Equity pyo3 Rust Cython conversion (#1542)

nautilus_core/adapters/src/databento/decode.rs

@@ -198,6 +198,10 @@ pub fn decode_equity_v1(
         currency,
         currency.precision,
         decode_price(msg.min_price_increment, currency.precision)?,
+        None, // TBD
+        None, // TBD
+        None, // TBD
+        None, // TBD
         Some(Quantity::new(msg.min_lot_size_round_lot.into(), 0)?),
         None,        // TBD
         None,        // TBD
@@ -743,6 +747,10 @@ pub fn decode_equity(
         currency,
         currency.precision,
         decode_price(msg.min_price_increment, currency.precision)?,
+        None, // TBD
+        None, // TBD
+        None, // TBD
+        None, // TBD
         Some(Quantity::new(msg.min_lot_size_round_lot.into(), 0)?),
         None,        // TBD
         None,        // TBD

nautilus_core/model/src/instruments/equity.rs

@@ -20,6 +20,7 @@ use std::{
 
 use anyhow::Result;
 use nautilus_core::time::UnixNanos;
+use rust_decimal::Decimal;
 use serde::{Deserialize, Serialize};
 use ustr::Ustr;
 
@@ -45,6 +46,10 @@ pub struct Equity {
     pub currency: Currency,
     pub price_precision: u8,
     pub price_increment: Price,
+    pub maker_fee: Decimal,
+    pub taker_fee: Decimal,
+    pub margin_init: Decimal,
+    pub margin_maint: Decimal,
     pub lot_size: Option<Quantity>,
     pub max_quantity: Option<Quantity>,
     pub min_quantity: Option<Quantity>,
@@ -63,6 +68,10 @@ impl Equity {
         currency: Currency,
         price_precision: u8,
         price_increment: Price,
+        maker_fee: Option<Decimal>,
+        taker_fee: Option<Decimal>,
+        margin_init: Option<Decimal>,
+        margin_maint: Option<Decimal>,
         lot_size: Option<Quantity>,
         max_quantity: Option<Quantity>,
         min_quantity: Option<Quantity>,
@@ -78,6 +87,10 @@ impl Equity {
             currency,
             price_precision,
             price_increment,
+            maker_fee: maker_fee.unwrap_or(0.into()),
+            taker_fee: taker_fee.unwrap_or(0.into()),
+            margin_init: margin_init.unwrap_or(0.into()),
+            margin_maint: margin_maint.unwrap_or(0.into()),
             lot_size,
             max_quantity,
             min_quantity,

nautilus_core/model/src/instruments/stubs.rs

@@ -278,7 +278,11 @@ pub fn equity_aapl() -> Equity {
         Currency::from("USD"),
         2,
         Price::from("0.01"),
-        Some(Quantity::from(1)),
+        None,
+        None,
+        None,
+        None,
+        None,
         None,
         None,
         None,

nautilus_core/model/src/python/instruments/equity.rs

@@ -23,6 +23,7 @@ use nautilus_core::{
     time::UnixNanos,
 };
 use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
+use rust_decimal::Decimal;
 use ustr::Ustr;
 
 use crate::{
@@ -43,6 +44,10 @@ impl Equity {
         price_increment: Price,
         ts_event: UnixNanos,
         ts_init: UnixNanos,
+        maker_fee: Option<Decimal>,
+        taker_fee: Option<Decimal>,
+        margin_init: Option<Decimal>,
+        margin_maint: Option<Decimal>,
         isin: Option<String>,
         lot_size: Option<Quantity>,
         max_quantity: Option<Quantity>,
@@ -57,6 +62,10 @@ impl Equity {
             currency,
             price_precision,
             price_increment,
+            maker_fee,
+            taker_fee,
+            margin_init,
+            margin_maint,
             lot_size,
             max_quantity,
             min_quantity,
@@ -185,6 +194,10 @@ impl Equity {
         dict.set_item("price_increment", self.price_increment.to_string())?;
         dict.set_item("ts_event", self.ts_event)?;
         dict.set_item("ts_init", self.ts_init)?;
+        dict.set_item("maker_fee", self.maker_fee.to_string())?;
+        dict.set_item("taker_fee", self.taker_fee.to_string())?;
+        dict.set_item("margin_init", self.margin_init.to_string())?;
+        dict.set_item("margin_maint", self.margin_maint.to_string())?;
         match &self.isin {
             Some(value) => dict.set_item("isin", value.to_string())?,
             None => dict.set_item("isin", py.None())?,

nautilus_trader/core/nautilus_pyo3.pyi

@@ -1206,6 +1206,8 @@ class Equity:
         max_price: Price | None = None,
         min_price: Price | None = None,
     ) -> None: ...
+    @classmethod
+    def from_dict(cls, values: dict[str, str]) -> Equity: ...
     @property
     def id(self) -> InstrumentId: ...
     @property

