Standardize instruments between Python and Rust

cjdsellers · cjdsellers · commit 65cc3a56918b · 2025-10-24T15:20:09.000+10:00
- Fix CryptoPerpetual/Future/Option for multiplier and is_inverse
- Fix OKX swap to use lot_sz
- Fix OKX option parser to create `CryptoOption`
- Fix PyO3 &lt;-&gt; Cython bridges to propagate all fields
- Add test coverage with additional field assertions
diff --git a/crates/adapters/okx/src/common/parse.rs b/crates/adapters/okx/src/common/parse.rs
diff --git a/crates/adapters/okx/src/websocket/parse.rs b/crates/adapters/okx/src/websocket/parse.rs
@@ -90,7 +90,7 @@ fn extract_fees_from_cached_instrument(
             Some(future.maker_fee),
             Some(future.taker_fee),
         ),
-        InstrumentAny::OptionContract(option) => (
+        InstrumentAny::CryptoOption(option) => (
             Some(option.margin_init),
             Some(option.margin_maint),
             Some(option.maker_fee),
diff --git a/crates/adapters/okx/test_data/http_get_instruments_swap.json b/crates/adapters/okx/test_data/http_get_instruments_swap.json
@@ -7,13 +7,16 @@
       "auctionEndTime": "",
       "baseCcy": "",
       "category": "1",
+      "contTdSwTime": "",
       "ctMult": "1",
       "ctType": "inverse",
       "ctVal": "100",
       "ctValCcy": "USD",
       "expTime": "",
+      "futureSettlement": false,
       "instFamily": "BTC-USD",
       "instId": "BTC-USD-SWAP",
+      "instIdCode": 10458,
       "instType": "SWAP",
       "lever": "100",
       "listTime": "1535424203000",
@@ -23,18 +26,110 @@
       "maxLmtSz": "100000000",
       "maxMktAmt": "",
       "maxMktSz": "30000",
+      "maxPlatOILmt": "",
       "maxStopSz": "30000",
       "maxTriggerSz": "100000000.0000000000000000",
       "maxTwapSz": "100000000.0000000000000000",
       "minSz": "1",
+      "openType": "",
       "optType": "",
+      "posLmtAmt": "",
+      "posLmtPct": "",
+      "preMktSwTime": "",
       "quoteCcy": "",
       "ruleType": "normal",
       "settleCcy": "BTC",
       "state": "live",
       "stk": "",
       "tickSz": "0.1",
+      "tradeQuoteCcyList": [],
       "uly": "BTC-USD"
+    },
+    {
+      "alias": "",
+      "auctionEndTime": "",
+      "baseCcy": "",
+      "category": "1",
+      "contTdSwTime": "",
+      "ctMult": "1",
+      "ctType": "linear",
+      "ctVal": "0.1",
+      "ctValCcy": "ETH",
+      "expTime": "",
+      "futureSettlement": false,
+      "instFamily": "ETH-USDT",
+      "instId": "ETH-USDT-SWAP",
+      "instIdCode": 10461,
+      "instType": "SWAP",
+      "lever": "100",
+      "listTime": "1573557408000",
+      "lotSz": "0.01",
+      "maxIcebergSz": "100000000.0000000000000000",
+      "maxLmtAmt": "20000000",
+      "maxLmtSz": "100000000",
+      "maxMktAmt": "",
+      "maxMktSz": "20000",
+      "maxPlatOILmt": "",
+      "maxStopSz": "20000",
+      "maxTriggerSz": "100000000.0000000000000000",
+      "maxTwapSz": "100000000.0000000000000000",
+      "minSz": "0.01",
+      "openType": "",
+      "optType": "",
+      "posLmtAmt": "",
+      "posLmtPct": "",
+      "preMktSwTime": "",
+      "quoteCcy": "",
+      "ruleType": "normal",
+      "settleCcy": "USDT",
+      "state": "live",
+      "stk": "",
+      "tickSz": "0.01",
+      "tradeQuoteCcyList": [],
+      "uly": "ETH-USDT"
+    },
+    {
+      "alias": "",
+      "auctionEndTime": "",
+      "baseCcy": "",
+      "category": "1",
+      "contTdSwTime": "",
+      "ctMult": "1",
+      "ctType": "linear",
+      "ctVal": "0.01",
+      "ctValCcy": "BTC",
+      "expTime": "",
+      "futureSettlement": false,
+      "instFamily": "BTC-USDT",
+      "instId": "BTC-USDT-SWAP",
+      "instIdCode": 10459,
+      "instType": "SWAP",
+      "lever": "100",
+      "listTime": "1573557408000",
+      "lotSz": "0.01",
+      "maxIcebergSz": "100000000.0000000000000000",
+      "maxLmtAmt": "20000000",
+      "maxLmtSz": "100000000",
+      "maxMktAmt": "",
+      "maxMktSz": "12000",
+      "maxPlatOILmt": "",
+      "maxStopSz": "12000",
+      "maxTriggerSz": "100000000.0000000000000000",
+      "maxTwapSz": "100000000.0000000000000000",
+      "minSz": "0.01",
+      "openType": "",
+      "optType": "",
+      "posLmtAmt": "",
+      "posLmtPct": "",
+      "preMktSwTime": "",
+      "quoteCcy": "",
+      "ruleType": "normal",
+      "settleCcy": "USDT",
+      "state": "live",
+      "stk": "",
+      "tickSz": "0.1",
+      "tradeQuoteCcyList": [],
+      "uly": "BTC-USDT"
     }
   ]
-}
+}
diff --git a/crates/adapters/tardis/src/http/parse.rs b/crates/adapters/tardis/src/http/parse.rs
@@ -945,7 +945,7 @@ mod tests {
         assert_eq!(instrument.base_currency(), Some(Currency::BTC()));
         assert_eq!(instrument.quote_currency(), Currency::BTC());
         assert_eq!(instrument.settlement_currency(), Currency::BTC());
-        assert!(!instrument.is_inverse());
+        assert!(instrument.is_inverse());
         assert_eq!(instrument.price_precision(), 4);
         assert_eq!(instrument.size_precision(), 1); // from amountIncrement 0.1
         assert_eq!(instrument.price_increment(), Price::from("0.0001"));
diff --git a/crates/model/src/instruments/crypto_future.rs b/crates/model/src/instruments/crypto_future.rs
@@ -330,7 +330,7 @@ impl Instrument for CryptoFuture {
     }
 
