nautilus_serialization/arrow/instrument/
perpetual_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 PerpetualContract instruments.
17
18use std::{borrow::Borrow, collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        Array, BooleanArray, BooleanBuilder, StringArray, StringBuilder, UInt8Array, UInt64Array,
23    },
24    datatypes::{DataType, Field, Schema},
25    error::ArrowError,
26    record_batch::RecordBatch,
27};
28use nautilus_core::{Params, UnixNanos};
29use nautilus_model::{
30    enums::AssetClass,
31    identifiers::{InstrumentId, Symbol},
32    instruments::perpetual_contract::PerpetualContract,
33    types::{money::Money, price::Price, quantity::Quantity},
34};
35use rust_decimal::Decimal;
36use ustr::Ustr;
37
38use crate::arrow::{
39    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
40    KEY_PRICE_PRECISION, extract_column, extract_column_by_name,
41    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
42    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
43    timestamp_data_type,
44};
45
46impl ArrowSchemaProvider for PerpetualContract {
47    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
48        let fields = vec![
49            Field::new("id", DataType::Utf8, false),
50            Field::new("raw_symbol", DataType::Utf8, false),
51            Field::new("underlying", DataType::Utf8, false),
52            Field::new("asset_class", DataType::Utf8, false),
53            Field::new("base_currency", DataType::Utf8, true), // nullable
54            Field::new("quote_currency", DataType::Utf8, false),
55            Field::new("settlement_currency", DataType::Utf8, false),
56            Field::new("is_inverse", DataType::Boolean, false),
57            Field::new("price_precision", DataType::UInt8, false),
58            Field::new("size_precision", DataType::UInt8, false),
59            Field::new("price_increment", DataType::Utf8, false),
60            Field::new("size_increment", DataType::Utf8, false),
61            Field::new("multiplier", DataType::Utf8, false),
62            Field::new("lot_size", DataType::Utf8, false),
63            Field::new("max_quantity", DataType::Utf8, true), // nullable
64            Field::new("min_quantity", DataType::Utf8, true), // nullable
65            Field::new("max_notional", DataType::Utf8, true), // nullable
66            Field::new("min_notional", DataType::Utf8, true), // nullable
67            Field::new("max_price", DataType::Utf8, true),    // nullable
68            Field::new("min_price", DataType::Utf8, true),    // nullable
69            Field::new("margin_init", DataType::Utf8, false),
70            Field::new("margin_maint", DataType::Utf8, false),
71            Field::new("tick_scheme", DataType::Utf8, true),
72            json_string_field("info", true),
73            Field::new("ts_event", timestamp_data_type(), false),
74            Field::new("ts_init", timestamp_data_type(), false),
75        ];
76
77        Schema::new_with_metadata(
78            fields,
79            metadata_with_type_name("PerpetualContract", metadata),
80        )
81    }
82}
83
84impl EncodeToRecordBatch for PerpetualContract {
85    fn encode_batch<T>(
86        #[allow(unused)] metadata: &HashMap<String, String>,
87        data: &[T],
88    ) -> Result<RecordBatch, ArrowError>
89    where
90        T: std::borrow::Borrow<Self>,
91    {
92        let mut id_builder = StringBuilder::new();
93        let mut raw_symbol_builder = StringBuilder::new();
94        let mut underlying_builder = StringBuilder::new();
95        let mut asset_class_builder = StringBuilder::new();
96        let mut base_currency_builder = StringBuilder::new();
97        let mut quote_currency_builder = StringBuilder::new();
98        let mut settlement_currency_builder = StringBuilder::new();
99        let mut is_inverse_builder = BooleanBuilder::new();
100        let mut price_precision_builder = UInt8Array::builder(data.len());
101        let mut size_precision_builder = UInt8Array::builder(data.len());
102        let mut price_increment_builder = StringBuilder::new();
103        let mut size_increment_builder = StringBuilder::new();
104        let mut multiplier_builder = StringBuilder::new();
105        let mut lot_size_builder = StringBuilder::new();
106        let mut max_quantity_builder = StringBuilder::new();
107        let mut min_quantity_builder = StringBuilder::new();
108        let mut max_notional_builder = StringBuilder::new();
109        let mut min_notional_builder = StringBuilder::new();
110        let mut max_price_builder = StringBuilder::new();
111        let mut min_price_builder = StringBuilder::new();
112        let mut margin_init_builder = StringBuilder::new();
113        let mut margin_maint_builder = StringBuilder::new();
114        let mut tick_scheme_builder = StringBuilder::new();
115        let mut info_builder = StringBuilder::new();
116        let mut ts_event_builder = UInt64Array::builder(data.len());
117        let mut ts_init_builder = UInt64Array::builder(data.len());
118
119        for perp in data.iter().map(Borrow::borrow) {
120            id_builder.append_value(perp.id.to_string());
121            raw_symbol_builder.append_value(perp.raw_symbol);
122            underlying_builder.append_value(perp.underlying.as_str());
123            asset_class_builder.append_value(perp.asset_class);
124
125            if let Some(base_cur) = perp.base_currency {
