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::{collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{BinaryArray, BinaryBuilder, 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};
32#[allow(unused)]
33use rust_decimal::Decimal;
34#[allow(unused)]
35use serde_json::Value;
36
37use crate::arrow::{
38    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
39    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column,
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("maker_fee", DataType::Utf8, false),
64            Field::new("taker_fee", DataType::Utf8, false),
65            Field::new("info", DataType::Binary, true), // nullable
66            Field::new("ts_event", DataType::UInt64, false),
67            Field::new("ts_init", DataType::UInt64, false),
68        ];
69
70        let mut final_metadata = HashMap::new();
71        final_metadata.insert("class".to_string(), "CurrencyPair".to_string());
72
73        if let Some(meta) = metadata {
74            final_metadata.extend(meta);
75        }
76
77        Schema::new_with_metadata(fields, final_metadata)
78    }
79}
80
81impl EncodeToRecordBatch for CurrencyPair {
82    fn encode_batch(
83        #[allow(unused)] metadata: &HashMap<String, String>,
84        data: &[Self],
85    ) -> Result<RecordBatch, ArrowError> {
86        let mut id_builder = StringBuilder::new();
87        let mut raw_symbol_builder = StringBuilder::new();
88        let mut base_currency_builder = StringBuilder::new();
89        let mut quote_currency_builder = StringBuilder::new();
90        let mut price_precision_builder = UInt8Array::builder(data.len());
91        let mut size_precision_builder = UInt8Array::builder(data.len());
92        let mut price_increment_builder = StringBuilder::new();
93        let mut size_increment_builder = StringBuilder::new();
94        let mut multiplier_builder = StringBuilder::new();
95        let mut lot_size_builder = StringBuilder::new();
96        let mut max_quantity_builder = StringBuilder::new();
97        let mut min_quantity_builder = StringBuilder::new();
98        let mut max_notional_builder = StringBuilder::new();
99        let mut min_notional_builder = StringBuilder::new();
100        let mut max_price_builder = StringBuilder::new();
101        let mut min_price_builder = StringBuilder::new();
102        let mut margin_init_builder = StringBuilder::new();
103        let mut margin_maint_builder = StringBuilder::new();
104        let mut maker_fee_builder = StringBuilder::new();
105        let mut taker_fee_builder = StringBuilder::new();
106        let mut info_builder = BinaryBuilder::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 {
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            price_precision_builder.append_value(cp.price_precision);
116            size_precision_builder.append_value(cp.size_precision);
117            price_increment_builder.append_value(cp.price_increment.to_string());
118            size_increment_builder.append_value(cp.size_increment.to_string());
119            multiplier_builder.append_value(cp.multiplier.to_string());
120
121            if let Some(lot_size) = cp.lot_size {
122                lot_size_builder.append_value(lot_size.to_string());
123            } else {
124                lot_size_builder.append_null();
125            }
126
127            if let Some(max_qty) = cp.max_quantity {
128                max_quantity_builder.append_value(max_qty.to_string());
129            } else {
130                max_quantity_builder.append_null();
131            }
132
133            if let Some(min_qty) = cp.min_quantity {
134                min_quantity_builder.append_value(min_qty.to_string());
135            } else {
136                min_quantity_builder.append_null();
137            }
138
139            if let Some(max_not) = cp.max_notional {
140                max_notional_builder.append_value(max_not.to_string());
141            } else {
142                max_notional_builder.append_null();
143            }
144
145            if let Some(min_not) = cp.min_notional {
146                min_notional_builder.append_value(min_not.to_string());
147            } else {
148                min_notional_builder.append_null();
149            }
150
151            if let Some(max_p) = cp.max_price {
152                max_price_builder.append_value(max_p.to_string());
153            } else {
154                max_price_builder.append_null();
155            }
156
157            if let Some(min_p) = cp.min_price {
158                min_price_builder.append_value(min_p.to_string());
159            } else {
160                min_price_builder.append_null();
161            }
162
163            margin_init_builder.append_value(cp.margin_init.to_string());
164            margin_maint_builder.append_value(cp.margin_maint.to_string());
165            maker_fee_builder.append_value(cp.maker_fee.to_string());
166            taker_fee_builder.append_value(cp.taker_fee.to_string());
167
168            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
169            if let Some(ref info) = cp.info {
170                match serde_json::to_vec(info) {
171                    Ok(json_bytes) => {
172                        info_builder.append_value(json_bytes);
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        let mut final_metadata = metadata.clone();
189        final_metadata.insert("class".to_string(), "CurrencyPair".to_string());
190
191        RecordBatch::try_new(
192            Self::get_schema(Some(final_metadata)).into(),
193            vec![
194                Arc::new(id_builder.finish()),
195                Arc::new(raw_symbol_builder.finish()),
196                Arc::new(base_currency_builder.finish()),
197                Arc::new(quote_currency_builder.finish()),
198                Arc::new(price_precision_builder.finish()),
199                Arc::new(size_precision_builder.finish()),
