Refine instruments

RELEASES.md

@@ -15,6 +15,8 @@ Released on TBD (UTC).
 - 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)
+- Removed `multiplier` param from `Equity` constructor (not applicable)
+- Removed `size_precision`, `size_increment`, and `multiplier` fields from `Equity` dictionary representation (not applicable)
 - Moved `AssetClass.SPORTS_BETTING` to `InstrumentClass.SPORTS_BETTING`
 
 ### Fixes

nautilus_core/adapters/src/databento/parsing.rs

@@ -137,7 +137,6 @@ pub fn parse_equity(
         currency,
         currency.precision,
         parse_min_price_increment(record.min_price_increment, currency)?,
-        Quantity::new(1.0, 0)?,
         dec!(0), // TBD
         dec!(0), // TBD
         dec!(0), // TBD

nautilus_core/model/src/instruments/crypto_future.rs

@@ -31,7 +31,7 @@ use crate::{
 };
 
 #[repr(C)]
-#[derive(Clone, Debug, Serialize, Deserialize)]
+#[derive(Clone, Copy, Debug, Serialize, Deserialize)]
 #[cfg_attr(
     feature = "python",
     pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")

nautilus_core/model/src/instruments/crypto_perpetual.rs

@@ -31,7 +31,7 @@ use crate::{
 };
 
 #[repr(C)]
-#[derive(Clone, Debug, Serialize, Deserialize)]
+#[derive(Clone, Copy, Debug, Serialize, Deserialize)]
 #[cfg_attr(
     feature = "python",
     pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")

nautilus_core/model/src/instruments/currency_pair.rs

@@ -31,7 +31,7 @@ use crate::{
 };
 
 #[repr(C)]
-#[derive(Clone, Debug, Serialize, Deserialize)]
+#[derive(Clone, Copy, Debug, Serialize, Deserialize)]
 #[cfg_attr(
     feature = "python",
     pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")

nautilus_core/model/src/instruments/equity.rs

@@ -22,6 +22,7 @@ use nautilus_core::time::UnixNanos;
 use pyo3::prelude::*;
 use rust_decimal::Decimal;
 use serde::{Deserialize, Serialize};
+use ustr::Ustr;
 
 use super::Instrument;
 use crate::{
@@ -31,7 +32,7 @@ use crate::{
 };
 
 #[repr(C)]
-#[derive(Clone, Debug, Serialize, Deserialize)]
+#[derive(Clone, Copy, Debug, Serialize, Deserialize)]
 #[cfg_attr(
     feature = "python",
     pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
@@ -40,11 +41,10 @@ pub struct Equity {
     pub id: InstrumentId,
     pub raw_symbol: Symbol,
     /// The instruments ISIN (International Securities Identification Number).
-    pub isin: Option<String>,
+    pub isin: Option<Ustr>,
     pub currency: Currency,
     pub price_precision: u8,
     pub price_increment: Price,
-    pub multiplier: Quantity,
     pub margin_init: Decimal,
     pub margin_maint: Decimal,
     pub maker_fee: Decimal,
@@ -63,11 +63,10 @@ impl Equity {
     pub fn new(
         id: InstrumentId,
         raw_symbol: Symbol,
-        isin: Option<String>,
+        isin: Option<Ustr>,
         currency: Currency,
         price_precision: u8,
         price_increment: Price,
-        multiplier: Quantity,
         margin_init: Decimal,
         margin_maint: Decimal,
         maker_fee: Decimal,
@@ -87,7 +86,6 @@ impl Equity {
             currency,
             price_precision,
             price_increment,
-            multiplier,
             margin_init,
             margin_maint,
             maker_fee,
@@ -167,7 +165,7 @@ impl Instrument for Equity {
     }
 
     fn multiplier(&self) -> Quantity {
-        self.multiplier
+        Quantity::from(1)
     }
 
     fn lot_size(&self) -> Option<Quantity> {

nautilus_core/model/src/instruments/futures_contract.rs

@@ -22,6 +22,7 @@ use nautilus_core::time::UnixNanos;
 use pyo3::prelude::*;
 use rust_decimal::Decimal;
 use serde::{Deserialize, Serialize};
+use ustr::Ustr;
 
 use super::Instrument;
 use crate::{
@@ -31,7 +32,7 @@ use crate::{
 };
 
 #[repr(C)]
-#[derive(Clone, Debug, Serialize, Deserialize)]
+#[derive(Clone, Copy, Debug, Serialize, Deserialize)]
 #[cfg_attr(
     feature = "python",
     pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
@@ -40,7 +41,7 @@ pub struct FuturesContract {
     pub id: InstrumentId,
     pub raw_symbol: Symbol,
     pub asset_class: AssetClass,
-    pub underlying: String,
+    pub underlying: Ustr,
     pub activation_ns: UnixNanos,
     pub expiration_ns: UnixNanos,
     pub currency: Currency,
@@ -66,7 +67,7 @@ impl FuturesContract {
         id: InstrumentId,
         raw_symbol: Symbol,
         asset_class: AssetClass,
-        underlying: String,
+        underlying: Ustr,
         activation_ns: UnixNanos,
         expiration_ns: UnixNanos,
         currency: Currency,