126                base_currency_builder.append_value(base_cur.to_string());
127            } else {
128                base_currency_builder.append_null();
129            }
130
131            quote_currency_builder.append_value(perp.quote_currency.to_string());
132            settlement_currency_builder.append_value(perp.settlement_currency.to_string());
133            is_inverse_builder.append_value(perp.is_inverse);
134            price_precision_builder.append_value(perp.price_precision);
135            size_precision_builder.append_value(perp.size_precision);
136            price_increment_builder.append_value(perp.price_increment.to_string());
137            size_increment_builder.append_value(perp.size_increment.to_string());
138            multiplier_builder.append_value(perp.multiplier.to_string());
139            lot_size_builder.append_value(perp.lot_size.to_string());
140
141            if let Some(max_qty) = perp.max_quantity {
142                max_quantity_builder.append_value(max_qty.to_string());
143            } else {
144                max_quantity_builder.append_null();
145            }
146
147            if let Some(min_qty) = perp.min_quantity {
148                min_quantity_builder.append_value(min_qty.to_string());
149            } else {
150                min_quantity_builder.append_null();
151            }
152
153            if let Some(max_not) = perp.max_notional {
154                max_notional_builder.append_value(max_not.to_string());
155            } else {
156                max_notional_builder.append_null();
157            }
158
159            if let Some(min_not) = perp.min_notional {
160                min_notional_builder.append_value(min_not.to_string());
161            } else {
162                min_notional_builder.append_null();
163            }
164
165            if let Some(max_p) = perp.max_price {
166                max_price_builder.append_value(max_p.to_string());
167            } else {
168                max_price_builder.append_null();
169            }
170
171            if let Some(min_p) = perp.min_price {
172                min_price_builder.append_value(min_p.to_string());
173            } else {
174                min_price_builder.append_null();
175            }
176
177            margin_init_builder.append_value(perp.margin_init.to_string());
178            margin_maint_builder.append_value(perp.margin_maint.to_string());
179
180            if let Some(tick_scheme) = perp.tick_scheme {
181                tick_scheme_builder.append_value(tick_scheme);
182            } else {
183                tick_scheme_builder.append_null();
184            }
185
186            if let Some(ref info) = perp.info {
187                match serde_json::to_string(info) {
188                    Ok(json) => {
189                        info_builder.append_value(json);
190                    }
191                    Err(e) => {
192                        return Err(ArrowError::InvalidArgumentError(format!(
193                            "Failed to serialize info dict to JSON: {e}"
194                        )));
195                    }
196                }
197            } else {
198                info_builder.append_null();
199            }
200
201            ts_event_builder.append_value(perp.ts_event.as_u64());
202            ts_init_builder.append_value(perp.ts_init.as_u64());
203        }
204
205        record_batch_with_timestamps(
206            Self::get_schema(Some(metadata.clone())).into(),
207            vec![
208                Arc::new(id_builder.finish()),
209                Arc::new(raw_symbol_builder.finish()),
210                Arc::new(underlying_builder.finish()),
211                Arc::new(asset_class_builder.finish()),
212                Arc::new(base_currency_builder.finish()),
213                Arc::new(quote_currency_builder.finish()),
214                Arc::new(settlement_currency_builder.finish()),
215                Arc::new(is_inverse_builder.finish()),
216                Arc::new(price_precision_builder.finish()),
217                Arc::new(size_precision_builder.finish()),
218                Arc::new(price_increment_builder.finish()),
219                Arc::new(size_increment_builder.finish()),
220                Arc::new(multiplier_builder.finish()),
221                Arc::new(lot_size_builder.finish()),
222                Arc::new(max_quantity_builder.finish()),
223                Arc::new(min_quantity_builder.finish()),
224                Arc::new(max_notional_builder.finish()),
225                Arc::new(min_notional_builder.finish()),
226                Arc::new(max_price_builder.finish()),
227                Arc::new(min_price_builder.finish()),
228                Arc::new(margin_init_builder.finish()),
229                Arc::new(margin_maint_builder.finish()),
230                Arc::new(tick_scheme_builder.finish()),
231                Arc::new(info_builder.finish()),
232                Arc::new(ts_event_builder.finish()),
233                Arc::new(ts_init_builder.finish()),
234            ],
235        )
236    }
237
238    fn metadata(&self) -> HashMap<String, String> {
239        let mut metadata = HashMap::new();
240        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
241        metadata.insert(
242            KEY_PRICE_PRECISION.to_string(),
243            self.price_precision.to_string(),
244        );
245        metadata
246    }
247}
248
249/// Decodes [`PerpetualContract`] instruments from a record batch.
