nautilus_serialization/arrow/instrument/
currency_pair.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 CurrencyPair instruments.
17
18use std::{borrow::Borrow, collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{Array, StringArray, StringBuilder, UInt8Array, UInt64Array},
22    datatypes::{DataType, Field, Schema},
23    error::ArrowError,
24    record_batch::RecordBatch,
25};
26use nautilus_core::Params;
27use nautilus_model::{
28    identifiers::{InstrumentId, Symbol},
29    instruments::currency_pair::CurrencyPair,
30    types::{money::Money, price::Price, quantity::Quantity},
31};
32use rust_decimal::Decimal;
33
34use crate::arrow::{
35    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
36    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name,
37    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
38    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
39    timestamp_data_type,
40};
41
42impl ArrowSchemaProvider for CurrencyPair {
43    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
44        let fields = vec![
45            Field::new("id", DataType::Utf8, false),
46            Field::new("raw_symbol", DataType::Utf8, false),
47            Field::new("base_currency", DataType::Utf8, false),
48            Field::new("quote_currency", DataType::Utf8, false),
49            Field::new("price_precision", DataType::UInt8, false),
50            Field::new("size_precision", DataType::UInt8, false),
51            Field::new("price_increment", DataType::Utf8, false),
52            Field::new("size_increment", DataType::Utf8, false),
53            Field::new("multiplier", DataType::Utf8, false),
54            Field::new("lot_size", DataType::Utf8, true), // nullable
55            Field::new("max_quantity", DataType::Utf8, true), // nullable
56            Field::new("min_quantity", DataType::Utf8, true), // nullable
57            Field::new("max_notional", DataType::Utf8, true), // nullable
58            Field::new("min_notional", DataType::Utf8, true), // nullable
59            Field::new("max_price", DataType::Utf8, true), // nullable
60            Field::new("min_price", DataType::Utf8, true), // nullable
61            Field::new("margin_init", DataType::Utf8, false),
62            Field::new("margin_maint", DataType::Utf8, false),
63            Field::new("tick_scheme", DataType::Utf8, true),
64            json_string_field("info", true),
65            Field::new("ts_event", timestamp_data_type(), false),
66            Field::new("ts_init", timestamp_data_type(), false),
67        ];
68
69        Schema::new_with_metadata(fields, metadata_with_type_name("CurrencyPair", metadata))
70    }
71}
72
73impl EncodeToRecordBatch for CurrencyPair {
74    fn encode_batch<T>(
75        #[allow(unused)] metadata: &HashMap<String, String>,
76        data: &[T],
77    ) -> Result<RecordBatch, ArrowError>
78    where
79        T: std::borrow::Borrow<Self>,
80    {
81        let mut id_builder = StringBuilder::new();
82        let mut raw_symbol_builder = StringBuilder::new();
83        let mut base_currency_builder = StringBuilder::new();
84        let mut quote_currency_builder = StringBuilder::new();
85        let mut price_precision_builder = UInt8Array::builder(data.len());
86        let mut size_precision_builder = UInt8Array::builder(data.len());
87        let mut price_increment_builder = StringBuilder::new();
88        let mut size_increment_builder = StringBuilder::new();
89        let mut multiplier_builder = StringBuilder::new();
90        let mut lot_size_builder = StringBuilder::new();
91        let mut max_quantity_builder = StringBuilder::new();
92        let mut min_quantity_builder = StringBuilder::new();
93        let mut max_notional_builder = StringBuilder::new();
94        let mut min_notional_builder = StringBuilder::new();
95        let mut max_price_builder = StringBuilder::new();
96        let mut min_price_builder = StringBuilder::new();
97        let mut margin_init_builder = StringBuilder::new();
98        let mut margin_maint_builder = StringBuilder::new();
99        let mut tick_scheme_builder = StringBuilder::new();
100        let mut info_builder = StringBuilder::new();
101        let mut ts_event_builder = UInt64Array::builder(data.len());
102        let mut ts_init_builder = UInt64Array::builder(data.len());
103
104        for cp in data.iter().map(Borrow::borrow) {
105            id_builder.append_value(cp.id.to_string());
106            raw_symbol_builder.append_value(cp.raw_symbol);
107            base_currency_builder.append_value(cp.base_currency.to_string());
108            quote_currency_builder.append_value(cp.quote_currency.to_string());
109            price_precision_builder.append_value(cp.price_precision);
110            size_precision_builder.append_value(cp.size_precision);
111            price_increment_builder.append_value(cp.price_increment.to_string());
