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::{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::equity::Equity,
30    types::{price::Price, quantity::Quantity},
31};
32#[allow(unused)]
33use rust_decimal::Decimal;
34#[allow(unused)]
35use serde_json::Value;
36use ustr::Ustr;
37
38use crate::arrow::{
39    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
40    KEY_PRICE_PRECISION, extract_column,
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("maker_fee", DataType::Utf8, false),
60            Field::new("taker_fee", DataType::Utf8, false),
61            Field::new("info", DataType::Binary, true), // nullable
62            Field::new("ts_event", DataType::UInt64, false),
63            Field::new("ts_init", DataType::UInt64, false),
64        ];
65
66        let mut final_metadata = HashMap::new();
67        final_metadata.insert("class".to_string(), "Equity".to_string());
68
69        if let Some(meta) = metadata {
70            final_metadata.extend(meta);
71        }
72
73        Schema::new_with_metadata(fields, final_metadata)
74    }
75}
76
77impl EncodeToRecordBatch for Equity {
78    fn encode_batch(
79        #[allow(unused)] metadata: &HashMap<String, String>,
80        data: &[Self],
81    ) -> Result<RecordBatch, ArrowError> {
82        let mut id_builder = StringBuilder::new();
83        let mut raw_symbol_builder = StringBuilder::new();
84        let mut currency_builder = StringBuilder::new();
85        let mut price_precision_builder = UInt8Array::builder(data.len());
86        let mut price_increment_builder = StringBuilder::new();
87        let mut lot_size_builder = StringBuilder::new();
88        let mut isin_builder = StringBuilder::new();
89        let mut max_quantity_builder = StringBuilder::new();
90        let mut min_quantity_builder = StringBuilder::new();
91        let mut max_price_builder = StringBuilder::new();
92        let mut min_price_builder = StringBuilder::new();
93        let mut margin_init_builder = StringBuilder::new();
94        let mut margin_maint_builder = StringBuilder::new();
95        let mut maker_fee_builder = StringBuilder::new();
96        let mut taker_fee_builder = StringBuilder::new();
97        let mut info_builder = BinaryBuilder::new();
98        let mut ts_event_builder = UInt64Array::builder(data.len());
99        let mut ts_init_builder = UInt64Array::builder(data.len());
100
101        for equity in data {
102            id_builder.append_value(equity.id.to_string());
103            raw_symbol_builder.append_value(equity.raw_symbol);
104            currency_builder.append_value(equity.currency.to_string());
105            price_precision_builder.append_value(equity.price_precision);
106            price_increment_builder.append_value(equity.price_increment.to_string());
107
108            if let Some(lot_size) = equity.lot_size {
109                lot_size_builder.append_value(lot_size.to_string());
110            } else {
111                lot_size_builder.append_null();
112            }
113
114            if let Some(isin) = equity.isin {
115                isin_builder.append_value(isin);
116            } else {
117                isin_builder.append_null();
118            }
119
120            if let Some(max_qty) = equity.max_quantity {
121                max_quantity_builder.append_value(max_qty.to_string());
122            } else {
123                max_quantity_builder.append_null();
124            }
125
126            if let Some(min_qty) = equity.min_quantity {
127                min_quantity_builder.append_value(min_qty.to_string());
128            } else {
129                min_quantity_builder.append_null();
130            }
131
132            if let Some(max_p) = equity.max_price {
133                max_price_builder.append_value(max_p.to_string());
134            } else {
135                max_price_builder.append_null();
136            }
137
138            if let Some(min_p) = equity.min_price {
139                min_price_builder.append_value(min_p.to_string());
140            } else {
141                min_price_builder.append_null();
142            }
143
144            margin_init_builder.append_value(equity.margin_init.to_string());
145            margin_maint_builder.append_value(equity.margin_maint.to_string());
146            maker_fee_builder.append_value(equity.maker_fee.to_string());
147            taker_fee_builder.append_value(equity.taker_fee.to_string());
148
149            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
150            if let Some(ref info) = equity.info {
151                match serde_json::to_vec(info) {
152                    Ok(json_bytes) => {
153                        info_builder.append_value(json_bytes);
154                    }
155                    Err(e) => {
156                        return Err(ArrowError::InvalidArgumentError(format!(
157                            "Failed to serialize info dict to JSON: {e}"
158                        )));
159                    }
160                }
161            } else {
162                info_builder.append_null();
163            }
164
165            ts_event_builder.append_value(equity.ts_event.as_u64());
