Refine OptionsContract and pyo3 conversions

RELEASES.md

@@ -6,7 +6,8 @@ Released on TBD (UTC).
 None
 
 ### Breaking Changes
-None
+- Renamed `OptionKind` `kind` parameter and property to `option_kind` (better clarity)
+- Renamed `OptionsContract` Arrow schema field `kind` to `option_kind`
 
 ### Fixes
 - Fixed `LoggingConfig` parsing of `WARNING` log level (was not being recognized), thanks for reporting @davidsblom

nautilus_trader/adapters/interactive_brokers/parsing/instruments.py

@@ -208,7 +208,7 @@ def parse_options_contract(
     timestamp = time.time_ns()
     instrument_id = ib_contract_to_instrument_id(details.contract)
     asset_class = sec_type_to_asset_class(details.underSecType)
-    kind = {
+    option_kind = {
         "C": OptionKind.CALL,
         "P": OptionKind.PUT,
     }[details.contract.right]
@@ -232,7 +232,7 @@ def parse_options_contract(
         strike_price=Price(details.contract.strike, price_precision),
         activation_ns=activation.value,
         expiration_ns=expiration.value,
-        kind=kind,
+        option_kind=option_kind,
         ts_event=timestamp,
         ts_init=timestamp,
         info=contract_details_to_dict(details),

nautilus_trader/model/instruments/options_contract.pxd

@@ -23,8 +23,8 @@ from nautilus_trader.model.objects cimport Price
 cdef class OptionsContract(Instrument):
     cdef readonly str underlying
     """The underlying asset for the contract.\n\n:returns: `str`"""
-    cdef readonly OptionKind kind
-    """The options kind (PUT | CALL) for the contract.\n\n:returns: `OptionKind`"""
+    cdef readonly OptionKind option_kind
+    """The option kind (PUT | CALL) for the contract.\n\n:returns: `OptionKind`"""
     cdef readonly uint64_t activation_ns
     """The UNIX timestamp (nanoseconds) for contract activation.\n\n:returns: `unit64_t`"""
     cdef readonly uint64_t expiration_ns

nautilus_trader/model/instruments/options_contract.pyx

@@ -60,6 +60,8 @@ cdef class OptionsContract(Instrument):
         The rounded lot unit size (standard/board).
     underlying : str
         The underlying asset.
+    option_kind : OptionKind
+        The kind of option (PUT | CALL).
     strike_price : Price
         The option strike price.
     activation_ns : uint64_t
@@ -96,7 +98,7 @@ cdef class OptionsContract(Instrument):
         Quantity multiplier not None,
         Quantity lot_size not None,
         str underlying,
-        OptionKind kind,
+        OptionKind option_kind,
         uint64_t activation_ns,
         uint64_t expiration_ns,
         Price strike_price not None,
@@ -133,7 +135,7 @@ cdef class OptionsContract(Instrument):
             info=info,
         )
         self.underlying = underlying
-        self.kind = kind
+        self.option_kind = option_kind
         self.activation_ns = activation_ns
         self.expiration_ns = expiration_ns
         self.strike_price = strike_price
@@ -177,7 +179,7 @@ cdef class OptionsContract(Instrument):
             multiplier=Quantity.from_str(values["multiplier"]),
             lot_size=Quantity.from_str(values["lot_size"]),
             underlying=values["underlying"],
-            kind=option_kind_from_str(values["kind"]),
+            option_kind=option_kind_from_str(values["option_kind"]),
             activation_ns=values["activation_ns"],
             expiration_ns=values["expiration_ns"],
             strike_price=Price.from_str(values["strike_price"]),
@@ -201,7 +203,7 @@ cdef class OptionsContract(Instrument):
             "multiplier": str(obj.multiplier),
             "lot_size": str(obj.lot_size),
             "underlying": str(obj.underlying),
-            "kind": option_kind_to_str(obj.kind),
+            "option_kind": option_kind_to_str(obj.option_kind),
             "activation_ns": obj.activation_ns,
             "expiration_ns": obj.expiration_ns,
             "strike_price": str(obj.strike_price),

nautilus_trader/serialization/arrow/implementations/instruments.py

@@ -186,7 +186,7 @@
             "activation_ns": pa.uint64(),
             "expiration_ns": pa.uint64(),
             "strike_price": pa.dictionary(pa.int64(), pa.string()),
-            "kind": pa.dictionary(pa.int8(), pa.string()),
+            "option_kind": pa.dictionary(pa.int8(), pa.string()),
             "ts_event": pa.uint64(),
             "ts_init": pa.uint64(),
         },

