Add CryptoPerpetual instrument for Rust (#1274)

nautechsystems · Oct 14, 2023 · 7968b48 · 7968b48
1 parent 4be7b57
commit 7968b48
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Showing 14 changed files with 437 additions and 86 deletions.
diff --git a/nautilus_core/core/src/serialization.rs b/nautilus_core/core/src/serialization.rs
@@ -13,7 +13,10 @@
 //  limitations under the License.
 // -------------------------------------------------------------------------------------------------
 
-use serde::{Deserialize, Serialize};
+use pyo3::{prelude::*, types::PyDict, Py, PyErr, Python};
+use serde::{de::DeserializeOwned, Deserialize, Serialize};
+
+use crate::python::to_pyvalue_err;
 
 /// Represents types which are serializable for JSON and `MsgPack` specifications.
 pub trait Serializable: Serialize + for<'de> Deserialize<'de> {
@@ -37,3 +40,18 @@ pub trait Serializable: Serialize + for<'de> Deserialize<'de> {
         rmp_serde::to_vec_named(self)
     }
 }
+
+#[cfg(feature = "python")]
+pub fn from_dict_pyo3<T>(py: Python<'_>, values: Py<PyDict>) -> Result<T, PyErr>
+where
+    T: DeserializeOwned,
+{
+    // Extract to JSON string
+    let json_str: String = PyModule::import(py, "json")?
+        .call_method("dumps", (values,), None)?
+        .extract()?;
+
+    // Deserialize to object
+    let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?;
+    Ok(instance)
+}
diff --git a/nautilus_core/model/src/data/bar_py.rs b/nautilus_core/model/src/data/bar_py.rs
@@ -18,7 +18,11 @@ use std::{
     hash::{Hash, Hasher},
 };
 
-use nautilus_core::{python::to_pyvalue_err, serialization::Serializable, time::UnixNanos};
+use nautilus_core::{
+    python::to_pyvalue_err,
+    serialization::{from_dict_pyo3, Serializable},
+    time::UnixNanos,
+};
 use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict};
 
 use super::bar::{Bar, BarSpecification, BarType};
@@ -215,14 +219,7 @@ impl Bar {
     #[staticmethod]
     #[pyo3(name = "from_dict")]
     fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
-        // Extract to JSON string
-        let json_str: String = PyModule::import(py, "json")?
-            .call_method("dumps", (values,), None)?
-            .extract()?;
-
-        // Deserialize to object
-        let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?;
-        Ok(instance)
+        from_dict_pyo3(py, values)
     }
 
     #[staticmethod]

diff --git a/nautilus_core/model/src/data/delta_py.rs b/nautilus_core/model/src/data/delta_py.rs
@@ -18,7 +18,11 @@ use std::{
     hash::{Hash, Hasher},
 };
 
-use nautilus_core::{python::to_pyvalue_err, serialization::Serializable, time::UnixNanos};
+use nautilus_core::{
+    python::to_pyvalue_err,
+    serialization::{from_dict_pyo3, Serializable},
+    time::UnixNanos,
+};
 use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict};
 
 use super::{delta::OrderBookDelta, order::BookOrder};
@@ -126,14 +130,7 @@ impl OrderBookDelta {
     #[staticmethod]
     #[pyo3(name = "from_dict")]
     fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
-        // Extract to JSON string
-        let json_str: String = PyModule::import(py, "json")?
-            .call_method("dumps", (values,), None)?
-            .extract()?;
-
-        // Deserialize to object
-        let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?;
-        Ok(instance)
+        from_dict_pyo3(py, values)
     }
 
     #[staticmethod]

diff --git a/nautilus_core/model/src/data/order_py.rs b/nautilus_core/model/src/data/order_py.rs
@@ -18,7 +18,10 @@ use std::{
     hash::{Hash, Hasher},
 };
 
