Add OrderBookDeltas to_pyo3 conversion

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

@@ -16,13 +16,15 @@
 use std::{
     collections::hash_map::DefaultHasher,
     hash::{Hash, Hasher},
+    ops::Deref,
 };
 
 use nautilus_core::time::UnixNanos;
-use pyo3::{prelude::*, pyclass::CompareOp};
+use pyo3::{prelude::*, pyclass::CompareOp, types::PyCapsule};
 
 use crate::{
     data::{delta::OrderBookDelta, deltas::OrderBookDeltas},
+    ffi::data::deltas::OrderBookDeltas_API,
     identifiers::instrument_id::InstrumentId,
     python::common::PY_MODULE_MODEL,
 };
@@ -99,6 +101,17 @@ impl OrderBookDeltas {
         format!("{}:{}", PY_MODULE_MODEL, stringify!(OrderBookDeltas))
     }
 
+    #[staticmethod]
+    #[pyo3(name = "from_pycapsule")]
+    pub fn py_from_pycapsule(capsule: &PyAny) -> OrderBookDeltas {
+        let capsule: &PyCapsule = capsule
+            .downcast()
+            .expect("Error on downcast to `&PyCapsule`");
+        let data: &OrderBookDeltas_API =
+            unsafe { &*(capsule.pointer() as *const OrderBookDeltas_API) };
+        data.deref().clone()
+    }
+
     // /// 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

nautilus_trader/common/actor.pxd

@@ -51,13 +51,14 @@ from nautilus_trader.portfolio.base cimport PortfolioFacade
 
 cdef class Actor(Component):
     cdef object _executor
-    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 set[type] _warning_events
+    cdef dict[str, type] _signal_classes
+    cdef dict[UUID4, object] _pending_requests
+    cdef list[Indicator] _indicators
+    cdef dict[InstrumentId, list[Indicator]] _indicators_for_quotes
+    cdef dict[InstrumentId, list[Indicator]] _indicators_for_trades
+    cdef dict[BarType, list[Indicator]] _indicators_for_bars
+    cdef set[type] _pyo3_conversion_types
 
     cdef readonly PortfolioFacade portfolio
     """The read-only portfolio for the actor.\n\n:returns: `PortfolioFacade`"""
@@ -89,7 +90,7 @@ cdef class Actor(Component):
     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_deltas(self, deltas)
     cpdef void on_order_book(self, OrderBook order_book)
     cpdef void on_quote_tick(self, QuoteTick tick)
     cpdef void on_trade_tick(self, TradeTick tick)
@@ -144,6 +145,7 @@ cdef class Actor(Component):
         dict kwargs=*,
         ClientId client_id=*,
         bint managed=*,
+        bint pyo3_conversion=*,
     )
     cpdef void subscribe_order_book_snapshots(
         self,
@@ -231,7 +233,7 @@ cdef class Actor(Component):
     cpdef void handle_instrument(self, Instrument instrument)
     cpdef void handle_instruments(self, list instruments)
     cpdef void handle_order_book(self, OrderBook order_book)
-    cpdef void handle_order_book_deltas(self, OrderBookDeltas deltas)
+    cpdef void handle_order_book_deltas(self, deltas)
     cpdef void handle_quote_tick(self, QuoteTick tick)
     cpdef void handle_quote_ticks(self, list ticks)
     cpdef void handle_trade_tick(self, TradeTick tick)

nautilus_trader/common/actor.pyx

@@ -125,6 +125,8 @@ cdef class Actor(Component):
         self._indicators_for_trades: dict[InstrumentId, list[Indicator]] = {}
         self._indicators_for_bars: dict[BarType, list[Indicator]] = {}
 
+        self._pyo3_conversion_types = set()
+
         # Configuration
         self.config = config
 
@@ -382,13 +384,13 @@ cdef class Actor(Component):
         """
         # Optionally override in subclass
 
-    cpdef void on_order_book_deltas(self, OrderBookDeltas deltas):
+    cpdef void on_order_book_deltas(self, deltas):
         """
         Actions to be performed when running and receives order book deltas.
 
         Parameters
         ----------
-        deltas : OrderBookDeltas
+        deltas : OrderBookDeltas or nautilus_pyo3.OrderBookDeltas
             The order book deltas received.
 
