nautilus_persistence/python/wranglers/
trade.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::TradeTick, 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 TradeTickDataWrangler {
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 TradeTickDataWrangler {
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 = TradeTick::get_metadata(&instrument_id, price_precision, size_precision);
40
41        Ok(Self {
42            instrument_id,
43            price_precision,
44            size_precision,
45            metadata,
46        })
47    }
48
49    #[getter]
50    fn instrument_id(&self) -> String {
51        self.instrument_id.to_string()
52    }
53
54    #[getter]
55    const fn price_precision(&self) -> u8 {
56        self.price_precision
57    }
58
59    #[getter]
60    const fn size_precision(&self) -> u8 {
61        self.size_precision
62    }
63
64    fn process_record_batch_bytes(
65        &self,
66        #[gen_stub(override_type(type_repr = "bytes"))] data: &[u8],
67    ) -> PyResult<Vec<TradeTick>> {
68        // Create a StreamReader (from Arrow IPC)
69        let cursor = Cursor::new(data);
70        let reader = match StreamReader::try_new(cursor, None) {
71            Ok(reader) => reader,
72            Err(e) => return Err(to_pyvalue_err(e)),
73        };
74
75        let mut ticks = Vec::new();
76
77        // Read the record batches
78        for maybe_batch in reader {
79            let record_batch = match maybe_batch {
80                Ok(record_batch) => record_batch,
81                Err(e) => return Err(to_pyvalue_err(e)),
82            };
83
84            let batch_deltas =
85                TradeTick::decode_batch(&self.metadata, record_batch).map_err(to_pyvalue_err)?;
86            ticks.extend(batch_deltas);
87        }
88
89        Ok(ticks)
90    }
91}
nautilus_persistence/python/wranglers/trade.rs

nautilus_persistence/python/wranglers/
trade.rs
