Refine OrderBookDeltas implementation

nautilus_core/model/src/data/deltas.rs

@@ -13,7 +13,10 @@
 //  limitations under the License.
 // -------------------------------------------------------------------------------------------------
 
-use std::fmt::{Display, Formatter};
+use std::{
+    fmt::{Display, Formatter},
+    hash::{Hash, Hasher},
+};
 
 use nautilus_core::time::UnixNanos;
 use pyo3::prelude::*;
@@ -66,6 +69,21 @@ impl OrderBookDeltas {
     }
 }
 
+impl PartialEq<Self> for OrderBookDeltas {
+    fn eq(&self, other: &Self) -> bool {
+        self.instrument_id == other.instrument_id && self.sequence == other.sequence
+    }
+}
+
+impl Eq for OrderBookDeltas {}
+
+impl Hash for OrderBookDeltas {
+    fn hash<H: Hasher>(&self, state: &mut H) {
+        self.instrument_id.hash(state);
+        self.sequence.hash(state);
+    }
+}
+
 // TODO: Implement
 // impl Serializable for OrderBookDeltas {}
 

nautilus_core/model/src/data/mod.rs

@@ -23,6 +23,8 @@ pub mod trade;
 
 use nautilus_core::time::UnixNanos;
 
+use crate::ffi::data::deltas::OrderBookDeltas_API;
+
 use self::{
     bar::Bar, delta::OrderBookDelta, deltas::OrderBookDeltas, depth::OrderBookDepth10,
     quote::QuoteTick, trade::TradeTick,
@@ -33,6 +35,7 @@ use self::{
 #[allow(clippy::large_enum_variant)] // TODO: Optimize this (largest variant 1008 vs 136 bytes)
 pub enum Data {
     Delta(OrderBookDelta),
+    Deltas(OrderBookDeltas_API),
     Depth10(OrderBookDepth10),
     Quote(QuoteTick),
     Trade(TradeTick),
@@ -47,6 +50,7 @@ impl HasTsInit for Data {
     fn get_ts_init(&self) -> UnixNanos {
         match self {
             Data::Delta(d) => d.ts_init,
+            Data::Deltas(d) => d.ts_init,
             Data::Depth10(d) => d.ts_init,
             Data::Quote(q) => q.ts_init,
             Data::Trade(t) => t.ts_init,
@@ -61,13 +65,13 @@ impl HasTsInit for OrderBookDelta {
     }
 }
 
-impl HasTsInit for OrderBookDepth10 {
+impl HasTsInit for OrderBookDeltas {
     fn get_ts_init(&self) -> UnixNanos {
         self.ts_init
     }
 }
 
-impl HasTsInit for OrderBookDeltas {
+impl HasTsInit for OrderBookDepth10 {
     fn get_ts_init(&self) -> UnixNanos {
         self.ts_init
     }
@@ -102,6 +106,12 @@ impl From<OrderBookDelta> for Data {
     }
 }
 
+impl From<OrderBookDeltas_API> for Data {
+    fn from(value: OrderBookDeltas_API) -> Self {
+        Self::Deltas(value)
+    }
+}
+
 impl From<OrderBookDepth10> for Data {
     fn from(value: OrderBookDepth10) -> Self {
         Self::Depth10(value)

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

@@ -32,6 +32,7 @@ use crate::{
 /// dereferenced to `OrderBookDeltas`, providing access to `OrderBookDeltas`'s methods without
 /// having to manually access the underlying `OrderBookDeltas` instance.
 #[repr(C)]
+#[derive(Debug, Clone)]
 #[allow(non_camel_case_types)]
 pub struct OrderBookDeltas_API(Box<OrderBookDeltas>);
 

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

@@ -13,13 +13,10 @@
 //  limitations under the License.
 // -------------------------------------------------------------------------------------------------
 
