nautilus_serialization/arrow/instrument/
cfd.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
16//! Arrow serialization for Cfd instruments.
17
18use std::{collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{BinaryArray, BinaryBuilder, StringArray, StringBuilder, UInt8Array, UInt64Array},
22    datatypes::{DataType, Field, Schema},
23    error::ArrowError,
24    record_batch::RecordBatch,
25};
26use nautilus_core::{Params, UnixNanos};
27use nautilus_model::{
28    enums::AssetClass,
29    identifiers::{InstrumentId, Symbol},
30    instruments::cfd::Cfd,
31    types::{money::Money, price::Price, quantity::Quantity},
32};
33#[allow(unused)]
34use rust_decimal::Decimal;
35#[allow(unused)]
36use serde_json::Value;
37
38use crate::arrow::{
39    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
40    KEY_PRICE_PRECISION, extract_column,
41};
42
43impl ArrowSchemaProvider for Cfd {
44    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
45        let fields = vec![
46            Field::new("id", DataType::Utf8, false),
47            Field::new("raw_symbol", DataType::Utf8, false),
48            Field::new("asset_class", DataType::Utf8, false),
49            Field::new("base_currency", DataType::Utf8, true), // nullable
50            Field::new("quote_currency", DataType::Utf8, false),
51            Field::new("price_precision", DataType::UInt8, false),
52            Field::new("size_precision", DataType::UInt8, false),
53            Field::new("price_increment", DataType::Utf8, false),
54            Field::new("size_increment", DataType::Utf8, false),
55            Field::new("lot_size", DataType::Utf8, true), // nullable
56            Field::new("max_quantity", DataType::Utf8, true), // nullable
57            Field::new("min_quantity", DataType::Utf8, true), // nullable
58            Field::new("max_notional", DataType::Utf8, true), // nullable
59            Field::new("min_notional", DataType::Utf8, true), // nullable
60            Field::new("max_price", DataType::Utf8, true), // nullable
61            Field::new("min_price", DataType::Utf8, true), // nullable
62            Field::new("margin_init", DataType::Utf8, false),
63            Field::new("margin_maint", DataType::Utf8, false),
64            Field::new("maker_fee", DataType::Utf8, false),
65            Field::new("taker_fee", DataType::Utf8, false),
66            Field::new("info", DataType::Binary, true), // nullable
67            Field::new("ts_event", DataType::UInt64, false),
68            Field::new("ts_init", DataType::UInt64, false),
69        ];
70
71        let mut final_metadata = HashMap::new();
72        final_metadata.insert("class".to_string(), "Cfd".to_string());
73
74        if let Some(meta) = metadata {
75            final_metadata.extend(meta);
76        }
77
78        Schema::new_with_metadata(fields, final_metadata)
79    }
80}
81
82impl EncodeToRecordBatch for Cfd {
83    fn encode_batch(
84        #[allow(unused)] metadata: &HashMap<String, String>,
85        data: &[Self],
86    ) -> Result<RecordBatch, ArrowError> {
87        let mut id_builder = StringBuilder::new();
88        let mut raw_symbol_builder = StringBuilder::new();
89        let mut asset_class_builder = StringBuilder::new();
90        let mut base_currency_builder = StringBuilder::new();
91        let mut quote_currency_builder = StringBuilder::new();
92        let mut price_precision_builder = UInt8Array::builder(data.len());
93        let mut size_precision_builder = UInt8Array::builder(data.len());
94        let mut price_increment_builder = StringBuilder::new();
95        let mut size_increment_builder = StringBuilder::new();
96        let mut lot_size_builder = StringBuilder::new();
97        let mut max_quantity_builder = StringBuilder::new();
98        let mut min_quantity_builder = StringBuilder::new();
99        let mut max_notional_builder = StringBuilder::new();
100        let mut min_notional_builder = StringBuilder::new();
101        let mut max_price_builder = StringBuilder::new();
102        let mut min_price_builder = StringBuilder::new();
103        let mut margin_init_builder = StringBuilder::new();
104        let mut margin_maint_builder = StringBuilder::new();
105        let mut maker_fee_builder = StringBuilder::new();
106        let mut taker_fee_builder = StringBuilder::new();
107        let mut info_builder = BinaryBuilder::new();
108        let mut ts_event_builder = UInt64Array::builder(data.len());
109        let mut ts_init_builder = UInt64Array::builder(data.len());
110
111        for cfd in data {
112            id_builder.append_value(cfd.id.to_string());
113            raw_symbol_builder.append_value(cfd.raw_symbol);
114            asset_class_builder.append_value(cfd.asset_class);
115
116            if let Some(base_cur) = cfd.base_currency {
117                base_currency_builder.append_value(base_cur.to_string());
118            } else {
119                base_currency_builder.append_null();
120            }
121
122            quote_currency_builder.append_value(cfd.quote_currency.to_string());
