nautilus_model/instruments/
synthetic.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
16use std::{
17    collections::HashMap,
18    hash::{Hash, Hasher},
19};
20
21use derive_builder::Builder;
22use evalexpr::{ContextWithMutableVariables, HashMapContext, Node, Value};
23use nautilus_core::{UnixNanos, correctness::FAILED};
24use serde::{Deserialize, Serialize};
25
26use crate::{
27    identifiers::{InstrumentId, Symbol, Venue},
28    types::Price,
29};
30/// Represents a synthetic instrument with prices derived from component instruments using a
31/// formula.
32///
33/// The `id` for the synthetic will become `{symbol}.{SYNTH}`.
34#[derive(Clone, Debug, Builder)]
35#[cfg_attr(
36    feature = "python",
37    pyo3::pyclass(module = "posei_trader.core.nautilus_pyo3.model")
38)]
39pub struct SyntheticInstrument {
40    /// The unique identifier for the synthetic instrument.
41    pub id: InstrumentId,
42    /// The price precision for the synthetic instrument.
43    pub price_precision: u8,
44    /// The minimum price increment.
45    pub price_increment: Price,
46    /// The component instruments for the synthetic instrument.
47    pub components: Vec<InstrumentId>,
48    /// The derivation formula for the synthetic instrument.
49    pub formula: String,
50    /// UNIX timestamp (nanoseconds) when the data event occurred.
51    pub ts_event: UnixNanos,
52    /// UNIX timestamp (nanoseconds) when the data object was initialized.
53    pub ts_init: UnixNanos,
54    context: HashMapContext,
55    variables: Vec<String>,
56    operator_tree: Node,
57}
58
59impl Serialize for SyntheticInstrument {
60    fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
61    where
62        S: serde::Serializer,
63    {
64        use serde::ser::SerializeStruct;
65        let mut state = serializer.serialize_struct("SyntheticInstrument", 7)?;
66        state.serialize_field("id", &self.id)?;
67        state.serialize_field("price_precision", &self.price_precision)?;
68        state.serialize_field("price_increment", &self.price_increment)?;
69        state.serialize_field("components", &self.components)?;
70        state.serialize_field("formula", &self.formula)?;
71        state.serialize_field("ts_event", &self.ts_event)?;
72        state.serialize_field("ts_init", &self.ts_init)?;
73        state.end()
74    }
75}
76
77impl<'de> Deserialize<'de> for SyntheticInstrument {
78    fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>
79    where
80        D: serde::Deserializer<'de>,
81    {
82        #[derive(Deserialize)]
83        struct Fields {
84            id: InstrumentId,
85            price_precision: u8,
86            price_increment: Price,
87            components: Vec<InstrumentId>,
88            formula: String,
89            ts_event: UnixNanos,
90            ts_init: UnixNanos,
91        }
92
93        let fields = Fields::deserialize(deserializer)?;
94
95        let variables = fields.components.iter().map(ToString::to_string).collect();
96
97        let operator_tree =
98            evalexpr::build_operator_tree(&fields.formula).map_err(serde::de::Error::custom)?;
99
100        Ok(SyntheticInstrument {
101            id: fields.id,
102            price_precision: fields.price_precision,
103            price_increment: fields.price_increment,
104            components: fields.components,
105            formula: fields.formula,
106            ts_event: fields.ts_event,
107            ts_init: fields.ts_init,
108            context: HashMapContext::new(),
109            variables,
110            operator_tree,
111        })
112    }
113}
114
115impl SyntheticInstrument {
116    /// Creates a new [`SyntheticInstrument`] instance with correctness checking.
117    ///
118    /// # Notes
119    ///
120    /// PyO3 requires a `Result` type for proper error handling and stacktrace printing in Python.
121    /// # Errors
122    ///
123    /// Returns an error if any input validation fails.
124    pub fn new_checked(
125        symbol: Symbol,
126        price_precision: u8,
127        components: Vec<InstrumentId>,
128        formula: String,
129        ts_event: UnixNanos,
130        ts_init: UnixNanos,
131    ) -> anyhow::Result<Self> {
132        let price_increment = Price::new(10f64.powi(-i32::from(price_precision)), price_precision);
133
134        // Extract variables from the component instruments
135        let variables: Vec<String> = components.iter().map(ToString::to_string).collect();
136
137        let operator_tree = evalexpr::build_operator_tree(&formula)?;
138
139        Ok(Self {
140            id: InstrumentId::new(symbol, Venue::synthetic()),
141            price_precision,
142            price_increment,
143            components,
144            formula,
145            context: HashMapContext::new(),
146            variables,
147            operator_tree,
148            ts_event,
149            ts_init,
150        })
151    }
152
153    /// Creates a new [`SyntheticInstrument`] instance, parsing the given formula.
154    ///
155    /// # Panics
156    ///
157    /// Panics if the provided formula is invalid and cannot be parsed.