nautilus_core/model/src/instruments/stubs.rs

@@ -19,6 +19,7 @@ use chrono::{TimeZone, Utc};
 use nautilus_core::time::UnixNanos;
 use rstest::fixture;
 use rust_decimal::Decimal;
+use ustr::Ustr;
 
 use crate::{
     enums::{AssetClass, OptionKind},
@@ -171,11 +172,10 @@ pub fn equity_aapl() -> Equity {
     Equity::new(
         InstrumentId::from("AAPL.NASDAQ"),
         Symbol::from("AAPL"),
-        Some(String::from("US0378331005")),
+        Some(Ustr::from("US0378331005")),
         Currency::from("USD"),
         2,
         Price::from("0.01"),
-        Quantity::from(1),
         Decimal::from_str("0.0").unwrap(),
         Decimal::from_str("0.0").unwrap(),
         Decimal::from_str("0.001").unwrap(),
@@ -199,7 +199,7 @@ pub fn futures_contract_es() -> FuturesContract {
         InstrumentId::new(Symbol::from("ESZ21"), Venue::from("CME")),
         Symbol::from("ESZ21"),
         AssetClass::Index,
-        String::from("ES"),
+        Ustr::from("ES"),
         activation.timestamp_nanos_opt().unwrap() as UnixNanos,
         expiration.timestamp_nanos_opt().unwrap() as UnixNanos,
         Currency::USD(),

nautilus_core/model/src/python/instruments/crypto_future.rs

@@ -111,7 +111,7 @@ impl CryptoFuture {
     #[pyo3(name = "to_dict")]
     fn py_to_dict(&self, py: Python<'_>) -> PyResult<PyObject> {
         let dict = PyDict::new(py);
-        dict.set_item("type", stringify!(CryptoPerpetual))?;
+        dict.set_item("type", stringify!(CryptoFuture))?;
         dict.set_item("id", self.id.to_string())?;
         dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
         dict.set_item("underlying", self.underlying.code.to_string())?;

nautilus_core/model/src/python/instruments/equity.rs

@@ -24,6 +24,7 @@ use nautilus_core::{
 };
 use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
 use rust_decimal::{prelude::ToPrimitive, Decimal};
+use ustr::Ustr;
 
 use crate::{
     identifiers::{instrument_id::InstrumentId, symbol::Symbol},
@@ -41,7 +42,6 @@ impl Equity {
         currency: Currency,
         price_precision: u8,
         price_increment: Price,
-        multiplier: Quantity,
         margin_init: Decimal,
         margin_maint: Decimal,
         maker_fee: Decimal,
@@ -58,11 +58,10 @@ impl Equity {
         Self::new(
             id,
             raw_symbol,
-            isin,
+            isin.map(|x| Ustr::from(&x)),
             currency,
             price_precision,
             price_increment,
-            multiplier,
             margin_init,
             margin_maint,
             maker_fee,
@@ -106,7 +105,6 @@ impl Equity {
         dict.set_item("currency", self.currency.code.to_string())?;
         dict.set_item("price_precision", self.price_precision)?;
         dict.set_item("price_increment", self.price_increment.to_string())?;
-        dict.set_item("multiplier", self.multiplier.to_string())?;
         dict.set_item("margin_init", self.margin_init.to_f64())?;
         dict.set_item("margin_maint", self.margin_maint.to_f64())?;
         dict.set_item("maker_fee", self.maker_fee.to_f64())?;

nautilus_core/model/src/python/instruments/futures_contract.rs

@@ -63,7 +63,7 @@ impl FuturesContract {
             id,
             raw_symbol,
             asset_class,
-            underlying,
+            underlying.into(),
             activation_ns,
             expiration_ns,
             currency,

nautilus_trader/adapters/databento/parsing.py

@@ -162,8 +162,7 @@ def parse_equity(
         currency=currency,
         price_precision=currency.precision,
         price_increment=parse_min_price_increment(record.min_price_increment, currency),
-        multiplier=Quantity(1, precision=0),
-        lot_size=Quantity(record.min_lot_size_round_lot, precision=0),
+        lot_size=Quantity.from_int(record.min_lot_size_round_lot),
         isin=None,  # TODO
         ts_event=record.ts_recv,  # More accurate and reliable timestamp
         ts_init=ts_init,

nautilus_trader/adapters/interactive_brokers/parsing/instruments.py

@@ -161,8 +161,7 @@ def parse_equity_contract(details: IBContractDetails) -> Equity:
         currency=Currency.from_str(details.contract.currency),
         price_precision=price_precision,
         price_increment=Price(details.minTick, price_precision),
-        multiplier=Quantity.from_int(1),
-        lot_size=Quantity.from_int(1),
+        lot_size=Quantity.from_int(100),
         isin=_extract_isin(details),
         ts_event=timestamp,
         ts_init=timestamp,

