nautilus_serialization/arrow/instrument/
futures_contract.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 FuturesContract 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    enums::AssetClass,
29    identifiers::{InstrumentId, Symbol},
30    instruments::futures_contract::FuturesContract,
31    types::{price::Price, quantity::Quantity},
32};
33#[allow(unused)]
34use rust_decimal::Decimal;
35#[allow(unused)]
36use serde_json::Value;
37use ustr::Ustr;
38
39use crate::arrow::{
40    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
41    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column,
42};
43
44// Helper function to convert AssetClass to string
45fn asset_class_to_string(ac: AssetClass) -> String {
46    match ac {
47        AssetClass::FX => "FX".to_string(),
48        AssetClass::Equity => "Equity".to_string(),
49        AssetClass::Commodity => "Commodity".to_string(),
50        AssetClass::Debt => "Debt".to_string(),
51        AssetClass::Index => "Index".to_string(),
52        AssetClass::Cryptocurrency => "Cryptocurrency".to_string(),
53        AssetClass::Alternative => "Alternative".to_string(),
54    }
55}
56
57// Helper function to parse AssetClass from string
58fn asset_class_from_str(s: &str) -> Result<AssetClass, EncodingError> {
59    match s {
60        "FX" => Ok(AssetClass::FX),
61        "Equity" => Ok(AssetClass::Equity),
62        "Commodity" => Ok(AssetClass::Commodity),
63        "Debt" => Ok(AssetClass::Debt),
64        "Index" => Ok(AssetClass::Index),
65        "Cryptocurrency" => Ok(AssetClass::Cryptocurrency),
66        "Alternative" => Ok(AssetClass::Alternative),
67        _ => Err(EncodingError::ParseError(
68            "asset_class",
69            format!("Unknown asset class: {s}"),
70        )),
71    }
72}
73
74impl ArrowSchemaProvider for FuturesContract {
75    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
76        let fields = vec![
77            Field::new("id", DataType::Utf8, false),
78            Field::new("raw_symbol", DataType::Utf8, false),
79            Field::new("underlying", DataType::Utf8, false),
80            Field::new("asset_class", DataType::Utf8, false),
81            Field::new("exchange", DataType::Utf8, true), // nullable
82            Field::new("currency", DataType::Utf8, false),
83            Field::new("price_precision", DataType::UInt8, false),
84            Field::new("size_precision", DataType::UInt8, false),
85            Field::new("price_increment", DataType::Utf8, false),
86            Field::new("size_increment", DataType::Utf8, false),
87            Field::new("multiplier", DataType::Utf8, false),
88            Field::new("lot_size", DataType::Utf8, false),
89            Field::new("activation_ns", DataType::UInt64, false),
90            Field::new("expiration_ns", DataType::UInt64, false),
91            Field::new("margin_init", DataType::Utf8, false),
92            Field::new("margin_maint", DataType::Utf8, false),
93            Field::new("maker_fee", DataType::Utf8, false),
94            Field::new("taker_fee", DataType::Utf8, false),
95            Field::new("info", DataType::Binary, true), // nullable
96            Field::new("ts_event", DataType::UInt64, false),
97            Field::new("ts_init", DataType::UInt64, false),
98        ];
99
100        let mut final_metadata = HashMap::new();
101        final_metadata.insert("class".to_string(), "FuturesContract".to_string());
102
103        if let Some(meta) = metadata {
104            final_metadata.extend(meta);
105        }
106
107        Schema::new_with_metadata(fields, final_metadata)
108    }
109}
110
111impl EncodeToRecordBatch for FuturesContract {
112    fn encode_batch(
113        #[allow(unused)] metadata: &HashMap<String, String>,
114        data: &[Self],
115    ) -> Result<RecordBatch, ArrowError> {
116        let mut id_builder = StringBuilder::new();
117        let mut raw_symbol_builder = StringBuilder::new();
118        let mut underlying_builder = StringBuilder::new();
119        let mut asset_class_builder = StringBuilder::new();
120        let mut exchange_builder = StringBuilder::new();
121        let mut currency_builder = StringBuilder::new();
122        let mut price_precision_builder = UInt8Array::builder(data.len());
123        let mut size_precision_builder = UInt8Array::builder(data.len());
124        let mut price_increment_builder = StringBuilder::new();
125        let mut size_increment_builder = StringBuilder::new();
126        let mut multiplier_builder = StringBuilder::new();
127        let mut lot_size_builder = StringBuilder::new();
128        let mut activation_ns_builder = UInt64Array::builder(data.len());
129        let mut expiration_ns_builder = UInt64Array::builder(data.len());
130        let mut margin_init_builder = StringBuilder::new();
131        let mut margin_maint_builder = StringBuilder::new();
132        let mut maker_fee_builder = StringBuilder::new();
133        let mut taker_fee_builder = StringBuilder::new();
134        let mut info_builder = BinaryBuilder::new();
135        let mut ts_event_builder = UInt64Array::builder(data.len());
136        let mut ts_init_builder = UInt64Array::builder(data.len());
137
138        for fc in data {
139            id_builder.append_value(fc.id.to_string());
140            raw_symbol_builder.append_value(fc.raw_symbol);
141            underlying_builder.append_value(fc.underlying);
142            asset_class_builder.append_value(asset_class_to_string(fc.asset_class));
