nautilus_serialization/arrow/instrument/
equity.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 Equity 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::equity::Equity,
30    types::{price::Price, quantity::Quantity},
31};
32use rust_decimal::Decimal;
33use ustr::Ustr;
34
35use crate::arrow::{
36    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
37    KEY_PRICE_PRECISION, extract_column, extract_column_by_name,
38    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
39    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
40    timestamp_data_type,
41};
42
43impl ArrowSchemaProvider for Equity {
44    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
45        let fields = vec![
46            Field::new("id", DataType::Utf8, false),
47            Field::new("raw_symbol", DataType::Utf8, false),
48            Field::new("currency", DataType::Utf8, false),
49            Field::new("price_precision", DataType::UInt8, false),
50            Field::new("price_increment", DataType::Utf8, false),
51            Field::new("lot_size", DataType::Utf8, true), // nullable
52            Field::new("isin", DataType::Utf8, true),     // nullable
53            Field::new("max_quantity", DataType::Utf8, true), // nullable
54            Field::new("min_quantity", DataType::Utf8, true), // nullable
55            Field::new("max_price", DataType::Utf8, true), // nullable
56            Field::new("min_price", DataType::Utf8, true), // nullable
57            Field::new("margin_init", DataType::Utf8, false),
58            Field::new("margin_maint", DataType::Utf8, false),
59            Field::new("tick_scheme", DataType::Utf8, true),
60            json_string_field("info", true),
61            Field::new("ts_event", timestamp_data_type(), false),
62            Field::new("ts_init", timestamp_data_type(), false),
63        ];
64
65        Schema::new_with_metadata(fields, metadata_with_type_name("Equity", metadata))
66    }
67}
68
69impl EncodeToRecordBatch for Equity {
70    fn encode_batch<T>(
71        #[allow(unused)] metadata: &HashMap<String, String>,
72        data: &[T],
73    ) -> Result<RecordBatch, ArrowError>
74    where
75        T: std::borrow::Borrow<Self>,
76    {
77        let mut id_builder = StringBuilder::new();
78        let mut raw_symbol_builder = StringBuilder::new();
79        let mut currency_builder = StringBuilder::new();
80        let mut price_precision_builder = UInt8Array::builder(data.len());
81        let mut price_increment_builder = StringBuilder::new();
82        let mut lot_size_builder = StringBuilder::new();
83        let mut isin_builder = StringBuilder::new();
84        let mut max_quantity_builder = StringBuilder::new();
85        let mut min_quantity_builder = StringBuilder::new();
86        let mut max_price_builder = StringBuilder::new();
87        let mut min_price_builder = StringBuilder::new();
88        let mut margin_init_builder = StringBuilder::new();
89        let mut margin_maint_builder = StringBuilder::new();
90        let mut tick_scheme_builder = StringBuilder::new();
91        let mut info_builder = StringBuilder::new();
92        let mut ts_event_builder = UInt64Array::builder(data.len());
93        let mut ts_init_builder = UInt64Array::builder(data.len());
94
95        for equity in data.iter().map(Borrow::borrow) {
96            id_builder.append_value(equity.id.to_string());
97            raw_symbol_builder.append_value(equity.raw_symbol);
98            currency_builder.append_value(equity.currency.to_string());
99            price_precision_builder.append_value(equity.price_precision);
100            price_increment_builder.append_value(equity.price_increment.to_string());
101
102            if let Some(lot_size) = equity.lot_size {
103                lot_size_builder.append_value(lot_size.to_string());
104            } else {
105                lot_size_builder.append_null();
106            }
107
108            if let Some(isin) = equity.isin {
109                isin_builder.append_value(isin);
110            } else {
111                isin_builder.append_null();
112            }
113
114            if let Some(max_qty) = equity.max_quantity {
115                max_quantity_builder.append_value(max_qty.to_string());
116            } else {
117                max_quantity_builder.append_null();
118            }
119
120            if let Some(min_qty) = equity.min_quantity {
121                min_quantity_builder.append_value(min_qty.to_string());
122            } else {
123                min_quantity_builder.append_null();
124            }
125
126            if let Some(max_p) = equity.max_price {
127                max_price_builder.append_value(max_p.to_string());
128            } else {
129                max_price_builder.append_null();
130            }
131
132            if let Some(min_p) = equity.min_price {
133                min_price_builder.append_value(min_p.to_string());
134            } else {
135                min_price_builder.append_null();
136            }
137
138            margin_init_builder.append_value(equity.margin_init.to_string());
139            margin_maint_builder.append_value(equity.margin_maint.to_string());
140
141            if let Some(tick_scheme) = equity.tick_scheme {
142                tick_scheme_builder.append_value(tick_scheme);
143            } else {
144                tick_scheme_builder.append_null();
145            }
146
147            if let Some(ref info) = equity.info {
148                match serde_json::to_string(info) {
149                    Ok(json) => {