         Warnings
@@ -1185,6 +1187,7 @@ cdef class Actor(Component):
         dict kwargs = None,
         ClientId client_id = None,
         bint managed = True,
+        bint pyo3_conversion = False,
     ):
         """
         Subscribe to the order book data stream, being a snapshot then deltas
@@ -1205,11 +1208,17 @@ cdef class Actor(Component):
             If ``None`` then will be inferred from the venue in the instrument ID.
         managed : bool, default True
             If an order book should be managed by the data engine based on the subscribed feed.
+        pyo3_conversion : bool, default False
+            If received deltas should be converted to `nautilus_pyo3.OrderBookDeltas`
+            prior to being passed to the `on_order_book_deltas` handler.
 
         """
         Condition.not_none(instrument_id, "instrument_id")
         Condition.true(self.trader_id is not None, "The actor has not been registered")
 
+        if pyo3_conversion:
+            self._pyo3_conversion_types.add(OrderBookDeltas)
+
         self._msgbus.subscribe(
             topic=f"data.book.deltas"
                   f".{instrument_id.venue}"
@@ -2396,15 +2405,17 @@ cdef class Actor(Component):
         for i in range(length):
             self.handle_instrument(instruments[i])
 
-    cpdef void handle_order_book_deltas(self, OrderBookDeltas deltas):
+    cpdef void handle_order_book_deltas(self, deltas):
         """
         Handle the given order book deltas.
 
-        Passes to `on_order_book_delta` if state is ``RUNNING``.
+        Passes to `on_order_book_deltas` if state is ``RUNNING``.
+        The `deltas` will be `nautilus_pyo3.OrderBookDeltas` if the
+        pyo3_conversion flag was set for the subscription.
 
         Parameters
         ----------
-        deltas : OrderBookDeltas
+        deltas : OrderBookDeltas or nautilus_pyo3.OrderBookDeltas
             The order book deltas received.
 
         Warnings
@@ -2414,6 +2425,9 @@ cdef class Actor(Component):
         """
         Condition.not_none(deltas, "deltas")
 
+        if OrderBookDeltas in self._pyo3_conversion_types:
+            deltas = deltas.to_pyo3()
+
         if self._fsm.state == ComponentState.RUNNING:
             try:
                 self.on_order_book_deltas(deltas)

nautilus_trader/examples/strategies/orderbook_imbalance_rust.py

@@ -24,8 +24,6 @@
 from nautilus_trader.core.nautilus_pyo3 import OrderBookMbp
 from nautilus_trader.core.rust.common import LogColor
 from nautilus_trader.model.book import OrderBook
-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.enums import BookType
 from nautilus_trader.model.enums import OrderSide
@@ -138,18 +136,16 @@ def on_start(self) -> None:
                 self.instrument.id,
                 self.book_type,
                 managed=False,  # <-- Manually applying deltas to book
+                pyo3_conversion=True,  # <--- Will automatically convert to pyo3 objects
             )
 
         self._last_trigger_timestamp = self.clock.utc_now()
 
-    def on_order_book_deltas(self, deltas: OrderBookDeltas) -> None:
+    def on_order_book_deltas(self, pyo3_deltas: nautilus_pyo3.OrderBookDeltas) -> None:
         """
         Actions to be performed when order book deltas are received.
         """
-        # Convert to pyo3 objects (the efficiency of this can improve)
-        pyo3_deltas = OrderBookDelta.to_pyo3_list(deltas.deltas)
-        for pyo3_delta in pyo3_deltas:
-            self.book.apply_delta(pyo3_delta)
+        self.book.apply_deltas(pyo3_deltas)
         self.imbalance.handle_book_mbp(self.book)
         self.check_trigger()
 

nautilus_trader/model/data.pxd

@@ -52,7 +52,7 @@ cpdef list capsule_to_list(capsule)
 cpdef Data capsule_to_data(capsule)
 
 cdef inline void capsule_destructor(object capsule):
-    cdef CVec* cvec = <CVec*>PyCapsule_GetPointer(capsule, NULL)
+    cdef CVec *cvec = <CVec *>PyCapsule_GetPointer(capsule, NULL)
     PyMem_Free(cvec[0].ptr) # de-allocate buffer
     PyMem_Free(cvec) # de-allocate cvec
 
@@ -244,6 +244,8 @@ cdef class OrderBookDeltas(Data):
     @staticmethod
     cdef dict to_dict_c(OrderBookDeltas obj)
 
+    cpdef to_pyo3(self)
+
 
 cdef class OrderBookDepth10(Data):
     cdef OrderBookDepth10_t _mem