nautilus_serialization/arrow/
index_price.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, UInt64Array},
20    datatypes::{DataType, Field, Schema},
21    error::ArrowError,
22    record_batch::RecordBatch,
23};
24use nautilus_model::{
25    data::prices::IndexPriceUpdate, identifiers::InstrumentId, types::fixed::PRECISION_BYTES,
26};
27
28use super::{
29    DecodeDataFromRecordBatch, EncodingError, KEY_INSTRUMENT_ID, KEY_PRICE_PRECISION, decode_price,
30    extract_column, validate_precision_bytes,
31};
32use crate::arrow::{ArrowSchemaProvider, Data, DecodeFromRecordBatch, EncodeToRecordBatch};
33
34impl ArrowSchemaProvider for IndexPriceUpdate {
35    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
36        let fields = vec![
37            Field::new("value", DataType::FixedSizeBinary(PRECISION_BYTES), false),
38            Field::new("ts_event", DataType::UInt64, false),
39            Field::new("ts_init", DataType::UInt64, false),
40        ];
41
42        match metadata {
43            Some(metadata) => Schema::new_with_metadata(fields, metadata),
44            None => Schema::new(fields),
45        }
46    }
47}
48
49fn parse_metadata(metadata: &HashMap<String, String>) -> Result<(InstrumentId, u8), EncodingError> {
50    let instrument_id_str = metadata
51        .get(KEY_INSTRUMENT_ID)
52        .ok_or_else(|| EncodingError::MissingMetadata(KEY_INSTRUMENT_ID))?;
53    let instrument_id = InstrumentId::from_str(instrument_id_str)
54        .map_err(|e| EncodingError::ParseError(KEY_INSTRUMENT_ID, e.to_string()))?;
55
56    let price_precision = metadata
57        .get(KEY_PRICE_PRECISION)
58        .ok_or_else(|| EncodingError::MissingMetadata(KEY_PRICE_PRECISION))?
59        .parse::<u8>()
60        .map_err(|e| EncodingError::ParseError(KEY_PRICE_PRECISION, e.to_string()))?;
61
62    Ok((instrument_id, price_precision))
63}
64
65impl EncodeToRecordBatch for IndexPriceUpdate {
66    fn encode_batch(
67        metadata: &HashMap<String, String>,
68        data: &[Self],
69    ) -> Result<RecordBatch, ArrowError> {
70        let mut value_builder = FixedSizeBinaryBuilder::with_capacity(data.len(), PRECISION_BYTES);
71        let mut ts_event_builder = UInt64Array::builder(data.len());
72        let mut ts_init_builder = UInt64Array::builder(data.len());
73
74        for update in data {
75            value_builder
76                .append_value(update.value.raw.to_le_bytes())
77                .unwrap();
78            ts_event_builder.append_value(update.ts_event.as_u64());
79            ts_init_builder.append_value(update.ts_init.as_u64());
80        }
81
82        RecordBatch::try_new(
83            Self::get_schema(Some(metadata.clone())).into(),
84            vec![
85                Arc::new(value_builder.finish()),
86                Arc::new(ts_event_builder.finish()),
87                Arc::new(ts_init_builder.finish()),
88            ],
89        )
90    }
91
92    fn metadata(&self) -> HashMap<String, String> {
93        let mut metadata = HashMap::new();
94        metadata.insert(
95            KEY_INSTRUMENT_ID.to_string(),
96            self.instrument_id.to_string(),
97        );
98        metadata.insert(
99            KEY_PRICE_PRECISION.to_string(),
100            self.value.precision.to_string(),
101        );
102        metadata
103    }
104}
105
106impl DecodeFromRecordBatch for IndexPriceUpdate {
107    fn decode_batch(
108        metadata: &HashMap<String, String>,
109        record_batch: RecordBatch,
110    ) -> Result<Vec<Self>, EncodingError> {
111        let (instrument_id, price_precision) = parse_metadata(metadata)?;
112        let cols = record_batch.columns();
113
114        let value_values = extract_column::<FixedSizeBinaryArray>(
115            cols,
116            "value",
117            0,
118            DataType::FixedSizeBinary(PRECISION_BYTES),
119        )?;
120        let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 1, DataType::UInt64)?;
121        let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 2, DataType::UInt64)?;
122
123        validate_precision_bytes(value_values, "value")?;
124
125        let result: Result<Vec<Self>, EncodingError> = (0..record_batch.num_rows())
126            .map(|row| {
127                let value = decode_price(value_values.value(row), price_precision, "value", row)?;
128                Ok(Self {
129                    instrument_id,
130                    value,
131                    ts_event: ts_event_values.value(row).into(),
132                    ts_init: ts_init_values.value(row).into(),
133                })
134            })
135            .collect();
136
137        result
138    }
139}
140
141impl DecodeDataFromRecordBatch for IndexPriceUpdate {
142    fn decode_data_batch(