166            ts_init_builder.append_value(equity.ts_init.as_u64());
167        }
168
169        let mut final_metadata = metadata.clone();
170        final_metadata.insert("class".to_string(), "Equity".to_string());
171
172        RecordBatch::try_new(
173            Self::get_schema(Some(final_metadata)).into(),
174            vec![
175                Arc::new(id_builder.finish()),
176                Arc::new(raw_symbol_builder.finish()),
177                Arc::new(currency_builder.finish()),
178                Arc::new(price_precision_builder.finish()),
179                Arc::new(price_increment_builder.finish()),
180                Arc::new(lot_size_builder.finish()),
181                Arc::new(isin_builder.finish()),
182                Arc::new(max_quantity_builder.finish()),
183                Arc::new(min_quantity_builder.finish()),
184                Arc::new(max_price_builder.finish()),
185                Arc::new(min_price_builder.finish()),
186                Arc::new(margin_init_builder.finish()),
187                Arc::new(margin_maint_builder.finish()),
188                Arc::new(maker_fee_builder.finish()),
189                Arc::new(taker_fee_builder.finish()),
190                Arc::new(info_builder.finish()),
191                Arc::new(ts_event_builder.finish()),
192                Arc::new(ts_init_builder.finish()),
193            ],
194        )
195    }
196
197    fn metadata(&self) -> HashMap<String, String> {
198        let mut metadata = HashMap::new();
199        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
200        metadata.insert(
201            KEY_PRICE_PRECISION.to_string(),
202            self.price_precision.to_string(),
203        );
204        metadata
205    }
206}
207
208/// Helper function to decode Equity from RecordBatch
209/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
210///
211/// # Errors
212///
213/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
214pub fn decode_equity_batch(
215    #[allow(unused)] metadata: &HashMap<String, String>,
216    record_batch: &RecordBatch,
217) -> Result<Vec<Equity>, EncodingError> {
218    let cols = record_batch.columns();
219    let num_rows = record_batch.num_rows();
220
221    // Read precision from data columns (it's in the schema)
222    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
223    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
224    let currency_values = extract_column::<StringArray>(cols, "currency", 2, DataType::Utf8)?;
225    let price_precision_values =
226        extract_column::<UInt8Array>(cols, "price_precision", 3, DataType::UInt8)?;
227    let price_increment_values =
228        extract_column::<StringArray>(cols, "price_increment", 4, DataType::Utf8)?;
229    let lot_size_values = cols
230        .get(5)
231        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 5))?;
232    let isin_values = cols
233        .get(6)
234        .ok_or_else(|| EncodingError::MissingColumn("isin", 6))?;
235    let max_quantity_values = cols
236        .get(7)
237        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 7))?;
238    let min_quantity_values = cols
239        .get(8)
240        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 8))?;
241    let max_price_values = cols
242        .get(9)
243        .ok_or_else(|| EncodingError::MissingColumn("max_price", 9))?;
244    let min_price_values = cols
245        .get(10)
246        .ok_or_else(|| EncodingError::MissingColumn("min_price", 10))?;
247    let margin_init_values =
248        extract_column::<StringArray>(cols, "margin_init", 11, DataType::Utf8)?;
249    let margin_maint_values =
250        extract_column::<StringArray>(cols, "margin_maint", 12, DataType::Utf8)?;
251    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 13, DataType::Utf8)?;
252    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 14, DataType::Utf8)?;
253    let info_values = cols
254        .get(15)
255        .ok_or_else(|| EncodingError::MissingColumn("info", 15))?;
256    let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 16, DataType::UInt64)?;
257    let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 17, DataType::UInt64)?;
258
259    let mut result = Vec::with_capacity(num_rows);
260
261    for i in 0..num_rows {
262        let id = InstrumentId::from_str(id_values.value(i))
263            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
264        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
265        let currency =
266            super::decode_currency(currency_values.value(i), "currency", "equity.currency", i)?;
267        let price_prec = price_precision_values.value(i);
268
269        let price_increment = Price::from_str(price_increment_values.value(i))
270            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
271
272        let lot_size = if lot_size_values.is_null(i) {
273            None
274        } else {
275            let lot_size_str = lot_size_values
276                .as_any()
277                .downcast_ref::<StringArray>()
278                .ok_or_else(|| {
279                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
280                })?