112            size_increment_builder.append_value(cp.size_increment.to_string());
113            multiplier_builder.append_value(cp.multiplier.to_string());
114
115            if let Some(lot_size) = cp.lot_size {
116                lot_size_builder.append_value(lot_size.to_string());
117            } else {
118                lot_size_builder.append_null();
119            }
120
121            if let Some(max_qty) = cp.max_quantity {
122                max_quantity_builder.append_value(max_qty.to_string());
123            } else {
124                max_quantity_builder.append_null();
125            }
126
127            if let Some(min_qty) = cp.min_quantity {
128                min_quantity_builder.append_value(min_qty.to_string());
129            } else {
130                min_quantity_builder.append_null();
131            }
132
133            if let Some(max_not) = cp.max_notional {
134                max_notional_builder.append_value(max_not.to_string());
135            } else {
136                max_notional_builder.append_null();
137            }
138
139            if let Some(min_not) = cp.min_notional {
140                min_notional_builder.append_value(min_not.to_string());
141            } else {
142                min_notional_builder.append_null();
143            }
144
145            if let Some(max_p) = cp.max_price {
146                max_price_builder.append_value(max_p.to_string());
147            } else {
148                max_price_builder.append_null();
149            }
150
151            if let Some(min_p) = cp.min_price {
152                min_price_builder.append_value(min_p.to_string());
153            } else {
154                min_price_builder.append_null();
155            }
156
157            margin_init_builder.append_value(cp.margin_init.to_string());
158            margin_maint_builder.append_value(cp.margin_maint.to_string());
159
160            if let Some(tick_scheme) = cp.tick_scheme {
161                tick_scheme_builder.append_value(tick_scheme);
162            } else {
163                tick_scheme_builder.append_null();
164            }
165
166            if let Some(ref info) = cp.info {
167                match serde_json::to_string(info) {
168                    Ok(json) => {
169                        info_builder.append_value(json);
170                    }
171                    Err(e) => {
172                        return Err(ArrowError::InvalidArgumentError(format!(
173                            "Failed to serialize info dict to JSON: {e}"
174                        )));
175                    }
176                }
177            } else {
178                info_builder.append_null();
179            }
180
181            ts_event_builder.append_value(cp.ts_event.as_u64());
182            ts_init_builder.append_value(cp.ts_init.as_u64());
183        }
184
185        record_batch_with_timestamps(
186            Self::get_schema(Some(metadata.clone())).into(),
187            vec![
188                Arc::new(id_builder.finish()),
189                Arc::new(raw_symbol_builder.finish()),
190                Arc::new(base_currency_builder.finish()),
191                Arc::new(quote_currency_builder.finish()),
192                Arc::new(price_precision_builder.finish()),
193                Arc::new(size_precision_builder.finish()),
194                Arc::new(price_increment_builder.finish()),
195                Arc::new(size_increment_builder.finish()),
196                Arc::new(multiplier_builder.finish()),
197                Arc::new(lot_size_builder.finish()),
198                Arc::new(max_quantity_builder.finish()),
199                Arc::new(min_quantity_builder.finish()),
200                Arc::new(max_notional_builder.finish()),
201                Arc::new(min_notional_builder.finish()),
202                Arc::new(max_price_builder.finish()),
203                Arc::new(min_price_builder.finish()),
204                Arc::new(margin_init_builder.finish()),
205                Arc::new(margin_maint_builder.finish()),
206                Arc::new(tick_scheme_builder.finish()),
207                Arc::new(info_builder.finish()),
208                Arc::new(ts_event_builder.finish()),
209                Arc::new(ts_init_builder.finish()),
210            ],
211        )
212    }
213
214    fn metadata(&self) -> HashMap<String, String> {
215        let mut metadata = HashMap::new();
216        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
217        metadata.insert(
218            KEY_PRICE_PRECISION.to_string(),
219            self.price_precision.to_string(),
220        );
221        metadata.insert(
222            KEY_SIZE_PRECISION.to_string(),
223            self.size_precision.to_string(),
224        );
225        metadata
226    }
227}
228
229/// Decodes [`CurrencyPair`] instruments from a record batch.
