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::{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    enums::AssetClass,
29    identifiers::{InstrumentId, Symbol},
30    instruments::futures_contract::FuturesContract,
31    types::{price::Price, quantity::Quantity},
32};
33use rust_decimal::Decimal;
34use ustr::Ustr;
35
36use crate::arrow::{
37    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
38    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name,
39    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
40    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
41    timestamp_data_type,
42};
43
44impl ArrowSchemaProvider for FuturesContract {
45    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
46        let fields = vec![
47            Field::new("id", DataType::Utf8, false),
48            Field::new("raw_symbol", DataType::Utf8, false),
49            Field::new("underlying", DataType::Utf8, false),
50            Field::new("asset_class", DataType::Utf8, false),
51            Field::new("exchange", DataType::Utf8, true), // nullable
52            Field::new("currency", DataType::Utf8, false),
53            Field::new("price_precision", DataType::UInt8, false),
54            Field::new("size_precision", DataType::UInt8, false),
55            Field::new("price_increment", DataType::Utf8, false),
56            Field::new("size_increment", DataType::Utf8, false),
57            Field::new("multiplier", DataType::Utf8, false),
58            Field::new("lot_size", DataType::Utf8, false),
59            Field::new("activation_ns", timestamp_data_type(), false),
60            Field::new("expiration_ns", timestamp_data_type(), false),
61            Field::new("max_quantity", DataType::Utf8, true), // nullable
62            Field::new("min_quantity", DataType::Utf8, true), // nullable
63            Field::new("max_price", DataType::Utf8, true),    // nullable
64            Field::new("min_price", DataType::Utf8, true),    // nullable
65            Field::new("margin_init", DataType::Utf8, false),
66            Field::new("margin_maint", DataType::Utf8, false),
67            Field::new("tick_scheme", DataType::Utf8, true),
68            json_string_field("info", true),
69            Field::new("ts_event", timestamp_data_type(), false),
70            Field::new("ts_init", timestamp_data_type(), false),
71        ];
72
73        Schema::new_with_metadata(fields, metadata_with_type_name("FuturesContract", metadata))
74    }
75}
76
77impl EncodeToRecordBatch for FuturesContract {
78    fn encode_batch<T>(
79        #[allow(unused)] metadata: &HashMap<String, String>,
80        data: &[T],
81    ) -> Result<RecordBatch, ArrowError>
82    where
83        T: std::borrow::Borrow<Self>,
84    {
85        let mut id_builder = StringBuilder::new();
86        let mut raw_symbol_builder = StringBuilder::new();
87        let mut underlying_builder = StringBuilder::new();
88        let mut asset_class_builder = StringBuilder::new();
89        let mut exchange_builder = StringBuilder::new();
90        let mut currency_builder = StringBuilder::new();
91        let mut price_precision_builder = UInt8Array::builder(data.len());
92        let mut size_precision_builder = UInt8Array::builder(data.len());
93        let mut price_increment_builder = StringBuilder::new();
94        let mut size_increment_builder = StringBuilder::new();
95        let mut multiplier_builder = StringBuilder::new();
96        let mut lot_size_builder = StringBuilder::new();
97        let mut activation_ns_builder = UInt64Array::builder(data.len());
98        let mut expiration_ns_builder = UInt64Array::builder(data.len());
99        let mut max_quantity_builder = StringBuilder::new();
100        let mut min_quantity_builder = StringBuilder::new();
101        let mut max_price_builder = StringBuilder::new();
102        let mut min_price_builder = StringBuilder::new();
103        let mut margin_init_builder = StringBuilder::new();
104        let mut margin_maint_builder = StringBuilder::new();
105        let mut tick_scheme_builder = StringBuilder::new();
106        let mut info_builder = StringBuilder::new();
107        let mut ts_event_builder = UInt64Array::builder(data.len());
108        let mut ts_init_builder = UInt64Array::builder(data.len());
109
110        for fc in data.iter().map(Borrow::borrow) {
