Refine AssetClass and InstrumentClass enums

RELEASES.md

@@ -4,13 +4,18 @@ Released on TBD (UTC).
 
 ### Enhancements
 - Added `NautilusConfig.json_primitives` to convert object to Python dictionary with JSON primitive values
+- Added `InstrumentClass.BOND`
 - Improved Interactive Brokers adapter raising docker `RuntimeError` only when needed (not when using TWS), thanks @rsmb7z
 
 ### Breaking Changes
 - Changed `ComponentStateChanged` Arrow schema for `config` from `string` to `binary`
 - Changed `OrderInitialized` Arrow schema for `options` from `string` to `binary`
 - Renamed `AssetType` enum to `InstrumentClass` (more conventional terminology)
 - Renamed `asset_type` to `instrument_class` across the codebase (more conventional terminology)
+- Renamed `AssetClass.BOND` to `AssetClass.DEBT` (more conventional terminology)
+- Removed `AssetClass.METAL` (not strictly an asset class, more a futures category)
+- Removed `AssetClass.ENERGY` (not strictly an asset class, more a futures category)
+- Moved `AssetClass.SPORTS_BETTING` to `InstrumentClass.SPORTS_BETTING`
 
 ### Fixes
 - Fixed handling of configuration objects to work with `StreamingFeatherWriter`

nautilus_core/adapters/src/databento/parsing.rs

@@ -90,7 +90,7 @@ pub fn parse_cfi_iso10926(value: &str) -> Result<(Option<AssetClass>, Option<Ins
     // let cfi_attribute4 = value[5];
 
     let mut asset_class = match cfi_category {
-        'D' => Some(AssetClass::Bond),
+        'D' => Some(AssetClass::Debt),
         'E' => Some(AssetClass::Equity),
         'S' => None,
         _ => None,

nautilus_core/model/src/enums.rs

@@ -167,31 +167,26 @@ impl FromU8 for AggressorSide {
 #[allow(non_camel_case_types)]
 pub enum AssetClass {
     /// Foreign exchange (FOREX) assets.
+    #[pyo3(name = "FX")]
     FX = 1,
     /// Equity / stock assets.
     #[pyo3(name = "EQUITY")]
     Equity = 2,
     /// Commodity assets.
     #[pyo3(name = "COMMODITY")]
     Commodity = 3,
-    /// Metal commodity assets.
-    #[pyo3(name = "METAL")]
-    Metal = 4,
-    /// Energy commodity assets.
-    #[pyo3(name = "ENERGY")]
-    Energy = 5,
-    /// Fixed income bond assets.
-    #[pyo3(name = "BOND")]
-    Bond = 6,
-    /// Index based assets.
+    /// Debt based assets.
+    #[pyo3(name = "DEBT")]
+    Debt = 4,
+    /// Index based assets (baskets).
     #[pyo3(name = "INDEX")]
-    Index = 7,
+    Index = 5,
     /// Cryptocurrency or crypto token assets.
-    #[pyo3(name = "CRYPTO_CURRENCY")]
-    Cryptocurrency = 8,
-    /// Sports betting instruments.
-    #[pyo3(name = "SPORTS_BETTING")]
-    SportsBetting = 9,
+    #[pyo3(name = "CRYPTOCURRENCY")]
+    Cryptocurrency = 6,
+    /// Alternative assets.
+    #[pyo3(name = "ALTERNATIVE")]
+    Alternative = 7,
 }
 
 /// The asset type for a financial market product.
@@ -233,12 +228,18 @@ pub enum InstrumentClass {
     /// A contract-for-difference (CFD) instrument class. A contract between an investor and a CFD broker to exchange the difference in the value of a financial product between the time the contract opens and closes.
     #[pyo3(name = "CFD")]
     Cfd = 5,
+    /// A bond instrument class. A type of debt investment where an investor loans money to an entity (typically corporate or governmental) which borrows the funds for a defined period of time at a variable or fixed interest rate.
+    #[pyo3(name = "BOND")]
+    Bond = 6,
     /// An options contract instrument class. A type of derivative that gives the holder the right, but not the obligation, to buy or sell an underlying asset at a predetermined price before or at a certain future date.
     #[pyo3(name = "OPTION")]
-    Option = 6,
+    Option = 7,
     /// A warrant instrument class. A derivative that gives the holder the right, but not the obligation, to buy or sell a security—most commonly an equity—at a certain price before expiration.
     #[pyo3(name = "WARRANT")]
-    Warrant = 7,
+    Warrant = 8,
+    /// A warrant instrument class. A derivative that gives the holder the right, but not the obligation, to buy or sell a security—most commonly an equity—at a certain price before expiration.
+    #[pyo3(name = "SPORTS_BETTING")]
+    SportsBetting = 9,
 }
 
 /// The aggregation method through which a bar is generated and closed.

