuoteTick, - batch_size=1000, - ) - - buffer = _StreamingBuffer(batches=batches) - - iterator = _BufferIterator(buffers=[buffer]) - - expected = list(pd.read_parquet(self.test_parquet_files[0]).ts_event) - - # Act - timestamps = [] - for batch in iterator: - timestamps.extend([x.ts_init for x in batch]) - - # Assert - assert len(timestamps) == len(expected) - assert timestamps == expected - - def test_iterate_returns_expected_timestamps(self): - # Arrange - expected = sorted( - list(pd.read_parquet(self.test_parquet_files[0]).ts_event) - + list(pd.read_parquet(self.test_parquet_files[1]).ts_event), - ) - - buffers = [ - _StreamingBuffer( - generate_batches_rust( - files=[self.test_parquet_files[0]], - cls=QuoteTick, - batch_size=1000, - ), - ), - _StreamingBuffer( - generate_batches_rust( - files=[self.test_parquet_files[1]], - cls=QuoteTick, - batch_size=1000, - ), - ), - ] - - iterator = _BufferIterator(buffers=buffers) - - # Act - timestamps = [] - for batch in iterator: - timestamps.extend([x.ts_init for x in batch]) - - # Assert - assert len(timestamps) == len(expected) - assert timestamps == expected - - def test_iterate_returns_expected_timestamps_with_start_end_range_rust(self): - # Arrange - start_timestamps = (1546383605776999936, 1546389021944999936) - end_timestamps = (1546390125908000000, 1546394394948999936) - buffers = [ - _StreamingBuffer( - generate_batches_rust( - files=[self.test_parquet_files[0]], - cls=QuoteTick, - batch_size=1000, - start_nanos=start_timestamps[0], - end_nanos=end_timestamps[0], - ), - ), - _StreamingBuffer( - generate_batches_rust( - files=[self.test_parquet_files[1]], - cls=QuoteTick, - batch_size=1000, - start_nanos=start_timestamps[1], - end_nanos=end_timestamps[1], - ), - ), - ] - - buffer_iterator = _BufferIterator(buffers=buffers) - - # Act - objs = [] - for batch in buffer_iterator: - objs.extend(batch) - - # Assert - instrument_1_timestamps = [ - x.ts_init for x in objs if x.instrument_id == self.test_instrument_ids[0] - ] - instrument_2_timestamps = [ - x.ts_init for x in objs if x.instrument_id == self.test_instrument_ids[1] - ] - assert instrument_1_timestamps[0] == start_timestamps[0] - assert instrument_1_timestamps[-1] == end_timestamps[0] - - assert instrument_2_timestamps[0] == start_timestamps[1] - assert instrument_2_timestamps[-1] == end_timestamps[1] - - timestamps = [x.ts_init for x in objs] - assert timestamps == sorted(timestamps) - - def test_iterate_returns_expected_timestamps_with_start_end_range_and_bars(self): - # Arrange - start_timestamps = (1546383605776999936, 1546389021944999936, 1559224800000000000) - end_timestamps = (1546390125908000000, 1546394394948999936, 1577710800000000000) - - buffers = [ - _StreamingBuffer( - generate_batches_rust( - files=[self.test_parquet_files[0]], - cls=QuoteTick, - batch_size=1000, - start_nanos=start_timestamps[0], - end_nanos=end_timestamps[0], - ), - ), - _StreamingBuffer( - generate_batches_rust( - files=[self.test_parquet_files[1]], - cls=QuoteTick, - batch_size=1000, - start_nanos=start_timestamps[1], - end_nanos=end_timestamps[1], - ), - ), - _StreamingBuffer( - generate_batches( - files=[self.test_parquet_files[2]], - cls=Bar, - instrument_id=self.test_instrument_ids[2], - batch_size=1000, - fs=fsspec.filesystem("file"), - start_nanos=start_timestamps[2], - end_nanos=end_timestamps[2], - ), - ), - ] - - # Act - results = [] - buffer_iterator = _BufferIterator(buffers=buffers) - - for batch in buffer_iterator: - results.extend(batch) - - # Assert - bars = [x for x in results if isinstance(x, Bar)] - - quote_ticks = [x for x in results if isinstance(x, QuoteTick)] - - instrument_1_timestamps = [ - x.ts_init for x in quote_ticks if x.instrument_id == self.test_instrument_ids[0] - ] - instrument_2_timestamps = [ - x.ts_init for x in quote_ticks if x.instrument_id == self.test_instrument_ids[1] - ] - instrument_3_timestamps = [ - x.ts_init for x in bars if x.bar_type.instrument_id == self.test_instrument_ids[2] - ] - - assert instrument_1_timestamps[0] == start_timestamps[0] - assert instrument_1_timestamps[-1] == end_timestamps[0] - - assert instrument_2_timestamps[0] == start_timestamps[1] - assert instrument_2_timestamps[-1] == end_timestamps[1] - - assert instrument_3_timestamps[0] == start_timestamps[2] - assert instrument_3_timestamps[-1] == end_timestamps[2] - - timestamps = [x.ts_init for x in results] - assert timestamps == sorted(timestamps) - - -# TODO: Replace with new Rust datafusion backend -# class TestStreamingEngine(TestBatchingData): -# def setup(self): -# self.catalog = data_catalog_setup(protocol="file") -# self._load_bars_into_catalog_rust() -# self._load_quote_ticks_into_catalog_rust() -# -# def _load_bars_into_catalog_rust(self): -# instrument = self.test_instruments[2] -# parquet_data_path = self.test_parquet_files[2] -# -# def parser(df): -# df.index = df["ts_init"].apply(unix_nanos_to_dt) -# df = df["open high low close".split()] -# for col in df: -# df[col] = df[col].astype(float) -# objs = BarDataWrangler( -# bar_type=BarType.from_str("EUR/USD.SIM-1-HOUR-BID-EXTERNAL"), -# instrument=instrument, -# ).process(df) -# yield from objs -# -# process_files( -# glob_path=parquet_data_path, -# reader=ParquetByteReader(parser=parser), -# catalog=self.catalog, -# use_rust=False, -# ) -# -# def _load_quote_ticks_into_catalog_rust(self): -# for instrument, parquet_data_path in zip( -# self.test_instruments[:2], -# self.test_parquet_files[:2], -# ): -# -# def parser(df): -# df.index = df["ts_init"].apply(unix_nanos_to_dt) -# df = df["bid ask bid_size ask_size".split()] -# for col in df: -# df[col] = df[col].astype(float) -# objs = QuoteTickDataWrangler(instrument=instrument).process(df) -# yield from objs -# -# process_files( -# glob_path=parquet_data_path, -# reader=ParquetByteReader(parser=parser), -# catalog=self.catalog, -# use_rust=True, -# instrument=instrument, -# ) -# -# def test_iterate_returns_expected_timestamps_single(self): -# # Arrange -# config = BacktestDataConfig( -# catalog_path=str(self.catalog.path), -# instrument_id=str(self.test_instrument_ids[0]), -# data_cls=QuoteTick, -# use_rust=True, -# ) -# -# expected = list(pd.read_parquet(self.test_parquet_files[0]).ts_event) -# -# iterator = StreamingEngine( -# data_configs=[config], -# target_batch_size_bytes=parse_bytes("10kib"), -# ) -# -# # Act -# timestamps = [] -# for batch in iterator: -# timestamps.extend([x.ts_init for x in batch]) -# -# # Assert -# assert len(timestamps) == len(expected) -# assert timestamps == expected -# -# def test_iterate_returns_expected_timestamps(self): -# # Arrange -# configs = [ -# BacktestDataConfig( -# catalog_path=str(self.catalog.path), -# instrument_id=str(self.test_instrument_ids[0]), -# data_cls=QuoteTick, -# use_rust=True, -# ), -# BacktestDataConfig( -# catalog_path=str(self.catalog.path), -# instrument_id=str(self.test_instrument_ids[1]), -# data_cls=QuoteTick, -# use_rust=True, -# ), -# ] -# -# expected = sorted( -# list(pd.read_parquet(self.test_parquet_files[0]).ts_event) -# + list(pd.read_parquet(self.test_parquet_files[1]).ts_event), -# ) -# -# iterator = StreamingEngine( -# data_configs=configs, -# target_batch_size_bytes=parse_bytes("10kib"), -# ) -# -# # Act -# timestamps = [] -# for batch in iterator: -# timestamps.extend([x.ts_init for x in batch]) -# -# # Assert -# assert len(timestamps) == len(expected) -# assert timestamps == expected -# -# def test_iterate_returns_expected_timestamps_with_start_end_range_rust( -# self, -# ): -# # Arrange -# -# start_timestamps = (1546383605776999936, 1546389021944999936) -# end_timestamps = (1546390125908000000, 1546394394948999936) -# -# configs = [ -# BacktestDataConfig( -# catalog_path=str(self.catalog.path), -# instrument_id=str(self.test_instrument_ids[0]), -# data_cls=QuoteTick, -# use_rust=True, -# start_time=unix_nanos_to_dt(start_timestamps[0]), -# end_time=unix_nanos_to_dt(end_timestamps[0]), -# ), -# BacktestDataConfig( -# catalog_path=str(self.catalog.path), -# instrument_id=str(self.test_instrument_ids[1]), -# data_cls=QuoteTick, -# use_rust=True, -# start_time=unix_nanos_to_dt(start_timestamps[1]), -# end_time=unix_nanos_to_dt(end_timestamps[1]), -# ), -# ] -# -# iterator = StreamingEngine( -# data_configs=configs, -# target_batch_size_bytes=parse_bytes("10kib"), -# ) -# -# # Act -# objs = [] -# for batch in iterator: -# objs.extend(batch) -# -# # Assert -# instrument_1_timestamps = [ -# x.ts_init for x in objs if x.instrument_id == self.test_instrument_ids[0] -# ] -# instrument_2_timestamps = [ -# x.ts_init for x in objs if x.instrument_id == self.test_instrument_ids[1] -# ] -# assert instrument_1_timestamps[0] == start_timestamps[0] -# assert instrument_1_timestamps[-1] == end_timestamps[0] -# -# assert instrument_2_timestamps[0] == start_timestamps[1] -# assert instrument_2_timestamps[-1] == end_timestamps[1] -# -# timestamps = [x.ts_init for x in