nautilus_trader/core/nautilus_pyo3.pyi

@@ -701,6 +701,7 @@ class CryptoFuture:
         max_price: Price | None = None,
         min_price: Price | None = None,
     ) -> None: ...
+
 class CryptoPerpetual:
     def __init__(
         self,
@@ -728,6 +729,7 @@ class CryptoPerpetual:
         max_price: Price | None = None,
         min_price: Price | None = None,
     ) -> None: ...
+
 class CurrencyPair:
     def __init__(
         self,
@@ -751,6 +753,7 @@ class CurrencyPair:
         max_price: Price | None = None,
         min_price: Price | None = None,
     ) -> None: ...
+
 class Equity:
     def __init__(
         self,
@@ -760,7 +763,6 @@ class Equity:
         currency: Currency,
         price_precision: int,
         price_increment: Price,
-        multiplier: Quantity,
         margin_init: float,
         margin_maint: float,
         maker_fee: float,
@@ -773,6 +775,7 @@ class Equity:
         max_price: Price | None = None,
         min_price: Price | None = None,
     ) -> None: ...
+
 class FuturesContract:
     def __init__(
         self,
@@ -798,6 +801,7 @@ class FuturesContract:
         max_price: Price | None = None,
         min_price: Price | None = None,
     ) -> None: ...
+
 class OptionsContract:
     def __init__(
         self,
@@ -824,9 +828,11 @@ class OptionsContract:
         max_price: Price | None = None,
         min_price: Price | None = None,
     ) -> None : ...
+
 class SyntheticInstrument: ...
 
 ### Events
+
 class OrderDenied:
     def __init__(
         self,

nautilus_trader/model/instruments/equity.pyx

@@ -44,8 +44,6 @@ cdef class Equity(Instrument):
         The price decimal precision.
     price_increment : Decimal
         The minimum price increment (tick size).
-    multiplier : Decimal
-        The contract value multiplier (determines tick value).
     lot_size : Quantity
         The rounded lot unit size (standard/board).
     isin : str, optional
@@ -67,12 +65,10 @@ cdef class Equity(Instrument):
 
     Raises
     ------
-    ValueError
-        If `multiplier` is not positive (> 0).
     ValueError
         If `price_precision` is negative (< 0).
     ValueError
-        If `tick_size` is not positive (> 0).
+        If `price_increment` is not positive (> 0).
     ValueError
         If `lot_size` is not positive (> 0).
     """
@@ -84,7 +80,6 @@ cdef class Equity(Instrument):
         Currency currency not None,
         int price_precision,
         Price price_increment not None,
-        Quantity multiplier not None,
         Quantity lot_size not None,
         uint64_t ts_event,
         uint64_t ts_init,
@@ -106,7 +101,7 @@ cdef class Equity(Instrument):
             size_precision=0,  # No fractional units
             price_increment=price_increment,
             size_increment=Quantity.from_int_c(1),
-            multiplier=multiplier,
+            multiplier=Quantity.from_int_c(1),
             lot_size=lot_size,
             max_quantity=None,
             min_quantity=Quantity.from_int_c(1),
@@ -133,7 +128,6 @@ cdef class Equity(Instrument):
             currency=Currency.from_str_c(values["currency"]),
             price_precision=values["price_precision"],
             price_increment=Price.from_str(values["price_increment"]),
-            multiplier=Quantity.from_str(values["multiplier"]),
             lot_size=Quantity.from_str(values["lot_size"]),
             isin=values.get("isin"),  # Can be None,
             margin_init=Decimal(values.get("margin_init", 0)),  # Can be None,
@@ -154,9 +148,6 @@ cdef class Equity(Instrument):
             "currency": obj.quote_currency.code,
             "price_precision": obj.price_precision,
             "price_increment": str(obj.price_increment),
-            "size_precision": obj.size_precision,
-            "size_increment": str(obj.size_increment),
-            "multiplier": str(obj.multiplier),
             "lot_size": str(obj.lot_size),
             "isin": obj.isin,
             "margin_init": str(obj.margin_init),

nautilus_trader/test_kit/providers.py

@@ -460,8 +460,7 @@ def equity(symbol: str = "AAPL", venue: str = "XNAS") -> Equity:
             currency=USD,
             price_precision=2,
             price_increment=Price.from_str("0.01"),
-            multiplier=Quantity.from_int(1),
-            lot_size=Quantity.from_int(1),
+            lot_size=Quantity.from_int(100),
             isin="US0378331005",
             ts_event=0,
             ts_init=0,

nautilus_trader/test_kit/rust/instruments_pyo3.py

@@ -168,12 +168,11 @@ def appl_equity() -> Equity:
             currency=TestTypesProviderPyo3.currency_usd(),
             price_precision=2,
             price_increment=Price.from_str("0.01"),
-            multiplier=Quantity.from_str("1"),
             margin_init=0.0,
             margin_maint=0.0,
             maker_fee=0.001,
             taker_fee=0.001,
-            lot_size=Quantity.from_str("1.0"),
+            lot_size=Quantity.from_int(100),
             max_quantity=None,
             min_quantity=None,
             max_price=None,