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

nautilus_serialization/arrow/instrument/
crypto_perpetual.rs