objs] -# assert timestamps == sorted(timestamps) -# -# def test_iterate_returns_expected_timestamps_with_start_end_range_and_bars( -# self, -# ): -# # Arrange -# start_timestamps = (1546383605776999936, 1546389021944999936, 1577725200000000000) -# end_timestamps = (1546390125908000000, 1546394394948999936, 1577826000000000000) -# -# configs = [ -# BacktestDataConfig( -# catalog_path=str(self.catalog.path), -# instrument_id=str(self.test_instrument_ids[0]), -# data_cls=QuoteTick, -# start_time=unix_nanos_to_dt(start_timestamps[0]), -# end_time=unix_nanos_to_dt(end_timestamps[0]), -# use_rust=True, -# ), -# BacktestDataConfig( -# catalog_path=str(self.catalog.path), -# instrument_id=str(self.test_instrument_ids[1]), -# data_cls=QuoteTick, -# start_time=unix_nanos_to_dt(start_timestamps[1]), -# end_time=unix_nanos_to_dt(end_timestamps[1]), -# use_rust=True, -# ), -# BacktestDataConfig( -# catalog_path=str(self.catalog.path), -# instrument_id=str(self.test_instrument_ids[2]), -# data_cls=Bar, -# start_time=unix_nanos_to_dt(start_timestamps[2]), -# end_time=unix_nanos_to_dt(end_timestamps[2]), -# bar_spec="1-HOUR-BID", -# use_rust=False, -# ), -# ] -# -# # Act -# iterator = StreamingEngine( -# data_configs=configs, -# target_batch_size_bytes=parse_bytes("10kib"), -# ) -# -# # Act -# objs = [] -# for batch in iterator: -# objs.extend(batch) -# -# # Assert -# bars = [x for x in objs if isinstance(x, Bar)] -# -# quote_ticks = [x for x in objs if isinstance(x, QuoteTick)] -# -# instrument_1_timestamps = [ -# x.ts_init for x in quote_ticks if x.instrument_id == self.test_instrument_ids[0] -# ] -# instrument_2_timestamps = [ -# x.ts_init for x in quote_ticks if x.instrument_id == self.test_instrument_ids[1] -# ] -# instrument_3_timestamps = [ -# x.ts_init for x in bars if x.bar_type.instrument_id == self.test_instrument_ids[2] -# ] -# -# assert instrument_1_timestamps[0] == start_timestamps[0] -# assert instrument_1_timestamps[-1] == end_timestamps[0] -# -# assert instrument_2_timestamps[0] == start_timestamps[1] -# assert instrument_2_timestamps[-1] == end_timestamps[1] -# -# assert instrument_3_timestamps[0] == start_timestamps[2] -# assert instrument_3_timestamps[-1] == end_timestamps[2] -# -# timestamps = [x.ts_init for x in objs] -# assert timestamps == sorted(timestamps) - - -class TestPersistenceBatching: - def setup(self) -> None: - self.catalog = data_catalog_setup(protocol="memory") - self.fs: fsspec.AbstractFileSystem = self.catalog.fs - self._load_data_into_catalog() - - def teardown(self) -> None: - # Cleanup - path = self.catalog.path - fs = self.catalog.fs - if fs.exists(path): - fs.rm(path, recursive=True) - - def _load_data_into_catalog(self): - self.instrument_provider = BetfairInstrumentProvider.from_instruments([]) - process_files( - glob_path=TEST_DATA_DIR + "/betfair/1.166564490.bz2", - reader=BetfairTestStubs.betfair_reader(instrument_provider=self.instrument_provider), - instrument_provider=self.instrument_provider, - catalog=self.catalog, - ) - - def test_batch_files_single(self): - # Arrange - instrument_ids = self.catalog.instruments()["id"].unique().tolist() - - shared_kw = { - "catalog_path": str(self.catalog.path), - "catalog_fs_protocol": self.catalog.fs.protocol, - "data_cls": OrderBookDelta, - } - - engine = StreamingEngine( - data_configs=[ - BacktestDataConfig(**shared_kw, instrument_id=instrument_ids[0]), - BacktestDataConfig(**shared_kw, instrument_id=instrument_ids[1]), - ], - target_batch_size_bytes=parse_bytes("10kib"), - ) - - # Act - timestamp_chunks = [] - for batch in engine: - timestamp_chunks.append([b.ts_init for b in batch]) - - # Assert - latest_timestamp = 0 - for timestamps in timestamp_chunks: - assert max(timestamps) > latest_timestamp - latest_timestamp = max(timestamps) - assert timestamps == sorted(timestamps) - - def test_batch_generic_data(self): - # Arrange - TestPersistenceStubs.setup_news_event_persistence() - process_files( - glob_path=f"{TEST_DATA_DIR}/news_events.csv", - reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser), - catalog=self.catalog, - ) - data_config = BacktestDataConfig( - catalog_path=self.catalog.path, - catalog_fs_protocol="memory", - data_cls=NewsEventData, - client_id="NewsClient", - ) - - streaming = BetfairTestStubs.streaming_config( - catalog_path=self.catalog.path, - ) - engine = BacktestEngineConfig(streaming=streaming) - run_config = BacktestRunConfig( - engine=engine, - data=[data_config], - venues=[BetfairTestStubs.betfair_venue_config()], - batch_size_bytes=parse_bytes("1mib"), - ) - - # Act - node = BacktestNode(configs=[run_config]) - node.run() - - # Assert - assert node diff --git a/tests/unit_tests/persistence/test_transformer.py b/tests/unit_tests/persistence/test_transformer.py index e1f996e76db1..03305e28c0af 100644 --- a/tests/unit_tests/persistence/test_transformer.py +++ b/tests/unit_tests/persistence/test_transformer.py @@ -14,13 +14,12 @@ # ------------------------------------------------------------------------------------------------- from io import BytesIO -from pathlib import Path import pandas as pd import pyarrow as pa import pytest -from nautilus_trader.core.nautilus_pyo3.persistence import DataTransformer +from nautilus_trader.core.nautilus_pyo3 import DataTransformer from nautilus_trader.model.data import Bar from nautilus_trader.model.data import OrderBookDelta from nautilus_trader.model.data import QuoteTick @@ -38,11 +37,11 @@ def test_pyo3_quote_ticks_to_record_batch_reader() -> None: # Arrange - path = Path(TEST_DATA_DIR) / "truefx-audusd-ticks.csv" - df: pd.DataFrame = pd.read_csv(path) + path = TEST_DATA_DIR / "truefx-audusd-ticks.csv" + df = pd.read_csv(path) # Act - wrangler = QuoteTickDataWrangler(AUDUSD_SIM) + wrangler = QuoteTickDataWrangler.from_instrument(AUDUSD_SIM) ticks = wrangler.from_pandas(df) # Act @@ -73,6 +72,39 @@ def test_legacy_trade_ticks_to_record_batch_reader() -> None: reader.close() +def test_legacy_deltas_to_record_batch_reader() -> None: + # Arrange + ticks = [ + OrderBookDelta.from_dict( + { + "action": "CLEAR", + "flags": 0, + "instrument_id": "1.166564490-237491-0.0.BETFAIR", + "order": { + "order_id": 0, + "price": "0", + "side": "NO_ORDER_SIDE", + "size": "0", + }, + "sequence": 0, + "ts_event": 1576840503572000000, + "ts_init": 1576840503572000000, + "type": "OrderBookDelta", + }, + ), + ] + + # Act + batches_bytes = DataTransformer.pyobjects_to_batches_bytes(ticks) + batches_stream = BytesIO(batches_bytes) + reader = pa.ipc.open_stream(batches_stream) + + # Assert + assert len(ticks) == 1 + assert len(reader.read_all()) == len(ticks) + reader.close() + + def test_get_schema_map_with_unsupported_type() -> None: # Arrange, Act, Assert with pytest.raises(TypeError): diff --git a/tests/unit_tests/persistence/test_wranglers.py b/tests/unit_tests/persistence/test_wranglers.py new file mode 100644 index 000000000000..40172121d26e --- /dev/null +++ b/tests/unit_tests/persistence/test_wranglers.py @@ -0,0 +1,41 @@ +# ------------------------------------------------------------------------------------------------- +# Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved. +# https://nautechsystems.io +# +# Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); +# You may not use this file except in compliance with the License. +# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html +# +# Unless required by applicable law or agreed to in writing, software +# distributed under the License is distributed on an "AS IS" BASIS, +# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +# See the License for the specific language governing permissions and +# limitations under the License. +# ------------------------------------------------------------------------------------------------- + +import os + +from nautilus_trader import PACKAGE_ROOT +from nautilus_trader.model.enums import BookAction +from nautilus_trader.model.enums import OrderSide +from nautilus_trader.persistence.loaders import BinanceOrderBookDeltaDataLoader +from nautilus_trader.persistence.wranglers import OrderBookDeltaDataWrangler +from nautilus_trader.test_kit.providers import TestInstrumentProvider + + +def test_load_binance_deltas() -> None: + # Arrange + instrument = TestInstrumentProvider.btcusdt_binance() + data_path = os.path.join(PACKAGE_ROOT, "tests/test_data/binance-btcusdt-depth-snap.csv") + df = BinanceOrderBookDeltaDataLoader.load(data_path) + + wrangler = OrderBookDeltaDataWrangler(instrument) + + # Act + deltas = wrangler.process(df) + + # Assert + assert len(deltas) == 100 + assert deltas[0].action == BookAction.ADD + assert deltas[0].order.side == OrderSide.BUY + assert deltas[0].flags == 42 # Snapshot diff --git a/tests/unit_tests/persistence/test_wranglers_v2.py b/tests/unit_tests/persistence/test_wranglers_v2.py index 54823f9bc1ec..9e6699d51428 100644 --- a/tests/unit_tests/persistence/test_wranglers_v2.py +++ b/tests/unit_tests/persistence/test_wranglers_v2.py @@ -14,17 +14,15 @@ # ------------------------------------------------------------------------------------------------- import pandas as pd -from fsspec.utils import pathlib from nautilus_trader.model.data import QuoteTick from nautilus_trader.model.data import TradeTick from nautilus_trader.persistence.wranglers_v2 import QuoteTickDataWrangler from nautilus_trader.persistence.wranglers_v2 import TradeTickDataWrangler from nautilus_trader.test_kit.providers import TestInstrumentProvider -from tests import TESTS_PACKAGE_ROOT +from tests import TEST_DATA_DIR -TEST_DATA_DIR = pathlib.Path(TESTS_PACKAGE_ROOT).joinpath("test_data") AUDUSD_SIM = TestInstrumentProvider.default_fx_ccy("AUD/USD") ETHUSDT_BINANCE = TestInstrumentProvider.ethusdt_binance() @@ -32,10 +30,10 @@ def test_quote_tick_data_wrangler() -> None: # Arrange path = TEST_DATA_DIR / "truefx-audusd-ticks.csv" - df: pd.DataFrame = pd.read_csv(path) + df = pd.read_csv(path) # Act - wrangler = QuoteTickDataWrangler(AUDUSD_SIM) + wrangler = QuoteTickDataWrangler.from_instrument(AUDUSD_SIM) ticks = wrangler.from_pandas(df) cython_ticks = QuoteTick.from_pyo3(ticks) @@ -51,10 +49,10 @@ def test_quote_tick_data_wrangler() -> None: def test_trade_tick_data_wrangler() -> None: # Arrange path = TEST_DATA_DIR / "binance-ethusdt-trades.csv" - df: pd.DataFrame = pd.read_csv(path) + df = pd.read_csv(path) # Act - wrangler = TradeTickDataWrangler(ETHUSDT_BINANCE) + wrangler = TradeTickDataWrangler.from_instrument(ETHUSDT_BINANCE) ticks = wrangler.from_pandas(df) cython_ticks = TradeTick.from_pyo3(ticks) diff --git a/tests/unit_tests/persistence/test_writing.py b/tests/unit_tests/persistence/test_writing.py index d551c969aabc..dc1c230e63b7 100644 --- a/tests/unit_tests/persistence/test_writing.py +++ b/tests/unit_tests/persistence/test_writing.py @@ -17,7 +17,7 @@ import pyarrow as pa -from nautilus_trader.core.nautilus_pyo3.persistence import DataTransformer +from nautilus_trader.core.nautilus_pyo3 import DataTransformer from nautilus_trader.model.data import OrderBookDelta diff --git a/tests/unit_tests/risk/test_engine.py b/tests/unit_tests/risk/test_engine.py index 8145e8348fca..e807fbb33ee3 100644 --- a/tests/unit_tests/risk/test_engine.py +++ b/tests/unit_tests/risk/test_engine.py @@ -16,6 +16,8 @@ from datetime import timedelta from decimal import Decimal +import pytest + from nautilus_trader.common.clock import TestClock from nautilus_trader.common.enums import LogLevel from nautilus_trader.common.logging import Logger @@ -30,6 +32,7 @@ from nautilus_trader.execution.messages import SubmitOrder from nautilus_trader.execution.messages import SubmitOrderList from nautilus_trader.execution.messages import TradingCommand +from nautilus_trader.model.currencies import GBP from nautilus_trader.model.currencies import USD from nautilus_trader.model.data import QuoteTick from nautilus_trader.model.enums import AccountType @@ -37,6 +40,9 @@ from nautilus_trader.model.enums import OrderStatus from nautilus_trader.model.enums import TradingState from nautilus_trader.model.enums import TriggerType +from nautilus_trader.model.events import OrderDenied +from nautilus_trader.model.events import OrderModifyRejected +from nautilus_trader.model.identifiers import AccountId from nautilus_trader.model.identifiers import ClientId from nautilus_trader.model.identifiers import ClientOrderId from nautilus_trader.model.identifiers import OrderListId @@ -61,7 +67,7 @@ AUDUSD_SIM = TestInstrumentProvider.default_fx_ccy("AUD/USD") GBPUSD_SIM = TestInstrumentProvider.default_fx_ccy("GBP/USD") -BTCUSDT_BINANCE = TestInstrumentProvider.btcusdt_binance() +XBTUSD_BITMEX = TestInstrumentProvider.xbtusd_bitmex() class TestRiskEngineWithCashAccount: @@ -140,7 +146,7 @@ def test_config_risk_engine(self): self.msgbus.deregister("RiskEngine.process", self.risk_engine.process) config = RiskEngineConfig( - bypass=True, # <-- bypassing pre-trade risk checks for backtest + bypass=True, # <-- Bypassing pre-trade risk checks for backtest max_order_submit_rate="5/00:00:01", max_order_modify_rate="5/00:00:01", max_notional_per_order={"GBP/USD.SIM": 2_000_000}, @@ -340,7 +346,7 @@ def test_submit_order_when_risk_bypassed_sends_to_execution_engine(self): self.risk_engine.execute(submit_order) # Assert - assert self.exec_engine.command_count == 1 # <-- initial account event + assert self.exec_engine.command_count == 1 # <-- Initial account event assert self.exec_client.calls == ["_start", "submit_order"] def test_submit_reduce_only_order_when_position_already_closed_then_denies(self): @@ -510,7 +516,7 @@ def test_submit_order_reduce_only_order_with_custom_position_id_not_open_then_de submit_order = SubmitOrder( trader_id=self.trader_id, strategy_id=strategy.id, - position_id=PositionId("CUSTOM-001"), # <-- custom position ID + position_id=PositionId("CUSTOM-001"), # <-- Custom position ID order=order, command_id=UUID4(), ts_init=self.clock.timestamp_ns(), @@ -521,7 +527,7 @@ def test_submit_order_reduce_only_order_with_custom_position_id_not_open_then_de # Assert assert order.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_instrument_not_in_cache_then_denies(self): # Arrange @@ -538,7 +544,7 @@ def test_submit_order_when_instrument_not_in_cache_then_denies(self): ) order = strategy.order_factory.market( - GBPUSD_SIM.id, # <-- not in the cache + GBPUSD_SIM.id, # <-- Not in the cache OrderSide.BUY, Quantity.from_int(100_000), ) @@ -557,7 +563,7 @@ def test_submit_order_when_instrument_not_in_cache_then_denies(self): # Assert assert order.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_invalid_price_precision_then_denies(self): # Arrange @@ -594,7 +600,7 @@ def test_submit_order_when_invalid_price_precision_then_denies(self): # Assert assert order.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_invalid_negative_price_and_not_option_then_denies(self): # Arrange @@ -631,7 +637,7 @@ def test_submit_order_when_invalid_negative_price_and_not_option_then_denies(sel # Assert assert order.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_invalid_trigger_price_then_denies(self): # Arrange @@ -669,7 +675,7 @@ def test_submit_order_when_invalid_trigger_price_then_denies(self): # Assert assert order.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_invalid_quantity_precision_then_denies(self): # Arrange @@ -706,7 +712,7 @@ def test_submit_order_when_invalid_quantity_precision_then_denies(self): # Assert assert order.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_invalid_quantity_exceeds_maximum_then_denies(self): # Arrange @@ -743,7 +749,7 @@ def test_submit_order_when_invalid_quantity_exceeds_maximum_then_denies(self): # Assert assert order.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_invalid_quantity_less_than_minimum_then_denies(self): # Arrange @@ -780,7 +786,7 @@ def test_submit_order_when_invalid_quantity_less_than_minimum_then_denies(self): # Assert assert order.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_market_order_and_no_market_then_logs_warning(self): # Arrange @@ -817,7 +823,129 @@ def test_submit_order_when_market_order_and_no_market_then_logs_warning(self): self.risk_engine.execute(submit_order) # Assert - assert self.exec_engine.command_count == 1 # <-- command reaches engine with warning + assert self.exec_engine.command_count == 1 # <-- Command reaches engine with warning + + @pytest.mark.parametrize(("order_side"), [OrderSide.BUY, OrderSide.SELL]) + def test_submit_order_when_less_than_min_notional_for_instrument_then_denies( + self, + order_side: OrderSide, + ) -> None: + # Arrange + exec_client = MockExecutionClient( + client_id=ClientId("BITMEX"), + venue=XBTUSD_BITMEX.id.venue, + account_type=AccountType.CASH, + base_currency=USD, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + self.portfolio.update_account(TestEventStubs.cash_account_state(AccountId("BITMEX-001"))) + self.exec_engine.register_client(exec_client) + + self.cache.add_instrument(XBTUSD_BITMEX) + quote = TestDataStubs.quote_tick( + instrument=XBTUSD_BITMEX, + bid_price=50_000.00, + ask_price=50_001.00, + ) + self.cache.add_quote_tick(quote) + + self.exec_engine.start() + + strategy = Strategy() + strategy.register( + trader_id=self.trader_id, + portfolio=self.portfolio, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + order = strategy.order_factory.market( + XBTUSD_BITMEX.id, + order_side, + Quantity.from_str("0.1"), # <-- Less than min notional ($1 USD) + ) + + submit_order = SubmitOrder( + trader_id=self.trader_id, + strategy_id=strategy.id, + position_id=None, + order=order, + command_id=UUID4(), + ts_init=self.clock.timestamp_ns(), + ) + + # Act + self.risk_engine.execute(submit_order) + + # Assert + assert order.status == OrderStatus.DENIED + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine + + @pytest.mark.parametrize(("order_side"), [OrderSide.BUY, OrderSide.SELL]) + def