150                        info_builder.append_value(json);
151                    }
152                    Err(e) => {
153                        return Err(ArrowError::InvalidArgumentError(format!(
154                            "Failed to serialize info dict to JSON: {e}"
155                        )));
156                    }
157                }
158            } else {
159                info_builder.append_null();
160            }
161
162            ts_event_builder.append_value(equity.ts_event.as_u64());
163            ts_init_builder.append_value(equity.ts_init.as_u64());
164        }
165
166        record_batch_with_timestamps(
167            Self::get_schema(Some(metadata.clone())).into(),
168            vec![
169                Arc::new(id_builder.finish()),
170                Arc::new(raw_symbol_builder.finish()),
171                Arc::new(currency_builder.finish()),
172                Arc::new(price_precision_builder.finish()),
173                Arc::new(price_increment_builder.finish()),
174                Arc::new(lot_size_builder.finish()),
175                Arc::new(isin_builder.finish()),
176                Arc::new(max_quantity_builder.finish()),
177                Arc::new(min_quantity_builder.finish()),
178                Arc::new(max_price_builder.finish()),
179                Arc::new(min_price_builder.finish()),
180                Arc::new(margin_init_builder.finish()),
181                Arc::new(margin_maint_builder.finish()),
182                Arc::new(tick_scheme_builder.finish()),
183                Arc::new(info_builder.finish()),
184                Arc::new(ts_event_builder.finish()),
185                Arc::new(ts_init_builder.finish()),
186            ],
187        )
188    }
189
190    fn metadata(&self) -> HashMap<String, String> {
191        let mut metadata = HashMap::new();
192        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
193        metadata.insert(
194            KEY_PRICE_PRECISION.to_string(),
195            self.price_precision.to_string(),
196        );
197        metadata
198    }
199}
200
201/// Decodes [`Equity`] instruments from a record batch.
202///
203/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
204///
205/// # Errors
206///
207/// Returns an error if the record batch cannot be decoded.
208///
209/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
210pub fn decode_equity_batch(
211    #[allow(unused)] metadata: &HashMap<String, String>,
212    record_batch: &RecordBatch,
213) -> Result<Vec<Equity>, EncodingError> {
214    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
215    let record_batch = &record_batch;
216    let cols = record_batch.columns();
217    let num_rows = record_batch.num_rows();
218
219    // Read precision from data columns (it's in the schema)
220    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
221    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
222    let currency_values = extract_column::<StringArray>(cols, "currency", 2, DataType::Utf8)?;
223    let price_precision_values =
224        extract_column::<UInt8Array>(cols, "price_precision", 3, DataType::UInt8)?;
225    let price_increment_values =
226        extract_column::<StringArray>(cols, "price_increment", 4, DataType::Utf8)?;
227    let lot_size_values = cols
228        .get(5)
229        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 5))?;
230    let isin_values = cols
231        .get(6)
232        .ok_or_else(|| EncodingError::MissingColumn("isin", 6))?;
233    let max_quantity_values = cols
234        .get(7)
235        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 7))?;
236    let min_quantity_values = cols
237        .get(8)
238        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 8))?;
239    let max_price_values = cols
240        .get(9)
241        .ok_or_else(|| EncodingError::MissingColumn("max_price", 9))?;
242    let min_price_values = cols
243        .get(10)
244        .ok_or_else(|| EncodingError::MissingColumn("min_price", 10))?;
245    let margin_init_values =
246        extract_column::<StringArray>(cols, "margin_init", 11, DataType::Utf8)?;
247    let margin_maint_values =
248        extract_column::<StringArray>(cols, "margin_maint", 12, DataType::Utf8)?;
249    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
250    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
251    let ts_event_values =
252        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
253    let ts_init_values =
254        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
255
256    let mut result = Vec::with_capacity(num_rows);
257
258    for i in 0..num_rows {
259        let id = InstrumentId::from_str(id_values.value(i))
260            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
261        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
262        let currency =
263            super::decode_currency(currency_values.value(i), "currency", "equity.currency", i)?;
264        let price_prec = price_precision_values.value(i);
265
266        let price_increment = Price::from_str(price_increment_values.value(i))
267            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
268
269        let lot_size = if lot_size_values.is_null(i) {
270            None
271        } else {
272            let lot_size_str = lot_size_values
273                .as_any()
274                .downcast_ref::<StringArray>()
275                .ok_or_else(|| {
276                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
277                })?
