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

nautilus_serialization/arrow/instrument/
commodity.rs