     fn multiplier(&self) -> Quantity {
-        Quantity::from(1)
+        self.multiplier
     }
 
     fn lot_size(&self) -> Option<Quantity> {
diff --git a/crates/model/src/instruments/crypto_option.rs b/crates/model/src/instruments/crypto_option.rs
@@ -312,7 +312,7 @@ impl Instrument for CryptoOption {
     }
 
     fn is_inverse(&self) -> bool {
-        false
+        self.is_inverse
     }
 
     fn isin(&self) -> Option<Ustr> {
diff --git a/crates/model/src/instruments/crypto_perpetual.rs b/crates/model/src/instruments/crypto_perpetual.rs
@@ -327,7 +327,7 @@ impl Instrument for CryptoPerpetual {
     }
 
     fn multiplier(&self) -> Quantity {
-        Quantity::from(1)
+        self.multiplier
     }
 
     fn lot_size(&self) -> Option<Quantity> {
diff --git a/crates/model/src/python/account/margin.rs b/crates/model/src/python/account/margin.rs
@@ -171,10 +171,13 @@ impl MarginAccount {
     ) -> PyResult<Money> {
         let instrument_type = pyobject_to_instrument_any(py, instrument)?;
         match instrument_type {
+            InstrumentAny::CryptoPerpetual(inst) => self
+                .calculate_initial_margin(inst, quantity, price, use_quote_for_inverse)
+                .map_err(to_pyvalue_err),
             InstrumentAny::CryptoFuture(inst) => self
                 .calculate_initial_margin(inst, quantity, price, use_quote_for_inverse)
                 .map_err(to_pyvalue_err),
-            InstrumentAny::CryptoPerpetual(inst) => self
+            InstrumentAny::CryptoOption(inst) => self
                 .calculate_initial_margin(inst, quantity, price, use_quote_for_inverse)
                 .map_err(to_pyvalue_err),
             InstrumentAny::CurrencyPair(inst) => self
@@ -217,6 +220,9 @@ impl MarginAccount {
             InstrumentAny::CryptoPerpetual(inst) => self
                 .calculate_maintenance_margin(inst, quantity, price, use_quote_for_inverse)
                 .map_err(to_pyvalue_err),
+            InstrumentAny::CryptoOption(inst) => self
+                .calculate_maintenance_margin(inst, quantity, price, use_quote_for_inverse)
+                .map_err(to_pyvalue_err),
             InstrumentAny::CurrencyPair(inst) => self
                 .calculate_maintenance_margin(inst, quantity, price, use_quote_for_inverse)
                 .map_err(to_pyvalue_err),
diff --git a/crates/model/src/python/instruments/equity.rs b/crates/model/src/python/instruments/equity.rs
@@ -177,6 +177,30 @@ impl Equity {
         self.min_price
     }
 