nautilus_trader/model/instruments/equity.pyx

@@ -91,6 +91,8 @@ cdef class Equity(Instrument):
         margin_maint: Decimal | None = None,
         maker_fee: Decimal | None = None,
         taker_fee: Decimal | None = None,
+        max_quantity: Quantity | None = None,
+        min_quantity: Quantity | None = None,
         dict info = None,
     ):
         if isin is not None:
@@ -108,8 +110,8 @@ cdef class Equity(Instrument):
             size_increment=Quantity.from_int_c(1),
             multiplier=Quantity.from_int_c(1),
             lot_size=lot_size,
-            max_quantity=None,
-            min_quantity=Quantity.from_int_c(1),
+            max_quantity=max_quantity,
+            min_quantity=min_quantity,
             max_notional=None,
             min_notional=None,
             max_price=None,
@@ -135,10 +137,10 @@ cdef class Equity(Instrument):
             price_increment=Price.from_str(values["price_increment"]),
             lot_size=Quantity.from_str(values["lot_size"]),
             isin=values.get("isin"),  # Can be None,
-            margin_init=Decimal(values.get("margin_init", 0)),  # Can be None,
-            margin_maint=Decimal(values.get("margin_maint", 0)),  # Can be None,
-            maker_fee=Decimal(values.get("maker_fee", 0)),  # Can be None,
-            taker_fee=Decimal(values.get("taker_fee", 0)),  # Can be None,
+            margin_init=Decimal(values.get("margin_init", 0)) if values.get("margin_init") is not None else None,
+            margin_maint=Decimal(values.get("margin_maint", 0)) if values.get("margin_maint") is not None else None,
+            maker_fee=Decimal(values.get("maker_fee", 0)) if values.get("maker_fee") is not None else None,
+            taker_fee=Decimal(values.get("taker_fee", 0))  if values.get("taker_fee") is not None else None,
             ts_event=values["ts_event"],
             ts_init=values["ts_init"],
         )
@@ -159,6 +161,10 @@ cdef class Equity(Instrument):
             "margin_maint": str(obj.margin_maint),
             "maker_fee": str(obj.maker_fee),
             "taker_fee": str(obj.taker_fee),
+            "min_price": str(obj.min_price) if obj.min_price is not None else None,
+            "max_price": str(obj.max_price) if obj.max_price is not None else None,
+            "max_quantity": str(obj.max_quantity) if obj.max_quantity is not None else None,
+            "min_quantity": str(obj.min_quantity) if obj.min_quantity is not None else None,
             "ts_event": obj.ts_event,
             "ts_init": obj.ts_init,
         }

tests/unit_tests/model/instruments/test_equity_pyo3.py

@@ -13,9 +13,9 @@
 #  limitations under the License.
 # -------------------------------------------------------------------------------------------------
 
-from nautilus_trader.core.nautilus_pyo3 import Equity
+from nautilus_trader.core import nautilus_pyo3
 from nautilus_trader.core.nautilus_pyo3 import InstrumentId
-from nautilus_trader.model.instruments import Equity as LegacyEquity
+from nautilus_trader.model.instruments import Equity
 from nautilus_trader.test_kit.rust.instruments_pyo3 import TestInstrumentProviderPyo3
 
 
@@ -38,7 +38,7 @@ def test_hash():
 
 def test_to_dict():
     result = _AAPL_EQUITY.to_dict()
-    assert Equity.from_dict(result) == _AAPL_EQUITY
+    assert nautilus_pyo3.Equity.from_dict(result) == _AAPL_EQUITY
     assert result == {
         "type": "Equity",
         "id": "AAPL.XNAS",
@@ -47,6 +47,10 @@ def test_to_dict():
         "currency": "USD",
         "price_precision": 2,
         "price_increment": "0.01",
+        "maker_fee": "0",
+        "taker_fee": "0",
+        "margin_init": "0",
+        "margin_maint": "0",
         "lot_size": "100",
         "max_quantity": None,
         "min_quantity": None,
@@ -58,6 +62,16 @@ def test_to_dict():
 
 
 def test_legacy_equity_from_pyo3():
-    equity = LegacyEquity.from_pyo3(_AAPL_EQUITY)
+    equity = Equity.from_pyo3(_AAPL_EQUITY)
 
     assert equity.id.value == "AAPL.XNAS"
+
+
+def test_pyo3_cython_conversion():
+    equity_pyo3 = TestInstrumentProviderPyo3.aapl_equity()
+    equity_pyo3_dict = equity_pyo3.to_dict()
+    equity_cython = Equity.from_pyo3(equity_pyo3)
+    equity_cython_dict = Equity.to_dict(equity_cython)
+    equity_pyo3_back = nautilus_pyo3.Equity.from_dict(equity_cython_dict)
+    assert equity_cython_dict == equity_pyo3_dict
+    assert equity_pyo3 == equity_pyo3_back

tests/unit_tests/model/test_instrument.py

@@ -237,6 +237,10 @@ def test_equity_instrument_to_dict(self):
             "price_precision": 2,
             "price_increment": "0.01",
             "lot_size": "100",
+            "max_price": None,
+            "max_quantity": None,
+            "min_price": None,
+            "min_quantity": None,
             "isin": "US0378331005",
             "margin_init": "0",
             "margin_maint": "0",