nautilus_serialization/arrow/instrument/
futures_spread.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 FuturesSpread 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_spread::FuturesSpread,
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 FuturesSpread {
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("strategy_type", DataType::Utf8, false),
51            Field::new("asset_class", DataType::Utf8, false),
52            Field::new("exchange", DataType::Utf8, true), // nullable
53            Field::new("currency", DataType::Utf8, false),
54            Field::new("price_precision", DataType::UInt8, false),
55            Field::new("size_precision", DataType::UInt8, false),
56            Field::new("price_increment", DataType::Utf8, false),
57            Field::new("size_increment", DataType::Utf8, false),
58            Field::new("multiplier", DataType::Utf8, false),
59            Field::new("lot_size", DataType::Utf8, false),
60            Field::new("max_quantity", DataType::Utf8, true), // nullable
61            Field::new("min_quantity", DataType::Utf8, true), // nullable
62            Field::new("max_price", DataType::Utf8, true),    // nullable
63            Field::new("min_price", DataType::Utf8, true),    // nullable
64            Field::new("activation_ns", timestamp_data_type(), false),
65            Field::new("expiration_ns", timestamp_data_type(), false),
66            Field::new("margin_init", DataType::Utf8, false),
67            Field::new("margin_maint", DataType::Utf8, false),
68            Field::new("tick_scheme", DataType::Utf8, true),
69            json_string_field("info", true),
70            Field::new("ts_event", timestamp_data_type(), false),
71            Field::new("ts_init", timestamp_data_type(), false),
72        ];
73
74        Schema::new_with_metadata(fields, metadata_with_type_name("FuturesSpread", metadata))
75    }
76}
77
78impl EncodeToRecordBatch for FuturesSpread {
79    fn encode_batch<T>(
80        #[allow(unused)] metadata: &HashMap<String, String>,
81        data: &[T],
82    ) -> Result<RecordBatch, ArrowError>
83    where
84        T: std::borrow::Borrow<Self>,
85    {
86        let mut id_builder = StringBuilder::new();
87        let mut raw_symbol_builder = StringBuilder::new();
88        let mut underlying_builder = StringBuilder::new();
89        let mut strategy_type_builder = StringBuilder::new();
90        let mut asset_class_builder = StringBuilder::new();
91        let mut exchange_builder = StringBuilder::new();
92        let mut currency_builder = StringBuilder::new();
93        let mut price_precision_builder = UInt8Array::builder(data.len());
94        let mut size_precision_builder = UInt8Array::builder(data.len());
95        let mut price_increment_builder = StringBuilder::new();
96        let mut size_increment_builder = StringBuilder::new();
97        let mut multiplier_builder = StringBuilder::new();
98        let mut lot_size_builder = StringBuilder::new();
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 activation_ns_builder = UInt64Array::builder(data.len());
104        let mut expiration_ns_builder = UInt64Array::builder(data.len());
105        let mut margin_init_builder = StringBuilder::new();
106        let mut margin_maint_builder = StringBuilder::new();
107        let mut tick_scheme_builder = StringBuilder::new();
108        let mut info_builder = StringBuilder::new();
109        let mut ts_event_builder = UInt64Array::builder(data.len());
110        let mut ts_init_builder = UInt64Array::builder(data.len());
111
112        for fs in data.iter().map(Borrow::borrow) {
113            id_builder.append_value(fs.id.to_string());
114            raw_symbol_builder.append_value(fs.raw_symbol);
115            underlying_builder.append_value(fs.underlying);
116            strategy_type_builder.append_value(fs.strategy_type);
117            asset_class_builder.append_value(fs.asset_class);
118
119            if let Some(exchange) = fs.exchange {
120                exchange_builder.append_value(exchange);
121            } else {
122                exchange_builder.append_null();
123            }
124
125            currency_builder.append_value(fs.currency.to_string());
126            price_precision_builder.append_value(fs.price_precision);
127            size_precision_builder.append_value(fs.size_precision);
128            price_increment_builder.append_value(fs.price_increment.to_string());
129            size_increment_builder.append_value(fs.size_increment.to_string());
130            multiplier_builder.append_value(fs.multiplier.to_string());
131            lot_size_builder.append_value(fs.lot_size.to_string());
132
133            if let Some(max_qty) = fs.max_quantity {
134                max_quantity_builder.append_value(max_qty.to_string());
135            } else {
136                max_quantity_builder.append_null();
137            }
138
139            if let Some(min_qty) = fs.min_quantity {
140                min_quantity_builder.append_value(min_qty.to_string());
141            } else {
142                min_quantity_builder.append_null();
143            }
144
145            if let Some(max_p) = fs.max_price {
146                max_price_builder.append_value(max_p.to_string());
147            } else {
148                max_price_builder.append_null();
149            }
150
151            if let Some(min_p) = fs.min_price {
152                min_price_builder.append_value(min_p.to_string());
153            } else {
154                min_price_builder.append_null();
155            }
156
157            activation_ns_builder.append_value(fs.activation_ns.as_u64());
158            expiration_ns_builder.append_value(fs.expiration_ns.as_u64());
159            margin_init_builder.append_value(fs.margin_init.to_string());
160            margin_maint_builder.append_value(fs.margin_maint.to_string());
161
162            if let Some(tick_scheme) = fs.tick_scheme {
163                tick_scheme_builder.append_value(tick_scheme);
164            } else {
165                tick_scheme_builder.append_null();
166            }
167
168            if let Some(ref info) = fs.info {
169                match serde_json::to_string(info) {
170                    Ok(json) => {
171                        info_builder.append_value(json);
172                    }
173                    Err(e) => {
174                        return Err(ArrowError::InvalidArgumentError(format!(