nautilus_trader/test_kit/providers.py

@@ -531,7 +531,7 @@ def aapl_option() -> OptionsContract:
             multiplier=Quantity.from_int(100),
             lot_size=Quantity.from_int(1),
             underlying="AAPL",
-            kind=OptionKind.CALL,
+            option_kind=OptionKind.CALL,
             strike_price=Price.from_str("149.00"),
             activation_ns=pd.Timestamp("2021-9-17", tz=pytz.utc).value,
             expiration_ns=pd.Timestamp("2021-12-17", tz=pytz.utc).value,

nautilus_trader/test_kit/rust/instruments_pyo3.py

@@ -181,7 +181,8 @@ def aapl_option(
             currency=USDT,
             price_precision=2,
             price_increment=Price.from_str("0.01"),
-            lot_size=Quantity.from_str("1.0"),
+            multiplier=Quantity.from_int(1),
+            lot_size=Quantity.from_int(1),
             max_quantity=None,
             min_quantity=None,
             max_price=None,
@@ -227,8 +228,8 @@ def futures_contract_es(
             currency=USD,
             price_precision=2,
             price_increment=Price.from_str("0.01"),
-            multiplier=Quantity.from_str("1.0"),
-            lot_size=Quantity.from_str("1.0"),
+            multiplier=Quantity.from_int(1),
+            lot_size=Quantity.from_int(1),
             max_quantity=None,
             min_quantity=None,
             max_price=None,

tests/integration_tests/adapters/interactive_brokers/test_providers.py

@@ -110,7 +110,7 @@ async def test_load_options_contract_instrument(mocker, instrument_provider):
     assert option.multiplier == 100
     assert option.expiration_ns == 1674172800000000000
     assert option.strike_price == Price.from_str("100.0")
-    assert option.kind == OptionKind.CALL
+    assert option.option_kind == OptionKind.CALL
     assert option.price_increment == Price.from_str("0.01")
     assert option.price_precision == 2
 

tests/unit_tests/model/instruments/test_equity_pyo3.py

@@ -14,12 +14,17 @@
 # -------------------------------------------------------------------------------------------------
 
 from nautilus_trader.core.nautilus_pyo3 import Equity
+from nautilus_trader.core.nautilus_pyo3 import InstrumentId
 from nautilus_trader.test_kit.rust.instruments_pyo3 import TestInstrumentProviderPyo3
 
 
 _AAPL_EQUITY = TestInstrumentProviderPyo3.aapl_equity()
 
 
+def test_properties():
+    assert _AAPL_EQUITY.id == InstrumentId.from_str("AAPL.XNAS")
+
+
 def test_equality():
     item_1 = TestInstrumentProviderPyo3.aapl_equity()
     item_2 = TestInstrumentProviderPyo3.aapl_equity()
@@ -31,9 +36,9 @@ def test_hash():
 
 
 def test_to_dict():
-    values = _AAPL_EQUITY.to_dict()
-    assert Equity.from_dict(dict) == _AAPL_EQUITY
-    assert values == {
+    result = _AAPL_EQUITY.to_dict()
+    assert Equity.from_dict(result) == _AAPL_EQUITY
+    assert result == {
         "type": "Equity",
         "id": "AAPL.XNAS",
         "raw_symbol": "AAPL",

tests/unit_tests/model/instruments/test_futures_contract_pyo3.py

@@ -44,8 +44,8 @@ def test_to_dict():
         "currency": "USD",
         "price_precision": 2,
         "price_increment": "0.01",
-        "multiplier": "1.0",
-        "lot_size": "1.0",
+        "multiplier": "1",
+        "lot_size": "1",
         "max_price": None,
         "max_quantity": None,
         "min_price": None,

tests/unit_tests/model/instruments/test_options_contract_pyo3.py

@@ -46,7 +46,8 @@ def test_to_dict():
         "currency": "USDT",
         "price_precision": 2,
         "price_increment": "0.01",
-        "lot_size": "1.0",
+        "multiplier": "1",
+        "lot_size": "1",
         "max_quantity": None,
         "min_quantity": None,
         "max_price": None,

