Refine core instruments

nautechsystems · Dec 29, 2023 · d56080e · d56080e
1 parent 7633268
commit d56080e
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Showing 28 changed files with 338 additions and 136 deletions.
diff --git a/nautilus_core/adapters/src/databento/parsing.rs b/nautilus_core/adapters/src/databento/parsing.rs
@@ -112,7 +112,7 @@ pub fn parse_raw_symbol_to_string(raw_symbol: [c_char; SYMBOL_CSTR_LEN]) -> Resu
 pub fn parse_equity(
     record: InstrumentDefMsg,
     instrument_id: InstrumentId,
-    _ts_init: UnixNanos,
+    ts_init: UnixNanos,
 ) -> Result<Equity> {
     // Use USD for all US equities venues for now
     let currency = Currency::USD();
@@ -131,9 +131,11 @@ pub fn parse_equity(
         dec!(0), // TBD
         dec!(0), // TBD
         Some(Quantity::new(record.min_lot_size_round_lot.into(), 0)?),
-        None, // TBD
-        None, // TBD
-        None, // TBD
-        None, // TBD
+        None,           // TBD
+        None,           // TBD
+        None,           // TBD
+        None,           // TBD
+        record.ts_recv, // More accurate and reliable timestamp
+        ts_init,
     )
 }
diff --git a/nautilus_core/model/src/ffi/instruments/mod.rs b/nautilus_core/model/src/ffi/instruments/mod.rs
@@ -0,0 +1,16 @@
+// -------------------------------------------------------------------------------------------------
+//  Copyright (C) 2015-2023 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.
+// -------------------------------------------------------------------------------------------------
+
+pub mod synthetic;
diff --git a/...re/model/src/instruments/synthetic_api.rs → ...re/model/src/ffi/instruments/synthetic.rs b/...re/model/src/instruments/synthetic_api.rs → ...re/model/src/ffi/instruments/synthetic.rs
@@ -27,9 +27,9 @@ use nautilus_core::{
     time::UnixNanos,
 };
 
-use super::synthetic::SyntheticInstrument;
 use crate::{
     identifiers::{instrument_id::InstrumentId, symbol::Symbol},
+    instruments::synthetic::SyntheticInstrument,
     types::price::{Price, ERROR_PRICE},
 };
 

diff --git a/nautilus_core/model/src/ffi/mod.rs b/nautilus_core/model/src/ffi/mod.rs
@@ -17,5 +17,6 @@ pub mod data;
 pub mod enums;
 pub mod events;
 pub mod identifiers;
+pub mod instruments;
 pub mod orderbook;
 pub mod types;
diff --git a/nautilus_core/model/src/instruments/crypto_future.rs b/nautilus_core/model/src/instruments/crypto_future.rs
@@ -59,6 +59,8 @@ pub struct CryptoFuture {
     pub min_notional: Option<Money>,
     pub max_price: Option<Price>,
     pub min_price: Option<Price>,
+    pub ts_event: UnixNanos,
+    pub ts_init: UnixNanos,
 }
 
 impl CryptoFuture {
@@ -86,6 +88,8 @@ impl CryptoFuture {
         min_notional: Option<Money>,
         max_price: Option<Price>,
         min_price: Option<Price>,
+        ts_event: UnixNanos,
+        ts_init: UnixNanos,
     ) -> Result<Self> {
         Ok(Self {
             id,
@@ -110,6 +114,8 @@ impl CryptoFuture {
             min_notional,
             max_price,
             min_price,
+            ts_event,
+            ts_init,
         })
     }
 }
@@ -217,6 +223,14 @@ impl Instrument for CryptoFuture {
     fn taker_fee(&self) -> Decimal {
         self.taker_fee
     }
+
+    fn ts_event(&self) -> UnixNanos {
+        self.ts_event
+    }
+
+    fn ts_init(&self) -> UnixNanos {
+        self.ts_init
+    }
 }
 