test_submit_order_when_greater_than_max_notional_for_instrument_then_denies( + self, + order_side: OrderSide, + ) -> None: + # Arrange + exec_client = MockExecutionClient( + client_id=ClientId("BITMEX"), + venue=XBTUSD_BITMEX.id.venue, + account_type=AccountType.CASH, + base_currency=USD, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + self.portfolio.update_account(TestEventStubs.cash_account_state(AccountId("BITMEX-001"))) + self.exec_engine.register_client(exec_client) + + self.cache.add_instrument(XBTUSD_BITMEX) + quote = TestDataStubs.quote_tick( + instrument=XBTUSD_BITMEX, + bid_price=50_000.00, + ask_price=50_001.00, + ) + self.cache.add_quote_tick(quote) + + self.exec_engine.start() + + strategy = Strategy() + strategy.register( + trader_id=self.trader_id, + portfolio=self.portfolio, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + order = strategy.order_factory.market( + XBTUSD_BITMEX.id, + order_side, + Quantity.from_int(11_000_000), # <-- Greater than max notional ($10 million USD) + ) + + submit_order = SubmitOrder( + trader_id=self.trader_id, + strategy_id=strategy.id, + position_id=None, + order=order, + command_id=UUID4(), + ts_init=self.clock.timestamp_ns(), + ) + + # Act + self.risk_engine.execute(submit_order) + + # Assert + assert order.status == OrderStatus.DENIED + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_buy_market_order_and_over_max_notional_then_denies(self): # Arrange @@ -859,7 +987,7 @@ def test_submit_order_when_buy_market_order_and_over_max_notional_then_denies(se # Assert assert order.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_sell_market_order_and_over_max_notional_then_denies(self): # Arrange @@ -909,7 +1037,7 @@ def test_submit_order_when_sell_market_order_and_over_max_notional_then_denies(s # Assert assert order.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_market_order_and_over_free_balance_then_denies(self): # Arrange - Initialize market @@ -948,7 +1076,7 @@ def test_submit_order_when_market_order_and_over_free_balance_then_denies(self): # Assert assert order.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_list_buys_when_over_free_balance_then_denies(self): # Arrange - Initialize market @@ -998,7 +1126,7 @@ def test_submit_order_list_buys_when_over_free_balance_then_denies(self): # Assert assert order1.status == OrderStatus.DENIED assert order2.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_list_sells_when_over_free_balance_then_denies(self): # Arrange - Initialize market @@ -1048,7 +1176,7 @@ def test_submit_order_list_sells_when_over_free_balance_then_denies(self): # Assert assert order1.status == OrderStatus.DENIED assert order2.status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_when_reducing_and_buy_order_adds_then_denies(self): # Arrange @@ -1086,7 +1214,7 @@ def test_submit_order_when_reducing_and_buy_order_adds_then_denies(self): ) self.risk_engine.execute(submit_order1) - self.risk_engine.set_trading_state(TradingState.REDUCING) # <-- allow reducing orders only + self.risk_engine.set_trading_state(TradingState.REDUCING) # <-- Allow reducing orders only order2 = strategy.order_factory.market( AUDUSD_SIM.id, @@ -1114,7 +1242,7 @@ def test_submit_order_when_reducing_and_buy_order_adds_then_denies(self): assert order1.status == OrderStatus.FILLED assert order2.status == OrderStatus.DENIED assert self.portfolio.is_net_long(AUDUSD_SIM.id) - assert self.exec_engine.command_count == 1 # <-- command never reaches engine + assert self.exec_engine.command_count == 1 # <-- Command never reaches engine def test_submit_order_when_reducing_and_sell_order_adds_then_denies(self): # Arrange @@ -1152,7 +1280,7 @@ def test_submit_order_when_reducing_and_sell_order_adds_then_denies(self): ) self.risk_engine.execute(submit_order1) - self.risk_engine.set_trading_state(TradingState.REDUCING) # <-- allow reducing orders only + self.risk_engine.set_trading_state(TradingState.REDUCING) # <-- Allow reducing orders only order2 = strategy.order_factory.market( AUDUSD_SIM.id, @@ -1180,7 +1308,7 @@ def test_submit_order_when_reducing_and_sell_order_adds_then_denies(self): assert order1.status == OrderStatus.FILLED assert order2.status == OrderStatus.DENIED assert self.portfolio.is_net_short(AUDUSD_SIM.id) - assert self.exec_engine.command_count == 1 # <-- command never reaches engine + assert self.exec_engine.command_count == 1 # <-- Command never reaches engine def test_submit_order_when_trading_halted_then_denies_order(self): # Arrange @@ -1212,14 +1340,55 @@ def test_submit_order_when_trading_halted_then_denies_order(self): ) # Halt trading - self.risk_engine.set_trading_state(TradingState.HALTED) # <-- halt trading + self.risk_engine.set_trading_state(TradingState.HALTED) # <-- Halt trading # Act self.risk_engine.execute(submit_order) # Assert assert order.status == OrderStatus.DENIED - assert self.risk_engine.command_count == 1 # <-- command never reaches engine + assert self.risk_engine.command_count == 1 # <-- Command never reaches engine + + def test_submit_order_beyond_rate_limit_then_denies_order(self): + # Arrange + self.exec_engine.start() + + strategy = Strategy() + strategy.register( + trader_id=self.trader_id, + portfolio=self.portfolio, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + # Act + order = None + for _ in range(101): + order = strategy.order_factory.market( + AUDUSD_SIM.id, + OrderSide.BUY, + Quantity.from_int(100_000), + ) + + submit_order = SubmitOrder( + trader_id=self.trader_id, + strategy_id=strategy.id, + position_id=None, + order=order, + command_id=UUID4(), + ts_init=self.clock.timestamp_ns(), + ) + + self.risk_engine.execute(submit_order) + + # Assert + assert order + assert order.status == OrderStatus.DENIED + assert isinstance(order.last_event, OrderDenied) + assert self.risk_engine.command_count == 101 + assert self.exec_engine.command_count == 100 # <-- Does not send last submit event def test_submit_order_list_when_trading_halted_then_denies_orders(self): # Arrange @@ -1269,7 +1438,7 @@ def test_submit_order_list_when_trading_halted_then_denies_orders(self): ) # Halt trading - self.risk_engine.set_trading_state(TradingState.HALTED) # <-- halt trading + self.risk_engine.set_trading_state(TradingState.HALTED) # <-- Halt trading # Act self.risk_engine.execute(submit_bracket) @@ -1278,7 +1447,7 @@ def test_submit_order_list_when_trading_halted_then_denies_orders(self): assert entry.status == OrderStatus.DENIED assert stop_loss.status == OrderStatus.DENIED assert take_profit.status == OrderStatus.DENIED - assert self.risk_engine.command_count == 1 # <-- command never reaches engine + assert self.risk_engine.command_count == 1 # <-- Command never reaches engine def test_submit_order_list_buys_when_trading_reducing_then_denies_orders(self): # Arrange @@ -1350,7 +1519,7 @@ def test_submit_order_list_buys_when_trading_reducing_then_denies_orders(self): ) # Reduce trading - self.risk_engine.set_trading_state(TradingState.REDUCING) # <-- allow reducing orders only + self.risk_engine.set_trading_state(TradingState.REDUCING) # <-- Allow reducing orders only # Act self.risk_engine.execute(submit_bracket) @@ -1359,7 +1528,7 @@ def test_submit_order_list_buys_when_trading_reducing_then_denies_orders(self): assert entry.status == OrderStatus.DENIED assert stop_loss.status == OrderStatus.DENIED assert take_profit.status == OrderStatus.DENIED - assert self.risk_engine.command_count == 1 # <-- command never reaches engine + assert self.risk_engine.command_count == 1 # <-- Command never reaches engine def test_submit_order_list_sells_when_trading_reducing_then_denies_orders(self): # Arrange @@ -1431,7 +1600,7 @@ def test_submit_order_list_sells_when_trading_reducing_then_denies_orders(self): ) # Reduce trading - self.risk_engine.set_trading_state(TradingState.REDUCING) # <-- allow reducing orders only + self.risk_engine.set_trading_state(TradingState.REDUCING) # <-- Allow reducing orders only # Act self.risk_engine.execute(submit_bracket) @@ -1440,7 +1609,7 @@ def test_submit_order_list_sells_when_trading_reducing_then_denies_orders(self): assert entry.status == OrderStatus.DENIED assert stop_loss.status == OrderStatus.DENIED assert take_profit.status == OrderStatus.DENIED - assert self.risk_engine.command_count == 1 # <-- command never reaches engine + assert self.risk_engine.command_count == 1 # <-- Command never reaches engine # -- SUBMIT BRACKET ORDER TESTS --------------------------------------------------------------- @@ -1558,7 +1727,7 @@ def test_submit_bracket_order_when_instrument_not_in_cache_then_denies(self): assert bracket.orders[0].status == OrderStatus.DENIED assert bracket.orders[1].status == OrderStatus.DENIED assert bracket.orders[2].status == OrderStatus.DENIED - assert self.exec_engine.command_count == 0 # <-- command never reaches engine + assert self.exec_engine.command_count == 0 # <-- Command never reaches