Refine request_funding_rates and add test coverage

- Fix request_funding_rates calling request_trades instead of itself
- Fix docstring typos (trades -> funding rates) in actor.rs/.pyx
- Replace todo!() panics with proper errors in Postgres cache adapter
- Add request_funding_rates tests for actor, data client, and engine
- Add on_historical_funding_rates to TestDataActor for proper recording
- Add request_funding_rates to MockDataClient (Rust and Python)

Author: cjdsellers

Cargo.lock

@@ -90,6 +90,8 @@ iai = { workspace = true }
 proptest = { workspace = true }
 rand = { workspace = true }
 regex = { workspace = true }
+rust_decimal = { workspace = true }
+rust_decimal_macros = { workspace = true }
 tempfile = { workspace = true }
 
 [build-dependencies]

crates/common/Cargo.toml

@@ -497,13 +497,16 @@ pub trait DataActor:
         Ok(())
     }
 
-    /// Actions to be performed when receiving historical trades.
+    /// Actions to be performed when receiving historical funding rates.
     ///
     /// # Errors
     ///
-    /// Returns an error if handling the historical trades fails.
+    /// Returns an error if handling the historical funding rates fails.
     #[allow(unused_variables)]
-    fn on_historical_funding_rates(&mut self, trades: &[FundingRateUpdate]) -> anyhow::Result<()> {
+    fn on_historical_funding_rates(
+        &mut self,
+        funding_rates: &[FundingRateUpdate],
+    ) -> anyhow::Result<()> {
         Ok(())
     }
 
@@ -1892,7 +1895,7 @@ pub trait DataActor:
             get_actor_unchecked::<Self>(&actor_id).handle_funding_rates_response(resp);
         });
 
-        DataActorCore::request_trades(
+        DataActorCore::request_funding_rates(
             self,
             instrument_id,
             start,
@@ -3765,7 +3768,7 @@ impl DataActorCore {
         Ok(request_id)
     }
 
-    /// Helper method for requesting trades.
+    /// Helper method for requesting funding rates.
     ///
     /// # Errors
     ///

crates/common/src/actor/data_actor.rs

@@ -41,6 +41,7 @@ use nautilus_model::{
     types::{Price, Quantity},
 };
 use rstest::*;
+use rust_decimal_macros::dec;
 use ustr::Ustr;
 #[cfg(feature = "defi")]
 use {
@@ -63,8 +64,8 @@ use crate::{
     component::Component,
     logging::{logger::LogGuard, logging_is_initialized},
     messages::data::{
-        BarsResponse, BookResponse, CustomDataResponse, DataResponse, InstrumentResponse,
-        InstrumentsResponse, QuotesResponse, TradesResponse,
+        BarsResponse, BookResponse, CustomDataResponse, DataResponse, FundingRatesResponse,
+        InstrumentResponse, InstrumentsResponse, QuotesResponse, TradesResponse,
     },
     msgbus::{
         self, MessageBus, get_message_bus,
@@ -178,6 +179,14 @@ impl DataActor for TestDataActor {
         Ok(())
     }
 
+    fn on_historical_funding_rates(
+        &mut self,
+        funding_rates: &[FundingRateUpdate],
+    ) -> anyhow::Result<()> {
+        self.received_funding_rates.extend(funding_rates);
+        Ok(())
+    }
+
     fn on_historical_bars(&mut self, bars: &[Bar]) -> anyhow::Result<()> {
         // Push to common received vec
         self.received_bars.extend(bars);
@@ -899,6 +908,49 @@ fn test_request_trades(
     assert_eq!(actor.received_trades[0], trade);
 }
 