+    #[getter]
+    #[pyo3(name = "margin_init")]
+    fn py_margin_init(&self) -> Decimal {
+        self.margin_init
+    }
+
+    #[getter]
+    #[pyo3(name = "margin_maint")]
+    fn py_margin_maint(&self) -> Decimal {
+        self.margin_maint
+    }
+
+    #[getter]
+    #[pyo3(name = "maker_fee")]
+    fn py_maker_fee(&self) -> Decimal {
+        self.maker_fee
+    }
+
+    #[getter]
+    #[pyo3(name = "taker_fee")]
+    fn py_taker_fee(&self) -> Decimal {
+        self.taker_fee
+    }
+
     #[getter]
     #[pyo3(name = "ts_event")]
     fn py_ts_event(&self) -> u64 {
diff --git a/crates/model/src/python/instruments/futures_contract.rs b/crates/model/src/python/instruments/futures_contract.rs
@@ -239,6 +239,18 @@ impl FuturesContract {
         self.margin_maint
     }
 
+    #[getter]
+    #[pyo3(name = "maker_fee")]
+    fn py_maker_fee(&self) -> Decimal {
+        self.maker_fee
+    }
+
+    #[getter]
+    #[pyo3(name = "taker_fee")]
+    fn py_taker_fee(&self) -> Decimal {
+        self.taker_fee
+    }
+
     #[getter]
     #[pyo3(name = "info")]
     fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
diff --git a/crates/model/src/python/instruments/futures_spread.rs b/crates/model/src/python/instruments/futures_spread.rs
@@ -235,6 +235,18 @@ impl FuturesSpread {
         self.margin_maint
     }
 
+    #[getter]
+    #[pyo3(name = "maker_fee")]
+    fn py_maker_fee(&self) -> Decimal {
+        self.maker_fee
+    }
+
+    #[getter]
+    #[pyo3(name = "taker_fee")]
+    fn py_taker_fee(&self) -> Decimal {
+        self.taker_fee
+    }
+
     #[getter]
     #[pyo3(name = "info")]
     fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
diff --git a/crates/model/src/python/instruments/option_contract.rs b/crates/model/src/python/instruments/option_contract.rs
@@ -243,6 +243,18 @@ impl OptionContract {
         self.margin_maint
     }
 
+    #[getter]
+    #[pyo3(name = "maker_fee")]
+    fn py_maker_fee(&self) -> Decimal {
+        self.maker_fee
+    }
+
+    #[getter]
+    #[pyo3(name = "taker_fee")]
+    fn py_taker_fee(&self) -> Decimal {
+        self.taker_fee
+    }
+
     #[getter]
     #[pyo3(name = "info")]
     fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
diff --git a/crates/model/src/python/instruments/option_spread.rs b/crates/model/src/python/instruments/option_spread.rs
@@ -235,6 +235,18 @@ impl OptionSpread {
         self.margin_maint
     }
 
+    #[getter]
+    #[pyo3(name = "maker_fee")]
+    fn py_maker_fee(&self) -> Decimal {
+        self.maker_fee
+    }
+
+    #[getter]
+    #[pyo3(name = "taker_fee")]
+    fn py_taker_fee(&self) -> Decimal {
+        self.taker_fee
+    }
+
     #[getter]
     #[pyo3(name = "info")]
     fn py_info(&self, py: Python<'_>) -> PyResult<Py<PyAny>> {
diff --git a/nautilus_trader/core/nautilus_pyo3.pyi b/nautilus_trader/core/nautilus_pyo3.pyi
@@ -2731,6 +2731,8 @@ class Equity:
     @property
     def raw_symbol(self) -> Symbol: ...
     @property
+    def isin(self) -> str | None: ...
+    @property
     def base_currency(self) -> Currency: ...
     @property
     def quote_currency(self) -> Currency: ...
@@ -2743,6 +2745,8 @@ class Equity:
     @property
     def size_increment(self) -> Quantity: ...
     @property
+    def lot_size(self) -> Quantity | None: ...
+    @property
     def max_quantity(self) -> Quantity | None: ...
     @property
     def min_quantity(self) -> Quantity | None: ...
@@ -2766,6 +2770,8 @@ class Equity:
     def ts_event(self) -> int: ...
     @property
     def ts_init(self) -> int: ...
+    @property
+    def info(self) -> dict[str, Any]: ...
     @classmethod
     def from_dict(cls, values: dict[str, str]) -> Equity: ...
     def to_dict(self) -> dict[str, Any]: ...
@@ -2849,6 +2855,8 @@ class FuturesContract:
     def ts_event(self) -> int: ...
     @property
     def ts_init(self) -> int: ...
+    @property
+    def info(self) -> dict[str, Any]: ...
     @classmethod
     def from_dict(cls, values: dict[str, str]) -> CryptoFuture: ...
     def to_dict(self) -> dict[str, Any]: ...
@@ -2937,6 +2945,8 @@ class FuturesSpread:
     def ts_event(self) -> int: ...
     @property
     def ts_init(self) -> int: ...
+    @property
+    def info(self) -> dict[str, Any]: ...
     @classmethod
     def from_dict(cls, values: dict[str, str]) -> FuturesSpread: ...
     def to_dict(self) -> dict[str, Any]: ...
@@ -3028,6 +3038,8 @@ class OptionContract:
     def ts_event(self) -> int: ...
     @property
     def ts_init(self) -> int: ...
+    @property
+    def info(self) -> dict[str, Any]: ...
     @classmethod
     def from_dict(cls, values: dict[str, str]) -> OptionContract: ...
     def to_dict(self) -> dict[str, Any]: ...
@@ -3116,8 +3128,10 @@ class OptionSpread:
     def ts_event(self) -> int: ...
     @property
     def ts_init(self) -> int: ...
+    @property
+    def info(self) -> dict[str, Any]: ...
     @classmethod
-    def from_dict(cls, values: dict[str, str]) -> OptionContract: ...
+    def from_dict(cls, values: dict[str, str]) -> OptionSpread: ...
     def to_dict(self) -> dict[str, Any]: ...
 
