Refactor order create method for Cython and Rust (#1598)

nautechsystems · Apr 20, 2024 · 8769dae · 8769dae
1 parent 6070ce8
commit 8769dae
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Showing 29 changed files with 145 additions and 27 deletions.
diff --git a/nautilus_core/model/src/python/orders/limit.rs b/nautilus_core/model/src/python/orders/limit.rs
@@ -28,6 +28,7 @@ use crate::{
         ContingencyType, LiquiditySide, OrderSide, OrderStatus, OrderType, PositionSide,
         TimeInForce, TriggerType,
     },
+    events::order::initialized::OrderInitialized,
     identifiers::{
         client_order_id::ClientOrderId, exec_algorithm_id::ExecAlgorithmId,
         instrument_id::InstrumentId, order_list_id::OrderListId, strategy_id::StrategyId,
@@ -118,6 +119,12 @@ impl LimitOrder {
         self.to_string()
     }
 
+    #[staticmethod]
+    #[pyo3(name = "create")]
+    fn py_create(init: OrderInitialized) -> PyResult<Self> {
+        Ok(LimitOrder::from(init))
+    }
+
     #[getter]
     #[pyo3(name = "trader_id")]
     fn py_trader_id(&self) -> TraderId {

diff --git a/nautilus_core/model/src/python/orders/limit_if_touched.rs b/nautilus_core/model/src/python/orders/limit_if_touched.rs
@@ -21,6 +21,7 @@ use ustr::Ustr;
 
 use crate::{
     enums::{ContingencyType, OrderSide, TimeInForce, TriggerType},
+    events::order::initialized::OrderInitialized,
     identifiers::{
         client_order_id::ClientOrderId, exec_algorithm_id::ExecAlgorithmId,
         instrument_id::InstrumentId, order_list_id::OrderListId, strategy_id::StrategyId,
@@ -95,4 +96,10 @@ impl LimitIfTouchedOrder {
         )
         .unwrap())
     }
+
+    #[staticmethod]
+    #[pyo3(name = "create")]
+    fn py_create(init: OrderInitialized) -> PyResult<Self> {
+        Ok(LimitIfTouchedOrder::from(init))
+    }
 }
diff --git a/nautilus_core/model/src/python/orders/market.rs b/nautilus_core/model/src/python/orders/market.rs
@@ -27,6 +27,7 @@ use ustr::Ustr;
 
 use crate::{
     enums::{ContingencyType, OrderSide, OrderType, PositionSide, TimeInForce},
+    events::order::initialized::OrderInitialized,
     identifiers::{
         account_id::AccountId, client_order_id::ClientOrderId, exec_algorithm_id::ExecAlgorithmId,
         instrument_id::InstrumentId, order_list_id::OrderListId, strategy_id::StrategyId,
@@ -105,6 +106,12 @@ impl MarketOrder {
         self.to_string()
     }
 
+    #[staticmethod]
+    #[pyo3(name = "create")]
+    fn py_create(init: OrderInitialized) -> PyResult<Self> {
+        Ok(MarketOrder::from(init))
+    }
+
     #[pyo3(name = "signed_decimal_qty")]
     fn py_signed_decimal_qty(&self) -> Decimal {
         self.signed_decimal_qty()

diff --git a/nautilus_core/model/src/python/orders/market_if_touched.rs b/nautilus_core/model/src/python/orders/market_if_touched.rs
@@ -21,6 +21,7 @@ use ustr::Ustr;
 
 use crate::{
     enums::{ContingencyType, OrderSide, TimeInForce, TriggerType},
+    events::order::initialized::OrderInitialized,
     identifiers::{
         client_order_id::ClientOrderId, exec_algorithm_id::ExecAlgorithmId,
         instrument_id::InstrumentId, order_list_id::OrderListId, strategy_id::StrategyId,
@@ -91,4 +92,10 @@ impl MarketIfTouchedOrder {
         )
         .unwrap())
     }
+
+    #[staticmethod]
+    #[pyo3(name = "create")]
+    fn py_create(init: OrderInitialized) -> PyResult<Self> {
+        Ok(MarketIfTouchedOrder::from(init))
+    }
 }
diff --git a/nautilus_core/model/src/python/orders/market_to_limit.rs b/nautilus_core/model/src/python/orders/market_to_limit.rs
@@ -21,6 +21,7 @@ use ustr::Ustr;
 
 use crate::{
     enums::{ContingencyType, OrderSide, TimeInForce},
+    events::order::initialized::OrderInitialized,
     identifiers::{
         client_order_id::ClientOrderId, exec_algorithm_id::ExecAlgorithmId,
         instrument_id::InstrumentId, order_list_id::OrderListId, strategy_id::StrategyId,
@@ -85,4 +86,10 @@ impl MarketToLimitOrder {
         )
         .unwrap())
     }
+
+    #[staticmethod]
+    #[pyo3(name = "create")]
+    fn py_create(init: OrderInitialized) -> PyResult<Self> {
+        Ok(MarketToLimitOrder::from(init))
+    }
 }
diff --git a/nautilus_core/model/src/python/orders/stop_limit.rs b/nautilus_core/model/src/python/orders/stop_limit.rs
@@ -21,6 +21,7 @@ use ustr::Ustr;
 
