nautilus_serialization/arrow/instrument/
crypto_future.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 CryptoFuture instruments.
17
18use std::{borrow::Borrow, collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        Array, BooleanArray, BooleanBuilder, StringArray, StringBuilder, UInt8Array, UInt64Array,
23    },
24    datatypes::{DataType, Field, Schema},
25    error::ArrowError,
26    record_batch::RecordBatch,
27};
28use nautilus_core::Params;
29use nautilus_model::{
30    identifiers::{InstrumentId, Symbol},
31    instruments::crypto_future::CryptoFuture,
32    types::{money::Money, price::Price, quantity::Quantity},
33};
34use rust_decimal::Decimal;
35
36use crate::arrow::{
37    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
38    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name,
39    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
40    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
41    timestamp_data_type,
42};
43
44impl ArrowSchemaProvider for CryptoFuture {
45    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
46        let fields = vec![
47            Field::new("id", DataType::Utf8, false),
48            Field::new("raw_symbol", DataType::Utf8, false),
49            Field::new("underlying", DataType::Utf8, false),
50            Field::new("quote_currency", DataType::Utf8, false),
51            Field::new("settlement_currency", DataType::Utf8, false),
52            Field::new("is_inverse", DataType::Boolean, false),
53            Field::new("activation_ns", timestamp_data_type(), false),
54            Field::new("expiration_ns", timestamp_data_type(), false),
55            Field::new("price_precision", DataType::UInt8, false),
56            Field::new("size_precision", DataType::UInt8, false),
57            Field::new("price_increment", DataType::Utf8, false),
58            Field::new("size_increment", DataType::Utf8, false),
59            Field::new("multiplier", DataType::Utf8, false),
60            Field::new("lot_size", DataType::Utf8, true),
61            Field::new("max_quantity", DataType::Utf8, true), // nullable
62            Field::new("min_quantity", DataType::Utf8, true), // nullable
63            Field::new("max_notional", DataType::Utf8, true), // nullable
64            Field::new("min_notional", DataType::Utf8, true), // nullable
65            Field::new("max_price", DataType::Utf8, true),    // nullable
66            Field::new("min_price", DataType::Utf8, true),    // nullable
67            Field::new("margin_init", DataType::Utf8, false),
68            Field::new("margin_maint", DataType::Utf8, false),
69            Field::new("tick_scheme", DataType::Utf8, true),
70            json_string_field("info", true),
71            Field::new("ts_event", timestamp_data_type(), false),
72            Field::new("ts_init", timestamp_data_type(), false),
73        ];
74
75        Schema::new_with_metadata(fields, metadata_with_type_name("CryptoFuture", metadata))
76    }
77}
78
79impl EncodeToRecordBatch for CryptoFuture {
80    fn encode_batch<T>(
81        #[allow(unused)] metadata: &HashMap<String, String>,
82        data: &[T],
83    ) -> Result<RecordBatch, ArrowError>
84    where
85        T: std::borrow::Borrow<Self>,
86    {
87        let mut id_builder = StringBuilder::new();
88        let mut raw_symbol_builder = StringBuilder::new();
89        let mut underlying_builder = StringBuilder::new();
90        let mut quote_currency_builder = StringBuilder::new();
91        let mut settlement_currency_builder = StringBuilder::new();
92        let mut is_inverse_builder = BooleanBuilder::new();
93        let mut activation_ns_builder = UInt64Array::builder(data.len());
94        let mut expiration_ns_builder = UInt64Array::builder(data.len());
95        let mut price_precision_builder = UInt8Array::builder(data.len());
96        let mut size_precision_builder = UInt8Array::builder(data.len());
97        let mut price_increment_builder = StringBuilder::new();
98        let mut size_increment_builder = StringBuilder::new();
99        let mut multiplier_builder = StringBuilder::new();
100        let mut lot_size_builder = StringBuilder::new();
101        let mut max_quantity_builder = StringBuilder::new();
102        let mut min_quantity_builder = StringBuilder::new();
103        let mut max_notional_builder = StringBuilder::new();
104        let mut min_notional_builder = StringBuilder::new();
105        let mut max_price_builder = StringBuilder::new();
106        let mut min_price_builder = StringBuilder::new();
107        let mut margin_init_builder = StringBuilder::new();
108        let mut margin_maint_builder = StringBuilder::new();
109        let mut tick_scheme_builder = StringBuilder::new();
110        let mut info_builder = StringBuilder::new();
111        let mut ts_event_builder = UInt64Array::builder(data.len());
112        let mut ts_init_builder = UInt64Array::builder(data.len());
113
114        for cf in data.iter().map(Borrow::borrow) {
115            id_builder.append_value(cf.id.to_string());
116            raw_symbol_builder.append_value(cf.raw_symbol);