nautilus_trader/adapters/databento/parsing.py

@@ -115,7 +115,7 @@ def parse_cfi_iso10926(value: str) -> tuple[AssetClass | None, InstrumentClass |
 
     match cfi_category:
         case "D":
-            asset_class = AssetClass.BOND
+            asset_class = AssetClass.DEBT
         case "E":
             asset_class = AssetClass.EQUITY
         case "S":

nautilus_trader/adapters/interactive_brokers/parsing/instruments.py

@@ -114,7 +114,7 @@ def sec_type_to_asset_class(sec_type: str) -> AssetClass:
         "STK": "EQUITY",
         "IND": "INDEX",
         "CASH": "FX",
-        "BOND": "BOND",
+        "BOND": "DEBT",
     }
     return asset_class_from_str(mapping.get(sec_type, sec_type))
 

nautilus_trader/core/includes/model.h

@@ -88,29 +88,21 @@ typedef enum AssetClass {
      */
     COMMODITY = 3,
     /**
-     * Metal commodity assets.
+     * Debt based assets.
      */
-    METAL = 4,
+    DEBT = 4,
     /**
-     * Energy commodity assets.
+     * Index based assets (baskets).
      */
-    ENERGY = 5,
-    /**
-     * Fixed income bond assets.
-     */
-    BOND = 6,
-    /**
-     * Index based assets.
-     */
-    INDEX = 7,
+    INDEX = 5,
     /**
      * Cryptocurrency or crypto token assets.
      */
-    CRYPTOCURRENCY = 8,
+    CRYPTOCURRENCY = 6,
     /**
-     * Sports betting instruments.
+     * Alternative assets.
      */
-    SPORTS_BETTING = 9,
+    ALTERNATIVE = 7,
 } AssetClass;
 
 /**
@@ -237,14 +229,22 @@ typedef enum InstrumentClass {
      * A contract-for-difference (CFD) instrument class. A contract between an investor and a CFD broker to exchange the difference in the value of a financial product between the time the contract opens and closes.
      */
     CFD = 5,
+    /**
+     * A bond instrument class. A type of debt investment where an investor loans money to an entity (typically corporate or governmental) which borrows the funds for a defined period of time at a variable or fixed interest rate.
+     */
+    BOND = 6,
     /**
      * An options contract instrument class. A type of derivative that gives the holder the right, but not the obligation, to buy or sell an underlying asset at a predetermined price before or at a certain future date.
      */
-    OPTION = 6,
+    OPTION = 7,
+    /**
+     * A warrant instrument class. A derivative that gives the holder the right, but not the obligation, to buy or sell a security—most commonly an equity—at a certain price before expiration.
+     */
+    WARRANT = 8,
     /**
      * A warrant instrument class. A derivative that gives the holder the right, but not the obligation, to buy or sell a security—most commonly an equity—at a certain price before expiration.
      */
-    WARRANT = 7,
+    SPORTS_BETTING = 9,
 } InstrumentClass;
 
 /**

nautilus_trader/core/nautilus_pyo3.pyi

@@ -314,21 +314,21 @@ class AggressorSide(Enum):
 class AssetClass(Enum):
     EQUITY = "EQUITY"
     COMMODITY = "COMMODITY"
-    METAL = "METAL"
-    ENERGY = "ENERGY"
-    BOND = "BOND"
+    DEBT = "DEBT"
     INDEX = "INDEX"
-    CRYPTO_CURRENCY = "CRYPTO_CURRENCY"
-    SPORTS_BETTING = "SPORTS_BETTING"
+    CRYPTOCURRENCY = "CRYPTOCURRENCY"
+    ALTERNATIVE = "ALTERNATIVE"
 
 class InstrumentClass(Enum):
     SPOT = "SPOT"
     SWAP = "SWAP"
     FUTURE = "FUTURE"
     FORWARD = "FORWARD"
     CFD = "CFD"
+    BOND = "BOND"
     OPTION = "OPTION"
     WARRANT = "WARRANT"
+    SPORTS_BETTING = "SPORTS_BETTING"
 
 class BarAggregation(Enum):
     TICK = "TICK"

nautilus_trader/core/rust/model.pxd

@@ -54,18 +54,14 @@ cdef extern from "../includes/model.h":
         EQUITY # = 2,
         # Commodity assets.
         COMMODITY # = 3,
-        # Metal commodity assets.
-        METAL # = 4,
-        # Energy commodity assets.
-        ENERGY # = 5,
-        # Fixed income bond assets.
-        BOND # = 6,
-        # Index based assets.
-        INDEX # = 7,
+        # Debt based assets.
+        DEBT # = 4,
+        # Index based assets (baskets).
+        INDEX # = 5,
         # Cryptocurrency or crypto token assets.
-        CRYPTOCURRENCY # = 8,
-        # Sports betting instruments.
-        SPORTS_BETTING # = 9,
+        CRYPTOCURRENCY # = 6,
+        # Alternative assets.
+        ALTERNATIVE # = 7,
 