+#[rstest]
+fn test_request_funding_rates(
+    clock: Rc<RefCell<TestClock>>,
+    cache: Rc<RefCell<Cache>>,
+    trader_id: TraderId,
+    audusd_sim: CurrencyPair,
+) {
+    let actor_id = register_data_actor(clock, cache, trader_id);
+    let mut actor = get_actor_unchecked::<TestDataActor>(&actor_id);
+    actor.start().unwrap();
+
+    let request_id = actor
+        .request_funding_rates(audusd_sim.id, None, None, None, None, None)
+        .unwrap();
+
+    let client_id = ClientId::new("TestClient");
+    let funding_rate = FundingRateUpdate::new(
+        audusd_sim.id,
+        dec!(0.0001),
+        None,
+        UnixNanos::default(),
+        UnixNanos::default(),
+    );
+    let data = vec![funding_rate];
+    let ts_init = UnixNanos::default();
+    let response = FundingRatesResponse::new(
+        request_id,
+        client_id,
+        audusd_sim.id,
+        data,
+        Some(UnixNanos::from(1_695_000_000_000_000_000)),
+        Some(UnixNanos::from(1_699_000_000_000_000_000)),
+        ts_init,
+        None,
+    );
+
+    let data_response = DataResponse::FundingRates(response);
+    msgbus::send_response(&request_id, data_response);
+
+    assert_eq!(actor.received_funding_rates.len(), 1);
+    assert_eq!(actor.received_funding_rates[0], funding_rate);
+}
+
 #[rstest]
 fn test_request_bars(
     clock: Rc<RefCell<TestClock>>,

crates/common/src/actor/tests.rs

@@ -30,6 +30,7 @@ use nautilus_common::{
             RequestBookSnapshot,
             RequestCommand,
             RequestCustomData,
+            RequestFundingRates,
             RequestInstrument,
             RequestInstruments,
             RequestQuotes,
@@ -1654,6 +1655,44 @@ fn test_request_trades(
     assert_eq!(rec[0], DataCommand::Request(RequestCommand::Trades(req)));
 }
 
+#[rstest]
+fn test_request_funding_rates(
+    clock: Rc<RefCell<TestClock>>,
+    cache: Rc<RefCell<Cache>>,
+    client_id: ClientId,
+    venue: Venue,
+) {
+    let recorder = Rc::new(RefCell::new(Vec::<DataCommand>::new()));
+    let client = Box::new(MockDataClient::new_with_recorder(
+        clock,
+        cache,
+        client_id,
+        Some(venue),
+        Some(recorder.clone()),
+    ));
+    let adapter = DataClientAdapter::new(client_id, Some(venue), false, false, client);
+
+    let inst_id = audusd_sim().id;
+    let req = RequestFundingRates::new(
+        inst_id,
+        None,
+        None,
+        None,
+        Some(client_id),
+        UUID4::new(),
+        UnixNanos::default(),
+        None,
+    );
+    adapter.request_funding_rates(req.clone()).unwrap();
+
+    let rec = recorder.borrow();
+    assert_eq!(rec.len(), 1);
+    assert_eq!(
+        rec[0],
+        DataCommand::Request(RequestCommand::FundingRates(req))
+    );
+}
+
 #[rstest]
 fn test_request_bars(
     clock: Rc<RefCell<TestClock>>,

crates/data/tests/client.rs

@@ -36,15 +36,15 @@ use nautilus_common::{
     clock::Clock,
     messages::data::{
         DataCommand, RequestBars, RequestBookDepth, RequestBookSnapshot, RequestCommand,
-        RequestCustomData, RequestInstrument, RequestInstruments, RequestQuotes, RequestTrades,
-        SubscribeBars, SubscribeBookDeltas, SubscribeBookDepth10, SubscribeCommand,
-        SubscribeCustomData, SubscribeFundingRates, SubscribeIndexPrices, SubscribeInstrument,
-        SubscribeInstrumentClose, SubscribeInstrumentStatus, SubscribeInstruments,
-        SubscribeMarkPrices, SubscribeQuotes, SubscribeTrades, UnsubscribeBars,
-        UnsubscribeBookDeltas, UnsubscribeBookDepth10, UnsubscribeCommand, UnsubscribeCustomData,
-        UnsubscribeFundingRates, UnsubscribeIndexPrices, UnsubscribeInstrument,
-        UnsubscribeInstrumentClose, UnsubscribeInstrumentStatus, UnsubscribeInstruments,
-        UnsubscribeMarkPrices, UnsubscribeQuotes, UnsubscribeTrades,
+        RequestCustomData, RequestFundingRates, RequestInstrument, RequestInstruments,
+        RequestQuotes, RequestTrades, SubscribeBars, SubscribeBookDeltas, SubscribeBookDepth10,
+        SubscribeCommand, SubscribeCustomData, SubscribeFundingRates, SubscribeIndexPrices,
+        SubscribeInstrument, SubscribeInstrumentClose, SubscribeInstrumentStatus,
+        SubscribeInstruments, SubscribeMarkPrices, SubscribeQuotes, SubscribeTrades,
+        UnsubscribeBars, UnsubscribeBookDeltas, UnsubscribeBookDepth10, UnsubscribeCommand,
+        UnsubscribeCustomData, UnsubscribeFundingRates, UnsubscribeIndexPrices,
+        UnsubscribeInstrument, UnsubscribeInstrumentClose, UnsubscribeInstrumentStatus,
+        UnsubscribeInstruments, UnsubscribeMarkPrices, UnsubscribeQuotes, UnsubscribeTrades,
     },
 };
 use nautilus_model::identifiers::{ClientId, Venue};
@@ -594,6 +594,14 @@ impl DataClient for MockDataClient {
         Ok(())
     }
 
