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::{borrow::Borrow, collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{Array, 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};
33use rust_decimal::Decimal;
34
35use crate::arrow::{
36    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
37    KEY_PRICE_PRECISION, extract_column, extract_column_by_name,
38    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
39    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
40    timestamp_data_type,
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("tick_scheme", DataType::Utf8, true),
65            json_string_field("info", true),
66            Field::new("ts_event", timestamp_data_type(), false),
67            Field::new("ts_init", timestamp_data_type(), false),
68        ];
69
70        Schema::new_with_metadata(fields, metadata_with_type_name("Cfd", metadata))
71    }
72}
73
74impl EncodeToRecordBatch for Cfd {
75    fn encode_batch<T>(
76        #[allow(unused)] metadata: &HashMap<String, String>,
77        data: &[T],
78    ) -> Result<RecordBatch, ArrowError>
79    where
80        T: std::borrow::Borrow<Self>,
81    {
82        let mut id_builder = StringBuilder::new();
83        let mut raw_symbol_builder = StringBuilder::new();
84        let mut asset_class_builder = StringBuilder::new();
85        let mut base_currency_builder = StringBuilder::new();
86        let mut quote_currency_builder = StringBuilder::new();
87        let mut price_precision_builder = UInt8Array::builder(data.len());
88        let mut size_precision_builder = UInt8Array::builder(data.len());
89        let mut price_increment_builder = StringBuilder::new();
90        let mut size_increment_builder = StringBuilder::new();
91        let mut lot_size_builder = StringBuilder::new();
92        let mut max_quantity_builder = StringBuilder::new();
93        let mut min_quantity_builder = StringBuilder::new();
94        let mut max_notional_builder = StringBuilder::new();
95        let mut min_notional_builder = StringBuilder::new();
96        let mut max_price_builder = StringBuilder::new();
97        let mut min_price_builder = StringBuilder::new();
98        let mut margin_init_builder = StringBuilder::new();
99        let mut margin_maint_builder = StringBuilder::new();
100        let mut tick_scheme_builder = StringBuilder::new();
101        let mut info_builder = StringBuilder::new();
102        let mut ts_event_builder = UInt64Array::builder(data.len());
103        let mut ts_init_builder = UInt64Array::builder(data.len());
104
105        for cfd in data.iter().map(Borrow::borrow) {
106            id_builder.append_value(cfd.id.to_string());
107            raw_symbol_builder.append_value(cfd.raw_symbol);
108            asset_class_builder.append_value(cfd.asset_class);
109
110            if let Some(base_cur) = cfd.base_currency {
111                base_currency_builder.append_value(base_cur.to_string());
112            } else {
113                base_currency_builder.append_null();
114            }
115
116            quote_currency_builder.append_value(cfd.quote_currency.to_string());
117            price_precision_builder.append_value(cfd.price_precision);
118            size_precision_builder.append_value(cfd.size_precision);
119            price_increment_builder.append_value(cfd.price_increment.to_string());
120            size_increment_builder.append_value(cfd.size_increment.to_string());
121
122            if let Some(lot_size) = cfd.lot_size {
123                lot_size_builder.append_value(lot_size.to_string());
124            } else {
125                lot_size_builder.append_null();
126            }
127
128            if let Some(max_qty) = cfd.max_quantity {
129                max_quantity_builder.append_value(max_qty.to_string());
130            } else {
131                max_quantity_builder.append_null();
132            }
133
134            if let Some(min_qty) = cfd.min_quantity {
135                min_quantity_builder.append_value(min_qty.to_string());
136            } else {
137                min_quantity_builder.append_null();
138            }
139
140            if let Some(max_not) = cfd.max_notional {
141                max_notional_builder.append_value(max_not.to_string());
142            } else {
143                max_notional_builder.append_null();
144            }
145
146            if let Some(min_not) = cfd.min_notional {
147                min_notional_builder.append_value(min_not.to_string());
148            } else {
149                min_notional_builder.append_null();
150            }
151
152            if let Some(max_p) = cfd.max_price {
153                max_price_builder.append_value(max_p.to_string());
154            } else {
155                max_price_builder.append_null();
156            }
157
158            if let Some(min_p) = cfd.min_price {
159                min_price_builder.append_value(min_p.to_string());
160            } else {
161                min_price_builder.append_null();
162            }
163
164            margin_init_builder.append_value(cfd.margin_init.to_string());
165            margin_maint_builder.append_value(cfd.margin_maint.to_string());
166
167            if let Some(tick_scheme) = cfd.tick_scheme {
168                tick_scheme_builder.append_value(tick_scheme);
169            } else {
170                tick_scheme_builder.append_null();
171            }
172
173            if let Some(ref info) = cfd.info {
174                match serde_json::to_string(info) {
175                    Ok(json) => {
176                        info_builder.append_value(json);
177                    }
178                    Err(e) => {
179                        return Err(ArrowError::InvalidArgumentError(format!(
180                            "Failed to serialize info dict to JSON: {e}"
181                        )));
182                    }
183                }
184            } else {
185                info_builder.append_null();
186            }
