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

nautilus_serialization/arrow/instrument/
crypto_future.rs