+    fn request_funding_rates(&self, request: RequestFundingRates) -> anyhow::Result<()> {
+        if let Some(rec) = &self.recorder {
+            rec.borrow_mut()
+                .push(DataCommand::Request(RequestCommand::FundingRates(request)));
+        }
+        Ok(())
+    }
+
     fn request_bars(&self, request: RequestBars) -> anyhow::Result<()> {
         if let Some(rec) = &self.recorder {
             rec.borrow_mut()

crates/data/tests/common/mocks.rs

@@ -37,12 +37,12 @@ use nautilus_common::{
     clock::{Clock, TestClock},
     messages::data::{
         DataCommand, RequestBars, RequestBookDepth, RequestBookSnapshot, RequestCommand,
-        RequestCustomData, RequestInstrument, RequestInstruments, RequestQuotes, RequestTrades,
-        SubscribeBars, SubscribeBookDeltas, SubscribeBookDepth10, SubscribeBookSnapshots,
-        SubscribeCommand, SubscribeCustomData, SubscribeFundingRates, SubscribeIndexPrices,
-        SubscribeInstrument, SubscribeMarkPrices, SubscribeQuotes, SubscribeTrades,
-        UnsubscribeBars, UnsubscribeBookDeltas, UnsubscribeBookDepth10, UnsubscribeCommand,
-        UnsubscribeCustomData, UnsubscribeFundingRates, UnsubscribeIndexPrices,
+        RequestCustomData, RequestFundingRates, RequestInstrument, RequestInstruments,
+        RequestQuotes, RequestTrades, SubscribeBars, SubscribeBookDeltas, SubscribeBookDepth10,
+        SubscribeBookSnapshots, SubscribeCommand, SubscribeCustomData, SubscribeFundingRates,
+        SubscribeIndexPrices, SubscribeInstrument, SubscribeMarkPrices, SubscribeQuotes,
+        SubscribeTrades, UnsubscribeBars, UnsubscribeBookDeltas, UnsubscribeBookDepth10,
+        UnsubscribeCommand, UnsubscribeCustomData, UnsubscribeFundingRates, UnsubscribeIndexPrices,
         UnsubscribeInstrument, UnsubscribeMarkPrices, UnsubscribeQuotes, UnsubscribeTrades,
     },
     msgbus::{
@@ -1236,6 +1236,43 @@ fn test_execute_request_trades(
     assert_eq!(recorder.borrow()[0], cmd);
 }
 