117            underlying_builder.append_value(cf.underlying.to_string());
118            quote_currency_builder.append_value(cf.quote_currency.to_string());
119            settlement_currency_builder.append_value(cf.settlement_currency.to_string());
120            is_inverse_builder.append_value(cf.is_inverse);
121            activation_ns_builder.append_value(cf.activation_ns.as_u64());
122            expiration_ns_builder.append_value(cf.expiration_ns.as_u64());
123            price_precision_builder.append_value(cf.price_precision);
124            size_precision_builder.append_value(cf.size_precision);
125            price_increment_builder.append_value(cf.price_increment.to_string());
126            size_increment_builder.append_value(cf.size_increment.to_string());
127            multiplier_builder.append_value(cf.multiplier.to_string());
128            lot_size_builder.append_value(cf.lot_size.to_string());
129
130            if let Some(max_qty) = cf.max_quantity {
131                max_quantity_builder.append_value(max_qty.to_string());
132            } else {
133                max_quantity_builder.append_null();
134            }
135
136            if let Some(min_qty) = cf.min_quantity {
137                min_quantity_builder.append_value(min_qty.to_string());
138            } else {
139                min_quantity_builder.append_null();
140            }
141
142            if let Some(max_not) = cf.max_notional {
143                max_notional_builder.append_value(max_not.to_string());
144            } else {
145                max_notional_builder.append_null();
146            }
147
148            if let Some(min_not) = cf.min_notional {
149                min_notional_builder.append_value(min_not.to_string());
150            } else {
151                min_notional_builder.append_null();
152            }
153
154            if let Some(max_p) = cf.max_price {
155                max_price_builder.append_value(max_p.to_string());
156            } else {
157                max_price_builder.append_null();
158            }
159
160            if let Some(min_p) = cf.min_price {
161                min_price_builder.append_value(min_p.to_string());
162            } else {
163                min_price_builder.append_null();
164            }
165
166            margin_init_builder.append_value(cf.margin_init.to_string());
167            margin_maint_builder.append_value(cf.margin_maint.to_string());
168
169            if let Some(tick_scheme) = cf.tick_scheme {
170                tick_scheme_builder.append_value(tick_scheme);
171            } else {
172                tick_scheme_builder.append_null();
173            }
174
175            if let Some(ref info) = cf.info {
176                match serde_json::to_string(info) {
177                    Ok(json) => {
178                        info_builder.append_value(json);
179                    }
180                    Err(e) => {
181                        return Err(ArrowError::InvalidArgumentError(format!(
182                            "Failed to serialize info dict to JSON: {e}"
183                        )));
184                    }
185                }
186            } else {
187                info_builder.append_null();
188            }
189
190            ts_event_builder.append_value(cf.ts_event.as_u64());
191            ts_init_builder.append_value(cf.ts_init.as_u64());
192        }
193
194        record_batch_with_timestamps(
195            Self::get_schema(Some(metadata.clone())).into(),
196            vec![
197                Arc::new(id_builder.finish()),
198                Arc::new(raw_symbol_builder.finish()),
199                Arc::new(underlying_builder.finish()),
200                Arc::new(quote_currency_builder.finish()),
201                Arc::new(settlement_currency_builder.finish()),
202                Arc::new(is_inverse_builder.finish()),
203                Arc::new(activation_ns_builder.finish()),
204                Arc::new(expiration_ns_builder.finish()),
205                Arc::new(price_precision_builder.finish()),
206                Arc::new(size_precision_builder.finish()),
207                Arc::new(price_increment_builder.finish()),
208                Arc::new(size_increment_builder.finish()),
209                Arc::new(multiplier_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(tick_scheme_builder.finish()),
220                Arc::new(info_builder.finish()),
221                Arc::new(ts_event_builder.finish()),
222                Arc::new(ts_init_builder.finish()),
223            ],
224        )
225    }
226
227    fn metadata(&self) -> HashMap<String, String> {
228        let mut metadata = HashMap::new();
229        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
230        metadata.insert(
231            KEY_PRICE_PRECISION.to_string(),
232            self.price_precision.to_string(),
233        );
234        metadata.insert(
235            KEY_SIZE_PRECISION.to_string(),
236            self.size_precision.to_string(),
237        );
238        metadata
239    }
240}
241
242/// Decodes [`CryptoFuture`] instruments from a record batch.
