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

nautilus_serialization/arrow/instrument/
crypto_futures_spread.rs