230///
231/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
232///
233/// # Errors
234///
235/// Returns an error if the record batch cannot be decoded.
236///
237/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
238pub fn decode_currency_pair_batch(
239    #[allow(unused)] metadata: &HashMap<String, String>,
240    record_batch: &RecordBatch,
241) -> Result<Vec<CurrencyPair>, EncodingError> {
242    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
243    let record_batch = &record_batch;
244    let cols = record_batch.columns();
245    let num_rows = record_batch.num_rows();
246
247    // Read precisions from data columns (they're in the schema)
248    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
249    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
250    let base_currency_values =
251        extract_column::<StringArray>(cols, "base_currency", 2, DataType::Utf8)?;
252    let quote_currency_values =
253        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
254    let price_precision_values =
255        extract_column::<UInt8Array>(cols, "price_precision", 4, DataType::UInt8)?;
256    let size_precision_values =
257        extract_column::<UInt8Array>(cols, "size_precision", 5, DataType::UInt8)?;
258
259    // Note: We read precisions from the data columns, not metadata
260    let price_increment_values =
261        extract_column::<StringArray>(cols, "price_increment", 6, DataType::Utf8)?;
262    let size_increment_values =
263        extract_column::<StringArray>(cols, "size_increment", 7, DataType::Utf8)?;
264    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 8, DataType::Utf8)?;
265    let lot_size_values = cols
266        .get(9)
267        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 9))?;
268    let max_quantity_values = cols
269        .get(10)
270        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 10))?;
271    let min_quantity_values = cols
272        .get(11)
273        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 11))?;
274    let max_notional_values = cols
275        .get(12)
276        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 12))?;
277    let min_notional_values = cols
278        .get(13)
279        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 13))?;
280    let max_price_values = cols
281        .get(14)
282        .ok_or_else(|| EncodingError::MissingColumn("max_price", 14))?;
283    let min_price_values = cols
284        .get(15)
285        .ok_or_else(|| EncodingError::MissingColumn("min_price", 15))?;
286    let margin_init_values =
287        extract_column::<StringArray>(cols, "margin_init", 16, DataType::Utf8)?;
288    let margin_maint_values =
289        extract_column::<StringArray>(cols, "margin_maint", 17, DataType::Utf8)?;
290    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
291    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
292    let ts_event_values =
293        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
294    let ts_init_values =
295        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
296
297    let mut result = Vec::with_capacity(num_rows);
298
299    for i in 0..num_rows {
300        let id = InstrumentId::from_str(id_values.value(i))
301            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
302        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
303        let base_currency = super::decode_currency(
304            base_currency_values.value(i),
305            "base_currency",
306            "currency_pair.base_currency",
307            i,
308        )?;
309        let quote_currency = super::decode_currency(
310            quote_currency_values.value(i),
311            "quote_currency",
312            "currency_pair.quote_currency",
313            i,
314        )?;
315        let price_prec = price_precision_values.value(i);
316        let size_prec = size_precision_values.value(i);
317
318        let price_increment = Price::from_str(price_increment_values.value(i))
319            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
320        let size_increment = Quantity::from_str(size_increment_values.value(i))
321            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
322        let multiplier = Quantity::from_str(multiplier_values.value(i))
323            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
324
325        let lot_size = if lot_size_values.is_null(i) {
326            None
327        } else {
328            let lot_size_str = lot_size_values
329                .as_any()
330                .downcast_ref::<StringArray>()
331                .ok_or_else(|| {
332                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
333                })?
334                .value(i);
335            Some(
336                Quantity::from_str(lot_size_str)
337                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
338            )
339        };
340
341        let max_quantity =
342            if max_quantity_values.is_null(i) {
343                None
344            } else {
345                let max_qty_str = max_quantity_values
346                    .as_any()
347                    .downcast_ref::<StringArray>()
348                    .ok_or_else(|| {
349                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
350                    })?