187
188            ts_event_builder.append_value(cfd.ts_event.as_u64());
189            ts_init_builder.append_value(cfd.ts_init.as_u64());
190        }
191
192        record_batch_with_timestamps(
193            Self::get_schema(Some(metadata.clone())).into(),
194            vec![
195                Arc::new(id_builder.finish()),
196                Arc::new(raw_symbol_builder.finish()),
197                Arc::new(asset_class_builder.finish()),
198                Arc::new(base_currency_builder.finish()),
199                Arc::new(quote_currency_builder.finish()),
200                Arc::new(price_precision_builder.finish()),
201                Arc::new(size_precision_builder.finish()),
202                Arc::new(price_increment_builder.finish()),
203                Arc::new(size_increment_builder.finish()),
204                Arc::new(lot_size_builder.finish()),
205                Arc::new(max_quantity_builder.finish()),
206                Arc::new(min_quantity_builder.finish()),
207                Arc::new(max_notional_builder.finish()),
208                Arc::new(min_notional_builder.finish()),
209                Arc::new(max_price_builder.finish()),
210                Arc::new(min_price_builder.finish()),
211                Arc::new(margin_init_builder.finish()),
212                Arc::new(margin_maint_builder.finish()),
213                Arc::new(tick_scheme_builder.finish()),
214                Arc::new(info_builder.finish()),
215                Arc::new(ts_event_builder.finish()),
216                Arc::new(ts_init_builder.finish()),
217            ],
218        )
219    }
220
221    fn metadata(&self) -> HashMap<String, String> {
222        let mut metadata = HashMap::new();
223        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
224        metadata.insert(
225            KEY_PRICE_PRECISION.to_string(),
226            self.price_precision.to_string(),
227        );
228        metadata
229    }
230}
231
232/// Decodes [`Cfd`] instruments from a record batch.
233///
234/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
235///
236/// # Errors
237///
238/// Returns an error if the record batch cannot be decoded.
239///
240/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
241pub fn decode_cfd_batch(
242    #[allow(unused)] metadata: &HashMap<String, String>,
243    record_batch: &RecordBatch,
244) -> Result<Vec<Cfd>, EncodingError> {
245    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
246    let record_batch = &record_batch;
247    let cols = record_batch.columns();
248    let num_rows = record_batch.num_rows();
249
250    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
251    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
252    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
253    let base_currency_values = cols
254        .get(3)
255        .ok_or_else(|| EncodingError::MissingColumn("base_currency", 3))?;
256    let quote_currency_values =
257        extract_column::<StringArray>(cols, "quote_currency", 4, DataType::Utf8)?;
258    let price_precision_values =
259        extract_column::<UInt8Array>(cols, "price_precision", 5, DataType::UInt8)?;
260    let size_precision_values =
261        extract_column::<UInt8Array>(cols, "size_precision", 6, DataType::UInt8)?;
262    let price_increment_values =
263        extract_column::<StringArray>(cols, "price_increment", 7, DataType::Utf8)?;
264    let size_increment_values =
265        extract_column::<StringArray>(cols, "size_increment", 8, DataType::Utf8)?;
266    let lot_size_values = cols
267        .get(9)
268        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 9))?;
269    let max_quantity_values = cols
270        .get(10)
271        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 10))?;
272    let min_quantity_values = cols
273        .get(11)
274        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 11))?;
275    let max_notional_values = cols
276        .get(12)
277        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 12))?;
278    let min_notional_values = cols
279        .get(13)
280        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 13))?;
281    let max_price_values = cols
282        .get(14)
283        .ok_or_else(|| EncodingError::MissingColumn("max_price", 14))?;
284    let min_price_values = cols
285        .get(15)
286        .ok_or_else(|| EncodingError::MissingColumn("min_price", 15))?;
287    let margin_init_values =
288        extract_column::<StringArray>(cols, "margin_init", 16, DataType::Utf8)?;
289    let margin_maint_values =
290        extract_column::<StringArray>(cols, "margin_maint", 17, DataType::Utf8)?;
291    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
292    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
293    let ts_event_values =
294        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
295    let ts_init_values =
296        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
297
298    let mut result = Vec::with_capacity(num_rows);
299
300    for i in 0..num_rows {
301        let id = InstrumentId::from_str(id_values.value(i))
302            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
303        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
304        let asset_class = AssetClass::from_str(asset_class_values.value(i))
305            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
306
307        let base_currency = if base_currency_values.is_null(i) {
308            None
309        } else {
310            let base_cur_str = base_currency_values
311                .as_any()
312                .downcast_ref::<StringArray>()
313                .ok_or_else(|| {
314                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
315                })?
316                .value(i);
317            Some(super::decode_currency(
318                base_cur_str,
319                "base_currency",
320                "cfd.base_currency",
321                i,
322            )?)