123            price_precision_builder.append_value(cfd.price_precision);
124            size_precision_builder.append_value(cfd.size_precision);
125            price_increment_builder.append_value(cfd.price_increment.to_string());
126            size_increment_builder.append_value(cfd.size_increment.to_string());
127
128            if let Some(lot_size) = cfd.lot_size {
129                lot_size_builder.append_value(lot_size.to_string());
130            } else {
131                lot_size_builder.append_null();
132            }
133
134            if let Some(max_qty) = cfd.max_quantity {
135                max_quantity_builder.append_value(max_qty.to_string());
136            } else {
137                max_quantity_builder.append_null();
138            }
139
140            if let Some(min_qty) = cfd.min_quantity {
141                min_quantity_builder.append_value(min_qty.to_string());
142            } else {
143                min_quantity_builder.append_null();
144            }
145
146            if let Some(max_not) = cfd.max_notional {
147                max_notional_builder.append_value(max_not.to_string());
148            } else {
149                max_notional_builder.append_null();
150            }
151
152            if let Some(min_not) = cfd.min_notional {
153                min_notional_builder.append_value(min_not.to_string());
154            } else {
155                min_notional_builder.append_null();
156            }
157
158            if let Some(max_p) = cfd.max_price {
159                max_price_builder.append_value(max_p.to_string());
160            } else {
161                max_price_builder.append_null();
162            }
163
164            if let Some(min_p) = cfd.min_price {
165                min_price_builder.append_value(min_p.to_string());
166            } else {
167                min_price_builder.append_null();
168            }
169
170            margin_init_builder.append_value(cfd.margin_init.to_string());
171            margin_maint_builder.append_value(cfd.margin_maint.to_string());
172            maker_fee_builder.append_value(cfd.maker_fee.to_string());
173            taker_fee_builder.append_value(cfd.taker_fee.to_string());
174
175            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
176            if let Some(ref info) = cfd.info {
177                match serde_json::to_vec(info) {
178                    Ok(json_bytes) => {
179                        info_builder.append_value(json_bytes);
180                    }
181                    Err(e) => {
182                        return Err(ArrowError::InvalidArgumentError(format!(
183                            "Failed to serialize info dict to JSON: {e}"
184                        )));
185                    }
186                }
187            } else {
188                info_builder.append_null();
189            }
190
191            ts_event_builder.append_value(cfd.ts_event.as_u64());
192            ts_init_builder.append_value(cfd.ts_init.as_u64());
193        }
194
195        let mut final_metadata = metadata.clone();
196        final_metadata.insert("class".to_string(), "Cfd".to_string());
197
198        RecordBatch::try_new(
199            Self::get_schema(Some(final_metadata)).into(),
200            vec![
201                Arc::new(id_builder.finish()),
202                Arc::new(raw_symbol_builder.finish()),
203                Arc::new(asset_class_builder.finish()),
204                Arc::new(base_currency_builder.finish()),
205                Arc::new(quote_currency_builder.finish()),
206                Arc::new(price_precision_builder.finish()),
207                Arc::new(size_precision_builder.finish()),
208                Arc::new(price_increment_builder.finish()),
209                Arc::new(size_increment_builder.finish()),
210                Arc::new(lot_size_builder.finish()),
211                Arc::new(max_quantity_builder.finish()),
212                Arc::new(min_quantity_builder.finish()),
213                Arc::new(max_notional_builder.finish()),
214                Arc::new(min_notional_builder.finish()),
215                Arc::new(max_price_builder.finish()),
216                Arc::new(min_price_builder.finish()),
217                Arc::new(margin_init_builder.finish()),
218                Arc::new(margin_maint_builder.finish()),
219                Arc::new(maker_fee_builder.finish()),
220                Arc::new(taker_fee_builder.finish()),
221                Arc::new(info_builder.finish()),
222                Arc::new(ts_event_builder.finish()),
223                Arc::new(ts_init_builder.finish()),
224            ],
225        )
226    }
227
228    fn metadata(&self) -> HashMap<String, String> {
229        let mut metadata = HashMap::new();
230        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
231        metadata.insert(
232            KEY_PRICE_PRECISION.to_string(),
233            self.price_precision.to_string(),
234        );
235        metadata
236    }
