nautilus_serialization/arrow/
delta.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, str::FromStr, sync::Arc};
17
18use arrow::{
19    array::{FixedSizeBinaryArray, FixedSizeBinaryBuilder, UInt8Array, UInt64Array},
20    datatypes::{DataType, Field, Schema},
21    error::ArrowError,
22    record_batch::RecordBatch,
23};
24use nautilus_model::{
25    data::{BookOrder, OrderBookDelta},
26    enums::{BookAction, FromU8, OrderSide},
27    identifiers::InstrumentId,
28    types::fixed::PRECISION_BYTES,
29};
30
31use super::{
32    DecodeDataFromRecordBatch, EncodingError, KEY_INSTRUMENT_ID, KEY_PRICE_PRECISION,
33    KEY_SIZE_PRECISION, decode_price_with_sentinel, decode_quantity_with_sentinel, extract_column,
34    validate_precision_bytes,
35};
36use crate::arrow::{ArrowSchemaProvider, Data, DecodeFromRecordBatch, EncodeToRecordBatch};
37
38impl ArrowSchemaProvider for OrderBookDelta {
39    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
40        let fields = vec![
41            Field::new("action", DataType::UInt8, false),
42            Field::new("side", DataType::UInt8, false),
43            Field::new("price", DataType::FixedSizeBinary(PRECISION_BYTES), false),
44            Field::new("size", DataType::FixedSizeBinary(PRECISION_BYTES), false),
45            Field::new("order_id", DataType::UInt64, false),
46            Field::new("flags", DataType::UInt8, false),
47            Field::new("sequence", DataType::UInt64, false),
48            Field::new("ts_event", DataType::UInt64, false),
49            Field::new("ts_init", DataType::UInt64, false),
50        ];
51
52        match metadata {
53            Some(metadata) => Schema::new_with_metadata(fields, metadata),
54            None => Schema::new(fields),
55        }
56    }
57}
58
59fn parse_metadata(
60    metadata: &HashMap<String, String>,
61) -> Result<(InstrumentId, u8, u8), EncodingError> {
62    let instrument_id_str = metadata
63        .get(KEY_INSTRUMENT_ID)
64        .ok_or_else(|| EncodingError::MissingMetadata(KEY_INSTRUMENT_ID))?;
65    let instrument_id = InstrumentId::from_str(instrument_id_str)
66        .map_err(|e| EncodingError::ParseError(KEY_INSTRUMENT_ID, e.to_string()))?;
67
68    let price_precision = metadata
69        .get(KEY_PRICE_PRECISION)
70        .ok_or_else(|| EncodingError::MissingMetadata(KEY_PRICE_PRECISION))?
71        .parse::<u8>()
72        .map_err(|e| EncodingError::ParseError(KEY_PRICE_PRECISION, e.to_string()))?;
73
74    let size_precision = metadata
75        .get(KEY_SIZE_PRECISION)
76        .ok_or_else(|| EncodingError::MissingMetadata(KEY_SIZE_PRECISION))?