111            id_builder.append_value(fc.id.to_string());
112            raw_symbol_builder.append_value(fc.raw_symbol);
113            underlying_builder.append_value(fc.underlying);
114            asset_class_builder.append_value(fc.asset_class);
115
116            if let Some(exchange) = fc.exchange {
117                exchange_builder.append_value(exchange);
118            } else {
119                exchange_builder.append_null();
120            }
121
122            currency_builder.append_value(fc.currency.to_string());
123            price_precision_builder.append_value(fc.price_precision);
124            size_precision_builder.append_value(fc.size_precision);
125            price_increment_builder.append_value(fc.price_increment.to_string());
126            size_increment_builder.append_value(fc.size_increment.to_string());
127            multiplier_builder.append_value(fc.multiplier.to_string());
128            lot_size_builder.append_value(fc.lot_size.to_string());
129            activation_ns_builder.append_value(fc.activation_ns.as_u64());
130            expiration_ns_builder.append_value(fc.expiration_ns.as_u64());
131
132            if let Some(max_quantity) = fc.max_quantity {
133                max_quantity_builder.append_value(max_quantity.to_string());
134            } else {
135                max_quantity_builder.append_null();
136            }
137
138            if let Some(min_quantity) = fc.min_quantity {
139                min_quantity_builder.append_value(min_quantity.to_string());
140            } else {
141                min_quantity_builder.append_null();
142            }
143
144            if let Some(max_price) = fc.max_price {
145                max_price_builder.append_value(max_price.to_string());
146            } else {
147                max_price_builder.append_null();
148            }
149
150            if let Some(min_price) = fc.min_price {
151                min_price_builder.append_value(min_price.to_string());
152            } else {
153                min_price_builder.append_null();
154            }
155
156            margin_init_builder.append_value(fc.margin_init.to_string());
157            margin_maint_builder.append_value(fc.margin_maint.to_string());
158
159            if let Some(tick_scheme) = fc.tick_scheme {
160                tick_scheme_builder.append_value(tick_scheme);
161            } else {
162                tick_scheme_builder.append_null();
163            }
164
165            if let Some(ref info) = fc.info {
166                match serde_json::to_string(info) {
167                    Ok(json) => {
168                        info_builder.append_value(json);
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        record_batch_with_timestamps(
185            Self::get_schema(Some(metadata.clone())).into(),
186            vec![
187                Arc::new(id_builder.finish()),
188                Arc::new(raw_symbol_builder.finish()),
189                Arc::new(underlying_builder.finish()),
190                Arc::new(asset_class_builder.finish()),
191                Arc::new(exchange_builder.finish()),
192                Arc::new(currency_builder.finish()),
193                Arc::new(price_precision_builder.finish()),
194                Arc::new(size_precision_builder.finish()),
195                Arc::new(price_increment_builder.finish()),
196                Arc::new(size_increment_builder.finish()),
197                Arc::new(multiplier_builder.finish()),
198                Arc::new(lot_size_builder.finish()),
199                Arc::new(activation_ns_builder.finish()),
200                Arc::new(expiration_ns_builder.finish()),
201                Arc::new(max_quantity_builder.finish()),
202                Arc::new(min_quantity_builder.finish()),
203                Arc::new(max_price_builder.finish()),
204                Arc::new(min_price_builder.finish()),
205                Arc::new(margin_init_builder.finish()),
206                Arc::new(margin_maint_builder.finish()),
207                Arc::new(tick_scheme_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/// Decodes [`FuturesContract`] instruments from a record batch.
231///
232/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
233///
234/// # Errors
235///
236/// Returns an error if the record batch cannot be decoded.