278                .value(i);
279            Some(
280                Quantity::from_str(lot_size_str)
281                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
282            )
283        };
284
285        let isin = if isin_values.is_null(i) {
286            None
287        } else {
288            let isin_str = isin_values
289                .as_any()
290                .downcast_ref::<StringArray>()
291                .ok_or_else(|| EncodingError::ParseError("isin", format!("row {i}: invalid type")))?
292                .value(i);
293            Some(Ustr::from(isin_str))
294        };
295
296        let max_quantity =
297            if max_quantity_values.is_null(i) {
298                None
299            } else {
300                let max_qty_str = max_quantity_values
301                    .as_any()
302                    .downcast_ref::<StringArray>()
303                    .ok_or_else(|| {
304                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
305                    })?
306                    .value(i);
307                Some(Quantity::from_str(max_qty_str).map_err(|e| {
308                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
309                })?)
310            };
311
312        let min_quantity =
313            if min_quantity_values.is_null(i) {
314                None
315            } else {
316                let min_qty_str = min_quantity_values
317                    .as_any()
318                    .downcast_ref::<StringArray>()
319                    .ok_or_else(|| {
320                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
321                    })?
322                    .value(i);
323                Some(Quantity::from_str(min_qty_str).map_err(|e| {
324                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
325                })?)
326            };
327
328        let max_price = if max_price_values.is_null(i) {
329            None
330        } else {
331            let max_p_str = max_price_values
332                .as_any()
333                .downcast_ref::<StringArray>()
334                .ok_or_else(|| {
335                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
336                })?
337                .value(i);
338            Some(
339                Price::from_str(max_p_str)
340                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
341            )
342        };
343
344        let min_price = if min_price_values.is_null(i) {
345            None
346        } else {
347            let min_p_str = min_price_values
348                .as_any()
349                .downcast_ref::<StringArray>()
350                .ok_or_else(|| {
351                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
352                })?
353                .value(i);
354            Some(
355                Price::from_str(min_p_str)
356                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
357            )
358        };
359
360        let margin_init = Decimal::from_str(margin_init_values.value(i))
361            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
362        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
363            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
364
365        let info = if info_values.is_null(i) {
366            None
367        } else {
368            let info_json = info_values
369                .as_any()
370                .downcast_ref::<StringArray>()
371                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
372                .value(i);
373
374            match serde_json::from_str::<Params>(info_json) {
375                Ok(info_dict) => Some(info_dict),
376                Err(e) => {
377                    return Err(EncodingError::ParseError(
378                        "info",
379                        format!("row {i}: failed to deserialize JSON: {e}"),
380                    ));
381                }
382            }
383        };
384
385        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
386        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
387
388        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
389
390        let equity = Equity::builder()
391            .instrument_id(id)
392            .raw_symbol(raw_symbol)
393            .maybe_isin(isin)
394            .currency(currency)
395            .price_precision(price_prec)
396            .price_increment(price_increment)
397            .maybe_lot_size(lot_size)
398            .maybe_max_quantity(max_quantity)
399            .maybe_min_quantity(min_quantity)
400            .maybe_max_price(max_price)
401            .maybe_min_price(min_price)
402            .margin_init(margin_init)
403            .margin_maint(margin_maint)
404            .maybe_tick_scheme(tick_scheme)
405            .maybe_info(info)
406            .ts_event(ts_event)
407            .ts_init(ts_init)
408            .build()
409            .map_err(|e| super::instrument_validation_error::<Equity>(i, e))?;
410
411        result.push(equity);
412    }
413
414    Ok(result)
415}
nautilus_serialization/arrow/instrument/equity.rs

nautilus_serialization/arrow/instrument/
equity.rs