tests/unit_tests/model/test_instrument.py

@@ -23,6 +23,7 @@
 from nautilus_trader.model.currencies import USD
 from nautilus_trader.model.currencies import USDT
 from nautilus_trader.model.enums import option_kind_from_str
+from nautilus_trader.model.identifiers import InstrumentId
 from nautilus_trader.model.instruments import CryptoFuture
 from nautilus_trader.model.instruments import CryptoPerpetual
 from nautilus_trader.model.instruments import Equity
@@ -34,6 +35,7 @@
 from nautilus_trader.model.objects import Quantity
 from nautilus_trader.test_kit.providers import TestDataProvider
 from nautilus_trader.test_kit.providers import TestInstrumentProvider
+from nautilus_trader.test_kit.rust.instruments_pyo3 import TestInstrumentProviderPyo3
 
 
 provider = TestDataProvider()
@@ -249,24 +251,24 @@ def test_future_instrument_to_dict(self):
         # Assert
         assert FuturesContract.from_dict(result) == ES_FUTURE
         assert result == {
+            "type": "FuturesContract",
+            "id": "ESZ3.GLBX",
+            "raw_symbol": "ESZ3",
             "asset_class": "INDEX",
+            "underlying": "ES",
             "currency": "USD",
             "activation_ns": 1622842200000000000,
             "expiration_ns": 1702650600000000000,
-            "id": "ESZ3.GLBX",
             "lot_size": "1",
             "margin_init": "0",
             "margin_maint": "0",
             "multiplier": "1",
-            "raw_symbol": "ESZ3",
             "price_increment": "0.25",
             "price_precision": 2,
             "size_increment": "1",
             "size_precision": 0,
             "ts_event": 1622842200000000000,
             "ts_init": 1622842200000000000,
-            "type": "FuturesContract",
-            "underlying": "ES",
         }
 
     def test_option_instrument_to_dict(self):
@@ -276,25 +278,25 @@ def test_option_instrument_to_dict(self):
         # Assert
         assert OptionsContract.from_dict(result) == AAPL_OPTION
         assert result == {
+            "type": "OptionsContract",
+            "id": "AAPL211217C00150000.OPRA",
+            "raw_symbol": "AAPL211217C00150000",
             "asset_class": "EQUITY",
             "currency": "USD",
             "activation_ns": 1631836800000000000,
             "expiration_ns": 1639699200000000000,
-            "id": "AAPL211217C00150000.OPRA",
-            "kind": "CALL",
+            "option_kind": "CALL",
             "lot_size": "1",
             "margin_init": "0",
             "margin_maint": "0",
             "multiplier": "100",
-            "raw_symbol": "AAPL211217C00150000",
             "price_increment": "0.01",
             "price_precision": 2,
             "size_increment": "1",
             "size_precision": 0,
             "strike_price": "149.00",
             "ts_event": 0,
             "ts_init": 0,
-            "type": "OptionsContract",
             "underlying": "AAPL",
         }
 
@@ -447,4 +449,40 @@ def test_next_bid_price(self, instrument, value, n, expected):
 
     def test_option_attributes(self):
         assert AAPL_OPTION.underlying == "AAPL"
-        assert AAPL_OPTION.kind == option_kind_from_str("CALL")
+        assert AAPL_OPTION.option_kind == option_kind_from_str("CALL")
+
+
+def test_pyo3_equity_to_legacy_equity() -> None:
+    # Arrange
+    pyo3_instrument = TestInstrumentProviderPyo3.aapl_equity()
+
+    # Act
+    instrument = Equity.from_dict(pyo3_instrument.to_dict())
+
+    # Assert
+    assert isinstance(instrument, Equity)
+    assert instrument.id == InstrumentId.from_str("AAPL.XNAS")
+
+
+def test_pyo3_future_to_legacy_future() -> None:
+    # Arrange
+    pyo3_instrument = TestInstrumentProviderPyo3.futures_contract_es()
+
+    # Act
+    instrument = FuturesContract.from_dict(pyo3_instrument.to_dict())
+
+    # Assert
+    assert isinstance(instrument, FuturesContract)
+    assert instrument.id == InstrumentId.from_str("ESZ21.CME")
+
+
+def test_pyo3_option_to_legacy_option() -> None:
+    # Arrange
+    pyo3_instrument = TestInstrumentProviderPyo3.aapl_option()
+
+    # Act
+    instrument = OptionsContract.from_dict(pyo3_instrument.to_dict())
+
+    # Assert
+    assert isinstance(instrument, OptionsContract)
+    assert instrument.id == InstrumentId.from_str("AAPL211217C00150000.OPRA")