nautilus_persistence/python/wranglers/
depth.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.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::{collections::HashMap, io::Cursor, str::FromStr};
17
18use datafusion::arrow::ipc::reader::StreamReader;
19use nautilus_core::python::to_pyvalue_err;
20use nautilus_model::{data::OrderBookDepth10, identifiers::InstrumentId};
21use nautilus_serialization::arrow::DecodeFromRecordBatch;
22use pyo3::prelude::*;
23
24#[pyclass]
25#[pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.persistence")]
26pub struct OrderBookDepth10DataWrangler {
27    instrument_id: InstrumentId,
28    price_precision: u8,
29    size_precision: u8,
30    metadata: HashMap<String, String>,
31}
32
33#[pymethods]
34#[pyo3_stub_gen::derive::gen_stub_pymethods]
35impl OrderBookDepth10DataWrangler {
36    #[new]
37    fn py_new(instrument_id: &str, price_precision: u8, size_precision: u8) -> PyResult<Self> {
38        let instrument_id = InstrumentId::from_str(instrument_id).map_err(to_pyvalue_err)?;
39        let metadata =
40            OrderBookDepth10::get_metadata(&instrument_id, price_precision, size_precision);
41
42        Ok(Self {
43            instrument_id,
44            price_precision,
45            size_precision,
46            metadata,
47        })
48    }
49
50    #[getter]
51    fn instrument_id(&self) -> String {
52        self.instrument_id.to_string()
53    }
54
55    #[getter]
56    const fn price_precision(&self) -> u8 {
57        self.price_precision
58    }
59
60    #[getter]
61    const fn size_precision(&self) -> u8 {
62        self.size_precision
63    }
64
65    fn process_record_batch_bytes(
66        &self,
67        #[gen_stub(override_type(type_repr = "bytes"))] data: &[u8],
68    ) -> PyResult<Vec<OrderBookDepth10>> {
69        // Create a StreamReader (from Arrow IPC)
70        let cursor = Cursor::new(data);
71        let reader = match StreamReader::try_new(cursor, None) {
72            Ok(reader) => reader,
73            Err(e) => return Err(to_pyvalue_err(e)),
74        };
75
76        let mut depths = Vec::new();
77
78        // Read the record batches
79        for maybe_batch in reader {
80            let record_batch = match maybe_batch {
81                Ok(record_batch) => record_batch,
82                Err(e) => return Err(to_pyvalue_err(e)),
83            };
84
85            let batch_depths = OrderBookDepth10::decode_batch(&self.metadata, record_batch)
86                .map_err(to_pyvalue_err)?;
87            depths.extend(batch_depths);
88        }
89
90        Ok(depths)
91    }
92}
nautilus_persistence/python/wranglers/depth.rs

nautilus_persistence/python/wranglers/
depth.rs
