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

nautilus_serialization/arrow/instrument/
commodity.rs