237///
238/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
239pub fn decode_futures_contract_batch(
240    #[allow(unused)] metadata: &HashMap<String, String>,
241    record_batch: &RecordBatch,
242) -> Result<Vec<FuturesContract>, EncodingError> {
243    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
244    let record_batch = &record_batch;
245    let cols = record_batch.columns();
246    let num_rows = record_batch.num_rows();
247
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 underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
251    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
252    let exchange_values = cols
253        .get(4)
254        .ok_or_else(|| EncodingError::MissingColumn("exchange", 4))?;
255    let currency_values = extract_column::<StringArray>(cols, "currency", 5, DataType::Utf8)?;
256    let price_precision_values =
257        extract_column::<UInt8Array>(cols, "price_precision", 6, DataType::UInt8)?;
258    let size_precision_values =
259        extract_column::<UInt8Array>(cols, "size_precision", 7, DataType::UInt8)?;
260    let price_increment_values =
261        extract_column::<StringArray>(cols, "price_increment", 8, DataType::Utf8)?;
262    let size_increment_values =
263        extract_column::<StringArray>(cols, "size_increment", 9, DataType::Utf8)?;
264    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 10, DataType::Utf8)?;
265    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 11, DataType::Utf8)?;
266    let activation_ns_values =
267        extract_column::<UInt64Array>(cols, "activation_ns", 12, DataType::UInt64)?;
268    let expiration_ns_values =
269        extract_column::<UInt64Array>(cols, "expiration_ns", 13, DataType::UInt64)?;
270    let max_quantity_values = extract_optional_string_column_by_name(record_batch, "max_quantity")?;
271    let min_quantity_values = extract_optional_string_column_by_name(record_batch, "min_quantity")?;
272    let max_price_values = extract_optional_string_column_by_name(record_batch, "max_price")?;
273    let min_price_values = extract_optional_string_column_by_name(record_batch, "min_price")?;
274    let margin_init_values =
275        extract_column::<StringArray>(cols, "margin_init", 18, DataType::Utf8)?;
276    let margin_maint_values =
277        extract_column::<StringArray>(cols, "margin_maint", 19, DataType::Utf8)?;
278    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
279    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
280    let ts_event_values =
281        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
282    let ts_init_values =
283        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
284
285    let mut result = Vec::with_capacity(num_rows);
286
287    for i in 0..num_rows {
288        let id = InstrumentId::from_str(id_values.value(i))
289            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
290        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
291        let underlying = Ustr::from(underlying_values.value(i));
292        let asset_class = AssetClass::from_str(asset_class_values.value(i))
293            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
294
295        let exchange = if exchange_values.is_null(i) {
296            None
297        } else {
298            let exchange_str = exchange_values
299                .as_any()
300                .downcast_ref::<StringArray>()
301                .ok_or_else(|| {
302                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
303                })?
304                .value(i);
305            Some(Ustr::from(exchange_str))
306        };
307
308        let currency = super::decode_currency(
309            currency_values.value(i),
310            "currency",
311            "futures_contract.currency",
312            i,
313        )?;
314        let price_prec = price_precision_values.value(i);
315        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
316
317        let price_increment = Price::from_str(price_increment_values.value(i))
318            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
319        let _size_increment = Quantity::from_str(size_increment_values.value(i))
320            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
321        let multiplier = Quantity::from_str(multiplier_values.value(i))
322            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
323        let lot_size = Quantity::from_str(lot_size_values.value(i))
324            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
325
326        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
327        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
328
329        let margin_init = Decimal::from_str(margin_init_values.value(i))
330            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
331        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
332            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
333
334        let info = if info_values.is_null(i) {
335            None
336        } else {
337            let info_json = info_values
338                .as_any()
339                .downcast_ref::<StringArray>()
340                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
341                .value(i);
342
343            match serde_json::from_str::<Params>(info_json) {
344                Ok(info_dict) => Some(info_dict),
345                Err(e) => {
346                    return Err(EncodingError::ParseError(
347                        "info",
348                        format!("row {i}: failed to deserialize JSON: {e}"),
349                    ));
350                }
351            }
352        };
353
354        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
355        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
356
357        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
358
359        let futures_contract = FuturesContract::builder()
360            .instrument_id(id)
361            .raw_symbol(raw_symbol)
362            .asset_class(asset_class)
363            .maybe_exchange(exchange)
364            .underlying(underlying)
365            .activation_ns(activation_ns)
366            .expiration_ns(expiration_ns)
367            .currency(currency)
368            .price_precision(price_prec)
369            .price_increment(price_increment)
370            .multiplier(multiplier)
371            .lot_size(lot_size)
372            .maybe_max_quantity(super::optional_quantity_value(
373                max_quantity_values,
374                "max_quantity",
375                i,
376            )?)
377            .maybe_min_quantity(super::optional_quantity_value(
378                min_quantity_values,
379                "min_quantity",
380                i,
381            )?)
382            .maybe_max_price(super::optional_price_value(
383                max_price_values,
384                "max_price",
385                i,
386            )?)
387            .maybe_min_price(super::optional_price_value(
388                min_price_values,
389                "min_price",
390                i,
391            )?)
392            .margin_init(margin_init)
393            .margin_maint(margin_maint)
394            .maybe_tick_scheme(tick_scheme)
395            .maybe_info(info)
396            .ts_event(ts_event)
397            .ts_init(ts_init)
398            .build()
399            .map_err(|e| super::instrument_validation_error::<FuturesContract>(i, e))?;
400
401        result.push(futures_contract);
402    }
403
404    Ok(result)
405}
nautilus_serialization/arrow/instrument/futures_contract.rs

nautilus_serialization/arrow/instrument/
futures_contract.rs