 class SyntheticInstrument:
diff --git a/nautilus_trader/model/instruments/equity.pyx b/nautilus_trader/model/instruments/equity.pyx
@@ -190,12 +190,14 @@ cdef class Equity(Instrument):
             currency=Currency.from_str_c(pyo3_instrument.quote_currency.code),
             price_precision=pyo3_instrument.price_precision,
             price_increment=Price.from_raw_c(pyo3_instrument.price_increment.raw, pyo3_instrument.price_precision),
-            lot_size=Quantity.from_raw_c(pyo3_instrument.lot_size.raw, pyo3_instrument.lot_size.precision),
+            lot_size=Quantity.from_raw_c(pyo3_instrument.lot_size.raw, pyo3_instrument.lot_size.precision) if pyo3_instrument.lot_size is not None else Quantity.from_int_c(1),
+            max_quantity=Quantity.from_raw_c(pyo3_instrument.max_quantity.raw, pyo3_instrument.max_quantity.precision) if pyo3_instrument.max_quantity is not None else None,
+            min_quantity=Quantity.from_raw_c(pyo3_instrument.min_quantity.raw, pyo3_instrument.min_quantity.precision) if pyo3_instrument.min_quantity is not None else None,
+            margin_init=Decimal(pyo3_instrument.margin_init),
+            margin_maint=Decimal(pyo3_instrument.margin_maint),
+            maker_fee=Decimal(pyo3_instrument.maker_fee),
+            taker_fee=Decimal(pyo3_instrument.taker_fee),
             isin=pyo3_instrument.isin,
-            margin_init=None,  # None for now
-            margin_maint=None,  # None for now
-            maker_fee=None,  # None for now
-            taker_fee=None,  # None for now
             ts_event=pyo3_instrument.ts_event,
             ts_init=pyo3_instrument.ts_init,
             info=pyo3_instrument.info,
diff --git a/nautilus_trader/model/instruments/futures_contract.pyx b/nautilus_trader/model/instruments/futures_contract.pyx
diff --git a/nautilus_trader/model/instruments/futures_spread.pyx b/nautilus_trader/model/instruments/futures_spread.pyx
diff --git a/nautilus_trader/model/instruments/option_contract.pyx b/nautilus_trader/model/instruments/option_contract.pyx
diff --git a/nautilus_trader/model/instruments/option_spread.pyx b/nautilus_trader/model/instruments/option_spread.pyx
diff --git a/tests/unit_tests/model/instruments/test_equity_pyo3.py b/tests/unit_tests/model/instruments/test_equity_pyo3.py

Original file line number	Diff line number	Diff line change
`@@ -330,7 +330,7 @@ impl Instrument for CryptoFuture {`
`330`	`330`	`}`
`331`	`331`
`332`	`332`	`fn multiplier(&self) -> Quantity {`
`333`		`- Quantity::from(1)`
	`333`	`+ self.multiplier`
`334`	`334`	`}`
`335`	`335`
`336`	`336`	`fn lot_size(&self) -> Option<Quantity> {`
Original file line number	Diff line number	Diff line change
`@@ -312,7 +312,7 @@ impl Instrument for CryptoOption {`
`312`	`312`	`}`
`313`	`313`
`314`	`314`	`fn is_inverse(&self) -> bool {`
`315`		`- false`
	`315`	`+ self.is_inverse`
`316`	`316`	`}`
`317`	`317`
`318`	`318`	`fn isin(&self) -> Option<Ustr> {`
Original file line number	Diff line number	Diff line change
`@@ -327,7 +327,7 @@ impl Instrument for CryptoPerpetual {`
`327`	`327`	`}`
`328`	`328`
`329`	`329`	`fn multiplier(&self) -> Quantity {`
`330`		`- Quantity::from(1)`
	`330`	`+ self.multiplier`
`331`	`331`	`}`
`332`	`332`
`333`	`333`	`fn lot_size(&self) -> Option<Quantity> {`