+#[rstest]
+fn test_execute_request_funding_rates(
+    clock: Rc<RefCell<TestClock>>,
+    cache: Rc<RefCell<Cache>>,
+    data_engine: Rc<RefCell<DataEngine>>,
+    audusd_sim: CurrencyPair,
+    client_id: ClientId,
+    venue: Venue,
+) {
+    let mut data_engine = data_engine.borrow_mut();
+    let recorder: Rc<RefCell<Vec<DataCommand>>> = Rc::new(RefCell::new(Vec::new()));
+    register_mock_client(
+        clock,
+        cache,
+        client_id,
+        venue,
+        None,
+        &recorder,
+        &mut data_engine,
+    );
+
+    let req = RequestFundingRates::new(
+        audusd_sim.id,
+        None, // start
+        None, // end
+        None, // limit
+        Some(client_id),
+        UUID4::new(),
+        UnixNanos::default(),
+        None, // params
+    );
+    let cmd = DataCommand::Request(RequestCommand::FundingRates(req));
+    data_engine.execute(cmd.clone());
+
+    assert_eq!(recorder.borrow()[0], cmd);
+}
+
 #[rstest]
 fn test_execute_request_bars(
     clock: Rc<RefCell<TestClock>>,

crates/data/tests/engine.rs

@@ -743,15 +743,15 @@ impl CacheDatabaseAdapter for PostgresCacheDatabase {
         Ok(rx.recv()?)
     }
 
-    fn add_funding_rate(&self, funding_rate: &FundingRateUpdate) -> anyhow::Result<()> {
-        todo!()
+    fn add_funding_rate(&self, _funding_rate: &FundingRateUpdate) -> anyhow::Result<()> {
+        anyhow::bail!("add_funding_rate not implemented for PostgreSQL cache adapter")
     }
 
     fn load_funding_rates(
         &self,
-        instrument_id: &InstrumentId,
+        _instrument_id: &InstrumentId,
     ) -> anyhow::Result<Vec<FundingRateUpdate>> {
-        todo!()
+        anyhow::bail!("load_funding_rates not implemented for PostgreSQL cache adapter")
     }
 
     fn add_bar(&self, bar: &Bar) -> anyhow::Result<()> {

crates/infrastructure/src/sql/cache.rs

@@ -3522,7 +3522,7 @@ cdef class Actor(Component):
         Parameters
         ----------
         instrument_id : InstrumentId
-            The tick instrument ID for the request.
+            The instrument ID for the request.
         start : datetime
             The start datetime (UTC) of request time range.
             Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.
@@ -3531,7 +3531,7 @@ cdef class Actor(Component):
             If `None` then will be replaced with the current UTC time.
             Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.
         limit : int, optional
-            The limit on the amount of trade ticks received.
+            The limit on the amount of funding rates received.
         client_id : ClientId, optional
             The specific client ID for the command.
             If ``None`` then will be inferred from the venue in the instrument ID.

nautilus_trader/common/actor.pyx

@@ -22,6 +22,7 @@
 from nautilus_trader.common.component import MessageBus
 from nautilus_trader.data.client import MarketDataClient
 from nautilus_trader.data.messages import RequestBars
+from nautilus_trader.data.messages import RequestFundingRates
 from nautilus_trader.data.messages import RequestInstrument
 from nautilus_trader.data.messages import RequestInstruments
 from nautilus_trader.data.messages import RequestOrderBookDepth
@@ -31,6 +32,7 @@
 from nautilus_trader.data.messages import SubscribeQuoteTicks
 from nautilus_trader.data.messages import SubscribeTradeTicks
 from nautilus_trader.model.data import Bar
+from nautilus_trader.model.data import FundingRateUpdate
 from nautilus_trader.model.data import OrderBookDepth10
 from nautilus_trader.model.data import QuoteTick
 from nautilus_trader.model.data import TradeTick
@@ -83,6 +85,7 @@ def __init__(
         self.instruments: list[Instrument] = []
         self.quote_ticks: list[QuoteTick] = []
         self.trade_ticks: list[TradeTick] = []
+        self.funding_rates: list[FundingRateUpdate] = []
         self.bars: list[Bar] = []
         self.order_book_depths: list[OrderBookDepth10] = []
 
@@ -125,6 +128,16 @@ def request_trade_ticks(self, request: RequestTradeTicks) -> None:
             request.params,
         )
 
+    def request_funding_rates(self, request: RequestFundingRates) -> None:
+        self._handle_funding_rates_py(
+            request.instrument_id,
+            self.funding_rates,
+            request.id,
+            request.start,
+            request.end,
+            request.params,
+        )
+
     def request_bars(self, request: RequestBars) -> None:
         self._handle_bars_py(
             request.bar_type,