Add OrderBookDepth10 type for Python

nautilus_core/model/cbindgen.toml

@@ -35,6 +35,7 @@ exclude = [
 "OrderId" = "uint64_t"
 "OrderBookDelta" = "OrderBookDelta_t"
 "OrderBookDeltas" = "OrderBookDeltas_t"
+"OrderBookDepth10" = "OrderBookDepth10_t"
 "OrderInitialized" = "OrderInitialized_t"
 "OrderDenied" = "OrderDenied_t"
 "OrderEmulated" = "OrderEmulated_t"

nautilus_core/model/cbindgen_cython.toml

@@ -51,6 +51,7 @@ exclude = [
 "OrderId" = "uint64_t"
 "OrderBookDelta" = "OrderBookDelta_t"
 "OrderBookDeltas" = "OrderBookDeltas_t"
+"OrderBookDepth10" = "OrderBookDepth10_t"
 "OrderInitialized" = "OrderInitialized_t"
 "OrderDenied" = "OrderDenied_t"
 "OrderEmulated" = "OrderEmulated_t"

nautilus_core/model/src/enums.rs

@@ -121,7 +121,7 @@ pub enum AggregationSource {
 )]
 pub enum AggressorSide {
     /// There was no specific aggressor for the trade.
-    NoAggressor = 0, // Will be replaced by `Option`
+    NoAggressor = 0,
     /// The BUY order was the aggressor for the trade.
     #[pyo3(name = "BUYER")]
     Buyer = 1,
@@ -726,8 +726,8 @@ pub enum OptionKind {
     pyclass(module = "nautilus_trader.core.nautilus_pyo3.model.enums")
 )]
 pub enum OrderSide {
-    /// No order side is specified (only valid in the context of a filter for actions involving orders).
-    NoOrderSide = 0, // Will be replaced by `Option`
+    /// No order side is specified.
+    NoOrderSide = 0,
     /// The order is a BUY.
     #[pyo3(name = "BUY")]
     Buy = 1,

nautilus_trader/core/includes/model.h

@@ -354,7 +354,7 @@ typedef enum OptionKind {
  */
 typedef enum OrderSide {
     /**
-     * No order side is specified (only valid in the context of a filter for actions involving orders).
+     * No order side is specified.
      */
     NO_ORDER_SIDE = 0,
     /**
@@ -784,7 +784,7 @@ typedef struct OrderBookDelta_t {
  * Note: This type is not compatible with `OrderBookDelta` or `OrderBookDeltas` due to
  * its specialized structure and limited depth use case.
  */
-typedef struct OrderBookDepth10 {
+typedef struct OrderBookDepth10_t {
     /**
      * The instrument ID for the book.
      */
@@ -813,7 +813,7 @@ typedef struct OrderBookDepth10 {
      * The UNIX timestamp (nanoseconds) when the data object was initialized.
      */
     uint64_t ts_init;
-} OrderBookDepth10;
+} OrderBookDepth10_t;
 
 /**
  * Represents a single quote tick in a financial market.
@@ -989,7 +989,7 @@ typedef struct Data_t {
             struct OrderBookDelta_t delta;
         };
         struct {
-            struct OrderBookDepth10 depth10;
+            struct OrderBookDepth10_t depth10;
         };
         struct {
             struct QuoteTick_t quote;
@@ -1392,18 +1392,18 @@ uint64_t orderbook_delta_hash(const struct OrderBookDelta_t *delta);
  * - Assumes `bids` and `asks` are valid pointers to arrays of `BookOrder` of length 10.
  * - Assumes Rust now takes ownership of the memory for `bids` and `asks`.
  */
-struct OrderBookDepth10 orderbook_depth10_new(struct InstrumentId_t instrument_id,
-                                              const struct BookOrder_t *bids_ptr,
-                                              const struct BookOrder_t *asks_ptr,
-                                              uint8_t flags,
-                                              uint64_t sequence,
-                                              uint64_t ts_event,
-                                              uint64_t ts_init);
+struct OrderBookDepth10_t orderbook_depth10_new(struct InstrumentId_t instrument_id,
+                                                const struct BookOrder_t *bids_ptr,
+                                                const struct BookOrder_t *asks_ptr,
+                                                uint8_t flags,
+                                                uint64_t sequence,
+                                                uint64_t ts_event,
+                                                uint64_t ts_init);
 
-uint8_t orderbook_depth10_eq(const struct OrderBookDepth10 *lhs,
-                             const struct OrderBookDepth10 *rhs);
+uint8_t orderbook_depth10_eq(const struct OrderBookDepth10_t *lhs,
+                             const struct OrderBookDepth10_t *rhs);
 
-uint64_t orderbook_depth10_hash(const struct OrderBookDepth10 *delta);
+uint64_t orderbook_depth10_hash(const struct OrderBookDepth10_t *delta);
 
 struct BookOrder_t book_order_from_raw(enum OrderSide order_side,
                                        int64_t price_raw,
@@ -2085,7 +2085,7 @@ void orderbook_clear_asks(struct OrderBook_API *book, uint64_t ts_event, uint64_
 
 void orderbook_apply_delta(struct OrderBook_API *book, struct OrderBookDelta_t delta);
 