243///
244/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
245///
246/// # Errors
247///
248/// Returns an error if the record batch cannot be decoded.
249///
250/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
251pub fn decode_crypto_future_batch(
252    #[allow(unused)] metadata: &HashMap<String, String>,
253    record_batch: &RecordBatch,
254) -> Result<Vec<CryptoFuture>, EncodingError> {
255    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
256    let record_batch = &record_batch;
257    let cols = record_batch.columns();
258    let num_rows = record_batch.num_rows();
259
260    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
261    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
262    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
263    let quote_currency_values =
264        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
265    let settlement_currency_values =
266        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
267    let is_inverse_values =
268        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
269    let activation_ns_values =
270        extract_column::<UInt64Array>(cols, "activation_ns", 6, DataType::UInt64)?;
271    let expiration_ns_values =
272        extract_column::<UInt64Array>(cols, "expiration_ns", 7, DataType::UInt64)?;
273    let price_precision_values =
274        extract_column::<UInt8Array>(cols, "price_precision", 8, DataType::UInt8)?;
275    let size_precision_values =
276        extract_column::<UInt8Array>(cols, "size_precision", 9, DataType::UInt8)?;
277    let price_increment_values =
278        extract_column::<StringArray>(cols, "price_increment", 10, DataType::Utf8)?;
279    let size_increment_values =
280        extract_column::<StringArray>(cols, "size_increment", 11, DataType::Utf8)?;
281    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 12, DataType::Utf8)?;
282    let lot_size_values = record_batch
283        .schema()
284        .index_of("lot_size")
285        .ok()
286        .map(|index| extract_column::<StringArray>(cols, "lot_size", index, DataType::Utf8))
287        .transpose()?;
288    let lot_size_offset = usize::from(lot_size_values.is_some());
289    let max_quantity_values = cols
290        .get(13 + lot_size_offset)
291        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 13 + lot_size_offset))?;
292    let min_quantity_values = cols
293        .get(14 + lot_size_offset)
294        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 14 + lot_size_offset))?;
295    let max_notional_values = cols
296        .get(15 + lot_size_offset)
297        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 15 + lot_size_offset))?;
298    let min_notional_values = cols
299        .get(16 + lot_size_offset)
300        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 16 + lot_size_offset))?;
301    let max_price_values = cols
302        .get(17 + lot_size_offset)
303        .ok_or_else(|| EncodingError::MissingColumn("max_price", 17 + lot_size_offset))?;
304    let min_price_values = cols
305        .get(18 + lot_size_offset)
306        .ok_or_else(|| EncodingError::MissingColumn("min_price", 18 + lot_size_offset))?;
307    let margin_init_values =
308        extract_column::<StringArray>(cols, "margin_init", 19 + lot_size_offset, DataType::Utf8)?;
309    let margin_maint_values =
310        extract_column::<StringArray>(cols, "margin_maint", 20 + lot_size_offset, DataType::Utf8)?;
311    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
312    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
313    let ts_event_values =
314        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
315    let ts_init_values =
316        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
317
318    let mut result = Vec::with_capacity(num_rows);
319
320    for i in 0..num_rows {
321        let id = InstrumentId::from_str(id_values.value(i))
322            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
323        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
324        let underlying = super::decode_currency(
325            underlying_values.value(i),
326            "underlying",
327            "crypto_future.underlying",
328            i,
329        )?;
330        let quote_currency = super::decode_currency(
331            quote_currency_values.value(i),
332            "quote_currency",
333            "crypto_future.quote_currency",
334            i,
335        )?;
336        let settlement_currency = super::decode_currency(
337            settlement_currency_values.value(i),
338            "settlement_currency",
339            "crypto_future.settlement_currency",
340            i,
341        )?;
342        let is_inverse = is_inverse_values.value(i);
343        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
344        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
345        let price_prec = price_precision_values.value(i);
346        let size_prec = size_precision_values.value(i);
347
348        let price_increment = Price::from_str(price_increment_values.value(i))
349            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
350        let size_increment = Quantity::from_str(size_increment_values.value(i))
351            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
352        let multiplier = Quantity::from_str(multiplier_values.value(i))
353            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
354        let lot_size =
355            if let Some(values) = lot_size_values {
356                if values.is_null(i) {
357                    None
358                } else {
359                    Some(Quantity::from_str(values.value(i)).map_err(|e| {
360                        EncodingError::ParseError("lot_size", format!("row {i}: {e}"))
361                    })?)
