nautilus_serialization/arrow/instrument/
index_instrument.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 IndexInstrument 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, UnixNanos};
27use nautilus_model::{
28    identifiers::{InstrumentId, Symbol},
29    instruments::index_instrument::IndexInstrument,
30    types::{price::Price, quantity::Quantity},
31};
32#[allow(unused)]
33use rust_decimal::Decimal;
34#[allow(unused)]
35use serde_json::Value;
36
37use crate::arrow::{
38    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
39    KEY_PRICE_PRECISION, extract_column,
40};
41
42impl ArrowSchemaProvider for IndexInstrument {
43    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
44        let fields = vec![
45            Field::new("id", DataType::Utf8, false),
46            Field::new("raw_symbol", DataType::Utf8, false),
47            Field::new("currency", DataType::Utf8, false),
48            Field::new("price_precision", DataType::UInt8, false),
49            Field::new("price_increment", DataType::Utf8, false),
50            Field::new("size_precision", DataType::UInt8, false),
51            Field::new("size_increment", DataType::Utf8, false),
52            Field::new("info", DataType::Binary, true), // nullable
53            Field::new("ts_event", DataType::UInt64, false),
54            Field::new("ts_init", DataType::UInt64, false),
55        ];
56
57        let mut final_metadata = HashMap::new();
58        final_metadata.insert("class".to_string(), "IndexInstrument".to_string());
59
60        if let Some(meta) = metadata {
61            final_metadata.extend(meta);
62        }
63
64        Schema::new_with_metadata(fields, final_metadata)
65    }
66}
67
68impl EncodeToRecordBatch for IndexInstrument {
69    fn encode_batch(
70        #[allow(unused)] metadata: &HashMap<String, String>,
71        data: &[Self],
72    ) -> Result<RecordBatch, ArrowError> {
73        let mut id_builder = StringBuilder::new();
74        let mut raw_symbol_builder = StringBuilder::new();
75        let mut currency_builder = StringBuilder::new();
76        let mut price_precision_builder = UInt8Array::builder(data.len());
77        let mut size_precision_builder = UInt8Array::builder(data.len());
78        let mut price_increment_builder = StringBuilder::new();
79        let mut size_increment_builder = StringBuilder::new();
80        let mut info_builder = BinaryBuilder::new();
81        let mut ts_event_builder = UInt64Array::builder(data.len());
82        let mut ts_init_builder = UInt64Array::builder(data.len());
83
84        for index in data {
85            id_builder.append_value(index.id.to_string());
86            raw_symbol_builder.append_value(index.raw_symbol);
87            currency_builder.append_value(index.currency.to_string());
88            price_precision_builder.append_value(index.price_precision);
89            price_increment_builder.append_value(index.price_increment.to_string());
90            size_precision_builder.append_value(index.size_precision);
91            size_increment_builder.append_value(index.size_increment.to_string());
92
93            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
94            if let Some(ref info) = index.info {
95                match serde_json::to_vec(info) {
96                    Ok(json_bytes) => {
97                        info_builder.append_value(json_bytes);
98                    }
99                    Err(e) => {
100                        return Err(ArrowError::InvalidArgumentError(format!(
101                            "Failed to serialize info dict to JSON: {e}"
102                        )));
103                    }
104                }
105            } else {
106                info_builder.append_null();
107            }
108
109            ts_event_builder.append_value(index.ts_event.as_u64());
110            ts_init_builder.append_value(index.ts_init.as_u64());
111        }
112
113        let mut final_metadata = metadata.clone();
114        final_metadata.insert("class".to_string(), "IndexInstrument".to_string());
115
116        RecordBatch::try_new(
117            Self::get_schema(Some(final_metadata)).into(),
118            vec![
119                Arc::new(id_builder.finish()),
120                Arc::new(raw_symbol_builder.finish()),
121                Arc::new(currency_builder.finish()),
122                Arc::new(price_precision_builder.finish()),
123                Arc::new(price_increment_builder.finish()),
124                Arc::new(size_precision_builder.finish()),
125                Arc::new(size_increment_builder.finish()),
126                Arc::new(info_builder.finish()),
127                Arc::new(ts_event_builder.finish()),
128                Arc::new(ts_init_builder.finish()),
129            ],
130        )
131    }
132
133    fn metadata(&self) -> HashMap<String, String> {
134        let mut metadata = HashMap::new();
135        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
136        metadata.insert(
137            KEY_PRICE_PRECISION.to_string(),
138            self.price_precision.to_string(),
139        );
140        metadata
141    }
142}
143
144/// Helper function to decode IndexInstrument from RecordBatch
145/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
146///
147/// # Errors
148///
149/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
150pub fn decode_index_instrument_batch(
151    #[allow(unused)] metadata: &HashMap<String, String>,
152    record_batch: &RecordBatch,
153) -> Result<Vec<IndexInstrument>, EncodingError> {
154    let cols = record_batch.columns();
155    let num_rows = record_batch.num_rows();
156
157    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
158    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
159    let currency_values = extract_column::<StringArray>(cols, "currency", 2, DataType::Utf8)?;
160    let price_precision_values =
161        extract_column::<UInt8Array>(cols, "price_precision", 3, DataType::UInt8)?;
162    let price_increment_values =
163        extract_column::<StringArray>(cols, "price_increment", 4, DataType::Utf8)?;
164    let size_precision_values =
165        extract_column::<UInt8Array>(cols, "size_precision", 5, DataType::UInt8)?;
166    let size_increment_values =
167        extract_column::<StringArray>(cols, "size_increment", 6, DataType::Utf8)?;
168    let info_values = cols
169        .get(7)
170        .ok_or_else(|| EncodingError::MissingColumn("info", 7))?;
171    let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 8, DataType::UInt64)?;
172    let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 9, DataType::UInt64)?;
173
174    let mut result = Vec::with_capacity(num_rows);
175
176    for i in 0..num_rows {
177        let id = InstrumentId::from_str(id_values.value(i))
178            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
179        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
180        let currency = super::decode_currency(
181            currency_values.value(i),
182            "currency",
183            "index_instrument.currency",
184            i,
185        )?;
186        let price_prec = price_precision_values.value(i);
187        let size_prec = size_precision_values.value(i);
188
189        let price_increment = Price::from_str(price_increment_values.value(i))
190            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
191        let size_increment = Quantity::from_str(size_increment_values.value(i))
192            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
193
194        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
195        let info = if info_values.is_null(i) {
196            None
197        } else {
198            let info_bytes = info_values
199                .as_any()
200                .downcast_ref::<BinaryArray>()
201                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
202                .value(i);
203
204            match serde_json::from_slice::<Params>(info_bytes) {
205                Ok(info_dict) => Some(info_dict),
206                Err(e) => {
207                    return Err(EncodingError::ParseError(
208                        "info",
209                        format!("row {i}: failed to deserialize JSON: {e}"),
210                    ));
211                }
212            }
213        };
214
215        let ts_event = UnixNanos::from(ts_event_values.value(i));
216        let ts_init = UnixNanos::from(ts_init_values.value(i));
217
218        let index_instrument = IndexInstrument::new(
219            id,
220            raw_symbol,
221            currency,
222            price_prec,
223            size_prec,
224            price_increment,
225            size_increment,
226            info,
227            ts_event,
228            ts_init,
229        );
230
231        result.push(index_instrument);
232    }
233
234    Ok(result)
235}
nautilus_serialization/arrow/instrument/index_instrument.rs

nautilus_serialization/arrow/instrument/
index_instrument.rs