143
144            if let Some(exchange) = fc.exchange {
145                exchange_builder.append_value(exchange);
146            } else {
147                exchange_builder.append_null();
148            }
149
150            currency_builder.append_value(fc.currency.to_string());
151            price_precision_builder.append_value(fc.price_precision);
152            size_precision_builder.append_value(fc.size_precision);
153            price_increment_builder.append_value(fc.price_increment.to_string());
154            size_increment_builder.append_value(fc.size_increment.to_string());
155            multiplier_builder.append_value(fc.multiplier.to_string());
156            lot_size_builder.append_value(fc.lot_size.to_string());
157            activation_ns_builder.append_value(fc.activation_ns.as_u64());
158            expiration_ns_builder.append_value(fc.expiration_ns.as_u64());
159            margin_init_builder.append_value(fc.margin_init.to_string());
160            margin_maint_builder.append_value(fc.margin_maint.to_string());
161            maker_fee_builder.append_value(fc.maker_fee.to_string());
162            taker_fee_builder.append_value(fc.taker_fee.to_string());
163
164            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
165            if let Some(ref info) = fc.info {
166                match serde_json::to_vec(info) {
167                    Ok(json_bytes) => {
168                        info_builder.append_value(json_bytes);
169                    }
170                    Err(e) => {
171                        return Err(ArrowError::InvalidArgumentError(format!(
172                            "Failed to serialize info dict to JSON: {e}"
173                        )));
174                    }
175                }
176            } else {
177                info_builder.append_null();
178            }
179
180            ts_event_builder.append_value(fc.ts_event.as_u64());
181            ts_init_builder.append_value(fc.ts_init.as_u64());
182        }
183
184        let mut final_metadata = metadata.clone();
185        final_metadata.insert("class".to_string(), "FuturesContract".to_string());
186
187        RecordBatch::try_new(
188            Self::get_schema(Some(final_metadata)).into(),
189            vec![
190                Arc::new(id_builder.finish()),
191                Arc::new(raw_symbol_builder.finish()),
192                Arc::new(underlying_builder.finish()),
193                Arc::new(asset_class_builder.finish()),
194                Arc::new(exchange_builder.finish()),
195                Arc::new(currency_builder.finish()),
196                Arc::new(price_precision_builder.finish()),
197                Arc::new(size_precision_builder.finish()),
198                Arc::new(price_increment_builder.finish()),
199                Arc::new(size_increment_builder.finish()),
200                Arc::new(multiplier_builder.finish()),
201                Arc::new(lot_size_builder.finish()),
202                Arc::new(activation_ns_builder.finish()),
203                Arc::new(expiration_ns_builder.finish()),
204                Arc::new(margin_init_builder.finish()),
205                Arc::new(margin_maint_builder.finish()),
206                Arc::new(maker_fee_builder.finish()),
207                Arc::new(taker_fee_builder.finish()),
208                Arc::new(info_builder.finish()),
209                Arc::new(ts_event_builder.finish()),
210                Arc::new(ts_init_builder.finish()),
211            ],
212        )
213    }
214
215    fn metadata(&self) -> HashMap<String, String> {
216        let mut metadata = HashMap::new();
217        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
218        metadata.insert(
219            KEY_PRICE_PRECISION.to_string(),
220            self.price_precision.to_string(),
221        );
222        metadata.insert(
223            KEY_SIZE_PRECISION.to_string(),
224            self.size_precision.to_string(),
225        );
226        metadata
227    }
228}
229
230/// Helper function to decode FuturesContract from RecordBatch
231/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
232///
233/// # Errors
234///
235/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
236pub fn decode_futures_contract_batch(
237    #[allow(unused)] metadata: &HashMap<String, String>,
238    record_batch: &RecordBatch,
239) -> Result<Vec<FuturesContract>, EncodingError> {
240    let cols = record_batch.columns();
241    let num_rows = record_batch.num_rows();
242
243    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
244    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
245    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
246    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
247    let exchange_values = cols
248        .get(4)
249        .ok_or_else(|| EncodingError::MissingColumn("exchange", 4))?;
250    let currency_values = extract_column::<StringArray>(cols, "currency", 5, DataType::Utf8)?;
251    let price_precision_values =
252        extract_column::<UInt8Array>(cols, "price_precision", 6, DataType::UInt8)?;
253    let size_precision_values =
254        extract_column::<UInt8Array>(cols, "size_precision", 7, DataType::UInt8)?;
255    let price_increment_values =
256        extract_column::<StringArray>(cols, "price_increment", 8, DataType::Utf8)?;
257    let size_increment_values =
258        extract_column::<StringArray>(cols, "size_increment", 9, DataType::Utf8)?;
259    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 10, DataType::Utf8)?;