362                }
363            } else {
364                None
365            };
366
367        let max_quantity =
368            if max_quantity_values.is_null(i) {
369                None
370            } else {
371                let max_qty_str = max_quantity_values
372                    .as_any()
373                    .downcast_ref::<StringArray>()
374                    .ok_or_else(|| {
375                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
376                    })?
377                    .value(i);
378                Some(Quantity::from_str(max_qty_str).map_err(|e| {
379                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
380                })?)
381            };
382
383        let min_quantity =
384            if min_quantity_values.is_null(i) {
385                None
386            } else {
387                let min_qty_str = min_quantity_values
388                    .as_any()
389                    .downcast_ref::<StringArray>()
390                    .ok_or_else(|| {
391                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
392                    })?
393                    .value(i);
394                Some(Quantity::from_str(min_qty_str).map_err(|e| {
395                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
396                })?)
397            };
398
399        let max_notional =
400            if max_notional_values.is_null(i) {
401                None
402            } else {
403                let max_not_str = max_notional_values
404                    .as_any()
405                    .downcast_ref::<StringArray>()
406                    .ok_or_else(|| {
407                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
408                    })?
409                    .value(i);
410                Some(Money::from_str(max_not_str).map_err(|e| {
411                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
412                })?)
413            };
414
415        let min_notional =
416            if min_notional_values.is_null(i) {
417                None
418            } else {
419                let min_not_str = min_notional_values
420                    .as_any()
421                    .downcast_ref::<StringArray>()
422                    .ok_or_else(|| {
423                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
424                    })?
425                    .value(i);
426                Some(Money::from_str(min_not_str).map_err(|e| {
427                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
428                })?)
429            };
430
431        let max_price = if max_price_values.is_null(i) {
432            None
433        } else {
434            let max_p_str = max_price_values
435                .as_any()
436                .downcast_ref::<StringArray>()
437                .ok_or_else(|| {
438                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
439                })?
440                .value(i);
441            Some(
442                Price::from_str(max_p_str)
443                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
444            )
445        };
446
447        let min_price = if min_price_values.is_null(i) {
448            None
449        } else {
450            let min_p_str = min_price_values
451                .as_any()
452                .downcast_ref::<StringArray>()
453                .ok_or_else(|| {
454                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
455                })?
456                .value(i);
457            Some(
458                Price::from_str(min_p_str)
459                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
460            )
461        };
462
463        let margin_init = Decimal::from_str(margin_init_values.value(i))
464            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
465        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
466            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
467
468        let info = if info_values.is_null(i) {
469            None
470        } else {
471            let info_json = info_values
472                .as_any()
473                .downcast_ref::<StringArray>()
474                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
475                .value(i);
476
477            match serde_json::from_str::<Params>(info_json) {
478                Ok(info_dict) => Some(info_dict),
479                Err(e) => {
480                    return Err(EncodingError::ParseError(
481                        "info",
482                        format!("row {i}: failed to deserialize JSON: {e}"),
483                    ));
484                }
485            }
486        };
487
488        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
489        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
490
491        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
492
493        let crypto_future = CryptoFuture::builder()
494            .instrument_id(id)
495            .raw_symbol(raw_symbol)
496            .underlying(underlying)
497            .quote_currency(quote_currency)
498            .settlement_currency(settlement_currency)
499            .is_inverse(is_inverse)
500            .activation_ns(activation_ns)
501            .expiration_ns(expiration_ns)
502            .price_precision(price_prec)
503            .size_precision(size_prec)
504            .price_increment(price_increment)
505            .size_increment(size_increment)
506            .multiplier(multiplier)
507            .maybe_lot_size(lot_size)
508            .maybe_max_quantity(max_quantity)
509            .maybe_min_quantity(min_quantity)
510            .maybe_max_notional(max_notional)
511            .maybe_min_notional(min_notional)
512            .maybe_max_price(max_price)
513            .maybe_min_price(min_price)
514            .margin_init(margin_init)
515            .margin_maint(margin_maint)
516            .maybe_tick_scheme(tick_scheme)
517            .maybe_info(info)
518            .ts_event(ts_event)
519            .ts_init(ts_init)
520            .build()
521            .map_err(|e| super::instrument_validation_error::<CryptoFuture>(i, e))?;
522
523        result.push(crypto_future);
524    }
525
526    Ok(result)
527}
nautilus_serialization/arrow/instrument/crypto_future.rs

nautilus_serialization/arrow/instrument/
crypto_future.rs
