Improve exchange field description and docs

nautechsystems · Mar 14, 2024 · ddf2369 · ddf2369
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Showing 13 changed files with 15 additions and 14 deletions.
diff --git a/docs/integrations/databento.md b/docs/integrations/databento.md
@@ -87,14 +87,15 @@ by either the original source venue, or internally by Databento during normaliza
 It's important to realize that this is different to the Nautilus `InstrumentId`
 which is a string made up of a symbol + venue with a period separator i.e. `"{symbol}.{venue}"`.
 
-The Nautilus decoder will use the Databento `raw_symbol` for the Nautilus `symbol` and an [ISO 10383 MIC](https://www.iso20022.org/market-identifier-codes) (Market Identification Code)
+The Nautilus decoder will use the Databento `raw_symbol` for the Nautilus `symbol` and an [ISO 10383 MIC](https://www.iso20022.org/market-identifier-codes) (Market Identifier Code)
 from the Databento instrument definition message for the Nautilus `venue`.
 
 Databento datasets are identified with a *dataset code* which is not the same
 as a venue identifier. You can read more about Databento dataset naming conventions [here](https://docs.databento.com/api-reference-historical/basics/datasets).
 
 Of particular note is for CME Globex MDP 3.0 data (`GLBX.MDP3` dataset code), the following
-exchanges are all grouped under the `GLBX` venue:
+exchanges are all grouped under the `GLBX` venue. These mappings can be determined from the
+instruments `exchange` field:
 - `CBCM` - **XCME-XCBT inter-exchange spread**
 - `NYUM` - **XNYM-DUMX inter-exchange spread**
 - `XCBT` - **Chicago Board of Trade (CBOT)**

diff --git a/nautilus_core/model/src/instruments/futures_contract.rs b/nautilus_core/model/src/instruments/futures_contract.rs
@@ -41,7 +41,7 @@ pub struct FuturesContract {
     pub id: InstrumentId,
     pub raw_symbol: Symbol,
     pub asset_class: AssetClass,
-    /// The exchanges ISO 10383 Market Identifier Code (MIC) where the instrument trades.
+    /// The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
     pub exchange: Option<Ustr>,
     pub underlying: Ustr,
     pub activation_ns: UnixNanos,

diff --git a/nautilus_core/model/src/instruments/futures_spread.rs b/nautilus_core/model/src/instruments/futures_spread.rs
@@ -41,7 +41,7 @@ pub struct FuturesSpread {
     pub id: InstrumentId,
     pub raw_symbol: Symbol,
     pub asset_class: AssetClass,
-    /// The exchanges ISO 10383 Market Identifier Code (MIC) where the instrument trades.
+    /// The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
     pub exchange: Option<Ustr>,
     pub underlying: Ustr,
     pub strategy_type: Ustr,

diff --git a/nautilus_core/model/src/instruments/options_contract.rs b/nautilus_core/model/src/instruments/options_contract.rs
@@ -41,7 +41,7 @@ pub struct OptionsContract {
     pub id: InstrumentId,
     pub raw_symbol: Symbol,
     pub asset_class: AssetClass,
-    /// The exchanges ISO 10383 Market Identifier Code (MIC) where the instrument trades.
+    /// The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
     pub exchange: Option<Ustr>,
     pub underlying: Ustr,
     pub option_kind: OptionKind,

diff --git a/nautilus_core/model/src/instruments/options_spread.rs b/nautilus_core/model/src/instruments/options_spread.rs
@@ -41,7 +41,7 @@ pub struct OptionsSpread {
     pub id: InstrumentId,
     pub raw_symbol: Symbol,
     pub asset_class: AssetClass,
-    /// The exchanges ISO 10383 Market Identifier Code (MIC) where the instrument trades.
+    /// The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
     pub exchange: Option<Ustr>,
     pub underlying: Ustr,
     pub strategy_type: Ustr,

diff --git a/nautilus_trader/model/instruments/futures_contract.pxd b/nautilus_trader/model/instruments/futures_contract.pxd
@@ -20,7 +20,7 @@ from nautilus_trader.model.instruments.base cimport Instrument
 