260    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 11, DataType::Utf8)?;
261    let activation_ns_values =
262        extract_column::<UInt64Array>(cols, "activation_ns", 12, DataType::UInt64)?;
263    let expiration_ns_values =
264        extract_column::<UInt64Array>(cols, "expiration_ns", 13, DataType::UInt64)?;
265    let margin_init_values =
266        extract_column::<StringArray>(cols, "margin_init", 14, DataType::Utf8)?;
267    let margin_maint_values =
268        extract_column::<StringArray>(cols, "margin_maint", 15, DataType::Utf8)?;
269    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 16, DataType::Utf8)?;
270    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 17, DataType::Utf8)?;
271    let info_values = cols
272        .get(18)
273        .ok_or_else(|| EncodingError::MissingColumn("info", 18))?;
274    let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 19, DataType::UInt64)?;
275    let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 20, DataType::UInt64)?;
276
277    let mut result = Vec::with_capacity(num_rows);
278
279    for i in 0..num_rows {
280        let id = InstrumentId::from_str(id_values.value(i))
281            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
282        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
283        let underlying = Ustr::from(underlying_values.value(i));
284        let asset_class = asset_class_from_str(asset_class_values.value(i))?;
285
286        let exchange = if exchange_values.is_null(i) {
287            None
288        } else {
289            let exchange_str = exchange_values
290                .as_any()
291                .downcast_ref::<StringArray>()
292                .ok_or_else(|| {
293                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
294                })?
295                .value(i);
296            Some(Ustr::from(exchange_str))
297        };
298
299        let currency = super::decode_currency(
300            currency_values.value(i),
301            "currency",
302            "futures_contract.currency",
303            i,
304        )?;
305        let price_prec = price_precision_values.value(i);
306        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
307
308        let price_increment = Price::from_str(price_increment_values.value(i))
309            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
310        let _size_increment = Quantity::from_str(size_increment_values.value(i))
311            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
312        let multiplier = Quantity::from_str(multiplier_values.value(i))
313            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
314        let lot_size = Quantity::from_str(lot_size_values.value(i))
315            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
316
317        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
318        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
319
320        let margin_init = Decimal::from_str(margin_init_values.value(i))
321            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
322        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
323            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
324        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
325            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
326        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
327            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
328
329        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
330        let info = if info_values.is_null(i) {
331            None
332        } else {
333            let info_bytes = info_values
334                .as_any()
335                .downcast_ref::<BinaryArray>()
336                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
337                .value(i);
338
339            match serde_json::from_slice::<Params>(info_bytes) {
340                Ok(info_dict) => Some(info_dict),
341                Err(e) => {
342                    return Err(EncodingError::ParseError(
343                        "info",
344                        format!("row {i}: failed to deserialize JSON: {e}"),
345                    ));
346                }
347            }
348        };
349
350        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
351        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
352
353        let futures_contract = FuturesContract::new(
354            id,
355            raw_symbol,
356            asset_class,
357            exchange,
358            underlying,
359            activation_ns,
360            expiration_ns,
361            currency,
362            price_prec,
363            price_increment,
364            multiplier,
365            lot_size,
366            None, // max_quantity - not in Python schema
367            None, // min_quantity - not in Python schema
368            None, // max_price - not in Python schema
369            None, // min_price - not in Python schema
370            Some(margin_init),
371            Some(margin_maint),
372            Some(maker_fee),
373            Some(taker_fee),
374            info,
375            ts_event,
376            ts_init,
377        );
378
379        result.push(futures_contract);
380    }
381
382    Ok(result)
383}
nautilus_serialization/arrow/instrument/futures_contract.rs

nautilus_serialization/arrow/instrument/
futures_contract.rs