77        .parse::<u8>()
78        .map_err(|e| EncodingError::ParseError(KEY_SIZE_PRECISION, e.to_string()))?;
79
80    Ok((instrument_id, price_precision, size_precision))
81}
82
83impl EncodeToRecordBatch for OrderBookDelta {
84    fn encode_batch(
85        metadata: &HashMap<String, String>,
86        data: &[Self],
87    ) -> Result<RecordBatch, ArrowError> {
88        let mut action_builder = UInt8Array::builder(data.len());
89        let mut side_builder = UInt8Array::builder(data.len());
90        let mut price_builder = FixedSizeBinaryBuilder::with_capacity(data.len(), PRECISION_BYTES);
91        let mut size_builder = FixedSizeBinaryBuilder::with_capacity(data.len(), PRECISION_BYTES);
92        let mut order_id_builder = UInt64Array::builder(data.len());
93        let mut flags_builder = UInt8Array::builder(data.len());
94        let mut sequence_builder = UInt64Array::builder(data.len());
95        let mut ts_event_builder = UInt64Array::builder(data.len());
96        let mut ts_init_builder = UInt64Array::builder(data.len());
97
98        for delta in data {
99            action_builder.append_value(delta.action as u8);
100            side_builder.append_value(delta.order.side.map_or(0, |side| side as u8));
101            price_builder
102                .append_value(delta.order.price.raw.to_le_bytes())
103                .unwrap();
104            size_builder
105                .append_value(delta.order.size.raw.to_le_bytes())
106                .unwrap();
107            order_id_builder.append_value(delta.order.order_id);
108            flags_builder.append_value(delta.flags);
109            sequence_builder.append_value(delta.sequence);
110            ts_event_builder.append_value(delta.ts_event.as_u64());
111            ts_init_builder.append_value(delta.ts_init.as_u64());
112        }
113
114        let action_array = action_builder.finish();
115        let side_array = side_builder.finish();
116        let price_array = price_builder.finish();
117        let size_array = size_builder.finish();
118        let order_id_array = order_id_builder.finish();
119        let flags_array = flags_builder.finish();
120        let sequence_array = sequence_builder.finish();
121        let ts_event_array = ts_event_builder.finish();
122        let ts_init_array = ts_init_builder.finish();
123
124        RecordBatch::try_new(
125            Self::get_schema(Some(metadata.clone())).into(),
126            vec![
127                Arc::new(action_array),
128                Arc::new(side_array),
129                Arc::new(price_array),
130                Arc::new(size_array),
131                Arc::new(order_id_array),
132                Arc::new(flags_array),
133                Arc::new(sequence_array),
134                Arc::new(ts_event_array),
135                Arc::new(ts_init_array),
136            ],
137        )
138    }
139
140    fn metadata(&self) -> HashMap<String, String> {
141        Self::get_metadata(
142            &self.instrument_id,
143            self.order.price.precision,
144            self.order.size.precision,
145        )
146    }
147
148    /// Extracts metadata from the first non-clear delta, falling back to the first clear.
149    ///
150    /// Clear deltas use sentinel values whose precision does not describe the following book data.
151    fn chunk_metadata(chunk: &[Self]) -> HashMap<String, String> {
152        chunk
153            .iter()
154            .find(|delta| delta.action != BookAction::Clear)
155            .or_else(|| chunk.first())
156            .map(EncodeToRecordBatch::metadata)
157            .expect("Chunk must have at least one element to encode")
158    }
159}
160
161impl DecodeFromRecordBatch for OrderBookDelta {
162    fn decode_batch(
163        metadata: &HashMap<String, String>,
164        record_batch: RecordBatch,
165    ) -> Result<Vec<Self>, EncodingError> {
166        let (instrument_id, price_precision, size_precision) = parse_metadata(metadata)?;
167        let cols = record_batch.columns();
168
169        let action_values = extract_column::<UInt8Array>(cols, "action", 0, DataType::UInt8)?;
170        let side_values = extract_column::<UInt8Array>(cols, "side", 1, DataType::UInt8)?;