250///
251/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
252///
253/// # Errors
254///
255/// Returns an error if the record batch cannot be decoded.
256///
257/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
258pub fn decode_perpetual_contract_batch(
259    #[allow(unused)] metadata: &HashMap<String, String>,
260    record_batch: &RecordBatch,
261) -> Result<Vec<PerpetualContract>, EncodingError> {
262    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
263    let record_batch = &record_batch;
264    let cols = record_batch.columns();
265    let num_rows = record_batch.num_rows();
266
267    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
268    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
269    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
270    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
271    let base_currency_values = cols
272        .get(4)
273        .ok_or_else(|| EncodingError::MissingColumn("base_currency", 4))?;
274    let quote_currency_values =
275        extract_column::<StringArray>(cols, "quote_currency", 5, DataType::Utf8)?;
276    let settlement_currency_values =
277        extract_column::<StringArray>(cols, "settlement_currency", 6, DataType::Utf8)?;
278    let is_inverse_values =
279        extract_column::<BooleanArray>(cols, "is_inverse", 7, DataType::Boolean)?;
280    let price_precision_values =
281        extract_column::<UInt8Array>(cols, "price_precision", 8, DataType::UInt8)?;
282    let size_precision_values =
283        extract_column::<UInt8Array>(cols, "size_precision", 9, DataType::UInt8)?;
284    let price_increment_values =
285        extract_column::<StringArray>(cols, "price_increment", 10, DataType::Utf8)?;
286    let size_increment_values =
287        extract_column::<StringArray>(cols, "size_increment", 11, DataType::Utf8)?;
288    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 12, DataType::Utf8)?;
289    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 13, DataType::Utf8)?;
290    let max_quantity_values = cols
291        .get(14)
292        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 14))?;
293    let min_quantity_values = cols
294        .get(15)
295        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 15))?;
296    let max_notional_values = cols
297        .get(16)
298        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 16))?;
299    let min_notional_values = cols
300        .get(17)
301        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 17))?;
302    let max_price_values = cols
303        .get(18)
304        .ok_or_else(|| EncodingError::MissingColumn("max_price", 18))?;
305    let min_price_values = cols
306        .get(19)
307        .ok_or_else(|| EncodingError::MissingColumn("min_price", 19))?;
308    let margin_init_values =
309        extract_column::<StringArray>(cols, "margin_init", 20, DataType::Utf8)?;
310    let margin_maint_values =
311        extract_column::<StringArray>(cols, "margin_maint", 21, DataType::Utf8)?;
312    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
313    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
314    let ts_event_values =
315        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
316    let ts_init_values =
317        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
318
319    let mut result = Vec::with_capacity(num_rows);
320
321    for i in 0..num_rows {
322        let id = InstrumentId::from_str(id_values.value(i))
323            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
324        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
325        let underlying = Ustr::from(underlying_values.value(i));
326        let asset_class = AssetClass::from_str(asset_class_values.value(i))
327            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
328
329        let base_currency = if base_currency_values.is_null(i) {
330            None
331        } else {
332            let base_cur_str = base_currency_values
333                .as_any()
334                .downcast_ref::<StringArray>()
335                .ok_or_else(|| {
336                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
337                })?
338                .value(i);
339            Some(super::decode_currency(
340                base_cur_str,
341                "base_currency",
342                "perpetual_contract.base_currency",
343                i,
344            )?)