 use crate::{
     enums::{ContingencyType, OrderSide, OrderStatus, OrderType, TimeInForce, TriggerType},
+    events::order::initialized::OrderInitialized,
     identifiers::{
         client_order_id::ClientOrderId, exec_algorithm_id::ExecAlgorithmId,
         instrument_id::InstrumentId, order_list_id::OrderListId, strategy_id::StrategyId,
@@ -115,6 +116,12 @@ impl StopLimitOrder {
         self.to_string()
     }
 
+    #[staticmethod]
+    #[pyo3(name = "create")]
+    fn py_create(init: OrderInitialized) -> PyResult<Self> {
+        Ok(StopLimitOrder::from(init))
+    }
+
     #[getter]
     #[pyo3(name = "trader_id")]
     fn py_trader_id(&self) -> TraderId {

diff --git a/nautilus_core/model/src/python/orders/stop_market.rs b/nautilus_core/model/src/python/orders/stop_market.rs
@@ -21,6 +21,7 @@ use ustr::Ustr;
 
 use crate::{
     enums::{ContingencyType, OrderSide, TimeInForce, TriggerType},
+    events::order::initialized::OrderInitialized,
     identifiers::{
         client_order_id::ClientOrderId, exec_algorithm_id::ExecAlgorithmId,
         instrument_id::InstrumentId, order_list_id::OrderListId, strategy_id::StrategyId,
@@ -91,4 +92,10 @@ impl StopMarketOrder {
         )
         .unwrap())
     }
+
+    #[staticmethod]
+    #[pyo3(name = "create")]
+    fn py_create(init: OrderInitialized) -> PyResult<Self> {
+        Ok(StopMarketOrder::from(init))
+    }
 }
diff --git a/nautilus_core/model/src/python/orders/trailing_stop_limit.rs b/nautilus_core/model/src/python/orders/trailing_stop_limit.rs
@@ -21,6 +21,7 @@ use ustr::Ustr;
 
 use crate::{
     enums::{ContingencyType, OrderSide, TimeInForce, TrailingOffsetType, TriggerType},
+    events::order::initialized::OrderInitialized,
     identifiers::{
         client_order_id::ClientOrderId, exec_algorithm_id::ExecAlgorithmId,
         instrument_id::InstrumentId, order_list_id::OrderListId, strategy_id::StrategyId,
@@ -101,4 +102,10 @@ impl TrailingStopLimitOrder {
         )
         .unwrap())
     }
+
+    #[staticmethod]
+    #[pyo3(name = "create")]
+    fn py_create(init: OrderInitialized) -> PyResult<Self> {
+        Ok(TrailingStopLimitOrder::from(init))
+    }
 }
diff --git a/nautilus_core/model/src/python/orders/trailing_stop_market.rs b/nautilus_core/model/src/python/orders/trailing_stop_market.rs
@@ -21,6 +21,7 @@ use ustr::Ustr;
 
 use crate::{
     enums::{ContingencyType, OrderSide, TimeInForce, TrailingOffsetType, TriggerType},
+    events::order::initialized::OrderInitialized,
     identifiers::{
         client_order_id::ClientOrderId, exec_algorithm_id::ExecAlgorithmId,
         instrument_id::InstrumentId, order_list_id::OrderListId, strategy_id::StrategyId,
@@ -95,4 +96,10 @@ impl TrailingStopMarketOrder {
         )
         .unwrap())
     }
+
+    #[staticmethod]
+    #[pyo3(name = "create")]
+    fn py_create(init: OrderInitialized) -> PyResult<Self> {
+        Ok(TrailingStopMarketOrder::from(init))
+    }
 }
diff --git a/nautilus_trader/core/nautilus_pyo3.pyi b/nautilus_trader/core/nautilus_pyo3.pyi
@@ -909,6 +909,8 @@ class LimitOrder:
         exec_spawn_id: ClientOrderId | None = None,
         tags: str | None = None,
     ): ...
+    @classmethod
+    def create(cls, init: OrderInitialized) -> LimitOrder: ...
     def to_dict(self) -> dict[str, str]: ...
     @property
     def trader_id(self) -> TraderId: ...
@@ -993,6 +995,8 @@ class LimitIfTouchedOrder:
         exec_spawn_id: ClientOrderId | None = None,
         tags: str | None = None,
     ) -> None: ...
+    @classmethod
+    def create(cls, init: OrderInitialized) -> LimitIfTouchedOrder: ...
 