171        let price_values = extract_column::<FixedSizeBinaryArray>(
172            cols,
173            "price",
174            2,
175            DataType::FixedSizeBinary(PRECISION_BYTES),
176        )?;
177        let size_values = extract_column::<FixedSizeBinaryArray>(
178            cols,
179            "size",
180            3,
181            DataType::FixedSizeBinary(PRECISION_BYTES),
182        )?;
183        let order_id_values = extract_column::<UInt64Array>(cols, "order_id", 4, DataType::UInt64)?;
184        let flags_values = extract_column::<UInt8Array>(cols, "flags", 5, DataType::UInt8)?;
185        let sequence_values = extract_column::<UInt64Array>(cols, "sequence", 6, DataType::UInt64)?;
186        let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 7, DataType::UInt64)?;
187        let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 8, DataType::UInt64)?;
188
189        validate_precision_bytes(price_values, "price")?;
190        validate_precision_bytes(size_values, "size")?;
191
192        let result: Result<Vec<Self>, EncodingError> = (0..record_batch.num_rows())
193            .map(|i| {
194                let action_value = action_values.value(i);
195                let action = BookAction::from_u8(action_value).ok_or_else(|| {
196                    EncodingError::ParseError(
197                        stringify!(BookAction),
198                        format!("Invalid enum value, was {action_value}"),
199                    )
200                })?;
201                let side_value = side_values.value(i);
202                let side = match side_value {
203                    0 => None,
204                    1 => Some(OrderSide::Buy),
205                    2 => Some(OrderSide::Sell),
206                    _ => {
207                        return Err(EncodingError::ParseError(
208                            "Option<OrderSide>",
209                            format!("Invalid enum value, was {side_value}"),
210                        ));
211                    }
212                };
213                let price =
214                    decode_price_with_sentinel(price_values.value(i), price_precision, "price", i)?;
215                let size =
216                    decode_quantity_with_sentinel(size_values.value(i), size_precision, "size", i)?;
217                let order_id = order_id_values.value(i);
218                let flags = flags_values.value(i);
219                let sequence = sequence_values.value(i);
220                let ts_event = ts_event_values.value(i).into();
221                let ts_init = ts_init_values.value(i).into();
222
223                Ok(Self {
224                    instrument_id,
225                    action,
226                    order: BookOrder {
227                        side,
228                        price,
229                        size,
230                        order_id,
231                    },
232                    flags,
233                    sequence,
234                    ts_event,
235                    ts_init,
236                })
237            })
238            .collect();
239
240        result
241    }
242}
243
244impl DecodeDataFromRecordBatch for OrderBookDelta {
245    fn decode_data_batch(
246        metadata: &HashMap<String, String>,
247        record_batch: RecordBatch,
248    ) -> Result<Vec<Data>, EncodingError> {
249        let deltas: Vec<Self> = Self::decode_batch(metadata, record_batch)?;
250        Ok(deltas.into_iter().map(Data::from).collect())
251    }
252}
253
254#[cfg(test)]
255mod tests {
256    use std::sync::Arc;
257
258    use arrow::{array::Array, record_batch::RecordBatch};
259    use nautilus_model::{
260        enums::OrderSide,
261        types::{
262            Price, Quantity,
263            fixed::FIXED_SCALAR,
264            price::{PRICE_UNDEF, PriceRaw},
265            quantity::{QUANTITY_UNDEF, QuantityRaw},
266        },
267    };
268    use pretty_assertions::assert_eq;
269    use rstest::rstest;
270
271    use super::*;
272    use crate::arrow::{fixed_size_binary, get_raw_price};
273
274    #[rstest]
275    fn test_get_schema() {
276        let instrument_id = InstrumentId::from("AAPL.XNAS");
277        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