engine def test_submit_order_for_emulation_sends_command_to_emulator(self): # Arrange @@ -1623,6 +1792,51 @@ def test_modify_order_when_no_order_found_logs_error(self): assert self.risk_engine.command_count == 1 assert self.exec_engine.command_count == 0 + def test_modify_order_beyond_rate_limit_then_rejects(self): + # Arrange + self.exec_engine.start() + + strategy = Strategy() + strategy.register( + trader_id=self.trader_id, + portfolio=self.portfolio, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + order = strategy.order_factory.stop_market( + AUDUSD_SIM.id, + OrderSide.BUY, + Quantity.from_int(100_000), + Price.from_str("1.00010"), + ) + + strategy.submit_order(order) + + # Act + for i in range(101): + modify = ModifyOrder( + self.trader_id, + strategy.id, + AUDUSD_SIM.id, + order.client_order_id, + VenueOrderId("1"), + Quantity.from_int(100_000), + Price(1.00011 + 0.00001 * i, precision=5), + None, + UUID4(), + self.clock.timestamp_ns(), + ) + + self.risk_engine.execute(modify) + + # Assert + assert isinstance(order.last_event, OrderModifyRejected) + assert self.risk_engine.command_count == 102 + assert self.exec_engine.command_count == 101 # <-- Does not send last modify event + def test_modify_order_with_default_settings_then_sends_to_client(self): # Arrange self.exec_engine.start() @@ -1713,3 +1927,143 @@ def test_modify_order_for_emulated_order_then_sends_to_emulator(self): # Assert assert order.trigger_price == new_trigger_price + + +class TestRiskEngineWithBettingAccount: + def setup(self): + # Fixture Setup + self.clock = TestClock() + self.logger = Logger( + clock=self.clock, + level_stdout=LogLevel.DEBUG, + bypass=True, + ) + + self.trader_id = TestIdStubs.trader_id() + self.account_id = TestIdStubs.account_id() + self.venue = Venue("SIM") + self.instrument = TestInstrumentProvider.betting_instrument(venue=self.venue.value) + + self.msgbus = MessageBus( + trader_id=self.trader_id, + clock=self.clock, + logger=self.logger, + ) + + self.cache = TestComponentStubs.cache() + + self.portfolio = Portfolio( + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + self.exec_engine = ExecutionEngine( + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + config=ExecEngineConfig(debug=True), + ) + + self.risk_engine = RiskEngine( + portfolio=self.portfolio, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + config=RiskEngineConfig(debug=True), + ) + + self.emulator = OrderEmulator( + trader_id=self.trader_id, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + self.exec_client = MockExecutionClient( + client_id=ClientId(self.venue.value), + venue=self.venue, + account_type=AccountType.BETTING, + base_currency=GBP, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + self.exec_engine.register_client(self.exec_client) + + # Set account balance + self.account_state = TestEventStubs.betting_account_state( + balance=1000, + account_id=self.account_id, + ) + self.portfolio.update_account(self.account_state) + + # Prepare data + self.cache.add_instrument(self.instrument) + self.quote_tick = TestDataStubs.quote_tick( + self.instrument, + bid_price=2.0, + ask_price=3.0, + bid_size=50, + ask_size=50, + ) + self.cache.add_quote_tick(self.quote_tick) + + # Strategy + self.strategy = Strategy() + self.strategy.register( + trader_id=self.trader_id, + portfolio=self.portfolio, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + self.exec_engine.start() + + @pytest.mark.parametrize( + "side,quantity,price,expected_status", + [ + (OrderSide.BUY, 500, 2.0, OrderStatus.INITIALIZED), + (OrderSide.BUY, 999, 2.0, OrderStatus.INITIALIZED), + (OrderSide.BUY, 1100, 2.0, OrderStatus.DENIED), + (OrderSide.SELL, 100, 5.0, OrderStatus.INITIALIZED), + (OrderSide.SELL, 150, 5.0, OrderStatus.INITIALIZED), + (OrderSide.SELL, 300, 5.0, OrderStatus.DENIED), + ], + ) + def test_submit_order_when_market_order_and_over_free_balance_then_denies( + self, + side, + quantity, + price, + expected_status, + ): + # Arrange + order = self.strategy.order_factory.limit( + self.instrument.id, + side, + Quantity.from_int(quantity), + Price(price, precision=1), + ) + submit_order = SubmitOrder( + trader_id=self.trader_id, + strategy_id=self.strategy.id, + position_id=None, + order=order, + command_id=UUID4(), + ts_init=self.clock.timestamp_ns(), + ) + + # Act + self.risk_engine.execute(submit_order) + + # Assert + assert order.status == expected_status diff --git a/tests/unit_tests/serialization/conftest.py b/tests/unit_tests/serialization/conftest.py index cab3502e44a7..a8cbc73881ee 100644 --- a/tests/unit_tests/serialization/conftest.py +++ b/tests/unit_tests/serialization/conftest.py @@ -63,12 +63,11 @@ def nautilus_objects() -> list[Any]: TestDataStubs.ticker(), TestDataStubs.quote_tick(), TestDataStubs.trade_tick(), - TestDataStubs.bar_5decimal(), - TestDataStubs.instrument_status_update(), + # TestDataStubs.bar_5decimal(), + TestDataStubs.venue_status(), + TestDataStubs.instrument_status(), TestDataStubs.instrument_close(), # EVENTS - TestDataStubs.venue_status_update(), - TestDataStubs.instrument_status_update(), TestEventStubs.component_state_changed(), TestEventStubs.trading_state_changed(), TestEventStubs.betting_account_state(), diff --git a/tests/unit_tests/serialization/test_arrow.py b/tests/unit_tests/serialization/test_arrow.py index d3b1a9436591..7661d42ea5c5 100644 --- a/tests/unit_tests/serialization/test_arrow.py +++ b/tests/unit_tests/serialization/test_arrow.py @@ -13,13 +13,12 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -import contextlib import copy -import os +import pathlib +import sys from typing import Any import pytest -from fsspec.implementations.memory import MemoryFileSystem from nautilus_trader.common.clock import TestClock from nautilus_trader.common.factories import OrderFactory @@ -37,39 +36,38 @@ from nautilus_trader.model.objects import Quantity from nautilus_trader.model.position import Position from nautilus_trader.persistence.catalog.parquet import ParquetDataCatalog -from nautilus_trader.persistence.external.core import write_objects -from nautilus_trader.serialization.arrow.serializer import ParquetSerializer +from nautilus_trader.serialization.arrow.serializer import ArrowSerializer from nautilus_trader.test_kit.providers import TestInstrumentProvider from nautilus_trader.test_kit.stubs.data import TestDataStubs from nautilus_trader.test_kit.stubs.events import TestEventStubs from nautilus_trader.test_kit.stubs.execution import TestExecStubs from nautilus_trader.test_kit.stubs.identifiers import TestIdStubs +from tests import TESTS_PACKAGE_ROOT from tests.unit_tests.serialization.conftest import nautilus_objects AUDUSD_SIM = TestInstrumentProvider.default_fx_ccy("AUD/USD") ETHUSDT_BINANCE = TestInstrumentProvider.ethusdt_binance() +CATALOG_PATH = pathlib.Path(TESTS_PACKAGE_ROOT + "/unit_tests/persistence/data_catalog") -def _reset(): +def _reset(catalog: ParquetDataCatalog) -> None: """ Cleanup resources before each test run. """ - os.environ["NAUTILUS_PATH"] = "memory:///.nautilus/" - catalog = ParquetDataCatalog.from_env() - assert isinstance(catalog.fs, MemoryFileSystem) - with contextlib.suppress(FileNotFoundError): - catalog.fs.rm("/", recursive=True) + assert catalog.path.endswith("tests/unit_tests/persistence/data_catalog") + if catalog.fs.exists(catalog.path): + catalog.fs.rm(catalog.path, recursive=True) + catalog.fs.mkdir(catalog.path) + assert catalog.fs.exists(catalog.path) - catalog.fs.mkdir("/.nautilus/catalog") - assert catalog.fs.exists("/.nautilus/catalog/") - -class TestParquetSerializer: +@pytest.mark.skipif(sys.platform == "win32", reason="Failing on windows") +class TestArrowSerializer: def setup(self): # Fixture Setup - _reset() - self.catalog = ParquetDataCatalog(path="/root", fs_protocol="memory") + self.catalog = ParquetDataCatalog(path=str(CATALOG_PATH), fs_protocol="file") + _reset(self.catalog) self.order_factory = OrderFactory( trader_id=TraderId("T-001"), strategy_id=StrategyId("S-001"), @@ -101,42 +99,37 @@ def setup(self): self.order_cancelled = copy.copy(self.order_pending_cancel) self.order_cancelled.apply(TestEventStubs.order_canceled(self.order_pending_cancel)) - def _test_serialization(self, obj: Any): - cls = type(obj) - serialized = ParquetSerializer.serialize(obj) - if not isinstance(serialized, list): - serialized = [serialized] - deserialized = ParquetSerializer.deserialize(cls=cls, chunk=serialized) + def _test_serialization(self, obj: Any) -> bool: + data_cls = type(obj) + serialized = ArrowSerializer.serialize(obj) + deserialized = ArrowSerializer.deserialize(data_cls, serialized) # Assert expected = obj if isinstance(deserialized, list) and not isinstance(expected, list): expected = [expected] - assert deserialized == expected - write_objects(catalog=self.catalog, chunk=[obj]) - df = self.catalog._query(cls=cls) + # TODO - Can't compare rust vs python types? + # assert deserialized == expected + self.catalog.write_data([obj]) + df = self.catalog.query(data_cls=data_cls) assert len(df) in (1, 2) - nautilus = self.catalog._query(cls=cls, as_dataframe=False)[0] + nautilus = self.catalog.query(data_cls=data_cls, as_dataframe=False)[0] assert nautilus.ts_init == 0 return True @pytest.mark.parametrize( "tick", [ - TestDataStubs.ticker(), TestDataStubs.quote_tick(), TestDataStubs.trade_tick(), + TestDataStubs.bar_5decimal(), ], ) def test_serialize_and_deserialize_tick(self, tick): self._test_serialization(obj=tick) - def test_serialize_and_deserialize_bar(self): - bar = TestDataStubs.bar_5decimal() - self._test_serialization(obj=bar) - - @pytest.mark.skip(reason="Reimplement serialization for order book data") def test_serialize_and_deserialize_order_book_delta(self): + # Arrange delta = OrderBookDelta( instrument_id=TestIdStubs.audusd_id(), action=BookAction.CLEAR, @@ -145,19 +138,23 @@ def test_serialize_and_deserialize_order_book_delta(self): ts_init=0, ) - serialized = ParquetSerializer.serialize(delta) - [deserialized] = ParquetSerializer.deserialize(cls=OrderBookDelta, chunk=serialized) + # Act + serialized = ArrowSerializer.serialize(delta) + deserialized = ArrowSerializer.deserialize(data_cls=OrderBookDelta, batch=serialized) # Assert - expected = OrderBookDeltas( + OrderBookDeltas( instrument_id=TestIdStubs.audusd_id(), deltas=[delta], ) - assert deserialized == expected - write_objects(catalog=self.catalog, chunk=[delta]) + self.catalog.write_data([delta]) + deltas = self.catalog.order_book_deltas() + assert len(deltas) == 1 + assert isinstance(deltas[0], OrderBookDelta) + assert not isinstance(deserialized[0], OrderBookDelta) # TODO: Legacy wrangler - @pytest.mark.skip(reason="Reimplement serialization for order book data") def test_serialize_and_deserialize_order_book_deltas(self): + # Arrange deltas = OrderBookDeltas( instrument_id=TestIdStubs.audusd_id(), deltas=[ @@ -165,10 +162,14 @@ def test_serialize_and_deserialize_order_book_deltas(self): { "instrument_id": "AUD/USD.SIM", "action": "ADD", - "side": "BUY", - "price": 8.0, - "size": 30.0, - "order_id": "e0364f94-8fcb-0262-cbb3-075c51ee4917", # TODO: Needs to be int + "order": { + "side": "BUY", + "price": "8.0", + "size": "30.0", + "order_id": 1, + }, + "flags": 0, + "sequence": 0, "ts_event": 0, "ts_init": 0, }, @@ -177,10 +178,14 @@ def test_serialize_and_deserialize_order_book_deltas(self): { "instrument_id": "AUD/USD.SIM", "action": "ADD", - "side": "SELL", - "price": 15.0, - "size": 10.0, - "order_id": "cabec174-acc6-9204-9ebf-809da3896daf", # TODO: Needs to be int + "order": { + "side": "SELL", + "price": "15.0", + "size": "10.0", + "order_id": 1, + }, + "flags": 0, + "sequence": 0, "ts_event": 0, "ts_init": 0, }, @@ -188,15 +193,18 @@ def test_serialize_and_deserialize_order_book_deltas(self): ], ) - serialized = ParquetSerializer.serialize(deltas) - deserialized = ParquetSerializer.deserialize(cls=OrderBookDeltas, chunk=serialized) + # Act + serialized = ArrowSerializer.serialize(deltas) + deserialized = ArrowSerializer.deserialize(data_cls=OrderBookDeltas, batch=serialized) + + self.catalog.write_data(deserialized) # Assert - assert deserialized == [deltas] - write_objects(catalog=self.catalog, chunk=[deltas]) + assert len(deserialized) == 2 + # assert len(self.catalog.order_book_deltas()) == 1 - @pytest.mark.skip(reason="Reimplement serialization for order book data") def test_serialize_and_deserialize_order_book_deltas_grouped(self): + # Arrange kw = { "instrument_id": "AUD/USD.SIM", "ts_event": 0, @@ -205,31 +213,47 @@ def test_serialize_and_deserialize_order_book_deltas_grouped(self): deltas = [ { "action": "ADD", - "side": "SELL", - "price": 0.9901, - "size": 327.25, - "order_id": "1", + "order": { + "side": "SELL", + "price": "0.9901", + "size": "327.25", + "order_id": 1, + }, + "flags": 0, + "sequence": 0, }, { "action": "CLEAR", - "side": None, - "price": None, - "size": None, - "order_id": None, + "order": { + "side": "NO_ORDER_SIDE", + "price": "0", + "size": "0", + "order_id": 0, + }, + "flags": 0, + "sequence": 0, }, { "action": "ADD", - "side": "SELL", - "price": 0.98039, - "size": 27.91, - "order_id": "2", + "order": { + "side": "SELL", + "price": "0.98039", + "size": "27.91", + "order_id": 2, + }, + "flags": 0, + "sequence": 0, }, { "action": "ADD", - "side": "SELL", - "price": 0.97087, - "size": 14.43, - "order_id": "3", + "order": { + "side": "SELL", + "price": "0.97087", + "size": "14.43", + "order_id": 3, + }, + "flags": 0, + "sequence": 0, }, ] deltas = OrderBookDeltas( @@ -237,54 +261,48 @@ def test_serialize_and_deserialize_order_book_deltas_grouped(self): deltas=[OrderBookDelta.from_dict({**kw, **d}) for d in deltas], ) - serialized = ParquetSerializer.serialize(deltas) - [deserialized] = ParquetSerializer.deserialize(cls=OrderBookDeltas, chunk=serialized) + # Act + serialized = ArrowSerializer.serialize(deltas) + deserialized = ArrowSerializer.deserialize(data_cls=OrderBookDeltas, batch=serialized) # Assert - assert deserialized == deltas - write_objects(catalog=self.catalog, chunk=[deserialized]) - assert [d.action for d in deserialized.deltas] == [ + # assert deserialized == deltas.deltas # TODO - rust vs python types + self.catalog.write_data(deserialized) + assert [d.action for d in deserialized] == [ BookAction.ADD, BookAction.CLEAR, BookAction.ADD, BookAction.ADD, ] - @pytest.mark.skip(reason="Snapshots marked for deletion") - def test_serialize_and_deserialize_order_book_snapshot(self): - book = TestDataStubs.order_book_snapshot(AUDUSD_SIM.id) - - serialized = ParquetSerializer.serialize(book) - deserialized = ParquetSerializer.deserialize(cls=OrderBookDelta, chunk=serialized) - - # Assert - assert deserialized == [book] - write_objects(catalog=self.catalog, chunk=[book]) - def test_serialize_and_deserialize_component_state_changed(self): + # Arrange event = TestEventStubs.component_state_changed() - serialized = ParquetSerializer.serialize(event) - [deserialized] = ParquetSerializer.deserialize( - cls=ComponentStateChanged, - chunk=[serialized], + # Act + serialized = ArrowSerializer.serialize(event) + [deserialized] = ArrowSerializer.deserialize( + data_cls=ComponentStateChanged, + batch=serialized, ) # Assert assert deserialized == event - write_objects(catalog=self.catalog, chunk=[event]) + self.catalog.write_data([event]) def test_serialize_and_deserialize_trading_state_changed(self): + # Arrange event = TestEventStubs.trading_state_changed() - serialized = ParquetSerializer.serialize(event) - [deserialized] = ParquetSerializer.deserialize(cls=TradingStateChanged, chunk=[serialized]) + # Act + serialized = ArrowSerializer.serialize(event) + [deserialized] = ArrowSerializer.deserialize(data_cls=TradingStateChanged, batch=serialized) # Assert assert deserialized == event - write_objects(catalog=self.catalog, chunk=[event]) + self.catalog.write_data([event]) @pytest.mark.parametrize( "event", @@ -294,13 +312,14 @@ def test_serialize_and_deserialize_trading_state_changed(self): ], ) def test_serialize_and_deserialize_account_state(self, event): - serialized = ParquetSerializer.serialize(event) - [deserialized] = ParquetSerializer.deserialize(cls=AccountState, chunk=serialized) + # Arrange, Act + serialized = ArrowSerializer.serialize(event, data_cls=AccountState) + [deserialized] = ArrowSerializer.deserialize(data_cls=AccountState, batch=serialized) # Assert assert deserialized == event - write_objects(catalog=self.catalog, chunk=[event]) + self.catalog.write_data([event]) @pytest.mark.parametrize( "event_func", @@ -339,7 +358,7 @@ def test_serialize_and_deserialize_order_updated_events(self): ], ) def test_serialize_and_deserialize_order_events_post_accepted(self, event_func): - # Act + # Arrange, Act, Assert event = event_func(order=self.order_accepted) assert self._test_serialization(obj=event) @@ -350,7 +369,7 @@ def test_serialize_and_deserialize_order_events_post_accepted(self, event_func): ], ) def test_serialize_and_deserialize_order_events_filled(self, event_func): - # Act + # Arrange, Act, Assert event = event_func(order=self.order_accepted, instrument=AUDUSD_SIM) self._test_serialization(obj=event) @@ -428,23 +447,23 @@ def test_serialize_and_deserialize_position_events_closed(self, position_func): TestInstrumentProvider.xbtusd_bitmex(), TestInstrumentProvider.btcusdt_future_binance(), TestInstrumentProvider.btcusdt_binance(), - TestInstrumentProvider.aapl_equity(), - TestInstrumentProvider.es_future(), + TestInstrumentProvider.equity(), + TestInstrumentProvider.future(), TestInstrumentProvider.aapl_option(), ], ) def test_serialize_and_deserialize_instruments(self, instrument): - serialized = ParquetSerializer.serialize(instrument) + serialized = ArrowSerializer.serialize(instrument) assert serialized - deserialized = ParquetSerializer.deserialize(cls=type(instrument), chunk=[serialized]) + deserialized = ArrowSerializer.deserialize(data_cls=type(instrument), batch=serialized) # Assert assert deserialized == [instrument] - write_objects(catalog=self.catalog, chunk=[instrument]) + self.catalog.write_data([instrument]) df = self.catalog.instruments() assert len(df) == 1 @pytest.mark.parametrize("obj", nautilus_objects()) def test_serialize_and_deserialize_all(self, obj): - # Arrange, Act + # Arrange, Act, Assert assert self._test_serialization(obj) diff --git a/tests/unit_tests/serialization/test_base.py b/tests/unit_tests/serialization/test_base.py index a49c52e64006..53fb29e00952 100644 --- a/tests/unit_tests/serialization/test_base.py +++ b/tests/unit_tests/serialization/test_base.py @@ -13,6 +13,8 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- +from __future__ import annotations + from nautilus_trader.serialization.base import register_serializable_object from nautilus_trader.test_kit.providers import TestInstrumentProvider @@ -29,7 +31,7 @@ def __init__(self, value): self.value = value @staticmethod - def from_dict(values: dict): + def from_dict(values: dict) -> TestObject: return TestObject(values["value"]) @staticmethod diff --git a/tests/unit_tests/trading/test_filters.py b/tests/unit_tests/trading/test_filters.py index 1e282fc9f9bf..d3fa40401cbd 100644 --- a/tests/unit_tests/trading/test_filters.py +++ b/tests/unit_tests/trading/test_filters.py @@ -13,7 +13,6 @@ # limitations under the License. # ------------------------------------------------------------------------------------------------- -import os from datetime import datetime import pandas as pd @@ -137,7 +136,7 @@ def test_prev_end_given_various_sessions_returns_expected_datetime(self, session class TestEconomicNewsEventFilter: def setup(self): # Fixture Setup - news_csv_path = os.path.join(TEST_DATA_DIR, "news_events.csv") + news_csv_path = TEST_DATA_DIR / "news_events.csv" self.news_data = as_utc_index(pd.read_csv(news_csv_path, parse_dates=True, index_col=0)) def test_initialize_filter(self): diff --git a/tests/unit_tests/trading/test_strategy.py b/tests/unit_tests/trading/test_strategy.py index f074d303d9d5..7b7e2a56b04d 100644 --- a/tests/unit_tests/trading/test_strategy.py +++ b/tests/unit_tests/trading/test_strategy.py @@ -17,6 +17,7 @@ from datetime import timedelta from decimal import Decimal +import pandas as pd import pytest import pytz @@ -199,6 +200,7 @@ def test_strategy_to_importable_config_with_no_specific_config(self): "order_id_tag": None, "strategy_id": None, "external_order_claims": None, + "manage_gtd_expiry": False, } def test_strategy_to_importable_config(self): @@ -207,6 +209,7 @@ def test_strategy_to_importable_config(self): order_id_tag="001", strategy_id="ALPHA-01", external_order_claims=["ETHUSDT-PERP.DYDX"], + manage_gtd_expiry=True, ) strategy = Strategy(config=config) @@ -223,6 +226,7 @@ def test_strategy_to_importable_config(self): "order_id_tag": "001", "strategy_id": "ALPHA-01", "external_order_claims": ["ETHUSDT-PERP.DYDX"], + "manage_gtd_expiry": True, } def test_strategy_equality(self): @@ -806,6 +810,51 @@ def test_stop_cancels_a_running_timer(self): # Assert assert strategy.clock.timer_count == 0 + def test_start_when_manage_gtd_reactivates_timers(self): + # Arrange + config = StrategyConfig(manage_gtd_expiry=True) + strategy = Strategy(config) + strategy.register( + trader_id=self.trader_id, + portfolio=self.portfolio, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + order1 = strategy.order_factory.limit( + USDJPY_SIM.id, + OrderSide.SELL, + Quantity.from_int(100_000), + Price.from_str("100.00"), + time_in_force=TimeInForce.GTD, + expire_time=self.clock.utc_now() + pd.Timedelta(minutes=10), + ) + order2 = strategy.order_factory.limit( + USDJPY_SIM.id, + OrderSide.SELL, + Quantity.from_int(100_000), + Price.from_str("101.00"), + time_in_force=TimeInForce.GTD, + expire_time=self.clock.utc_now() + pd.Timedelta(minutes=11), + ) + + strategy.submit_order(order1) + strategy.submit_order(order2) + self.exchange.process(0) + + # Act + strategy.clock.cancel_timers() # <-- Simulate restart + strategy.start() + + # Assert + assert strategy.clock.timer_count == 2 + assert strategy.clock.timer_names == [ + "GTD-EXPIRY:O-19700101-0000-000-None-1", + "GTD-EXPIRY:O-19700101-0000-000-None-2", + ] + def test_submit_order_when_duplicate_id_then_denies(self): # Arrange strategy = Strategy() @@ -874,7 +923,8 @@ def test_submit_order_with_valid_order_successfully_submits(self): def test_submit_order_with_managed_gtd_starts_timer(self): # Arrange - strategy = Strategy() + config = StrategyConfig(manage_gtd_expiry=True) + strategy = Strategy(config) strategy.register( trader_id=self.trader_id, portfolio=self.portfolio, @@ -894,7 +944,7 @@ def test_submit_order_with_managed_gtd_starts_timer(self): ) # Act - strategy.submit_order(order, manage_gtd_expiry=True) + strategy.submit_order(order) # Assert assert strategy.clock.timer_count == 1 @@ -902,7 +952,8 @@ def test_submit_order_with_managed_gtd_starts_timer(self): def test_submit_order_with_managed_gtd_when_immediately_filled_cancels_timer(self): # Arrange - strategy = Strategy() + config = StrategyConfig(manage_gtd_expiry=True) + strategy = Strategy(config) strategy.register( trader_id=self.trader_id, portfolio=self.portfolio, @@ -922,7 +973,7 @@ def test_submit_order_with_managed_gtd_when_immediately_filled_cancels_timer(sel ) # Act - strategy.submit_order(order, manage_gtd_expiry=True) + strategy.submit_order(order) self.exchange.process(0) # Assert @@ -1086,7 +1137,8 @@ def test_submit_order_list_with_valid_order_successfully_submits(self): def test_submit_order_list_with_managed_gtd_starts_timer(self): # Arrange - strategy = Strategy() + config = StrategyConfig(manage_gtd_expiry=True) + strategy = Strategy(config) strategy.register( trader_id=self.trader_id, portfolio=self.portfolio, @@ -1109,7 +1161,7 @@ def test_submit_order_list_with_managed_gtd_starts_timer(self): ) # Act - strategy.submit_order_list(bracket, manage_gtd_expiry=True) + strategy.submit_order_list(bracket) self.exchange.process(0) # Assert @@ -1118,7 +1170,8 @@ def test_submit_order_list_with_managed_gtd_starts_timer(self): def test_submit_order_list_with_managed_gtd_when_immediately_filled_cancels_timer(self): # Arrange - strategy = Strategy() + config = StrategyConfig(manage_gtd_expiry=True) + strategy = Strategy(config) strategy.register( trader_id=self.trader_id, portfolio=self.portfolio, @@ -1141,7 +1194,7 @@ def test_submit_order_list_with_managed_gtd_when_immediately_filled_cancels_time ) # Act - strategy.submit_order_list(bracket, manage_gtd_expiry=True) + strategy.submit_order_list(bracket) self.exchange.process(0) # Assert @@ -1152,7 +1205,8 @@ def test_submit_order_list_with_managed_gtd_when_immediately_filled_cancels_time def test_cancel_gtd_expiry(self): # Arrange - strategy = Strategy() + config = StrategyConfig(manage_gtd_expiry=True) + strategy = Strategy(config) strategy.register( trader_id=self.trader_id, portfolio=self.portfolio, @@ -1171,7 +1225,7 @@ def test_cancel_gtd_expiry(self): expire_time=UNIX_EPOCH + timedelta(minutes=1), ) - strategy.submit_order(order, manage_gtd_expiry=True) + strategy.submit_order(order) # Act strategy.cancel_gtd_expiry(order) @@ -1421,6 +1475,44 @@ def test_modify_order(self): assert not strategy.cache.is_order_closed(order.client_order_id) assert strategy.portfolio.is_flat(order.instrument_id) + def test_cancel_orders(self): + # Arrange + strategy = Strategy() + strategy.register( + trader_id=self.trader_id, + portfolio=self.portfolio, + msgbus=self.msgbus, + cache=self.cache, + clock=self.clock, + logger=self.logger, + ) + + order1 = strategy.order_factory.stop_market( + USDJPY_SIM.id, + OrderSide.BUY, + Quantity.from_int(100_000), + Price.from_str("90.007"), + ) + + order2 = strategy.order_factory.stop_market( + USDJPY_SIM.id, + OrderSide.BUY, + Quantity.from_int(100_000), + Price.from_str("90.006"), + ) + + strategy.submit_order(order1) + self.exchange.process(0) + strategy.submit_order(order2) + self.exchange.process(0) + + # Act + strategy.cancel_orders([order1, order2]) + self.exchange.process(0) + + # Assert + # TODO: WIP! + def test_cancel_all_orders(self): # Arrange strategy = Strategy() diff --git a/tests/unit_tests/trading/test_trader.py b/tests/unit_tests/trading/test_trader.py index 07dc306fc1f8..fae23b56a949 100644 --- a/tests/unit_tests/trading/test_trader.py +++ b/tests/unit_tests/trading/test_trader.py @@ -14,6 +14,7 @@ # ------------------------------------------------------------------------------------------------- from decimal import Decimal +from typing import Any import pytest @@ -55,7 +56,7 @@ class TestTrader: - def setup(self): + def setup(self) -> None: # Fixture Setup self.clock = TestClock() self.logger = Logger(self.clock, bypass=True) @@ -150,20 +151,160 @@ def setup(self): logger=self.logger, ) - def test_initialize_trader(self): + def