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Add Databento statistics and imbalance schemas
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,123 @@ | ||
| // ------------------------------------------------------------------------------------------------- | ||
| // Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved. | ||
| // https://nautechsystems.io | ||
| // | ||
| // Licensed under the GNU Lesser General Public License Version 3.0 (the "License"); | ||
| // You may not use this file except in compliance with the License. | ||
| // You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html | ||
| // | ||
| // Unless required by applicable law or agreed to in writing, software | ||
| // distributed under the License is distributed on an "AS IS" BASIS, | ||
| // WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. | ||
| // See the License for the specific language governing permissions and | ||
| // limitations under the License. | ||
| // ------------------------------------------------------------------------------------------------- | ||
|
|
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| //! Defines enumerations for the Databento integration. | ||
| use std::str::FromStr; | ||
|
|
||
| use nautilus_model::{enum_strum_serde, enums::FromU8}; | ||
| use serde::{Deserialize, Deserializer, Serialize, Serializer}; | ||
| use strum::{AsRefStr, Display, EnumIter, EnumString, FromRepr}; | ||
|
|
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| /// Represents a Databento statistic type. | ||
| #[repr(C)] | ||
| #[derive( | ||
| Copy, | ||
| Clone, | ||
| Debug, | ||
| Display, | ||
| Hash, | ||
| PartialEq, | ||
| Eq, | ||
| PartialOrd, | ||
| Ord, | ||
| AsRefStr, | ||
| FromRepr, | ||
| EnumIter, | ||
| EnumString, | ||
| )] | ||
| #[strum(ascii_case_insensitive)] | ||
| #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] | ||
| #[cfg_attr( | ||
| feature = "python", | ||
| pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.databento") | ||
| )] | ||
| pub enum DatabentoStatisticType { | ||
| OpeningPrice = 1, | ||
| IndicativeOpeningPrice = 2, | ||
| SettlementPrice = 3, | ||
| TradingSessionLowPrice = 4, | ||
| TradingSessionHighPrice = 5, | ||
| ClearedVolume = 6, | ||
| LowestOffer = 7, | ||
| HighestBid = 8, | ||
| OpenInterest = 9, | ||
| FixingPrice = 10, | ||
| ClosePrice = 11, | ||
| NetChange = 12, | ||
| Vwap = 13, | ||
| } | ||
|
|
||
| impl FromU8 for DatabentoStatisticType { | ||
| fn from_u8(value: u8) -> Option<Self> { | ||
| match value { | ||
| 1 => Some(Self::OpeningPrice), | ||
| 2 => Some(Self::IndicativeOpeningPrice), | ||
| 3 => Some(Self::SettlementPrice), | ||
| 4 => Some(Self::TradingSessionLowPrice), | ||
| 5 => Some(Self::TradingSessionHighPrice), | ||
| 6 => Some(Self::ClearedVolume), | ||
| 7 => Some(Self::LowestOffer), | ||
| 8 => Some(Self::HighestBid), | ||
| 9 => Some(Self::OpenInterest), | ||
| 10 => Some(Self::FixingPrice), | ||
| 11 => Some(Self::ClosePrice), | ||
| 12 => Some(Self::NetChange), | ||
| 13 => Some(Self::Vwap), | ||
| _ => None, | ||
| } | ||
| } | ||
| } | ||
|
|
||
| /// Represents a Databento statistic update action. | ||
| #[repr(C)] | ||
| #[derive( | ||
| Copy, | ||
| Clone, | ||
| Debug, | ||
| Display, | ||
| Hash, | ||
| PartialEq, | ||
| Eq, | ||
| PartialOrd, | ||
| Ord, | ||
| AsRefStr, | ||
| FromRepr, | ||
| EnumIter, | ||
| EnumString, | ||
| )] | ||
| #[strum(ascii_case_insensitive)] | ||
| #[strum(serialize_all = "SCREAMING_SNAKE_CASE")] | ||
| #[cfg_attr( | ||
| feature = "python", | ||
| pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.databento") | ||
| )] | ||
| pub enum DatabentoStatisticUpdateAction { | ||
| Added = 1, | ||
| Deleted = 2, | ||
| } | ||
|
|
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| impl FromU8 for DatabentoStatisticUpdateAction { | ||
| fn from_u8(value: u8) -> Option<Self> { | ||
| match value { | ||
| 1 => Some(Self::Added), | ||
| 2 => Some(Self::Deleted), | ||
| _ => None, | ||
| } | ||
| } | ||
| } | ||
|
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| enum_strum_serde!(DatabentoStatisticType); | ||
| enum_strum_serde!(DatabentoStatisticUpdateAction); |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
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@@ -15,6 +15,7 @@ | |
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| pub mod common; | ||
| pub mod decode; | ||
| pub mod enums; | ||
| pub mod live; | ||
| pub mod loader; | ||
| pub mod symbology; | ||
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