351                    .value(i);
352                Some(Quantity::from_str(max_qty_str).map_err(|e| {
353                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
354                })?)
355            };
356
357        let min_quantity =
358            if min_quantity_values.is_null(i) {
359                None
360            } else {
361                let min_qty_str = min_quantity_values
362                    .as_any()
363                    .downcast_ref::<StringArray>()
364                    .ok_or_else(|| {
365                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
366                    })?
367                    .value(i);
368                Some(Quantity::from_str(min_qty_str).map_err(|e| {
369                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
370                })?)
371            };
372
373        let max_notional =
374            if max_notional_values.is_null(i) {
375                None
376            } else {
377                let max_not_str = max_notional_values
378                    .as_any()
379                    .downcast_ref::<StringArray>()
380                    .ok_or_else(|| {
381                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
382                    })?
383                    .value(i);
384                Some(Money::from_str(max_not_str).map_err(|e| {
385                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
386                })?)
387            };
388
389        let min_notional =
390            if min_notional_values.is_null(i) {
391                None
392            } else {
393                let min_not_str = min_notional_values
394                    .as_any()
395                    .downcast_ref::<StringArray>()
396                    .ok_or_else(|| {
397                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
398                    })?
399                    .value(i);
400                Some(Money::from_str(min_not_str).map_err(|e| {
401                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
402                })?)
403            };
404
405        let max_price = if max_price_values.is_null(i) {
406            None
407        } else {
408            let max_p_str = max_price_values
409                .as_any()
410                .downcast_ref::<StringArray>()
411                .ok_or_else(|| {
412                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
413                })?
414                .value(i);
415            Some(
416                Price::from_str(max_p_str)
417                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
418            )
419        };
420
421        let min_price = if min_price_values.is_null(i) {
422            None
423        } else {
424            let min_p_str = min_price_values
425                .as_any()
426                .downcast_ref::<StringArray>()
427                .ok_or_else(|| {
428                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
429                })?
430                .value(i);
431            Some(
432                Price::from_str(min_p_str)
433                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
434            )
435        };
436
437        let margin_init = Decimal::from_str(margin_init_values.value(i))
438            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
439        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
440            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
441
442        let info = if info_values.is_null(i) {
443            None
444        } else {
445            let info_json = info_values
446                .as_any()
447                .downcast_ref::<StringArray>()
448                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
449                .value(i);
450
451            match serde_json::from_str::<Params>(info_json) {
452                Ok(info_dict) => Some(info_dict),
453                Err(e) => {
454                    return Err(EncodingError::ParseError(
455                        "info",
456                        format!("row {i}: failed to deserialize JSON: {e}"),
457                    ));
458                }
459            }
460        };
461
462        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
463        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
464
465        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
466
467        let currency_pair = CurrencyPair::builder()
468            .instrument_id(id)
469            .raw_symbol(raw_symbol)
470            .base_currency(base_currency)
471            .quote_currency(quote_currency)
472            .price_precision(price_prec)
473            .size_precision(size_prec)
474            .price_increment(price_increment)
475            .size_increment(size_increment)
476            .multiplier(multiplier)
477            .maybe_lot_size(lot_size)
478            .maybe_max_quantity(max_quantity)
479            .maybe_min_quantity(min_quantity)
480            .maybe_max_notional(max_notional)
481            .maybe_min_notional(min_notional)
482            .maybe_max_price(max_price)
483            .maybe_min_price(min_price)
484            .margin_init(margin_init)
485            .margin_maint(margin_maint)
486            .maybe_tick_scheme(tick_scheme)
487            .maybe_info(info)
488            .ts_event(ts_event)
489            .ts_init(ts_init)
490            .build()
491            .map_err(|e| super::instrument_validation_error::<CurrencyPair>(i, e))?;
492
493        result.push(currency_pair);
494    }
495
496    Ok(result)
497}
nautilus_serialization/arrow/instrument/currency_pair.rs

nautilus_serialization/arrow/instrument/
currency_pair.rs