278        let schema = OrderBookDelta::get_schema(Some(metadata.clone()));
279
280        let expected_fields = vec![
281            Field::new("action", DataType::UInt8, false),
282            Field::new("side", DataType::UInt8, false),
283            Field::new("price", DataType::FixedSizeBinary(PRECISION_BYTES), false),
284            Field::new("size", DataType::FixedSizeBinary(PRECISION_BYTES), false),
285            Field::new("order_id", DataType::UInt64, false),
286            Field::new("flags", DataType::UInt8, false),
287            Field::new("sequence", DataType::UInt64, false),
288            Field::new("ts_event", DataType::UInt64, false),
289            Field::new("ts_init", DataType::UInt64, false),
290        ];
291
292        let expected_schema = Schema::new_with_metadata(expected_fields, metadata);
293        assert_eq!(schema, expected_schema);
294    }
295
296    #[rstest]
297    fn test_get_schema_map() {
298        let schema_map = OrderBookDelta::get_schema_map();
299        let fixed_size_binary = format!("FixedSizeBinary({PRECISION_BYTES})");
300
301        assert_eq!(schema_map.get("action").unwrap(), "UInt8");
302        assert_eq!(schema_map.get("side").unwrap(), "UInt8");
303        assert_eq!(*schema_map.get("price").unwrap(), fixed_size_binary);
304        assert_eq!(*schema_map.get("size").unwrap(), fixed_size_binary);
305        assert_eq!(schema_map.get("order_id").unwrap(), "UInt64");
306        assert_eq!(schema_map.get("flags").unwrap(), "UInt8");
307        assert_eq!(schema_map.get("sequence").unwrap(), "UInt64");
308        assert_eq!(schema_map.get("ts_event").unwrap(), "UInt64");
309        assert_eq!(schema_map.get("ts_init").unwrap(), "UInt64");
310    }
311
312    #[rstest]
313    fn test_encode_batch() {
314        let instrument_id = InstrumentId::from("AAPL.XNAS");
315        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
316
317        let delta1 = OrderBookDelta {
318            instrument_id,
319            action: BookAction::Add,
320            order: BookOrder {
321                side: OrderSide::Buy.into(),
322                price: Price::from("100.10"),
323                size: Quantity::from(100),
324                order_id: 1,
325            },
326            flags: 0,
327            sequence: 1,
328            ts_event: 1.into(),
329            ts_init: 3.into(),
330        };
331
332        let delta2 = OrderBookDelta {
333            instrument_id,
334            action: BookAction::Update,
335            order: BookOrder {
336                side: OrderSide::Sell.into(),
337                price: Price::from("101.20"),
338                size: Quantity::from(200),
339                order_id: 2,
340            },
341            flags: 1,
342            sequence: 2,
343            ts_event: 2.into(),
344            ts_init: 4.into(),
345        };
346
347        let data = vec![delta1, delta2];
348        let record_batch = OrderBookDelta::encode_batch(&metadata, &data).unwrap();
349
350        let columns = record_batch.columns();
351        let action_values = columns[0].as_any().downcast_ref::<UInt8Array>().unwrap();
352        let side_values = columns[1].as_any().downcast_ref::<UInt8Array>().unwrap();
353        let price_values = columns[2]
354            .as_any()
355            .downcast_ref::<FixedSizeBinaryArray>()
356            .unwrap();
357        let size_values = columns[3]
358            .as_any()
359            .downcast_ref::<FixedSizeBinaryArray>()
360            .unwrap();
361        let order_id_values = columns[4].as_any().downcast_ref::<UInt64Array>().unwrap();
362        let flags_values = columns[5].as_any().downcast_ref::<UInt8Array>().unwrap();
363        let sequence_values = columns[6].as_any().downcast_ref::<UInt64Array>().unwrap();
364        let ts_event_values = columns[7].as_any().downcast_ref::<UInt64Array>().unwrap();
365        let ts_init_values = columns[8].as_any().downcast_ref::<UInt64Array>().unwrap();
366
367        assert_eq!(columns.len(), 9);
368        assert_eq!(action_values.len(), 2);
369        assert_eq!(action_values.value(0), 1);
370        assert_eq!(action_values.value(1), 2);
371        assert_eq!(side_values.len(), 2);