 ////////////////////////////////////////////////////////////////////////////////

diff --git a/nautilus_core/model/src/instruments/crypto_perpetual.rs b/nautilus_core/model/src/instruments/crypto_perpetual.rs
@@ -18,6 +18,7 @@
 use std::hash::{Hash, Hasher};
 
 use anyhow::Result;
+use nautilus_core::time::UnixNanos;
 use pyo3::prelude::*;
 use rust_decimal::Decimal;
 use serde::{Deserialize, Serialize};
@@ -57,6 +58,8 @@ pub struct CryptoPerpetual {
     pub min_notional: Option<Money>,
     pub max_price: Option<Price>,
     pub min_price: Option<Price>,
+    pub ts_event: UnixNanos,
+    pub ts_init: UnixNanos,
 }
 
 impl CryptoPerpetual {
@@ -83,6 +86,8 @@ impl CryptoPerpetual {
         min_notional: Option<Money>,
         max_price: Option<Price>,
         min_price: Option<Price>,
+        ts_event: UnixNanos,
+        ts_init: UnixNanos,
     ) -> Result<Self> {
         Ok(Self {
             id,
@@ -106,6 +111,8 @@ impl CryptoPerpetual {
             min_notional,
             max_price,
             min_price,
+            ts_event,
+            ts_init,
         })
     }
 }
@@ -212,6 +219,14 @@ impl Instrument for CryptoPerpetual {
     fn taker_fee(&self) -> Decimal {
         self.taker_fee
     }
+
+    fn ts_event(&self) -> UnixNanos {
+        self.ts_event
+    }
+
+    fn ts_init(&self) -> UnixNanos {
+        self.ts_init
+    }
 }
 
 ////////////////////////////////////////////////////////////////////////////////

diff --git a/nautilus_core/model/src/instruments/currency_pair.rs b/nautilus_core/model/src/instruments/currency_pair.rs
@@ -18,6 +18,7 @@
 use std::hash::{Hash, Hasher};
 
 use anyhow::Result;
+use nautilus_core::time::UnixNanos;
 use pyo3::prelude::*;
 use rust_decimal::Decimal;
 use serde::{Deserialize, Serialize};
@@ -53,6 +54,8 @@ pub struct CurrencyPair {
     pub min_quantity: Option<Quantity>,
     pub max_price: Option<Price>,
     pub min_price: Option<Price>,
+    pub ts_event: UnixNanos,
+    pub ts_init: UnixNanos,
 }
 
 impl CurrencyPair {
@@ -75,6 +78,8 @@ impl CurrencyPair {
         min_quantity: Option<Quantity>,
         max_price: Option<Price>,
         min_price: Option<Price>,
+        ts_event: UnixNanos,
+        ts_init: UnixNanos,
     ) -> Result<Self> {
         Ok(Self {
             id,
@@ -94,6 +99,8 @@ impl CurrencyPair {
             min_quantity,
             max_price,
             min_price,
+            ts_event,
+            ts_init,
         })
     }
 }
@@ -201,6 +208,14 @@ impl Instrument for CurrencyPair {
     fn taker_fee(&self) -> Decimal {
         self.taker_fee
     }
+
+    fn ts_event(&self) -> UnixNanos {
+        self.ts_event
+    }
+
+    fn ts_init(&self) -> UnixNanos {
+        self.ts_init
+    }
 }
 
 ////////////////////////////////////////////////////////////////////////////////

diff --git a/nautilus_core/model/src/instruments/equity.rs b/nautilus_core/model/src/instruments/equity.rs
@@ -18,6 +18,7 @@
 use std::hash::{Hash, Hasher};
 
 use anyhow::Result;
+use nautilus_core::time::UnixNanos;
 use pyo3::prelude::*;
 use rust_decimal::Decimal;
 use serde::{Deserialize, Serialize};
@@ -53,6 +54,8 @@ pub struct Equity {
     pub min_quantity: Option<Quantity>,
     pub max_price: Option<Price>,
     pub min_price: Option<Price>,
+    pub ts_event: UnixNanos,
+    pub ts_init: UnixNanos,
 }
 
 impl Equity {
@@ -74,6 +77,8 @@ impl Equity {
         min_quantity: Option<Quantity>,
         max_price: Option<Price>,
         min_price: Option<Price>,
+        ts_event: UnixNanos,
+        ts_init: UnixNanos,
     ) -> Result<Self> {
         Ok(Self {
             id,
@@ -92,6 +97,8 @@ impl Equity {
             min_quantity,
             max_price,
             min_price,
+            ts_event,
+            ts_init,
         })
     }
 }
@@ -198,6 +205,14 @@ impl Instrument for Equity {
     fn taker_fee(&self) -> Decimal {
         self.taker_fee
     }
+
+    fn ts_event(&self) -> UnixNanos {
+        self.ts_event
+    }
+
+    fn ts_init(&self) -> UnixNanos {
+        self.ts_init
+    }
 }
 