237}
238
239/// Helper function to decode Cfd from RecordBatch
240/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
241///
242/// # Errors
243///
244/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
245pub fn decode_cfd_batch(
246    #[allow(unused)] metadata: &HashMap<String, String>,
247    record_batch: &RecordBatch,
248) -> Result<Vec<Cfd>, EncodingError> {
249    let cols = record_batch.columns();
250    let num_rows = record_batch.num_rows();
251
252    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
253    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
254    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
255    let base_currency_values = cols
256        .get(3)
257        .ok_or_else(|| EncodingError::MissingColumn("base_currency", 3))?;
258    let quote_currency_values =
259        extract_column::<StringArray>(cols, "quote_currency", 4, DataType::Utf8)?;
260    let price_precision_values =
261        extract_column::<UInt8Array>(cols, "price_precision", 5, DataType::UInt8)?;
262    let size_precision_values =
263        extract_column::<UInt8Array>(cols, "size_precision", 6, DataType::UInt8)?;
264    let price_increment_values =
265        extract_column::<StringArray>(cols, "price_increment", 7, DataType::Utf8)?;
266    let size_increment_values =
267        extract_column::<StringArray>(cols, "size_increment", 8, DataType::Utf8)?;
268    let lot_size_values = cols
269        .get(9)
270        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 9))?;
271    let max_quantity_values = cols
272        .get(10)
273        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 10))?;
274    let min_quantity_values = cols
275        .get(11)
276        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 11))?;
277    let max_notional_values = cols
278        .get(12)
279        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 12))?;
280    let min_notional_values = cols
281        .get(13)
282        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 13))?;
283    let max_price_values = cols
284        .get(14)
285        .ok_or_else(|| EncodingError::MissingColumn("max_price", 14))?;
286    let min_price_values = cols
287        .get(15)
288        .ok_or_else(|| EncodingError::MissingColumn("min_price", 15))?;
289    let margin_init_values =
290        extract_column::<StringArray>(cols, "margin_init", 16, DataType::Utf8)?;
291    let margin_maint_values =
292        extract_column::<StringArray>(cols, "margin_maint", 17, DataType::Utf8)?;
293    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 18, DataType::Utf8)?;
294    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 19, DataType::Utf8)?;
295    let info_values = cols
296        .get(20)
297        .ok_or_else(|| EncodingError::MissingColumn("info", 20))?;
298    let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 21, DataType::UInt64)?;
299    let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 22, DataType::UInt64)?;
300
301    let mut result = Vec::with_capacity(num_rows);
302
303    for i in 0..num_rows {
304        let id = InstrumentId::from_str(id_values.value(i))
305            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
306        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
307        let asset_class = AssetClass::from_str(asset_class_values.value(i))
308            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
309
310        let base_currency = if base_currency_values.is_null(i) {
311            None
312        } else {
313            let base_cur_str = base_currency_values
314                .as_any()
315                .downcast_ref::<StringArray>()
316                .ok_or_else(|| {
317                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
318                })?
319                .value(i);
320            Some(super::decode_currency(
321                base_cur_str,
322                "base_currency",
323                "cfd.base_currency",
324                i,
325            )?)
326        };
327
328        let quote_currency = super::decode_currency(
329            quote_currency_values.value(i),
330            "quote_currency",
331            "cfd.quote_currency",
332            i,
333        )?;
334        let price_prec = price_precision_values.value(i);
335        let size_prec = size_precision_values.value(i);
336
337        let price_increment = Price::from_str(price_increment_values.value(i))
338            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
339        let size_increment = Quantity::from_str(size_increment_values.value(i))
340            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
341
342        let lot_size = if lot_size_values.is_null(i) {
343            None
344        } else {
345            let lot_size_str = lot_size_values
346                .as_any()
347                .downcast_ref::<StringArray>()
348                .ok_or_else(|| {
349                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
350                })?