372        assert_eq!(side_values.value(0), 1);
373        assert_eq!(side_values.value(1), 2);
374
375        assert_eq!(price_values.len(), 2);
376        assert_eq!(
377            get_raw_price(price_values.value(0)),
378            (100.10 * FIXED_SCALAR) as PriceRaw
379        );
380        assert_eq!(
381            get_raw_price(price_values.value(1)),
382            (101.20 * FIXED_SCALAR) as PriceRaw
383        );
384
385        assert_eq!(size_values.len(), 2);
386        assert_eq!(
387            get_raw_price(size_values.value(0)),
388            (100.0 * FIXED_SCALAR) as PriceRaw
389        );
390        assert_eq!(
391            get_raw_price(size_values.value(1)),
392            (200.0 * FIXED_SCALAR) as PriceRaw
393        );
394        assert_eq!(order_id_values.len(), 2);
395        assert_eq!(order_id_values.value(0), 1);
396        assert_eq!(order_id_values.value(1), 2);
397        assert_eq!(flags_values.len(), 2);
398        assert_eq!(flags_values.value(0), 0);
399        assert_eq!(flags_values.value(1), 1);
400        assert_eq!(sequence_values.len(), 2);
401        assert_eq!(sequence_values.value(0), 1);
402        assert_eq!(sequence_values.value(1), 2);
403        assert_eq!(ts_event_values.len(), 2);
404        assert_eq!(ts_event_values.value(0), 1);
405        assert_eq!(ts_event_values.value(1), 2);
406        assert_eq!(ts_init_values.len(), 2);
407        assert_eq!(ts_init_values.value(0), 3);
408        assert_eq!(ts_init_values.value(1), 4);
409    }
410
411    #[rstest]
412    fn test_decode_batch() {
413        let instrument_id = InstrumentId::from("AAPL.XNAS");
414        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
415
416        let action = UInt8Array::from(vec![1, 2]);
417        let side = UInt8Array::from(vec![1, 1]);
418        let price = fixed_size_binary(vec![
419            &((101.10 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
420            &((101.20 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
421        ]);
422        let size = fixed_size_binary(vec![
423            &((10000.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
424            &((9000.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
425        ]);
426        let order_id = UInt64Array::from(vec![1, 2]);
427        let flags = UInt8Array::from(vec![0, 0]);
428        let sequence = UInt64Array::from(vec![1, 2]);
429        let ts_event = UInt64Array::from(vec![1, 2]);
430        let ts_init = UInt64Array::from(vec![3, 4]);
431
432        let record_batch = RecordBatch::try_new(
433            OrderBookDelta::get_schema(Some(metadata.clone())).into(),
434            vec![
435                Arc::new(action),
436                Arc::new(side),
437                Arc::new(price),
438                Arc::new(size),
439                Arc::new(order_id),
440                Arc::new(flags),
441                Arc::new(sequence),
442                Arc::new(ts_event),
443                Arc::new(ts_init),
444            ],
445        )
446        .unwrap();
447
448        let decoded_data = OrderBookDelta::decode_batch(&metadata, record_batch).unwrap();
449        assert_eq!(decoded_data.len(), 2);
450    }
451
452    #[rstest]
453    fn test_decode_batch_with_undef_values() {
454        let instrument_id = InstrumentId::from("PLTR.XNAS");
455        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
456
457        // Create test data with 'R' (clear) action which has PRICE_UNDEF and QUANTITY_UNDEF
458        let action = UInt8Array::from(vec![4, 1]); // 4 = Clear, 1 = Add
459        let side = UInt8Array::from(vec![0, 1]); // No side for Clear, Buy for Add
460        let price = fixed_size_binary(vec![
461            &PRICE_UNDEF.to_le_bytes(),
462            &((100.50 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
463        ]);
464        let size = fixed_size_binary(vec![
465            &QUANTITY_UNDEF.to_le_bytes(),
466            &((1000.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
467        ]);
468        let order_id = UInt64Array::from(vec![0, 1]);
469        let flags = UInt8Array::from(vec![0, 0]);
470        let sequence = UInt64Array::from(vec![1, 2]);
