nautilus_model/python/
mod.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Posei Systems Pty Ltd. All rights reserved.
3//  https://poseitrader.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16//! Python bindings from [PyO3](https://pyo3.rs).
17
18use pyo3::prelude::*;
19
20pub mod account;
21pub mod common;
22pub mod data;
23pub mod enums;
24pub mod events;
25pub mod identifiers;
26pub mod instruments;
27pub mod macros;
28pub mod orderbook;
29pub mod orders;
30pub mod position;
31pub mod reports;
32pub mod types;
33
34/// Loaded as nautilus_pyo3.model
35///
36/// # Errors
37///
38/// Returns a `PyErr` if registering any module components fails.
39///
40/// # Panics
41///
42/// Panics if inserting classes or functions into the Python module unexpectedly fails.
43#[pymodule]
44pub fn model(_: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
45    // Types
46    m.add("HIGH_PRECISION", crate::types::fixed::HIGH_PRECISION_MODE)?;
47    m.add("FIXED_SCALAR", crate::types::fixed::FIXED_SCALAR)?;
48    m.add("FIXED_PRECISION", crate::types::fixed::FIXED_PRECISION)?;
49    m.add("PRECISION_BYTES", crate::types::fixed::PRECISION_BYTES)?;
50    m.add_class::<crate::types::currency::Currency>()?;
51    m.add_class::<crate::types::money::Money>()?;
52    m.add_class::<crate::types::price::Price>()?;
53    m.add_class::<crate::types::quantity::Quantity>()?;
54    m.add_class::<crate::types::balance::AccountBalance>()?;
55    m.add_class::<crate::types::balance::MarginBalance>()?;
56    // Data
57    m.add_function(wrap_pyfunction!(data::drop_cvec_pycapsule, m)?)?;
58    m.add_class::<crate::data::DataType>()?;
59    m.add_class::<crate::data::bar::BarSpecification>()?;
60    m.add_class::<crate::data::bar::BarType>()?;
61    m.add_class::<crate::data::bar::Bar>()?;
62    m.add_class::<crate::data::bet::Bet>()?;
63    m.add_class::<crate::data::bet::BetPosition>()?;
64    m.add_class::<crate::data::order::BookOrder>()?;
65    m.add_class::<crate::data::prices::MarkPriceUpdate>()?;
66    m.add_class::<crate::data::prices::IndexPriceUpdate>()?;
67    m.add_class::<crate::data::delta::OrderBookDelta>()?;
68    m.add_class::<crate::data::deltas::OrderBookDeltas>()?;
69    m.add_class::<crate::data::depth::OrderBookDepth10>()?;
70    m.add_class::<crate::data::greeks::BlackScholesGreeksResult>()?;
71    m.add_class::<crate::data::greeks::ImplyVolAndGreeksResult>()?;
72    m.add_class::<crate::data::quote::QuoteTick>()?;
73    m.add_class::<crate::data::status::InstrumentStatus>()?;
74    m.add_class::<crate::data::trade::TradeTick>()?;
75    m.add_class::<crate::data::close::InstrumentClose>()?;
76    m.add_function(wrap_pyfunction!(
77        crate::python::data::greeks::py_black_scholes_greeks,
78        m
79    )?)?;
80    m.add_function(wrap_pyfunction!(
81        crate::python::data::greeks::py_imply_vol,
82        m
83    )?)?;
84    m.add_function(wrap_pyfunction!(
85        crate::python::data::greeks::py_imply_vol_and_greeks,
86        m
87    )?)?;
88    // Enums
89    m.add_class::<crate::enums::AccountType>()?;
90    m.add_class::<crate::enums::AggregationSource>()?;
91    m.add_class::<crate::enums::AggressorSide>()?;
92    m.add_class::<crate::enums::AssetClass>()?;
93    m.add_class::<crate::enums::InstrumentClass>()?;
94    m.add_class::<crate::enums::BarAggregation>()?;
95    m.add_class::<crate::enums::BetSide>()?;
96    m.add_class::<crate::enums::BookAction>()?;
97    m.add_class::<crate::enums::BookType>()?;
98    m.add_class::<crate::enums::ContingencyType>()?;
99    m.add_class::<crate::enums::CurrencyType>()?;
100    m.add_class::<crate::enums::InstrumentCloseType>()?;
101    m.add_class::<crate::enums::LiquiditySide>()?;
102    m.add_class::<crate::enums::MarketStatus>()?;
103    m.add_class::<crate::enums::MarketStatusAction>()?;
104    m.add_class::<crate::enums::OmsType>()?;
105    m.add_class::<crate::enums::OptionKind>()?;
106    m.add_class::<crate::enums::OrderSide>()?;
107    m.add_class::<crate::enums::OrderStatus>()?;
108    m.add_class::<crate::enums::OrderType>()?;
109    m.add_class::<crate::enums::PositionSide>()?;
110    m.add_class::<crate::enums::PriceType>()?;
111    m.add_class::<crate::enums::TimeInForce>()?;
112    m.add_class::<crate::enums::TradingState>()?;
113    m.add_class::<crate::enums::TrailingOffsetType>()?;
114    m.add_class::<crate::enums::TriggerType>()?;
115    // Identifiers
116    m.add_class::<crate::identifiers::AccountId>()?;
117    m.add_class::<crate::identifiers::ClientId>()?;
118    m.add_class::<crate::identifiers::ClientOrderId>()?;
119    m.add_class::<crate::identifiers::ComponentId>()?;