175                            "Failed to serialize info dict to JSON: {e}"
176                        )));
177                    }
178                }
179            } else {
180                info_builder.append_null();
181            }
182
183            ts_event_builder.append_value(fs.ts_event.as_u64());
184            ts_init_builder.append_value(fs.ts_init.as_u64());
185        }
186
187        record_batch_with_timestamps(
188            Self::get_schema(Some(metadata.clone())).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(strategy_type_builder.finish()),
194                Arc::new(asset_class_builder.finish()),
195                Arc::new(exchange_builder.finish()),
196                Arc::new(currency_builder.finish()),
197                Arc::new(price_precision_builder.finish()),
198                Arc::new(size_precision_builder.finish()),
199                Arc::new(price_increment_builder.finish()),
200                Arc::new(size_increment_builder.finish()),
201                Arc::new(multiplier_builder.finish()),
202                Arc::new(lot_size_builder.finish()),
203                Arc::new(max_quantity_builder.finish()),
204                Arc::new(min_quantity_builder.finish()),
205                Arc::new(max_price_builder.finish()),
206                Arc::new(min_price_builder.finish()),
207                Arc::new(activation_ns_builder.finish()),
208                Arc::new(expiration_ns_builder.finish()),
209                Arc::new(margin_init_builder.finish()),
210                Arc::new(margin_maint_builder.finish()),
211                Arc::new(tick_scheme_builder.finish()),
212                Arc::new(info_builder.finish()),
213                Arc::new(ts_event_builder.finish()),
214                Arc::new(ts_init_builder.finish()),
215            ],
216        )
217    }
218
219    fn metadata(&self) -> HashMap<String, String> {
220        let mut metadata = HashMap::new();
221        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
222        metadata.insert(
223            KEY_PRICE_PRECISION.to_string(),
224            self.price_precision.to_string(),
225        );
226        metadata.insert(
227            KEY_SIZE_PRECISION.to_string(),
228            self.size_precision.to_string(),
229        );
230        metadata
231    }
232}
233
234/// Decodes [`FuturesSpread`] instruments from a record batch.
235///
236/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
237///
238/// # Errors
239///
240/// Returns an error if the record batch cannot be decoded.
241///
242/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
243pub fn decode_futures_spread_batch(
244    #[allow(unused)] metadata: &HashMap<String, String>,
245    record_batch: &RecordBatch,
246) -> Result<Vec<FuturesSpread>, EncodingError> {
247    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
248    let record_batch = &record_batch;
249    let cols = record_batch.columns();
250    let num_rows = record_batch.num_rows();
251
252    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
253    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
254    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
255    let strategy_type_values =
256        extract_column::<StringArray>(cols, "strategy_type", 3, DataType::Utf8)?;
257    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 4, DataType::Utf8)?;
258    let exchange_values = cols
259        .get(5)
260        .ok_or_else(|| EncodingError::MissingColumn("exchange", 5))?;
261    let currency_values = extract_column::<StringArray>(cols, "currency", 6, DataType::Utf8)?;
262    let price_precision_values =
263        extract_column::<UInt8Array>(cols, "price_precision", 7, DataType::UInt8)?;
264    let size_precision_values =
265        extract_column::<UInt8Array>(cols, "size_precision", 8, DataType::UInt8)?;
266    let price_increment_values =
267        extract_column::<StringArray>(cols, "price_increment", 9, DataType::Utf8)?;
268    let size_increment_values =
269        extract_column::<StringArray>(cols, "size_increment", 10, DataType::Utf8)?;
270    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 11, DataType::Utf8)?;
271    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 12, DataType::Utf8)?;
272    let max_quantity_values = cols
273        .get(13)
274        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 13))?;
275    let min_quantity_values = cols
276        .get(14)
277        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 14))?;
278    let max_price_values = cols
279        .get(15)
280        .ok_or_else(|| EncodingError::MissingColumn("max_price", 15))?;
281    let min_price_values = cols
282        .get(16)
283        .ok_or_else(|| EncodingError::MissingColumn("min_price", 16))?;
284    let activation_ns_values =
285        extract_column::<UInt64Array>(cols, "activation_ns", 17, DataType::UInt64)?;
286    let expiration_ns_values =
287        extract_column::<UInt64Array>(cols, "expiration_ns", 18, DataType::UInt64)?;
288    let margin_init_values =
289        extract_column::<StringArray>(cols, "margin_init", 19, DataType::Utf8)?;
290    let margin_maint_values =
291        extract_column::<StringArray>(cols, "margin_maint", 20, DataType::Utf8)?;
292    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
293    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
294    let ts_event_values =
295        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
296    let ts_init_values =
297        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
298
299    let mut result = Vec::with_capacity(num_rows);
300
301    for i in 0..num_rows {
302        let id = InstrumentId::from_str(id_values.value(i))
303            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
304        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
305        let underlying = Ustr::from(underlying_values.value(i));
306        let strategy_type = Ustr::from(strategy_type_values.value(i));
307        let asset_class = AssetClass::from_str(asset_class_values.value(i))
308            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
309
310        let exchange = if exchange_values.is_null(i) {
311            None
312        } else {
313            let exchange_str = exchange_values
314                .as_any()
315                .downcast_ref::<StringArray>()
316                .ok_or_else(|| {
317                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
318                })?