 cdef class FuturesContract(Instrument):
     cdef readonly str exchange
-    """The exchanges ISO 10383 Market Identifier Code (MIC) where the instrument trades.\n\n:returns: `str` or ``None``"""
+    """The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.\n\n:returns: `str` or ``None``"""
     cdef readonly str underlying
     """The underlying asset for the contract.\n\n:returns: `str`"""
     cdef readonly uint64_t activation_ns

diff --git a/nautilus_trader/model/instruments/futures_contract.pyx b/nautilus_trader/model/instruments/futures_contract.pyx
@@ -69,7 +69,7 @@ cdef class FuturesContract(Instrument):
     ts_init : uint64_t
         The UNIX timestamp (nanoseconds) when the data object was initialized.
     exchange : str, optional
-        The instruments ISO 10383 Market Identifier Code (MIC).
+        The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
     info : dict[str, object], optional
         The additional instrument information.
 

diff --git a/nautilus_trader/model/instruments/futures_spread.pxd b/nautilus_trader/model/instruments/futures_spread.pxd
@@ -20,7 +20,7 @@ from nautilus_trader.model.instruments.base cimport Instrument
 
 cdef class FuturesSpread(Instrument):
     cdef readonly str exchange
-    """The exchanges ISO 10383 Market Identifier Code (MIC) where the instrument trades.\n\n:returns: `str` or ``None``"""
+    """The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.\n\n:returns: `str` or ``None``"""
     cdef readonly str underlying
     """The underlying asset for the spread.\n\n:returns: `str`"""
     cdef readonly str strategy_type

diff --git a/nautilus_trader/model/instruments/futures_spread.pyx b/nautilus_trader/model/instruments/futures_spread.pyx
@@ -71,7 +71,7 @@ cdef class FuturesSpread(Instrument):
     ts_init : uint64_t
         The UNIX timestamp (nanoseconds) when the data object was initialized.
     exchange : str, optional
-        The instruments ISO 10383 Market Identifier Code (MIC).
+        The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
     info : dict[str, object], optional
         The additional instrument information.
 

diff --git a/nautilus_trader/model/instruments/options_contract.pxd b/nautilus_trader/model/instruments/options_contract.pxd
@@ -22,7 +22,7 @@ from nautilus_trader.model.objects cimport Price
 
 cdef class OptionsContract(Instrument):
     cdef readonly str exchange
-    """The exchanges ISO 10383 Market Identifier Code (MIC) where the instrument trades.\n\n:returns: `str` or ``None``"""
+    """The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.\n\n:returns: `str` or ``None``"""
     cdef readonly str underlying
     """The underlying asset for the contract.\n\n:returns: `str`"""
     cdef readonly OptionKind option_kind

diff --git a/nautilus_trader/model/instruments/options_contract.pyx b/nautilus_trader/model/instruments/options_contract.pyx
@@ -76,7 +76,7 @@ cdef class OptionsContract(Instrument):
     ts_init : uint64_t
         The UNIX timestamp (nanoseconds) when the data object was initialized.
     exchange : str, optional
-        The instruments ISO 10383 Market Identifier Code (MIC).
+        The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
     info : dict[str, object], optional
         The additional instrument information.
 

diff --git a/nautilus_trader/model/instruments/options_spread.pxd b/nautilus_trader/model/instruments/options_spread.pxd
@@ -22,7 +22,7 @@ from nautilus_trader.model.objects cimport Price
 
 cdef class OptionsSpread(Instrument):
     cdef readonly str exchange
-    """The exchanges ISO 10383 Market Identifier Code (MIC) where the instrument trades.\n\n:returns: `str` or ``None``"""
+    """The exchang ISO 10383 Market Identifier Code (MIC) where the instrument trades.\n\n:returns: `str` or ``None``"""
     cdef readonly str underlying
     """The underlying asset for the contract.\n\n:returns: `str`"""
     cdef readonly str strategy_type

diff --git a/nautilus_trader/model/instruments/options_spread.pyx b/nautilus_trader/model/instruments/options_spread.pyx
@@ -72,7 +72,7 @@ cdef class OptionsSpread(Instrument):
     ts_init : uint64_t
         The UNIX timestamp (nanoseconds) when the data object was initialized.
     exchange : str, optional
-        The instruments ISO 10383 Market Identifier Code (MIC).
+        The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
     info : dict[str, object], optional
         The additional instrument information.