158    pub fn new(
159        symbol: Symbol,
160        price_precision: u8,
161        components: Vec<InstrumentId>,
162        formula: String,
163        ts_event: UnixNanos,
164        ts_init: UnixNanos,
165    ) -> Self {
166        Self::new_checked(
167            symbol,
168            price_precision,
169            components,
170            formula,
171            ts_event,
172            ts_init,
173        )
174        .expect(FAILED)
175    }
176
177    #[must_use]
178    pub fn is_valid_formula(&self, formula: &str) -> bool {
179        evalexpr::build_operator_tree(formula).is_ok()
180    }
181
182    /// # Errors
183    ///
184    /// Returns an error if parsing the new formula fails.
185    pub fn change_formula(&mut self, formula: String) -> anyhow::Result<()> {
186        let operator_tree = evalexpr::build_operator_tree(&formula)?;
187        self.formula = formula;
188        self.operator_tree = operator_tree;
189        Ok(())
190    }
191
192    /// Calculates the price of the synthetic instrument based on component input prices provided as a map.
193    ///
194    /// # Panics
195    ///
196    /// Panics if a required component price is missing from the input map,
197    /// or if setting the value in the evaluation context fails.
198    ///
199    /// # Errors
200    ///
201    /// Returns an error if formula evaluation fails.
202    pub fn calculate_from_map(&mut self, inputs: &HashMap<String, f64>) -> anyhow::Result<Price> {
203        let mut input_values = Vec::new();
204
205        for variable in &self.variables {
206            if let Some(&value) = inputs.get(variable) {
207                input_values.push(value);
208                self.context
209                    .set_value(variable.clone(), Value::Float(value))
210                    .expect("TODO: Unable to set value");
211            } else {
212                panic!("Missing price for component: {variable}");
213            }
214        }
215
216        self.calculate(&input_values)
217    }
218
219    /// Calculates the price of the synthetic instrument based on the given component input prices
220    /// provided as an array of `f64` values.
221    /// # Errors
222    ///
223    /// Returns an error if the input length does not match or formula evaluation fails.
224    pub fn calculate(&mut self, inputs: &[f64]) -> anyhow::Result<Price> {
225        if inputs.len() != self.variables.len() {
226            anyhow::bail!("Invalid number of input values");
227        }
228
229        for (variable, input) in self.variables.iter().zip(inputs) {
230            self.context
231                .set_value(variable.clone(), Value::Float(*input))?;
232        }
233
234        let result: Value = self.operator_tree.eval_with_context(&self.context)?;
235
236        match result {
237            Value::Float(price) => Ok(Price::new(price, self.price_precision)),
238            _ => anyhow::bail!("Failed to evaluate formula to a floating point number"),
239        }
240    }
241}
242
243impl PartialEq<Self> for SyntheticInstrument {
244    fn eq(&self, other: &Self) -> bool {
245        self.id == other.id
246    }
247}
248
249impl Eq for SyntheticInstrument {}
250
251impl Hash for SyntheticInstrument {
252    fn hash<H: Hasher>(&self, state: &mut H) {
253        self.id.hash(state);
254    }
255}
256
257////////////////////////////////////////////////////////////////////////////////
258// Tests
259///////////////////////////////////////////////////////////////////////////////
260#[cfg(test)]
261mod tests {
262    use rstest::rstest;
263
264    use super::*;
265
266    #[rstest]
267    fn test_calculate_from_map() {
268        let mut synth = SyntheticInstrument::default();
269        let mut inputs = HashMap::new();
270        inputs.insert("BTC.BINANCE".to_string(), 100.0);
271        inputs.insert("LTC.BINANCE".to_string(), 200.0);
272        let price = synth.calculate_from_map(&inputs).unwrap();
273
274        assert_eq!(price, Price::from("150.0"));
275        assert_eq!(
276            synth.formula,
277            "(BTC.BINANCE + LTC.BINANCE) / 2.0".to_string()
278        );
279    }
280
281    #[rstest]
282    fn test_calculate() {
283        let mut synth = SyntheticInstrument::default();
284        let inputs = vec![100.0, 200.0];
285        let price = synth.calculate(&inputs).unwrap();
286        assert_eq!(price, Price::from("150.0"));
287    }
288
289    #[rstest]
290    fn test_change_formula() {
291        let mut synth = SyntheticInstrument::default();
292        let new_formula = "(BTC.BINANCE + LTC.BINANCE) / 4".to_string();
293        synth.change_formula(new_formula.clone()).unwrap();
294
295        let mut inputs = HashMap::new();
296        inputs.insert("BTC.BINANCE".to_string(), 100.0);
297        inputs.insert("LTC.BINANCE".to_string(), 200.0);
298        let price = synth.calculate_from_map(&inputs).unwrap();
299
300        assert_eq!(price, Price::from("75.0"));
301        assert_eq!(synth.formula, new_formula);
302    }
303}
nautilus_model/instruments/synthetic.rs

nautilus_model/instruments/
synthetic.rs
