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

nautilus_serialization/arrow/instrument/
crypto_perpetual.rs