351                .value(i);
352            Some(
353                Quantity::from_str(lot_size_str)
354                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
355            )
356        };
357
358        let max_quantity =
359            if max_quantity_values.is_null(i) {
360                None
361            } else {
362                let max_qty_str = max_quantity_values
363                    .as_any()
364                    .downcast_ref::<StringArray>()
365                    .ok_or_else(|| {
366                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
367                    })?
368                    .value(i);
369                Some(Quantity::from_str(max_qty_str).map_err(|e| {
370                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
371                })?)
372            };
373
374        let min_quantity =
375            if min_quantity_values.is_null(i) {
376                None
377            } else {
378                let min_qty_str = min_quantity_values
379                    .as_any()
380                    .downcast_ref::<StringArray>()
381                    .ok_or_else(|| {
382                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
383                    })?
384                    .value(i);
385                Some(Quantity::from_str(min_qty_str).map_err(|e| {
386                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
387                })?)
388            };
389
390        let max_notional =
391            if max_notional_values.is_null(i) {
392                None
393            } else {
394                let max_not_str = max_notional_values
395                    .as_any()
396                    .downcast_ref::<StringArray>()
397                    .ok_or_else(|| {
398                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
399                    })?
400                    .value(i);
401                Some(Money::from_str(max_not_str).map_err(|e| {
402                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
403                })?)
404            };
405
406        let min_notional =
407            if min_notional_values.is_null(i) {
408                None
409            } else {
410                let min_not_str = min_notional_values
411                    .as_any()
412                    .downcast_ref::<StringArray>()
413                    .ok_or_else(|| {
414                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
415                    })?
416                    .value(i);
417                Some(Money::from_str(min_not_str).map_err(|e| {
418                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
419                })?)
420            };
421
422        let max_price = if max_price_values.is_null(i) {
423            None
424        } else {
425            let max_p_str = max_price_values
426                .as_any()
427                .downcast_ref::<StringArray>()
428                .ok_or_else(|| {
429                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
430                })?
431                .value(i);
432            Some(
433                Price::from_str(max_p_str)
434                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
435            )
436        };
437
438        let min_price = if min_price_values.is_null(i) {
439            None
440        } else {
441            let min_p_str = min_price_values
442                .as_any()
443                .downcast_ref::<StringArray>()
444                .ok_or_else(|| {
445                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
446                })?
447                .value(i);
448            Some(
449                Price::from_str(min_p_str)
450                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
451            )
452        };
453
454        let margin_init = Decimal::from_str(margin_init_values.value(i))
455            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
456        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
457            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
458        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
459            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
460        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
461            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
462
463        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
464        let info = if info_values.is_null(i) {
465            None
466        } else {
467            let info_bytes = info_values
468                .as_any()
469                .downcast_ref::<BinaryArray>()
470                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
471                .value(i);
472
473            match serde_json::from_slice::<Params>(info_bytes) {
474                Ok(info_dict) => Some(info_dict),
475                Err(e) => {
476                    return Err(EncodingError::ParseError(
477                        "info",
478                        format!("row {i}: failed to deserialize JSON: {e}"),
479                    ));
480                }
481            }
482        };
483
484        let ts_event = UnixNanos::from(ts_event_values.value(i));
485        let ts_init = UnixNanos::from(ts_init_values.value(i));
486
487        let cfd = Cfd::new(
488            id,
489            raw_symbol,
490            asset_class,
491            base_currency,
492            quote_currency,
493            price_prec,
494            size_prec,
495            price_increment,
496            size_increment,
497            lot_size,
498            max_quantity,
499            min_quantity,
500            max_notional,
501            min_notional,
502            max_price,
503            min_price,
504            Some(margin_init),
505            Some(margin_maint),
506            Some(maker_fee),
507            Some(taker_fee),
508            info,
509            ts_event,
510            ts_init,
511        );
512
513        result.push(cfd);
514    }
515
516    Ok(result)
517}
nautilus_serialization/arrow/instrument/cfd.rs

nautilus_serialization/arrow/instrument/
cfd.rs
