Implement OrderBookDeltas FFI and pyo3 interfaces

nautilus_core/model/src/data/deltas.rs

@@ -22,7 +22,8 @@ use super::delta::OrderBookDelta;
 use crate::identifiers::instrument_id::InstrumentId;
 
 /// Represents a grouped batch of `OrderBookDelta` updates for an `OrderBook`.
-#[repr(C)]
+///
+/// This type cannot be `repr(C)` due to the `deltas` vec.
 #[derive(Clone, Debug)]
 #[cfg_attr(
     feature = "python",
@@ -46,14 +47,14 @@ pub struct OrderBookDeltas {
 impl OrderBookDeltas {
     #[allow(clippy::too_many_arguments)]
     #[must_use]
-    pub fn new(
-        instrument_id: InstrumentId,
-        deltas: Vec<OrderBookDelta>,
-        flags: u8,
-        sequence: u64,
-        ts_event: UnixNanos,
-        ts_init: UnixNanos,
-    ) -> Self {
+    pub fn new(instrument_id: InstrumentId, deltas: Vec<OrderBookDelta>) -> Self {
+        assert!(!deltas.is_empty(), "`deltas` cannot be empty");
+        // SAFETY: We asserted `deltas` is not empty
+        let last = deltas.last().unwrap();
+        let flags = last.flags;
+        let sequence = last.sequence;
+        let ts_event = last.ts_event;
+        let ts_init = last.ts_init;
         Self {
             instrument_id,
             deltas,
@@ -65,7 +66,7 @@ impl OrderBookDeltas {
     }
 }
 
-// TODO: Potentially implement later
+// TODO: Implement
 // impl Serializable for OrderBookDeltas {}
 
 // TODO: Exact format for Debug and Display TBD
@@ -195,7 +196,7 @@ pub mod stubs {
 
         let deltas = vec![delta0, delta1, delta2, delta3, delta4, delta5, delta6];
 
-        OrderBookDeltas::new(instrument_id, deltas, flags, sequence, ts_event, ts_init)
+        OrderBookDeltas::new(instrument_id, deltas)
     }
 }
 
@@ -310,10 +311,6 @@ mod tests {
         let deltas = OrderBookDeltas::new(
             instrument_id,
             vec![delta0, delta1, delta2, delta3, delta4, delta5, delta6],
-            flags,
-            sequence,
-            ts_event,
-            ts_init,
         );
 
         assert_eq!(deltas.instrument_id, instrument_id);

nautilus_core/model/src/data/mod.rs

@@ -30,7 +30,6 @@ use self::{
 
 #[repr(C)]
 #[derive(Clone, Debug)]
-#[cfg_attr(feature = "trivial_copy", derive(Copy))]
 #[allow(clippy::large_enum_variant)] // TODO: Optimize this (largest variant 1008 vs 136 bytes)
 pub enum Data {
     Delta(OrderBookDelta),
@@ -129,5 +128,5 @@ impl From<Bar> for Data {
 
 #[no_mangle]
 pub extern "C" fn data_clone(data: &Data) -> Data {
-    *data // Actually a copy
+    data.clone()
 }

nautilus_core/model/src/ffi/data/deltas.rs

@@ -0,0 +1,118 @@
+// -------------------------------------------------------------------------------------------------
+//  Copyright (C) 2015-2024 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::{Deref, DerefMut};
+
+use nautilus_core::{ffi::cvec::CVec, time::UnixNanos};
+
+use crate::{
+    data::{delta::OrderBookDelta, deltas::OrderBookDeltas},
+    enums::BookAction,
+    identifiers::instrument_id::InstrumentId,
+};
+
+/// Provides a C compatible Foreign Function Interface (FFI) for an underlying [`OrderBookDeltas`].
+///
+/// This struct wraps `OrderBookDeltas` in a way that makes it compatible with C function
+/// calls, enabling interaction with `OrderBookDeltas` in a C environment.
+///
+/// It implements the `Deref` trait, allowing instances of `OrderBookDeltas_API` to be
+/// dereferenced to `OrderBookDeltas`, providing access to `OrderBookDeltas`'s methods without
+/// having to manually access the underlying `OrderBookDeltas` instance.
+#[repr(C)]
+#[allow(non_camel_case_types)]
+pub struct OrderBookDeltas_API(Box<OrderBookDeltas>);
+
+impl Deref for OrderBookDeltas_API {
+    type Target = OrderBookDeltas;
+
+    fn deref(&self) -> &Self::Target {
+        &self.0
+    }
+}
+
+impl DerefMut for OrderBookDeltas_API {
+    fn deref_mut(&mut self) -> &mut Self::Target {
+        &mut self.0
+    }
+}
+
+/// Creates a new `OrderBookDeltas` object from a CVec of `OrderBookDelta`.
+///
+/// # Safety
+/// - The `deltas` must be a valid pointer to a `CVec` containing `OrderBookDelta` objects
+/// - This function clones the data pointed to by `deltas` into Rust-managed memory, then forgets the original `Vec` to prevent Rust from auto-deallocating it
+/// - The caller is responsible for managing the memory of `deltas` (including its deallocation) to avoid memory leaks
+#[no_mangle]
+pub extern "C" fn orderbook_deltas_new(
+    instrument_id: InstrumentId,
+    deltas: &CVec,
+) -> OrderBookDeltas_API {
+    let CVec { ptr, len, cap } = *deltas;
+    let deltas: Vec<OrderBookDelta> =
+        unsafe { Vec::from_raw_parts(ptr as *mut OrderBookDelta, len, cap) };
+    let cloned_deltas = deltas.clone();
+    std::mem::forget(deltas); // Prevents Rust from dropping `deltas`
+    OrderBookDeltas_API(Box::new(OrderBookDeltas::new(instrument_id, cloned_deltas)))
+}
+
+#[no_mangle]
+pub extern "C" fn orderbook_deltas_drop(deltas: OrderBookDeltas_API) {
+    drop(deltas); // Memory freed here
+}
+
+#[no_mangle]
+pub extern "C" fn orderbook_deltas_instrument_id(deltas: &OrderBookDeltas_API) -> InstrumentId {
+    deltas.instrument_id
+}
+
+#[no_mangle]
+pub extern "C" fn orderbook_deltas_vec_deltas(deltas: &OrderBookDeltas_API) -> CVec {
+    deltas.deltas.clone().into()
+}
+
+#[no_mangle]
+pub extern "C" fn orderbook_deltas_is_snapshot(deltas: &OrderBookDeltas_API) -> u8 {
+    u8::from(deltas.deltas[0].action == BookAction::Clear)
+}
+
+#[no_mangle]
+pub extern "C" fn orderbook_deltas_flags(deltas: &OrderBookDeltas_API) -> u8 {
+    deltas.flags
+}
+
+#[no_mangle]
+pub extern "C" fn orderbook_deltas_sequence(deltas: &OrderBookDeltas_API) -> u64 {
+    deltas.sequence
+}
+
+#[no_mangle]
+pub extern "C" fn orderbook_deltas_ts_event(deltas: &OrderBookDeltas_API) -> UnixNanos {
+    deltas.ts_event
+}
+
+#[no_mangle]
+pub extern "C" fn orderbook_deltas_ts_init(deltas: &OrderBookDeltas_API) -> UnixNanos {
+    deltas.ts_init
+}
+
+#[allow(clippy::drop_non_drop)]
+#[no_mangle]
+pub extern "C" fn orderbook_deltas_vec_drop(v: CVec) {
+    let CVec { ptr, len, cap } = v;
+    let deltas: Vec<OrderBookDelta> =
+        unsafe { Vec::from_raw_parts(ptr as *mut OrderBookDelta, len, cap) };
+    drop(deltas); // Memory freed here
+}