 class MarketOrder:
     def __init__(
@@ -1017,6 +1021,8 @@ class MarketOrder:
         exec_spawn_id: ClientOrderId | None = None,
         tags: str | None = None,
     ) -> None: ...
+    @classmethod
+    def create(cls, init: OrderInitialized) -> MarketOrder: ...
     def to_dict(self) -> dict[str, str]: ...
     @classmethod
     def from_dict(cls, values: dict[str, str]) -> MarketOrder: ...
@@ -1079,6 +1085,8 @@ class MarketToLimitOrder:
         exec_spawn_id: ClientOrderId | None = None,
         tags: str | None = None,
     ): ...
+    @classmethod
+    def create(cls, init: OrderInitialized) -> MarketToLimitOrder: ...
 
 class MarketIfTouchedOrder:
     def __init__(
@@ -1109,6 +1117,9 @@ class MarketIfTouchedOrder:
         exec_spawn_id: ClientOrderId | None = None,
         tags: str | None = None,
     ): ...
+    @classmethod
+    def create(cls, init: OrderInitialized) -> MarketIfTouchedOrder: ...
+
 class StopLimitOrder:
     def __init__(
         self,
@@ -1141,6 +1152,8 @@ class StopLimitOrder:
         tags: str | None = None,
     ): ...
     @classmethod
+    def create(cls, init: OrderInitialized) -> StopLimitOrder: ...
+    @classmethod
     def from_dict(cls, values: dict[str, str]) -> StopLimitOrder: ...
     def to_dict(self) -> dict[str, str]: ...
     @property
@@ -1217,6 +1230,8 @@ class StopMarketOrder:
         exec_spawn_id: ClientOrderId | None = None,
         tags: str | None = None,
     ): ...
+    @classmethod
+    def create(cls, init: OrderInitialized) -> StopMarketOrder: ...
 class TrailingStopLimitOrder:
     def __init__(
         self,
@@ -1251,6 +1266,8 @@ class TrailingStopLimitOrder:
         exec_spawn_id: ClientOrderId | None = None,
         tags: str | None = None,
     ): ...
+    @classmethod
+    def create(cls, init: OrderInitialized) -> TrailingStopLimitOrder: ...
 class TrailingStopMarketOrder:
     def __init__(
         self,
@@ -1282,6 +1299,8 @@ class TrailingStopMarketOrder:
         exec_spawn_id: ClientOrderId | None = None,
         tags: str | None = None,
     ): ...
+    @classmethod
+    def create(cls, init: OrderInitialized) -> TrailingStopMarketOrder: ...
 
 ### Objects
 

diff --git a/nautilus_trader/model/orders/limit.pxd b/nautilus_trader/model/orders/limit.pxd
@@ -30,7 +30,7 @@ cdef class LimitOrder(Order):
     """The quantity of the order to display on the public book (iceberg).\n\n:returns: `Quantity` or ``None``"""
 
     @staticmethod
-    cdef LimitOrder create(OrderInitialized init)
+    cdef LimitOrder create_c(OrderInitialized init)
 
     @staticmethod
     cdef LimitOrder transform(Order order, uint64_t ts_init, Price price=*)

diff --git a/nautilus_trader/model/orders/limit.pyx b/nautilus_trader/model/orders/limit.pyx
@@ -346,7 +346,7 @@ cdef class LimitOrder(Order):
         }
 
     @staticmethod
-    cdef LimitOrder create(OrderInitialized init):
+    cdef LimitOrder create_c(OrderInitialized init):
         """
         Return a `Limit` order from the given initialized event.
 
@@ -398,6 +398,10 @@ cdef class LimitOrder(Order):
             tags=init.tags,
         )
 
+    @staticmethod
+    def create(OrderInitialized init):
+        return LimitOrder.create_c(init)
+
     @staticmethod
     cdef LimitOrder transform(Order order, uint64_t ts_init, Price price = None):
         """

diff --git a/nautilus_trader/model/orders/limit_if_touched.pxd b/nautilus_trader/model/orders/limit_if_touched.pxd
@@ -39,4 +39,4 @@ cdef class LimitIfTouchedOrder(Order):
     """The UNIX timestamp (nanoseconds) when the order was triggered (0 if not triggered).\n\n:returns: `uint64_t`"""
 
     @staticmethod
-    cdef LimitIfTouchedOrder create(OrderInitialized init)
+    cdef LimitIfTouchedOrder create_c(OrderInitialized init)
diff --git a/nautilus_trader/model/orders/limit_if_touched.pyx b/nautilus_trader/model/orders/limit_if_touched.pyx
@@ -339,7 +339,7 @@ cdef class LimitIfTouchedOrder(Order):
         }
 
     @staticmethod
-    cdef LimitIfTouchedOrder create(OrderInitialized init):
+    cdef LimitIfTouchedOrder create_c(OrderInitialized init):
         """
         Return a `Limit-If-Touched` order from the given initialized event.
 