200                Arc::new(price_increment_builder.finish()),
201                Arc::new(size_increment_builder.finish()),
202                Arc::new(multiplier_builder.finish()),
203                Arc::new(lot_size_builder.finish()),
204                Arc::new(max_quantity_builder.finish()),
205                Arc::new(min_quantity_builder.finish()),
206                Arc::new(max_notional_builder.finish()),
207                Arc::new(min_notional_builder.finish()),
208                Arc::new(max_price_builder.finish()),
209                Arc::new(min_price_builder.finish()),
210                Arc::new(margin_init_builder.finish()),
211                Arc::new(margin_maint_builder.finish()),
212                Arc::new(maker_fee_builder.finish()),
213                Arc::new(taker_fee_builder.finish()),
214                Arc::new(info_builder.finish()),
215                Arc::new(ts_event_builder.finish()),
216                Arc::new(ts_init_builder.finish()),
217            ],
218        )
219    }
220
221    fn metadata(&self) -> HashMap<String, String> {
222        let mut metadata = HashMap::new();
223        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
224        metadata.insert(
225            KEY_PRICE_PRECISION.to_string(),
226            self.price_precision.to_string(),
227        );
228        metadata.insert(
229            KEY_SIZE_PRECISION.to_string(),
230            self.size_precision.to_string(),
231        );
232        metadata
233    }
234}
235
236/// Helper function to decode CurrencyPair from RecordBatch
237/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
238///
239/// # Errors
240///
241/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
242pub fn decode_currency_pair_batch(
243    #[allow(unused)] metadata: &HashMap<String, String>,
244    record_batch: &RecordBatch,
245) -> Result<Vec<CurrencyPair>, EncodingError> {
246    let cols = record_batch.columns();
247    let num_rows = record_batch.num_rows();
248
249    // Read precisions from data columns (they're in the schema)
250    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
251    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
252    let base_currency_values =
253        extract_column::<StringArray>(cols, "base_currency", 2, DataType::Utf8)?;
254    let quote_currency_values =
255        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
256    let price_precision_values =
257        extract_column::<UInt8Array>(cols, "price_precision", 4, DataType::UInt8)?;
258    let size_precision_values =
259        extract_column::<UInt8Array>(cols, "size_precision", 5, DataType::UInt8)?;
260
261    // Note: We read precisions from the data columns, not metadata
262    let price_increment_values =
263        extract_column::<StringArray>(cols, "price_increment", 6, DataType::Utf8)?;
264    let size_increment_values =
265        extract_column::<StringArray>(cols, "size_increment", 7, DataType::Utf8)?;
266    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 8, DataType::Utf8)?;
267    let lot_size_values = cols
268        .get(9)
269        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 9))?;
270    let max_quantity_values = cols
271        .get(10)
272        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 10))?;
273    let min_quantity_values = cols
274        .get(11)
275        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 11))?;
276    let max_notional_values = cols
277        .get(12)
278        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 12))?;
279    let min_notional_values = cols
280        .get(13)
281        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 13))?;
282    let max_price_values = cols
283        .get(14)
284        .ok_or_else(|| EncodingError::MissingColumn("max_price", 14))?;
285    let min_price_values = cols
286        .get(15)
287        .ok_or_else(|| EncodingError::MissingColumn("min_price", 15))?;
288    let margin_init_values =
289        extract_column::<StringArray>(cols, "margin_init", 16, DataType::Utf8)?;
290    let margin_maint_values =
291        extract_column::<StringArray>(cols, "margin_maint", 17, DataType::Utf8)?;
292    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 18, DataType::Utf8)?;
293    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 19, DataType::Utf8)?;
294    let info_values = cols
295        .get(20)
296        .ok_or_else(|| EncodingError::MissingColumn("info", 20))?;
297    let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 21, DataType::UInt64)?;
298    let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 22, 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            "currency_pair.base_currency",
310            i,
311        )?;
312        let quote_currency = super::decode_currency(
313            quote_currency_values.value(i),
314            "quote_currency",
315            "currency_pair.quote_currency",
316            i,
317        )?;
318        let price_prec = price_precision_values.value(i);
319        let size_prec = size_precision_values.value(i);
320
321        let price_increment = Price::from_str(price_increment_values.value(i))
322            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
323        let size_increment = Quantity::from_str(size_increment_values.value(i))
324            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
325        let multiplier = Quantity::from_str(multiplier_values.value(i))
326            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
327
328        let lot_size = if lot_size_values.is_null(i) {
329            None
330        } else {
331            let lot_size_str = lot_size_values
332                .as_any()
333                .downcast_ref::<StringArray>()
334                .ok_or_else(|| {
335                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
336                })?