     # The type of order book action for an order book event.
     cpdef enum BookAction:
@@ -130,10 +126,14 @@ cdef extern from "../includes/model.h":
         FORWARD # = 4,
         # A contract-for-difference (CFD) instrument class. A contract between an investor and a CFD broker to exchange the difference in the value of a financial product between the time the contract opens and closes.
         CFD # = 5,
+        # A bond instrument class. A type of debt investment where an investor loans money to an entity (typically corporate or governmental) which borrows the funds for a defined period of time at a variable or fixed interest rate.
+        BOND # = 6,
         # An options contract instrument class. A type of derivative that gives the holder the right, but not the obligation, to buy or sell an underlying asset at a predetermined price before or at a certain future date.
-        OPTION # = 6,
+        OPTION # = 7,
         # A warrant instrument class. A derivative that gives the holder the right, but not the obligation, to buy or sell a security—most commonly an equity—at a certain price before expiration.
-        WARRANT # = 7,
+        WARRANT # = 8,
+        # A warrant instrument class. A derivative that gives the holder the right, but not the obligation, to buy or sell a security—most commonly an equity—at a certain price before expiration.
+        SPORTS_BETTING # = 9,
 
     # The type of event for an instrument close.
     cpdef enum InstrumentCloseType:

nautilus_trader/model/instruments/betting.pyx

@@ -101,8 +101,8 @@ cdef class BettingInstrument(Instrument):
         super().__init__(
             instrument_id=InstrumentId(symbol=symbol, venue=Venue(venue_name)),
             raw_symbol=symbol,
-            asset_class=AssetClass.SPORTS_BETTING,
-            instrument_class=InstrumentClass.SPOT,
+            asset_class=AssetClass.ALTERNATIVE,
+            instrument_class=InstrumentClass.SPORTS_BETTING,
             quote_currency=Currency.from_str_c(currency),
             is_inverse=False,
             size_precision=4,

tests/unit_tests/model/test_enums.py

@@ -196,12 +196,10 @@ class TestAssetClass:
             [AssetClass.FX, "FX"],
             [AssetClass.EQUITY, "EQUITY"],
             [AssetClass.COMMODITY, "COMMODITY"],
-            [AssetClass.METAL, "METAL"],
-            [AssetClass.ENERGY, "ENERGY"],
-            [AssetClass.BOND, "BOND"],
+            [AssetClass.DEBT, "DEBT"],
             [AssetClass.INDEX, "INDEX"],
             [AssetClass.CRYPTOCURRENCY, "CRYPTOCURRENCY"],
-            [AssetClass.SPORTS_BETTING, "SPORTS_BETTING"],
+            [AssetClass.ALTERNATIVE, "ALTERNATIVE"],
         ],
     )
     def test_asset_class_to_str(self, enum, expected):
@@ -217,12 +215,10 @@ def test_asset_class_to_str(self, enum, expected):
             ["FX", AssetClass.FX],
             ["EQUITY", AssetClass.EQUITY],
             ["COMMODITY", AssetClass.COMMODITY],
-            ["METAL", AssetClass.METAL],
-            ["ENERGY", AssetClass.ENERGY],
-            ["BOND", AssetClass.BOND],
+            ["DEBT", AssetClass.DEBT],
             ["INDEX", AssetClass.INDEX],
             ["CRYPTOCURRENCY", AssetClass.CRYPTOCURRENCY],
-            ["SPORTS_BETTING", AssetClass.SPORTS_BETTING],
+            ["ALTERNATIVE", AssetClass.ALTERNATIVE],
         ],
     )
     def test_asset_class_from_str(self, string, expected):
@@ -242,8 +238,10 @@ class TestInstrumentClass:
             [InstrumentClass.FUTURE, "FUTURE"],
             [InstrumentClass.FORWARD, "FORWARD"],
             [InstrumentClass.CFD, "CFD"],
+            [InstrumentClass.BOND, "BOND"],
             [InstrumentClass.OPTION, "OPTION"],
             [InstrumentClass.WARRANT, "WARRANT"],
+            [InstrumentClass.SPORTS_BETTING, "SPORTS_BETTING"],
         ],
     )
     def test_instrument_class_to_str(self, enum, expected):
@@ -261,8 +259,10 @@ def test_instrument_class_to_str(self, enum, expected):
             ["FUTURE", InstrumentClass.FUTURE],
             ["FORWARD", InstrumentClass.FORWARD],
             ["CFD", InstrumentClass.CFD],
+            ["BOND", InstrumentClass.BOND],
             ["OPTION", InstrumentClass.OPTION],
             ["WARRANT", InstrumentClass.WARRANT],
+            ["SPORTS_BETTING", InstrumentClass.SPORTS_BETTING],
         ],
     )
     def test_instrument_class_from_str(self, string, expected):