-// use std::{
-//     collections::{hash_map::DefaultHasher, HashMap},
-//     hash::{Hash, Hasher},
-// };
+use std::hash::{DefaultHasher, Hash, Hasher};
 
 use nautilus_core::time::UnixNanos;
-use pyo3::prelude::*;
+use pyo3::{prelude::*, pyclass::CompareOp};
 
 use crate::{
     data::{delta::OrderBookDelta, deltas::OrderBookDeltas},
@@ -34,21 +31,19 @@ impl OrderBookDeltas {
         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(),
-    //     }
-    // }
+    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 __hash__(&self) -> isize {
+        let mut h = DefaultHasher::new();
+        self.hash(&mut h);
+        h.finish() as isize
+    }
 
     fn __str__(&self) -> String {
         self.to_string()

nautilus_trader/core/includes/model.h

@@ -780,6 +780,20 @@ typedef struct OrderBookDelta_t {
     uint64_t ts_init;
 } OrderBookDelta_t;
 
+/**
+ * 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.
+ */
+typedef struct OrderBookDeltas_API {
+    struct OrderBookDeltas_t *_0;
+} OrderBookDeltas_API;
+
 /**
  * Represents a self-contained order book update with a fixed depth of 10 levels per side.
  *
@@ -991,6 +1005,7 @@ typedef struct Bar_t {
 
 typedef enum Data_t_Tag {
     DELTA,
+    DELTAS,
     DEPTH10,
     QUOTE,
     TRADE,
@@ -1003,6 +1018,9 @@ typedef struct Data_t {
         struct {
             struct OrderBookDelta_t delta;
         };
+        struct {
+            struct OrderBookDeltas_API deltas;
+        };
         struct {
             struct OrderBookDepth10_t depth10;
         };
@@ -1018,20 +1036,6 @@ typedef struct Data_t {
     };
 } Data_t;
 
-/**
- * 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.
- */
-typedef struct OrderBookDeltas_API {
-    struct OrderBookDeltas_t *_0;
-} OrderBookDeltas_API;
-
 /**
  * Represents a valid trader ID.
  *

nautilus_trader/core/nautilus_pyo3.pyi

@@ -496,6 +496,25 @@ class OrderBookDelta:
     @staticmethod
     def get_fields() -> dict[str, str]: ...
 
+class OrderBookDeltas:
+    def __init__(
+        self,
+        instrument_id: InstrumentId,
+        deltas: list[OrderBookDelta],
+    ) -> None: ...
+    @property
+    def instrument_id(self) -> InstrumentId: ...
+    @property
+    def deltas(self) -> list[OrderBookDelta]: ...
+    @property
+    def flags(self) -> int: ...
+    @property
+    def sequence(self) -> int: ...
+    @property
+    def ts_event(self) -> int: ...
+    @property
+    def ts_init(self) -> int: ...
+
 class OrderBookDepth10:
     def __init__(
         self,

nautilus_trader/core/rust/model.pxd

@@ -425,6 +425,17 @@ cdef extern from "../includes/model.h":
         # The UNIX timestamp (nanoseconds) when the data object was initialized.
         uint64_t ts_init;
 
+    # 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.
+    cdef struct OrderBookDeltas_API:
+        OrderBookDeltas_t *_0;
+
     # Represents a self-contained order book update with a fixed depth of 10 levels per side.
     #
     # This struct is specifically designed for scenarios where a snapshot of the top 10 bid and
@@ -539,6 +550,7 @@ cdef extern from "../includes/model.h":
 
     cpdef enum Data_t_Tag:
         DELTA,
+        DELTAS,
         DEPTH10,
         QUOTE,
         TRADE,
@@ -547,22 +559,12 @@ cdef extern from "../includes/model.h":
     cdef struct Data_t:
         Data_t_Tag tag;
         OrderBookDelta_t delta;
+        OrderBookDeltas_API deltas;
         OrderBookDepth10_t depth10;
         QuoteTick_t quote;
         TradeTick_t trade;
         Bar_t bar;
 
-    # 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.
-    cdef struct OrderBookDeltas_API:
-        OrderBookDeltas_t *_0;
-
     # Represents a valid trader ID.
     #
     # Must be correctly formatted with two valid strings either side of a hyphen.

nautilus_trader/model/data.pyx

@@ -2243,7 +2243,7 @@ cdef class OrderBookDeltas(Data):
     @property
     def flags(self) -> uint8_t:
         """
-        Return the flags for the delta.
+        Return the flags for the last delta.
 
         Returns
         -------
@@ -2255,7 +2255,7 @@ cdef class OrderBookDeltas(Data):
     @property
     def sequence(self) -> uint64_t:
         """
-        Return the sequence number for the delta.
+        Return the sequence number for the last delta.
 
         Returns
         -------