nautilus_core/model/src/ffi/data/mod.rs

@@ -15,6 +15,7 @@
 
 pub mod bar;
 pub mod delta;
+pub mod deltas;
 pub mod depth;
 pub mod order;
 pub mod quote;

nautilus_core/model/src/python/data/deltas.rs

@@ -0,0 +1,126 @@
+// -------------------------------------------------------------------------------------------------
+//  Copyright (C) 2015-2024 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::time::UnixNanos;
+use pyo3::prelude::*;
+
+use crate::{
+    data::{delta::OrderBookDelta, deltas::OrderBookDeltas},
+    identifiers::instrument_id::InstrumentId,
+    python::PY_MODULE_MODEL,
+};
+
+#[pymethods]
+impl OrderBookDeltas {
+    #[new]
+    fn py_new(instrument_id: InstrumentId, deltas: Vec<OrderBookDelta>) -> Self {
+        Self::new(instrument_id, deltas)
+    }
+
+    // TODO: Implement
+    // fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
+    //     match op {
+    //         CompareOp::Eq => self.eq(other).into_py(py),
+    //         CompareOp::Ne => self.ne(other).into_py(py),
+    //         _ => py.NotImplemented(),
+    //     }
+    // }
+
+    // TODO: Implement
+    // 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]
+    #[pyo3(name = "instrument_id")]
+    fn py_instrument_id(&self) -> InstrumentId {
+        self.instrument_id
+    }
+
+    #[getter]
+    #[pyo3(name = "deltas")]
+    fn py_deltas(&self) -> Vec<OrderBookDelta> {
+        // `OrderBookDelta` is `Copy`
+        self.deltas.clone()
+    }
+
+    #[getter]
+    #[pyo3(name = "flags")]
+    fn py_flags(&self) -> u8 {
+        self.flags
+    }
+
+    #[getter]
+    #[pyo3(name = "sequence")]
+    fn py_sequence(&self) -> u64 {
+        self.sequence
+    }
+
+    #[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
+    }
+
+    #[staticmethod]
+    #[pyo3(name = "fully_qualified_name")]
+    fn py_fully_qualified_name() -> String {
+        format!("{}:{}", PY_MODULE_MODEL, stringify!(OrderBookDeltas))
+    }
+
+    // /// Creates a `PyCapsule` containing a raw pointer to a `Data::Delta` object.
+    // ///
+    // /// This function takes the current object (assumed to be of a type that can be represented as
+    // /// `Data::Delta`), and encapsulates a raw pointer to it within a `PyCapsule`.
+    // ///
+    // /// # Safety
+    // ///
+    // /// This function is safe as long as the following conditions are met:
+    // /// - The `Data::Delta` object pointed to by the capsule must remain valid for the lifetime of the capsule.
+    // /// - The consumer of the capsule must ensure proper handling to avoid dereferencing a dangling pointer.
+    // ///
+    // /// # Panics
+    // ///
+    // /// The function will panic if the `PyCapsule` creation fails, which can occur if the
+    // /// `Data::Delta` object cannot be converted into a raw pointer.
+    // ///
+    // #[pyo3(name = "as_pycapsule")]
+    // fn py_as_pycapsule(&self, py: Python<'_>) -> PyObject {
+    //     data_to_pycapsule(py, Data::Delta(*self))
+    // }
+
+    // TODO: Implement `Serializable` and the other methods can be added
+}

nautilus_core/model/src/python/data/mod.rs

@@ -15,6 +15,7 @@
 
 pub mod bar;
 pub mod delta;
+pub mod deltas;
 pub mod depth;
 pub mod order;
 pub mod quote;