281                .value(i);
282            Some(
283                Quantity::from_str(lot_size_str)
284                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
285            )
286        };
287
288        let isin = if isin_values.is_null(i) {
289            None
290        } else {
291            let isin_str = isin_values
292                .as_any()
293                .downcast_ref::<StringArray>()
294                .ok_or_else(|| EncodingError::ParseError("isin", format!("row {i}: invalid type")))?
295                .value(i);
296            Some(Ustr::from(isin_str))
297        };
298
299        let max_quantity =
300            if max_quantity_values.is_null(i) {
301                None
302            } else {
303                let max_qty_str = max_quantity_values
304                    .as_any()
305                    .downcast_ref::<StringArray>()
306                    .ok_or_else(|| {
307                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
308                    })?
309                    .value(i);
310                Some(Quantity::from_str(max_qty_str).map_err(|e| {
311                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
312                })?)
313            };
314
315        let min_quantity =
316            if min_quantity_values.is_null(i) {
317                None
318            } else {
319                let min_qty_str = min_quantity_values
320                    .as_any()
321                    .downcast_ref::<StringArray>()
322                    .ok_or_else(|| {
323                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
324                    })?
325                    .value(i);
326                Some(Quantity::from_str(min_qty_str).map_err(|e| {
327                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
328                })?)
329            };
330
331        let max_price = if max_price_values.is_null(i) {
332            None
333        } else {
334            let max_p_str = max_price_values
335                .as_any()
336                .downcast_ref::<StringArray>()
337                .ok_or_else(|| {
338                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
339                })?
340                .value(i);
341            Some(
342                Price::from_str(max_p_str)
343                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
344            )
345        };
346
347        let min_price = if min_price_values.is_null(i) {
348            None
349        } else {
350            let min_p_str = min_price_values
351                .as_any()
352                .downcast_ref::<StringArray>()
353                .ok_or_else(|| {
354                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
355                })?
356                .value(i);
357            Some(
358                Price::from_str(min_p_str)
359                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
360            )
361        };
362
363        let margin_init = Decimal::from_str(margin_init_values.value(i))
364            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
365        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
366            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
367        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
368            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
369        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
370            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
371
372        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
373        let info = if info_values.is_null(i) {
374            None
375        } else {
376            let info_bytes = info_values
377                .as_any()
378                .downcast_ref::<BinaryArray>()
379                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
380                .value(i);
381
382            match serde_json::from_slice::<Params>(info_bytes) {
383                Ok(info_dict) => Some(info_dict),
384                Err(e) => {
385                    return Err(EncodingError::ParseError(
386                        "info",
387                        format!("row {i}: failed to deserialize JSON: {e}"),
388                    ));
389                }
390            }
391        };
392
393        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
394        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
395
396        let equity = Equity::new(
397            id,
398            raw_symbol,
399            isin,
400            currency,
401            price_prec,
402            price_increment,
403            lot_size,
404            max_quantity,
405            min_quantity,
406            max_price,
407            min_price,
408            Some(margin_init),
409            Some(margin_maint),
410            Some(maker_fee),
411            Some(taker_fee),
412            info,
413            ts_event,
414            ts_init,
415        );
416
417        result.push(equity);
418    }
419
420    Ok(result)
421}
nautilus_serialization/arrow/instrument/equity.rs

nautilus_serialization/arrow/instrument/
equity.rs