-void orderbook_apply_depth(struct OrderBook_API *book, struct OrderBookDepth10 depth);
+void orderbook_apply_depth(struct OrderBook_API *book, struct OrderBookDepth10_t depth);
 
 CVec orderbook_bids(struct OrderBook_API *book);
 

nautilus_trader/core/rust/model.pxd

@@ -190,7 +190,7 @@ cdef extern from "../includes/model.h":
 
     # The order side for a specific order, or action related to orders.
     cpdef enum OrderSide:
-        # No order side is specified (only valid in the context of a filter for actions involving orders).
+        # No order side is specified.
         NO_ORDER_SIDE # = 0,
         # The order is a BUY.
         BUY # = 1,
@@ -428,7 +428,7 @@ cdef extern from "../includes/model.h":
     #
     # Note: This type is not compatible with `OrderBookDelta` or `OrderBookDeltas` due to
     # its specialized structure and limited depth use case.
-    cdef struct OrderBookDepth10:
+    cdef struct OrderBookDepth10_t:
         # The instrument ID for the book.
         InstrumentId_t instrument_id;
         # The bid orders for the depth update.
@@ -537,7 +537,7 @@ cdef extern from "../includes/model.h":
     cdef struct Data_t:
         Data_t_Tag tag;
         OrderBookDelta_t delta;
-        OrderBookDepth10 depth10;
+        OrderBookDepth10_t depth10;
         QuoteTick_t quote;
         TradeTick_t trade;
         Bar_t bar;
@@ -836,17 +836,17 @@ cdef extern from "../includes/model.h":
     #
     # - Assumes `bids` and `asks` are valid pointers to arrays of `BookOrder` of length 10.
     # - Assumes Rust now takes ownership of the memory for `bids` and `asks`.
-    OrderBookDepth10 orderbook_depth10_new(InstrumentId_t instrument_id,
-                                           const BookOrder_t *bids_ptr,
-                                           const BookOrder_t *asks_ptr,
-                                           uint8_t flags,
-                                           uint64_t sequence,
-                                           uint64_t ts_event,
-                                           uint64_t ts_init);
+    OrderBookDepth10_t orderbook_depth10_new(InstrumentId_t instrument_id,
+                                             const BookOrder_t *bids_ptr,
+                                             const BookOrder_t *asks_ptr,
+                                             uint8_t flags,
+                                             uint64_t sequence,
+                                             uint64_t ts_event,
+                                             uint64_t ts_init);
 
-    uint8_t orderbook_depth10_eq(const OrderBookDepth10 *lhs, const OrderBookDepth10 *rhs);
+    uint8_t orderbook_depth10_eq(const OrderBookDepth10_t *lhs, const OrderBookDepth10_t *rhs);
 
-    uint64_t orderbook_depth10_hash(const OrderBookDepth10 *delta);
+    uint64_t orderbook_depth10_hash(const OrderBookDepth10_t *delta);
 
     BookOrder_t book_order_from_raw(OrderSide order_side,
                                     int64_t price_raw,
@@ -1425,7 +1425,7 @@ cdef extern from "../includes/model.h":
 
     void orderbook_apply_delta(OrderBook_API *book, OrderBookDelta_t delta);
 
-    void orderbook_apply_depth(OrderBook_API *book, OrderBookDepth10 depth);
+    void orderbook_apply_depth(OrderBook_API *book, OrderBookDepth10_t depth);
 
     CVec orderbook_bids(OrderBook_API *book);
 

nautilus_trader/model/data.pxd

@@ -32,6 +32,7 @@ from nautilus_trader.core.rust.model cimport HaltReason
 from nautilus_trader.core.rust.model cimport InstrumentCloseType
 from nautilus_trader.core.rust.model cimport MarketStatus
 from nautilus_trader.core.rust.model cimport OrderBookDelta_t
+from nautilus_trader.core.rust.model cimport OrderBookDepth10_t
 from nautilus_trader.core.rust.model cimport OrderSide
 from nautilus_trader.core.rust.model cimport PriceType
 from nautilus_trader.core.rust.model cimport QuoteTick_t
@@ -247,6 +248,27 @@ cdef class OrderBookDeltas(Data):
     cdef dict to_dict_c(OrderBookDeltas obj)
 
 
+cdef class OrderBookDepth10(Data):
+    cdef OrderBookDepth10_t _mem
+    cdef list[BookOrder] _bids
+    cdef list[BookOrder] _asks
+
+    @staticmethod
+    cdef OrderBookDepth10 from_mem_c(OrderBookDepth10_t mem)
+
+    @staticmethod
+    cdef OrderBookDepth10 from_dict_c(dict values)
+
+    @staticmethod
+    cdef dict to_dict_c(OrderBookDepth10 obj)
+
+    @staticmethod
+    cdef list capsule_to_list_c(capsule)
+
+    @staticmethod
+    cdef object list_to_capsule_c(list items)
+
+
 cdef class VenueStatus(Data):
     cdef readonly Venue venue
     """The venue.\n\n:returns: `Venue`"""