471        let ts_event = UInt64Array::from(vec![1, 2]);
472        let ts_init = UInt64Array::from(vec![3, 4]);
473
474        let record_batch = RecordBatch::try_new(
475            OrderBookDelta::get_schema(Some(metadata.clone())).into(),
476            vec![
477                Arc::new(action),
478                Arc::new(side),
479                Arc::new(price),
480                Arc::new(size),
481                Arc::new(order_id),
482                Arc::new(flags),
483                Arc::new(sequence),
484                Arc::new(ts_event),
485                Arc::new(ts_init),
486            ],
487        )
488        .unwrap();
489
490        let decoded_data = OrderBookDelta::decode_batch(&metadata, record_batch).unwrap();
491        assert_eq!(decoded_data.len(), 2);
492        assert_eq!(decoded_data[0].order.price.raw, PRICE_UNDEF);
493        assert_eq!(decoded_data[0].order.price.precision, 0);
494        assert_eq!(decoded_data[0].order.size.raw, QUANTITY_UNDEF);
495        assert_eq!(decoded_data[0].order.size.precision, 0);
496        assert_eq!(decoded_data[1].order.price.precision, 2);
497        assert_eq!(decoded_data[1].order.size.precision, 0);
498    }
499
500    #[rstest]
501    fn test_decode_batch_invalid_price_returns_error() {
502        let instrument_id = InstrumentId::from("AAPL.XNAS");
503        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
504
505        let action = UInt8Array::from(vec![1]);
506        let side = UInt8Array::from(vec![1]);
507
508        let invalid_price: PriceRaw = PriceRaw::MAX - 1000;
509        let price = fixed_size_binary(vec![&invalid_price.to_le_bytes()]);
510        let size = fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as QuantityRaw).to_le_bytes()]);
511        let order_id = UInt64Array::from(vec![1]);
512        let flags = UInt8Array::from(vec![0]);
513        let sequence = UInt64Array::from(vec![1]);
514        let ts_event = UInt64Array::from(vec![1]);
515        let ts_init = UInt64Array::from(vec![2]);
516
517        let record_batch = RecordBatch::try_new(
518            OrderBookDelta::get_schema(Some(metadata.clone())).into(),
519            vec![
520                Arc::new(action),
521                Arc::new(side),
522                Arc::new(price),
523                Arc::new(size),
524                Arc::new(order_id),
525                Arc::new(flags),
526                Arc::new(sequence),
527                Arc::new(ts_event),
528                Arc::new(ts_init),
529            ],
530        )
531        .unwrap();
532
533        let result = OrderBookDelta::decode_batch(&metadata, record_batch);
534        assert!(result.is_err());
535        let err = result.unwrap_err();
536        assert!(
537            err.to_string().contains("price") && err.to_string().contains("row 0"),
538            "Expected price error at row 0, was: {err}"
539        );
540    }
541
542    #[rstest]
543    fn test_decode_batch_invalid_action_returns_error() {
544        let instrument_id = InstrumentId::from("AAPL.XNAS");
545        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
546
547        let action = UInt8Array::from(vec![99]);
548        let side = UInt8Array::from(vec![1]);
549        let price = fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes()]);
550        let size = fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as QuantityRaw).to_le_bytes()]);
551        let order_id = UInt64Array::from(vec![1]);
552        let flags = UInt8Array::from(vec![0]);
553        let sequence = UInt64Array::from(vec![1]);
554        let ts_event = UInt64Array::from(vec![1]);
555        let ts_init = UInt64Array::from(vec![2]);
556
557        let record_batch = RecordBatch::try_new(
558            OrderBookDelta::get_schema(Some(metadata.clone())).into(),
559            vec![
560                Arc::new(action),
561                Arc::new(side),
562                Arc::new(price),
563                Arc::new(size),
564                Arc::new(order_id),
565                Arc::new(flags),
566                Arc::new(sequence),
567                Arc::new(ts_event),
568                Arc::new(ts_init),
569            ],
570        )
571        .unwrap();
572