test_initialize_trader(self) -> None: # Arrange, Act, Assert assert self.trader.id == TraderId("TESTER-000") assert self.trader.is_initialized assert len(self.trader.strategy_states()) == 0 - def test_add_strategy(self): + def test_add_strategy(self) -> None: # Arrange, Act self.trader.add_strategy(Strategy()) # Assert assert self.trader.strategy_states() == {StrategyId("Strategy-000"): "READY"} - def test_add_strategies_with_no_order_id_tags(self): + def test_start_actor_when_not_exists(self) -> None: + # Arrange, Act, Assert + with pytest.raises(ValueError): + self.trader.start_actor(ComponentId("UNKNOWN-000")) + + def test_start_actor(self) -> None: + # Arrange + actor = Actor() + self.trader.add_actor(actor) + + # Act + self.trader.start_actor(actor.id) + + # Assert + assert actor.is_running + assert self.trader.actor_states() == {actor.id: "RUNNING"} + + def test_start_actor_when_already_started(self) -> None: + # Arrange + actor = Actor() + self.trader.add_actor(actor) + self.trader.start_actor(actor.id) + + # Act + self.trader.start_actor(actor.id) + + # Assert + assert actor.is_running + assert self.trader.actor_states() == {actor.id: "RUNNING"} + + def test_stop_actor(self) -> None: + # Arrange + actor = Actor() + self.trader.add_actor(actor) + self.trader.start_actor(actor.id) + + # Act + self.trader.stop_actor(actor.id) + + # Assert + assert not actor.is_running + assert self.trader.actor_states() == {actor.id: "STOPPED"} + + def test_stop_actor_when_already_stopped(self) -> None: + # Arrange + actor = Actor() + self.trader.add_actor(actor) + self.trader.start_actor(actor.id) + self.trader.stop_actor(actor.id) + + # Act + self.trader.stop_actor(actor.id) + + # Assert + assert not actor.is_running + assert self.trader.actor_states() == {actor.id: "STOPPED"} + + def test_remove_actor(self) -> None: + # Arrange + actor = Actor() + self.trader.add_actor(actor) + self.trader.start_actor(actor.id) + + # Act + self.trader.remove_actor(actor.id) + + # Assert + assert not actor.is_running + assert self.trader.actors() == [] + + def test_start_strategy_when_not_exists(self) -> None: + # Arrange, Act, Assert + with pytest.raises(ValueError): + self.trader.start_strategy(StrategyId("UNKNOWN-000")) + + def test_start_strategy(self) -> None: + # Arrange + strategy = Strategy() + self.trader.add_strategy(strategy) + + # Act + self.trader.start_strategy(strategy.id) + + # Assert + assert strategy.is_running + assert self.trader.strategy_states() == {strategy.id: "RUNNING"} + + def test_start_strategy_when_already_started(self) -> None: + # Arrange + strategy = Strategy() + self.trader.add_strategy(strategy) + self.trader.start_strategy(strategy.id) + + # Act + self.trader.start_strategy(strategy.id) + + # Assert + assert strategy.is_running + assert self.trader.strategy_states() == {strategy.id: "RUNNING"} + + def test_stop(self) -> None: + # Arrange + strategy = Strategy() + self.trader.add_strategy(strategy) + self.trader.start_strategy(strategy.id) + + # Act + self.trader.stop_strategy(strategy.id) + + # Assert + assert not strategy.is_running + assert self.trader.strategy_states() == {strategy.id: "STOPPED"} + + def test_stop_strategy_when_already_stopped(self) -> None: + # Arrange + strategy = Strategy() + self.trader.add_strategy(strategy) + self.trader.start_strategy(strategy.id) + self.trader.stop_strategy(strategy.id) + + # Act + self.trader.stop_strategy(strategy.id) + + # Assert + assert not strategy.is_running + assert self.trader.strategy_states() == {strategy.id: "STOPPED"} + + def test_remove_strategy(self) -> None: + # Arrange + strategy = Strategy() + self.trader.add_strategy(strategy) + self.trader.start_strategy(strategy.id) + + # Act + self.trader.remove_strategy(strategy.id) + + # Assert + assert not strategy.is_running + assert self.trader.strategies() == [] + + def test_add_strategies_with_no_order_id_tags(self) -> None: # Arrange strategies = [Strategy(), Strategy()] @@ -176,7 +317,7 @@ def test_add_strategies_with_no_order_id_tags(self): StrategyId("Strategy-001"): "READY", } - def test_add_strategies_with_duplicate_order_id_tags_raises_runtime_error(self): + def test_add_strategies_with_duplicate_order_id_tags_raises_runtime_error(self) -> None: # Arrange config = MyStrategyConfig( instrument_id=USDJPY_SIM.id.value, @@ -188,7 +329,7 @@ def test_add_strategies_with_duplicate_order_id_tags_raises_runtime_error(self): with pytest.raises(RuntimeError): self.trader.add_strategies(strategies) - def test_add_strategies(self): + def test_add_strategies(self) -> None: # Arrange strategies = [ Strategy(StrategyConfig(order_id_tag="001")), @@ -204,7 +345,7 @@ def test_add_strategies(self): StrategyId("Strategy-002"): "READY", } - def test_clear_strategies(self): + def test_clear_strategies(self) -> None: # Arrange strategies = [ Strategy(StrategyConfig(order_id_tag="001")), @@ -218,7 +359,7 @@ def test_clear_strategies(self): # Assert assert self.trader.strategy_states() == {} - def test_add_actor(self): + def test_add_actor(self) -> None: # Arrange config = ActorConfig(component_id="MyPlugin-01") actor = Actor(config) @@ -229,7 +370,7 @@ def test_add_actor(self): # Assert assert self.trader.actor_ids() == [ComponentId("MyPlugin-01")] - def test_add_actors(self): + def test_add_actors(self) -> None: # Arrange actors = [ Actor(ActorConfig(component_id="MyPlugin-01")), @@ -245,7 +386,7 @@ def test_add_actors(self): ComponentId("MyPlugin-02"), ] - def test_clear_actors(self): + def test_clear_actors(self) -> None: # Arrange actors = [ Actor(ActorConfig(component_id="MyPlugin-01")), @@ -259,7 +400,7 @@ def test_clear_actors(self): # Assert assert self.trader.actor_ids() == [] - def test_get_strategy_states(self): + def test_get_strategy_states(self) -> None: # Arrange strategies = [ Strategy(StrategyConfig(order_id_tag="001")), @@ -277,7 +418,7 @@ def test_get_strategy_states(self): assert status[StrategyId("Strategy-002")] == "READY" assert len(status) == 2 - def test_add_exec_algorithm(self): + def test_add_exec_algorithm(self) -> None: # Arrange exec_algorithm = ExecAlgorithm() @@ -289,7 +430,7 @@ def test_add_exec_algorithm(self): assert self.trader.exec_algorithms() == [exec_algorithm] assert self.trader.exec_algorithm_states() == {exec_algorithm.id: "READY"} - def test_change_exec_algorithms(self): + def test_change_exec_algorithms(self) -> None: # Arrange exec_algorithm1 = ExecAlgorithm(ExecAlgorithmConfig(exec_algorithm_id="001")) exec_algorithm2 = ExecAlgorithm(ExecAlgorithmConfig(exec_algorithm_id="002")) @@ -306,7 +447,7 @@ def test_change_exec_algorithms(self): exec_algorithm2.id: "READY", } - def test_clear_exec_algorithms(self): + def test_clear_exec_algorithms(self) -> None: # Arrange exec_algorithms = [ ExecAlgorithm(ExecAlgorithmConfig(exec_algorithm_id="001")), @@ -323,7 +464,7 @@ def test_clear_exec_algorithms(self): assert self.trader.exec_algorithms() == [] assert self.trader.exec_algorithm_states() == {} - def test_change_strategies(self): + def test_change_strategies(self) -> None: # Arrange strategy1 = Strategy(StrategyConfig(order_id_tag="003")) strategy2 = Strategy(StrategyConfig(order_id_tag="004")) @@ -338,7 +479,7 @@ def test_change_strategies(self): assert strategy2.id in self.trader.strategy_states() assert len(self.trader.strategy_states()) == 2 - def test_start_a_trader(self): + def test_start_a_trader(self) -> None: # Arrange strategies = [ Strategy(StrategyConfig(order_id_tag="001")), @@ -356,7 +497,7 @@ def test_start_a_trader(self): assert strategy_states[StrategyId("Strategy-001")] == "RUNNING" assert strategy_states[StrategyId("Strategy-002")] == "RUNNING" - def test_stop_a_running_trader(self): + def test_stop_a_running_trader(self) -> None: # Arrange strategies = [ Strategy(StrategyConfig(order_id_tag="001")), @@ -375,9 +516,9 @@ def test_stop_a_running_trader(self): assert strategy_states[StrategyId("Strategy-001")] == "STOPPED" assert strategy_states[StrategyId("Strategy-002")] == "STOPPED" - def test_subscribe_to_msgbus_topic_adds_subscription(self): + def test_subscribe_to_msgbus_topic_adds_subscription(self) -> None: # Arrange - consumer = [] + consumer: list[Any] = [] # Act self.trader.subscribe("events*", consumer.append) @@ -387,9 +528,9 @@ def test_subscribe_to_msgbus_topic_adds_subscription(self): assert "events*" in self.msgbus.topics() assert self.msgbus.subscriptions("events*")[-1].handler == consumer.append - def test_unsubscribe_from_msgbus_topic_removes_subscription(self): + def test_unsubscribe_from_msgbus_topic_removes_subscription(self) -> None: # Arrange - consumer = [] + consumer: list[Any] = [] self.trader.subscribe("events*", consumer.append) # Act diff --git a/version.json b/version.json index 2f643a1ec12f..52abaf358a97 100644 --- a/version.json +++ b/version.json @@ -1,6 +1,6 @@ { "schemaVersion": 1, "label": "", - "message": "v1.178.0", + "message": "v1.179.0", "color": "orange" }