323        };
324
325        let quote_currency = super::decode_currency(
326            quote_currency_values.value(i),
327            "quote_currency",
328            "cfd.quote_currency",
329            i,
330        )?;
331        let price_prec = price_precision_values.value(i);
332        let size_prec = size_precision_values.value(i);
333
334        let price_increment = Price::from_str(price_increment_values.value(i))
335            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
336        let size_increment = Quantity::from_str(size_increment_values.value(i))
337            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
338
339        let lot_size = if lot_size_values.is_null(i) {
340            None
341        } else {
342            let lot_size_str = lot_size_values
343                .as_any()
344                .downcast_ref::<StringArray>()
345                .ok_or_else(|| {
346                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
347                })?
348                .value(i);
349            Some(
350                Quantity::from_str(lot_size_str)
351                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
352            )
353        };
354
355        let max_quantity =
356            if max_quantity_values.is_null(i) {
357                None
358            } else {
359                let max_qty_str = max_quantity_values
360                    .as_any()
361                    .downcast_ref::<StringArray>()
362                    .ok_or_else(|| {
363                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
364                    })?
365                    .value(i);
366                Some(Quantity::from_str(max_qty_str).map_err(|e| {
367                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
368                })?)
369            };
370
371        let min_quantity =
372            if min_quantity_values.is_null(i) {
373                None
374            } else {
375                let min_qty_str = min_quantity_values
376                    .as_any()
377                    .downcast_ref::<StringArray>()
378                    .ok_or_else(|| {
379                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
380                    })?
381                    .value(i);
382                Some(Quantity::from_str(min_qty_str).map_err(|e| {
383                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
384                })?)
385            };
386
387        let max_notional =
388            if max_notional_values.is_null(i) {
389                None
390            } else {
391                let max_not_str = max_notional_values
392                    .as_any()
393                    .downcast_ref::<StringArray>()
394                    .ok_or_else(|| {
395                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
396                    })?
397                    .value(i);
398                Some(Money::from_str(max_not_str).map_err(|e| {
399                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
400                })?)
401            };
402
403        let min_notional =
404            if min_notional_values.is_null(i) {
405                None
406            } else {
407                let min_not_str = min_notional_values
408                    .as_any()
409                    .downcast_ref::<StringArray>()
410                    .ok_or_else(|| {
411                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
412                    })?
413                    .value(i);
414                Some(Money::from_str(min_not_str).map_err(|e| {
415                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
416                })?)
417            };
418
419        let max_price = if max_price_values.is_null(i) {
420            None
421        } else {
422            let max_p_str = max_price_values
423                .as_any()
424                .downcast_ref::<StringArray>()
425                .ok_or_else(|| {
426                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
427                })?
428                .value(i);
429            Some(
430                Price::from_str(max_p_str)
431                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
432            )
433        };
434
435        let min_price = if min_price_values.is_null(i) {
436            None
437        } else {
438            let min_p_str = min_price_values
439                .as_any()
440                .downcast_ref::<StringArray>()
441                .ok_or_else(|| {
442                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
443                })?
444                .value(i);
445            Some(
446                Price::from_str(min_p_str)
447                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
448            )
449        };
450
451        let margin_init = Decimal::from_str(margin_init_values.value(i))
452            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
453        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
454            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
455
456        let info = if info_values.is_null(i) {
457            None
458        } else {
459            let info_json = info_values
460                .as_any()
461                .downcast_ref::<StringArray>()
462                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
463                .value(i);
464
465            match serde_json::from_str::<Params>(info_json) {
466                Ok(info_dict) => Some(info_dict),
467                Err(e) => {
468                    return Err(EncodingError::ParseError(
469                        "info",
470                        format!("row {i}: failed to deserialize JSON: {e}"),
471                    ));
472                }
473            }
474        };
475
476        let ts_event = UnixNanos::from(ts_event_values.value(i));
477        let ts_init = UnixNanos::from(ts_init_values.value(i));
478
479        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
480
481        let cfd = Cfd::builder()
482            .instrument_id(id)
483            .raw_symbol(raw_symbol)
484            .asset_class(asset_class)
485            .maybe_base_currency(base_currency)
486            .quote_currency(quote_currency)
487            .price_precision(price_prec)
488            .size_precision(size_prec)
489            .price_increment(price_increment)
490            .size_increment(size_increment)
491            .maybe_lot_size(lot_size)
492            .maybe_max_quantity(max_quantity)
493            .maybe_min_quantity(min_quantity)
494            .maybe_max_notional(max_notional)
495            .maybe_min_notional(min_notional)
496            .maybe_max_price(max_price)
497            .maybe_min_price(min_price)
498            .margin_init(margin_init)
499            .margin_maint(margin_maint)
500            .maybe_tick_scheme(tick_scheme)
501            .maybe_info(info)
502            .ts_event(ts_event)
503            .ts_init(ts_init)
504            .build()
505            .map_err(|e| super::instrument_validation_error::<Cfd>(i, e))?;
506
507        result.push(cfd);
508    }
509
510    Ok(result)
511}
nautilus_serialization/arrow/instrument/cfd.rs

nautilus_serialization/arrow/instrument/
cfd.rs