@@ -392,3 +392,7 @@ cdef class LimitIfTouchedOrder(Order):
             exec_spawn_id=init.exec_spawn_id,
             tags=init.tags,
         )
+
+    @staticmethod
+    def create(init):
+        return LimitIfTouchedOrder.create_c(init)
diff --git a/nautilus_trader/model/orders/market.pxd b/nautilus_trader/model/orders/market.pxd
@@ -21,7 +21,7 @@ from nautilus_trader.model.orders.base cimport Order
 
 cdef class MarketOrder(Order):
     @staticmethod
-    cdef MarketOrder create(OrderInitialized init)
+    cdef MarketOrder create_c(OrderInitialized init)
 
     @staticmethod
     cdef MarketOrder transform(Order order, uint64_t ts_init)

diff --git a/nautilus_trader/model/orders/market.pyx b/nautilus_trader/model/orders/market.pyx
@@ -266,7 +266,7 @@ cdef class MarketOrder(Order):
         }
 
     @staticmethod
-    cdef MarketOrder create(OrderInitialized init):
+    cdef MarketOrder create_c(OrderInitialized init):
         """
         Return a `market` order from the given initialized event.
 
@@ -310,6 +310,10 @@ cdef class MarketOrder(Order):
             tags=init.tags,
         )
 
+    @staticmethod
+    def create(init):
+        return MarketOrder.create_c(init)
+
     @staticmethod
     cdef MarketOrder transform(Order order, uint64_t ts_init):
         """

diff --git a/nautilus_trader/model/orders/market_if_touched.pxd b/nautilus_trader/model/orders/market_if_touched.pxd
@@ -30,4 +30,4 @@ cdef class MarketIfTouchedOrder(Order):
     """The order expiration (UNIX epoch nanoseconds), zero for no expiration.\n\n:returns: `uint64_t`"""
 
     @staticmethod
-    cdef MarketIfTouchedOrder create(OrderInitialized init)
+    cdef MarketIfTouchedOrder create_c(OrderInitialized init)
diff --git a/nautilus_trader/model/orders/market_if_touched.pyx b/nautilus_trader/model/orders/market_if_touched.pyx
@@ -305,7 +305,7 @@ cdef class MarketIfTouchedOrder(Order):
         }
 
     @staticmethod
-    cdef MarketIfTouchedOrder create(OrderInitialized init):
+    cdef MarketIfTouchedOrder create_c(OrderInitialized init):
         """
         Return a `Market-If-Touched` order from the given initialized event.
 
@@ -353,3 +353,7 @@ cdef class MarketIfTouchedOrder(Order):
             exec_spawn_id=init.exec_spawn_id,
             tags=init.tags,
         )
+
+    @staticmethod
+    def create(init):
+        return MarketIfTouchedOrder.create_c(init)
diff --git a/nautilus_trader/model/orders/market_to_limit.pxd b/nautilus_trader/model/orders/market_to_limit.pxd
@@ -30,4 +30,4 @@ cdef class MarketToLimitOrder(Order):
     """The quantity of the limit order to display on the public book (iceberg).\n\n:returns: `Quantity` or ``None``"""
 
     @staticmethod
-    cdef MarketToLimitOrder create(OrderInitialized init)
+    cdef MarketToLimitOrder create_c(OrderInitialized init)
diff --git a/nautilus_trader/model/orders/market_to_limit.pyx b/nautilus_trader/model/orders/market_to_limit.pyx
@@ -282,7 +282,7 @@ cdef class MarketToLimitOrder(Order):
         }
 
     @staticmethod
-    cdef MarketToLimitOrder create(OrderInitialized init):
+    cdef MarketToLimitOrder create_c(OrderInitialized init):
         """
         Return a `Market-To-Limit` order from the given initialized event.
 
@@ -329,3 +329,7 @@ cdef class MarketToLimitOrder(Order):
             exec_spawn_id=init.exec_spawn_id,
             tags=init.tags,
         )
+
+    @staticmethod
+    def create(init):
+        return MarketToLimitOrder.create_c(init)
diff --git a/nautilus_trader/model/orders/stop_limit.pxd b/nautilus_trader/model/orders/stop_limit.pxd
@@ -39,7 +39,7 @@ cdef class StopLimitOrder(Order):
     """The UNIX timestamp (nanoseconds) when the order was triggered (0 if not triggered).\n\n:returns: `uint64_t`"""
 
     @staticmethod
-    cdef StopLimitOrder create(OrderInitialized init)
+    cdef StopLimitOrder create_c(OrderInitialized init)
 
     @staticmethod
     cdef StopLimitOrder from_pyo3_c(pyo3_order)