337                .value(i);
338            Some(
339                Quantity::from_str(lot_size_str)
340                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
341            )
342        };
343
344        let max_quantity =
345            if max_quantity_values.is_null(i) {
346                None
347            } else {
348                let max_qty_str = max_quantity_values
349                    .as_any()
350                    .downcast_ref::<StringArray>()
351                    .ok_or_else(|| {
352                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
353                    })?
354                    .value(i);
355                Some(Quantity::from_str(max_qty_str).map_err(|e| {
356                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
357                })?)
358            };
359
360        let min_quantity =
361            if min_quantity_values.is_null(i) {
362                None
363            } else {
364                let min_qty_str = min_quantity_values
365                    .as_any()
366                    .downcast_ref::<StringArray>()
367                    .ok_or_else(|| {
368                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
369                    })?
370                    .value(i);
371                Some(Quantity::from_str(min_qty_str).map_err(|e| {
372                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
373                })?)
374            };
375
376        let max_notional =
377            if max_notional_values.is_null(i) {
378                None
379            } else {
380                let max_not_str = max_notional_values
381                    .as_any()
382                    .downcast_ref::<StringArray>()
383                    .ok_or_else(|| {
384                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
385                    })?
386                    .value(i);
387                Some(Money::from_str(max_not_str).map_err(|e| {
388                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
389                })?)
390            };
391
392        let min_notional =
393            if min_notional_values.is_null(i) {
394                None
395            } else {
396                let min_not_str = min_notional_values
397                    .as_any()
398                    .downcast_ref::<StringArray>()
399                    .ok_or_else(|| {
400                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
401                    })?
402                    .value(i);
403                Some(Money::from_str(min_not_str).map_err(|e| {
404                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
405                })?)
406            };
407
408        let max_price = if max_price_values.is_null(i) {
409            None
410        } else {
411            let max_p_str = max_price_values
412                .as_any()
413                .downcast_ref::<StringArray>()
414                .ok_or_else(|| {
415                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
416                })?
417                .value(i);
418            Some(
419                Price::from_str(max_p_str)
420                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
421            )
422        };
423
424        let min_price = if min_price_values.is_null(i) {
425            None
426        } else {
427            let min_p_str = min_price_values
428                .as_any()
429                .downcast_ref::<StringArray>()
430                .ok_or_else(|| {
431                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
432                })?
433                .value(i);
434            Some(
435                Price::from_str(min_p_str)
436                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
437            )
438        };
439
440        let margin_init = Decimal::from_str(margin_init_values.value(i))
441            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
442        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
443            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
444        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
445            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
446        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
447            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
448
449        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
450        let info = if info_values.is_null(i) {
451            None
452        } else {
453            let info_bytes = info_values
454                .as_any()
455                .downcast_ref::<BinaryArray>()
456                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
457                .value(i);
458
459            match serde_json::from_slice::<Params>(info_bytes) {
460                Ok(info_dict) => Some(info_dict),
461                Err(e) => {
462                    return Err(EncodingError::ParseError(
463                        "info",
464                        format!("row {i}: failed to deserialize JSON: {e}"),
465                    ));
466                }
467            }
468        };
469
470        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
471        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
472
473        let currency_pair = CurrencyPair::new(
474            id,
475            raw_symbol,
476            base_currency,
477            quote_currency,
478            price_prec,
479            size_prec,
480            price_increment,
481            size_increment,
482            Some(multiplier),
483            lot_size,
484            max_quantity,
485            min_quantity,
486            max_notional,
487            min_notional,
488            max_price,
489            min_price,
490            Some(margin_init),
491            Some(margin_maint),
492            Some(maker_fee),
493            Some(taker_fee),
494            info,
495            ts_event,
496            ts_init,
497        );
498
499        result.push(currency_pair);
500    }
501
502    Ok(result)
503}
nautilus_serialization/arrow/instrument/currency_pair.rs

nautilus_serialization/arrow/instrument/
currency_pair.rs