143        metadata: &HashMap<String, String>,
144        record_batch: RecordBatch,
145    ) -> Result<Vec<Data>, EncodingError> {
146        let updates: Vec<Self> = Self::decode_batch(metadata, record_batch)?;
147        Ok(updates.into_iter().map(Data::from).collect())
148    }
149}
150
151#[cfg(test)]
152mod tests {
153    use std::sync::Arc;
154
155    use arrow::{array::Array, record_batch::RecordBatch};
156    use nautilus_model::types::{Price, fixed::FIXED_SCALAR, price::PriceRaw};
157    use rstest::rstest;
158    use rust_decimal_macros::dec;
159
160    use super::*;
161    use crate::arrow::{fixed_size_binary, get_raw_price};
162
163    #[rstest]
164    fn test_get_schema() {
165        let instrument_id = InstrumentId::from("BTC-USDT.BINANCE");
166        let metadata = HashMap::from([
167            (KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string()),
168            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
169        ]);
170        let schema = IndexPriceUpdate::get_schema(Some(metadata.clone()));
171
172        let expected_fields = vec![
173            Field::new("value", DataType::FixedSizeBinary(PRECISION_BYTES), false),
174            Field::new("ts_event", DataType::UInt64, false),
175            Field::new("ts_init", DataType::UInt64, false),
176        ];
177
178        let expected_schema = Schema::new_with_metadata(expected_fields, metadata);
179        assert_eq!(schema, expected_schema);
180    }
181
182    #[rstest]
183    fn test_get_schema_map() {
184        let schema_map = IndexPriceUpdate::get_schema_map();
185        let mut expected_map = HashMap::new();
186
187        let fixed_size_binary = format!("FixedSizeBinary({PRECISION_BYTES})");
188        expected_map.insert("value".to_string(), fixed_size_binary);
189        expected_map.insert("ts_event".to_string(), "UInt64".to_string());
190        expected_map.insert("ts_init".to_string(), "UInt64".to_string());
191        assert_eq!(schema_map, expected_map);
192    }
193
194    #[rstest]
195    fn test_encode_batch() {
196        let instrument_id = InstrumentId::from("BTC-USDT.BINANCE");
197        let metadata = HashMap::from([
198            (KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string()),
199            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
200        ]);
201
202        let update1 = IndexPriceUpdate {
203            instrument_id,
204            value: Price::from("50000.00"),
205            ts_event: 1.into(),
206            ts_init: 3.into(),
207        };
208
209        let update2 = IndexPriceUpdate {
210            instrument_id,
211            value: Price::from("51000.00"),
212            ts_event: 2.into(),
213            ts_init: 4.into(),
214        };
215
216        let data = vec![update1, update2];
217        let record_batch = IndexPriceUpdate::encode_batch(&metadata, &data).unwrap();
218
219        let columns = record_batch.columns();
220        let value_values = columns[0]
221            .as_any()
222            .downcast_ref::<FixedSizeBinaryArray>()
223            .unwrap();
224        let ts_event_values = columns[1].as_any().downcast_ref::<UInt64Array>().unwrap();
225        let ts_init_values = columns[2].as_any().downcast_ref::<UInt64Array>().unwrap();
226
227        assert_eq!(columns.len(), 3);
228        assert_eq!(value_values.len(), 2);
229        assert_eq!(
230            get_raw_price(value_values.value(0)),
231            Price::from(dec!(50000.00).to_string()).raw
232        );
233        assert_eq!(
234            get_raw_price(value_values.value(1)),
235            Price::from(dec!(51000.00).to_string()).raw
236        );
237        assert_eq!(ts_event_values.len(), 2);
238        assert_eq!(ts_event_values.value(0), 1);
239        assert_eq!(ts_event_values.value(1), 2);
240        assert_eq!(ts_init_values.len(), 2);
241        assert_eq!(ts_init_values.value(0), 3);
242        assert_eq!(ts_init_values.value(1), 4);
243    }
244
245    #[rstest]
246    fn test_decode_batch() {
247        let instrument_id = InstrumentId::from("BTC-USDT.BINANCE");
248        let metadata = HashMap::from([
249            (KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string()),
250            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
251        ]);
252
253        let raw_price1 = (50.00 * FIXED_SCALAR) as PriceRaw;
254        let raw_price2 = (51.00 * FIXED_SCALAR) as PriceRaw;
255        let value = fixed_size_binary(vec![&raw_price1.to_le_bytes(), &raw_price2.to_le_bytes()]);
256        let ts_event = UInt64Array::from(vec![1, 2]);
257        let ts_init = UInt64Array::from(vec![3, 4]);
258
259        let record_batch = RecordBatch::try_new(
260            IndexPriceUpdate::get_schema(Some(metadata.clone())).into(),