573        let result = OrderBookDelta::decode_batch(&metadata, record_batch);
574        assert!(result.is_err());
575        let err = result.unwrap_err();
576        assert!(
577            err.to_string().contains("BookAction"),
578            "Expected BookAction error, was: {err}"
579        );
580    }
581
582    #[rstest]
583    fn test_decode_batch_missing_instrument_id_returns_error() {
584        let instrument_id = InstrumentId::from("AAPL.XNAS");
585        let mut metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
586        metadata.remove(KEY_INSTRUMENT_ID);
587
588        let action = UInt8Array::from(vec![1]);
589        let side = UInt8Array::from(vec![1]);
590        let price = fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes()]);
591        let size = fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as QuantityRaw).to_le_bytes()]);
592        let order_id = UInt64Array::from(vec![1]);
593        let flags = UInt8Array::from(vec![0]);
594        let sequence = UInt64Array::from(vec![1]);
595        let ts_event = UInt64Array::from(vec![1]);
596        let ts_init = UInt64Array::from(vec![2]);
597
598        let record_batch = RecordBatch::try_new(
599            OrderBookDelta::get_schema(Some(metadata.clone())).into(),
600            vec![
601                Arc::new(action),
602                Arc::new(side),
603                Arc::new(price),
604                Arc::new(size),
605                Arc::new(order_id),
606                Arc::new(flags),
607                Arc::new(sequence),
608                Arc::new(ts_event),
609                Arc::new(ts_init),
610            ],
611        )
612        .unwrap();
613
614        let result = OrderBookDelta::decode_batch(&metadata, record_batch);
615        assert!(result.is_err());
616        let err = result.unwrap_err();
617        assert!(
618            err.to_string().contains("instrument_id"),
619            "Expected missing instrument_id error, was: {err}"
620        );
621    }
622
623    #[rstest]
624    fn test_encode_decode_round_trip() {
625        let instrument_id = InstrumentId::from("AAPL.XNAS");
626        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
627
628        let delta1 = OrderBookDelta {
629            instrument_id,
630            action: BookAction::Add,
631            order: BookOrder {
632                side: OrderSide::Buy.into(),
633                price: Price::from("100.10"),
634                size: Quantity::from(100),
635                order_id: 1,
636            },
637            flags: 0,
638            sequence: 1,
639            ts_event: 1_000_000_000.into(),
640            ts_init: 1_000_000_001.into(),
641        };
642
643        let delta2 = OrderBookDelta {
644            instrument_id,
645            action: BookAction::Update,
646            order: BookOrder {
647                side: OrderSide::Sell.into(),
648                price: Price::from("101.20"),
649                size: Quantity::from(200),
650                order_id: 2,
651            },
652            flags: 1,
653            sequence: 2,
654            ts_event: 2_000_000_000.into(),
655            ts_init: 2_000_000_001.into(),
656        };
657
658        let original = vec![delta1, delta2];
659        let record_batch = OrderBookDelta::encode_batch(&metadata, &original).unwrap();
660        let decoded = OrderBookDelta::decode_batch(&metadata, record_batch).unwrap();
661
662        assert_eq!(decoded.len(), original.len());
663        for (orig, dec) in original.iter().zip(decoded.iter()) {
664            assert_eq!(dec.instrument_id, orig.instrument_id);
665            assert_eq!(dec.action, orig.action);
666            assert_eq!(dec.order.side, orig.order.side);
667            assert_eq!(dec.order.price, orig.order.price);
668            assert_eq!(dec.order.size, orig.order.size);
669            assert_eq!(dec.order.order_id, orig.order.order_id);
670            assert_eq!(dec.flags, orig.flags);
671            assert_eq!(dec.sequence, orig.sequence);
672            assert_eq!(dec.ts_event, orig.ts_event);
673            assert_eq!(dec.ts_init, orig.ts_init);
674        }
675    }
676}
nautilus_serialization/arrow/delta.rs

nautilus_serialization/arrow/
delta.rs