-use nautilus_core::{python::to_pyvalue_err, serialization::Serializable};
+use nautilus_core::{
+    python::to_pyvalue_err,
+    serialization::{from_dict_pyo3, Serializable},
+};
 use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict};
 
 use super::order::{BookOrder, OrderId};
@@ -109,14 +112,7 @@ impl BookOrder {
     #[staticmethod]
     #[pyo3(name = "from_dict")]
     pub fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
-        // Extract to JSON string
-        let json_str: String = PyModule::import(py, "json")?
-            .call_method("dumps", (values,), None)?
-            .extract()?;
-
-        // Deserialize to object
-        let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?;
-        Ok(instance)
+        from_dict_pyo3(py, values)
     }
 
     #[staticmethod]

diff --git a/nautilus_core/model/src/data/quote_py.rs b/nautilus_core/model/src/data/quote_py.rs
@@ -19,7 +19,11 @@ use std::{
     str::FromStr,
 };
 
-use nautilus_core::{python::to_pyvalue_err, serialization::Serializable, time::UnixNanos};
+use nautilus_core::{
+    python::to_pyvalue_err,
+    serialization::{from_dict_pyo3, Serializable},
+    time::UnixNanos,
+};
 use pyo3::{
     prelude::*,
     pyclass::CompareOp,
@@ -249,14 +253,7 @@ impl QuoteTick {
     #[staticmethod]
     #[pyo3(name = "from_dict")]
     fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
-        // Extract to JSON string
-        let json_str: String = PyModule::import(py, "json")?
-            .call_method("dumps", (values,), None)?
-            .extract()?;
-
-        // Deserialize to object
-        let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?;
-        Ok(instance)
+        from_dict_pyo3(py, values)
     }
 
     #[staticmethod]

diff --git a/nautilus_core/model/src/data/ticker_py.rs b/nautilus_core/model/src/data/ticker_py.rs
@@ -18,7 +18,11 @@ use std::{
     hash::{Hash, Hasher},
 };
 
-use nautilus_core::{python::to_pyvalue_err, serialization::Serializable, time::UnixNanos};
+use nautilus_core::{
+    python::to_pyvalue_err,
+    serialization::{from_dict_pyo3, Serializable},
+    time::UnixNanos,
+};
 use pyo3::{prelude::*, pyclass::CompareOp, types::PyDict};
 
 use super::ticker::Ticker;
@@ -90,14 +94,7 @@ impl Ticker {
     #[staticmethod]
     #[pyo3(name = "from_dict")]
     pub fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
-        // Extract to JSON string
-        let json_str: String = PyModule::import(py, "json")?
-            .call_method("dumps", (values,), None)?
-            .extract()?;
-
-        // Deserialize to object
-        let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?;
-        Ok(instance)
+        from_dict_pyo3(py, values)
     }
 
     #[staticmethod]

diff --git a/nautilus_core/model/src/data/trade_py.rs b/nautilus_core/model/src/data/trade_py.rs
@@ -19,7 +19,11 @@ use std::{
     str::FromStr,
 };
 
-use nautilus_core::{python::to_pyvalue_err, serialization::Serializable, time::UnixNanos};
+use nautilus_core::{
+    python::to_pyvalue_err,
+    serialization::{from_dict_pyo3, Serializable},
+    time::UnixNanos,
+};
 use pyo3::{
     prelude::*,
     pyclass::CompareOp,
@@ -201,14 +205,7 @@ impl TradeTick {
     #[staticmethod]
     #[pyo3(name = "from_dict")]
     fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
-        // Extract to JSON string
-        let json_str: String = PyModule::import(py, "json")?
-            .call_method("dumps", (values,), None)?
-            .extract()?;
-
-        // Deserialize to object
-        let instance = serde_json::from_slice(&json_str.into_bytes()).map_err(to_pyvalue_err)?;
-        Ok(instance)
+        from_dict_pyo3(py, values)
     }
 
     #[staticmethod]