319                .value(i);
320            Some(Ustr::from(exchange_str))
321        };
322
323        let currency = super::decode_currency(
324            currency_values.value(i),
325            "currency",
326            "futures_spread.currency",
327            i,
328        )?;
329        let price_prec = price_precision_values.value(i);
330        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
331
332        let price_increment = Price::from_str(price_increment_values.value(i))
333            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
334        let _size_increment = Quantity::from_str(size_increment_values.value(i))
335            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
336        let multiplier = Quantity::from_str(multiplier_values.value(i))
337            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
338        let lot_size = Quantity::from_str(lot_size_values.value(i))
339            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
340
341        let max_quantity =
342            if max_quantity_values.is_null(i) {
343                None
344            } else {
345                let max_qty_str = max_quantity_values
346                    .as_any()
347                    .downcast_ref::<StringArray>()
348                    .ok_or_else(|| {
349                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
350                    })?
351                    .value(i);
352                Some(Quantity::from_str(max_qty_str).map_err(|e| {
353                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
354                })?)
355            };
356
357        let min_quantity =
358            if min_quantity_values.is_null(i) {
359                None
360            } else {
361                let min_qty_str = min_quantity_values
362                    .as_any()
363                    .downcast_ref::<StringArray>()
364                    .ok_or_else(|| {
365                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
366                    })?
367                    .value(i);
368                Some(Quantity::from_str(min_qty_str).map_err(|e| {
369                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
370                })?)
371            };
372
373        let max_price = if max_price_values.is_null(i) {
374            None
375        } else {
376            let max_p_str = max_price_values
377                .as_any()
378                .downcast_ref::<StringArray>()
379                .ok_or_else(|| {
380                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
381                })?
382                .value(i);
383            Some(
384                Price::from_str(max_p_str)
385                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
386            )
387        };
388
389        let min_price = if min_price_values.is_null(i) {
390            None
391        } else {
392            let min_p_str = min_price_values
393                .as_any()
394                .downcast_ref::<StringArray>()
395                .ok_or_else(|| {
396                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
397                })?
398                .value(i);
399            Some(
400                Price::from_str(min_p_str)
401                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
402            )
403        };
404
405        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
406        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
407
408        let margin_init = Decimal::from_str(margin_init_values.value(i))
409            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
410        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
411            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
412
413        let info = if info_values.is_null(i) {
414            None
415        } else {
416            let info_json = info_values
417                .as_any()
418                .downcast_ref::<StringArray>()
419                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
420                .value(i);
421
422            match serde_json::from_str::<Params>(info_json) {
423                Ok(info_dict) => Some(info_dict),
424                Err(e) => {
425                    return Err(EncodingError::ParseError(
426                        "info",
427                        format!("row {i}: failed to deserialize JSON: {e}"),
428                    ));
429                }
430            }
431        };
432
433        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
434        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
435
436        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
437
438        let futures_spread = FuturesSpread::builder()
439            .instrument_id(id)
440            .raw_symbol(raw_symbol)
441            .asset_class(asset_class)
442            .maybe_exchange(exchange)
443            .underlying(underlying)
444            .strategy_type(strategy_type)
445            .activation_ns(activation_ns)
446            .expiration_ns(expiration_ns)
447            .currency(currency)
448            .price_precision(price_prec)
449            .price_increment(price_increment)
450            .multiplier(multiplier)
451            .lot_size(lot_size)
452            .maybe_max_quantity(max_quantity)
453            .maybe_min_quantity(min_quantity)
454            .maybe_max_price(max_price)
455            .maybe_min_price(min_price)
456            .margin_init(margin_init)
457            .margin_maint(margin_maint)
458            .maybe_tick_scheme(tick_scheme)
459            .maybe_info(info)
460            .ts_event(ts_event)
461            .ts_init(ts_init)
462            .build()
463            .map_err(|e| super::instrument_validation_error::<FuturesSpread>(i, e))?;
464
465        result.push(futures_spread);
466    }
467
468    Ok(result)
469}
nautilus_serialization/arrow/instrument/futures_spread.rs

nautilus_serialization/arrow/instrument/
futures_spread.rs