261            vec![Arc::new(value), Arc::new(ts_event), Arc::new(ts_init)],
262        )
263        .unwrap();
264
265        let decoded_data = IndexPriceUpdate::decode_batch(&metadata, record_batch).unwrap();
266
267        assert_eq!(decoded_data.len(), 2);
268        assert_eq!(decoded_data[0].instrument_id, instrument_id);
269        assert_eq!(decoded_data[0].value, Price::from_raw(raw_price1, 2));
270        assert_eq!(decoded_data[0].ts_event.as_u64(), 1);
271        assert_eq!(decoded_data[0].ts_init.as_u64(), 3);
272
273        assert_eq!(decoded_data[1].instrument_id, instrument_id);
274        assert_eq!(decoded_data[1].value, Price::from_raw(raw_price2, 2));
275        assert_eq!(decoded_data[1].ts_event.as_u64(), 2);
276        assert_eq!(decoded_data[1].ts_init.as_u64(), 4);
277    }
278
279    #[rstest]
280    fn test_decode_batch_invalid_value_returns_error() {
281        let instrument_id = InstrumentId::from("BTC-USDT.BINANCE");
282        let metadata = HashMap::from([
283            (KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string()),
284            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
285        ]);
286
287        let invalid_price: PriceRaw = PriceRaw::MAX - 1000;
288        let value = fixed_size_binary(vec![&invalid_price.to_le_bytes()]);
289        let ts_event = UInt64Array::from(vec![1]);
290        let ts_init = UInt64Array::from(vec![2]);
291
292        let record_batch = RecordBatch::try_new(
293            IndexPriceUpdate::get_schema(Some(metadata.clone())).into(),
294            vec![Arc::new(value), Arc::new(ts_event), Arc::new(ts_init)],
295        )
296        .unwrap();
297
298        let result = IndexPriceUpdate::decode_batch(&metadata, record_batch);
299        assert!(result.is_err());
300        let err = result.unwrap_err();
301        assert!(
302            err.to_string().contains("value") && err.to_string().contains("row 0"),
303            "Expected value error at row 0, was: {err}"
304        );
305    }
306
307    #[rstest]
308    fn test_decode_batch_missing_instrument_id_returns_error() {
309        let mut metadata = HashMap::from([
310            (
311                KEY_INSTRUMENT_ID.to_string(),
312                "BTC-USDT.BINANCE".to_string(),
313            ),
314            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
315        ]);
316
317        let raw_price = (50.00 * FIXED_SCALAR) as PriceRaw;
318        let value = fixed_size_binary(vec![&raw_price.to_le_bytes()]);
319        let ts_event = UInt64Array::from(vec![1]);
320        let ts_init = UInt64Array::from(vec![2]);
321
322        let record_batch = RecordBatch::try_new(
323            IndexPriceUpdate::get_schema(Some(metadata.clone())).into(),
324            vec![Arc::new(value), Arc::new(ts_event), Arc::new(ts_init)],
325        )
326        .unwrap();
327
328        metadata.remove(KEY_INSTRUMENT_ID);
329
330        let result = IndexPriceUpdate::decode_batch(&metadata, record_batch);
331        assert!(result.is_err());
332        let err = result.unwrap_err();
333        assert!(
334            err.to_string().contains("instrument_id"),
335            "Expected missing instrument_id error, was: {err}"
336        );
337    }
338
339    #[rstest]
340    fn test_encode_decode_round_trip() {
341        let instrument_id = InstrumentId::from("BTC-USDT.BINANCE");
342        let metadata = HashMap::from([
343            (KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string()),
344            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
345        ]);
346
347        let update1 = IndexPriceUpdate {
348            instrument_id,
349            value: Price::from("50000.00"),
350            ts_event: 1_000_000_000.into(),
351            ts_init: 1_000_000_001.into(),
352        };
353
354        let update2 = IndexPriceUpdate {
355            instrument_id,
356            value: Price::from("51000.00"),
357            ts_event: 2_000_000_000.into(),
358            ts_init: 2_000_000_001.into(),
359        };
360
361        let original = vec![update1, update2];
362        let record_batch = IndexPriceUpdate::encode_batch(&metadata, &original).unwrap();
363        let decoded = IndexPriceUpdate::decode_batch(&metadata, record_batch).unwrap();
364
365        assert_eq!(decoded.len(), original.len());
366        for (orig, dec) in original.iter().zip(decoded.iter()) {
367            assert_eq!(dec.instrument_id, orig.instrument_id);
368            assert_eq!(dec.value, orig.value);
369            assert_eq!(dec.ts_event, orig.ts_event);
370            assert_eq!(dec.ts_init, orig.ts_init);
371        }
372    }
373}
nautilus_serialization/arrow/index_price.rs

nautilus_serialization/arrow/
index_price.rs