 ////////////////////////////////////////////////////////////////////////////////

diff --git a/nautilus_core/model/src/instruments/futures_contract.rs b/nautilus_core/model/src/instruments/futures_contract.rs
@@ -56,6 +56,8 @@ pub struct FuturesContract {
     pub min_quantity: Option<Quantity>,
     pub max_price: Option<Price>,
     pub min_price: Option<Price>,
+    pub ts_event: UnixNanos,
+    pub ts_init: UnixNanos,
 }
 
 impl FuturesContract {
@@ -80,6 +82,8 @@ impl FuturesContract {
         min_quantity: Option<Quantity>,
         max_price: Option<Price>,
         min_price: Option<Price>,
+        ts_event: UnixNanos,
+        ts_init: UnixNanos,
     ) -> Result<Self> {
         Ok(Self {
             id,
@@ -101,6 +105,8 @@ impl FuturesContract {
             min_quantity,
             max_price,
             min_price,
+            ts_event,
+            ts_init,
         })
     }
 }
@@ -207,6 +213,14 @@ impl Instrument for FuturesContract {
     fn taker_fee(&self) -> Decimal {
         self.taker_fee
     }
+
+    fn ts_event(&self) -> UnixNanos {
+        self.ts_event
+    }
+
+    fn ts_init(&self) -> UnixNanos {
+        self.ts_init
+    }
 }
 
 ////////////////////////////////////////////////////////////////////////////////

diff --git a/nautilus_core/model/src/instruments/mod.rs b/nautilus_core/model/src/instruments/mod.rs
@@ -20,12 +20,12 @@ pub mod equity;
 pub mod futures_contract;
 pub mod options_contract;
 pub mod synthetic;
-pub mod synthetic_api;
 
 #[cfg(feature = "stubs")]
 pub mod stubs;
 
 use anyhow::Result;
+use nautilus_core::time::UnixNanos;
 use rust_decimal::Decimal;
 
 use crate::{
@@ -63,6 +63,8 @@ pub trait Instrument {
     fn margin_maint(&self) -> Decimal;
     fn maker_fee(&self) -> Decimal;
     fn taker_fee(&self) -> Decimal;
+    fn ts_event(&self) -> UnixNanos;
+    fn ts_init(&self) -> UnixNanos;
 
     /// Creates a new price from the given `value` with the correct price precision for the instrument.
     fn make_price(&self, value: f64) -> Result<Price> {

diff --git a/nautilus_core/model/src/instruments/options_contract.rs b/nautilus_core/model/src/instruments/options_contract.rs
@@ -57,6 +57,8 @@ pub struct OptionsContract {
     pub min_quantity: Option<Quantity>,
     pub max_price: Option<Price>,
     pub min_price: Option<Price>,
+    pub ts_event: UnixNanos,
+    pub ts_init: UnixNanos,
 }
 
 impl OptionsContract {
@@ -82,6 +84,8 @@ impl OptionsContract {
         min_quantity: Option<Quantity>,
         max_price: Option<Price>,
         min_price: Option<Price>,
+        ts_event: UnixNanos,
+        ts_init: UnixNanos,
     ) -> Result<Self> {
         Ok(Self {
             id,
@@ -104,6 +108,8 @@ impl OptionsContract {
             margin_maint,
             maker_fee,
             taker_fee,
+            ts_event,
+            ts_init,
         })
     }
 }
@@ -210,6 +216,14 @@ impl Instrument for OptionsContract {
     fn taker_fee(&self) -> Decimal {
         self.taker_fee
     }
+
+    fn ts_event(&self) -> UnixNanos {
+        self.ts_event
+    }
+
+    fn ts_init(&self) -> UnixNanos {
+        self.ts_init
+    }
 }
 
 ////////////////////////////////////////////////////////////////////////////////