120    m.add_class::<crate::identifiers::ExecAlgorithmId>()?;
121    m.add_class::<crate::identifiers::InstrumentId>()?;
122    m.add_class::<crate::identifiers::OrderListId>()?;
123    m.add_class::<crate::identifiers::PositionId>()?;
124    m.add_class::<crate::identifiers::StrategyId>()?;
125    m.add_class::<crate::identifiers::Symbol>()?;
126    m.add_class::<crate::identifiers::TradeId>()?;
127    m.add_class::<crate::identifiers::TraderId>()?;
128    m.add_class::<crate::identifiers::Venue>()?;
129    m.add_class::<crate::identifiers::VenueOrderId>()?;
130    // Orders
131    m.add_class::<crate::orders::LimitOrder>()?;
132    m.add_class::<crate::orders::LimitIfTouchedOrder>()?;
133    m.add_class::<crate::orders::MarketOrder>()?;
134    m.add_class::<crate::orders::MarketToLimitOrder>()?;
135    m.add_class::<crate::orders::StopLimitOrder>()?;
136    m.add_class::<crate::orders::StopMarketOrder>()?;
137    m.add_class::<crate::orders::TrailingStopLimitOrder>()?;
138    m.add_class::<crate::orders::TrailingStopMarketOrder>()?;
139    // Reports
140    m.add_class::<crate::reports::fill::FillReport>()?;
141    m.add_class::<crate::reports::order::OrderStatusReport>()?;
142    m.add_class::<crate::reports::position::PositionStatusReport>()?;
143    m.add_class::<crate::reports::mass_status::ExecutionMassStatus>()?;
144    // Position
145    m.add_class::<crate::position::Position>()?;
146    // Instruments
147    m.add_class::<crate::instruments::BettingInstrument>()?;
148    m.add_class::<crate::instruments::BinaryOption>()?;
149    m.add_class::<crate::instruments::CryptoFuture>()?;
150    m.add_class::<crate::instruments::CryptoOption>()?;
151    m.add_class::<crate::instruments::CryptoPerpetual>()?;
152    m.add_class::<crate::instruments::CurrencyPair>()?;
153    m.add_class::<crate::instruments::Equity>()?;
154    m.add_class::<crate::instruments::FuturesContract>()?;
155    m.add_class::<crate::instruments::FuturesSpread>()?;
156    m.add_class::<crate::instruments::OptionContract>()?;
157    m.add_class::<crate::instruments::OptionSpread>()?;
158    m.add_class::<crate::instruments::SyntheticInstrument>()?;
159    // Order book
160    m.add_class::<crate::orderbook::book::OrderBook>()?;
161    m.add_class::<crate::orderbook::level::BookLevel>()?;
162    m.add_function(wrap_pyfunction!(
163        crate::python::orderbook::book::py_update_book_with_quote_tick,
164        m
165    )?)?;
166    m.add_function(wrap_pyfunction!(
167        crate::python::orderbook::book::py_update_book_with_trade_tick,
168        m
169    )?)?;
170    m.add_class::<crate::orderbook::own::OwnOrderBook>()?;
171    m.add_class::<crate::orderbook::own::OwnBookOrder>()?;
172    // Events
173    m.add_class::<crate::events::AccountState>()?;
174    m.add_class::<crate::events::OrderDenied>()?;
175    m.add_class::<crate::events::OrderFilled>()?;
176    m.add_class::<crate::events::OrderInitialized>()?;
177    m.add_class::<crate::events::OrderRejected>()?;
178    m.add_class::<crate::events::OrderTriggered>()?;
179    m.add_class::<crate::events::OrderSubmitted>()?;
180    m.add_class::<crate::events::OrderEmulated>()?;
181    m.add_class::<crate::events::OrderReleased>()?;
182    m.add_class::<crate::events::OrderUpdated>()?;
183    m.add_class::<crate::events::OrderPendingUpdate>()?;
184    m.add_class::<crate::events::OrderPendingCancel>()?;
185    m.add_class::<crate::events::OrderModifyRejected>()?;
186    m.add_class::<crate::events::OrderAccepted>()?;
187    m.add_class::<crate::events::OrderCancelRejected>()?;
188    m.add_class::<crate::events::OrderCanceled>()?;
189    m.add_class::<crate::events::OrderExpired>()?;
190    m.add_class::<crate::events::OrderSnapshot>()?;
191    m.add_class::<crate::events::PositionSnapshot>()?;
192    // Accounts
193    m.add_class::<crate::accounts::CashAccount>()?;
194    m.add_class::<crate::accounts::MarginAccount>()?;
195    m.add_function(wrap_pyfunction!(
196        crate::python::account::transformer::cash_account_from_account_events,
197        m
198    )?)?;
199    m.add_function(wrap_pyfunction!(
200        crate::python::account::transformer::margin_account_from_account_events,
201        m
202    )?)?;
203    m.add_function(wrap_pyfunction!(
204        crate::python::data::bet::py_calc_bets_pnl,
205        m
206    )?)?;
207    m.add_function(wrap_pyfunction!(
208        crate::python::data::bet::py_probability_to_bet,
209        m
210    )?)?;
211    m.add_function(wrap_pyfunction!(
212        crate::python::data::bet::py_inverse_probability_to_bet,
213        m
214    )?)?;
215    Ok(())
216}
nautilus_model/python/mod.rs

nautilus_model/python/
mod.rs