345        };
346
347        let quote_currency = super::decode_currency(
348            quote_currency_values.value(i),
349            "quote_currency",
350            "perpetual_contract.quote_currency",
351            i,
352        )?;
353        let settlement_currency = super::decode_currency(
354            settlement_currency_values.value(i),
355            "settlement_currency",
356            "perpetual_contract.settlement_currency",
357            i,
358        )?;
359        let is_inverse = is_inverse_values.value(i);
360        let price_prec = price_precision_values.value(i);
361        let size_prec = size_precision_values.value(i);
362
363        let price_increment = Price::from_str(price_increment_values.value(i))
364            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
365        let size_increment = Quantity::from_str(size_increment_values.value(i))
366            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
367
368        let multiplier = Quantity::from_str(multiplier_values.value(i))
369            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
370        let lot_size = Quantity::from_str(lot_size_values.value(i))
371            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
372
373        let max_quantity =
374            if max_quantity_values.is_null(i) {
375                None
376            } else {
377                let max_qty_str = max_quantity_values
378                    .as_any()
379                    .downcast_ref::<StringArray>()
380                    .ok_or_else(|| {
381                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
382                    })?
383                    .value(i);
384                Some(Quantity::from_str(max_qty_str).map_err(|e| {
385                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
386                })?)
387            };
388
389        let min_quantity =
390            if min_quantity_values.is_null(i) {
391                None
392            } else {
393                let min_qty_str = min_quantity_values
394                    .as_any()
395                    .downcast_ref::<StringArray>()
396                    .ok_or_else(|| {
397                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
398                    })?
399                    .value(i);
400                Some(Quantity::from_str(min_qty_str).map_err(|e| {
401                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
402                })?)
403            };
404
405        let max_notional =
406            if max_notional_values.is_null(i) {
407                None
408            } else {
409                let max_not_str = max_notional_values
410                    .as_any()
411                    .downcast_ref::<StringArray>()
412                    .ok_or_else(|| {
413                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
414                    })?
415                    .value(i);
416                Some(Money::from_str(max_not_str).map_err(|e| {
417                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
418                })?)
419            };
420
421        let min_notional =
422            if min_notional_values.is_null(i) {
423                None
424            } else {
425                let min_not_str = min_notional_values
426                    .as_any()
427                    .downcast_ref::<StringArray>()
428                    .ok_or_else(|| {
429                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
430                    })?
431                    .value(i);
432                Some(Money::from_str(min_not_str).map_err(|e| {
433                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
434                })?)
435            };
436
437        let max_price = if max_price_values.is_null(i) {
438            None
439        } else {
440            let max_p_str = max_price_values
441                .as_any()
442                .downcast_ref::<StringArray>()
443                .ok_or_else(|| {
444                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
445                })?
446                .value(i);
447            Some(
448                Price::from_str(max_p_str)
449                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
450            )
451        };
452
453        let min_price = if min_price_values.is_null(i) {
454            None
455        } else {
456            let min_p_str = min_price_values
457                .as_any()
458                .downcast_ref::<StringArray>()
459                .ok_or_else(|| {
460                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
461                })?
462                .value(i);
463            Some(
464                Price::from_str(min_p_str)
465                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
466            )
467        };
468
469        let margin_init = Decimal::from_str(margin_init_values.value(i))
470            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
471        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
472            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
473
474        let info = if info_values.is_null(i) {
475            None
476        } else {
477            let info_json = info_values
478                .as_any()
479                .downcast_ref::<StringArray>()
480                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
481                .value(i);
482
483            match serde_json::from_str::<Params>(info_json) {
484                Ok(info_dict) => Some(info_dict),
485                Err(e) => {
486                    return Err(EncodingError::ParseError(
487                        "info",
488                        format!("row {i}: failed to deserialize JSON: {e}"),
489                    ));
490                }
491            }
492        };
493
494        let ts_event = UnixNanos::from(ts_event_values.value(i));
495        let ts_init = UnixNanos::from(ts_init_values.value(i));
496
497        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
498
499        let perp = PerpetualContract::builder()
500            .instrument_id(id)
501            .raw_symbol(raw_symbol)
502            .underlying(underlying)
503            .asset_class(asset_class)
504            .maybe_base_currency(base_currency)
505            .quote_currency(quote_currency)
506            .settlement_currency(settlement_currency)
507            .is_inverse(is_inverse)
508            .price_precision(price_prec)
509            .size_precision(size_prec)
510            .price_increment(price_increment)
511            .size_increment(size_increment)
512            .multiplier(multiplier)
513            .lot_size(lot_size)
514            .maybe_max_quantity(max_quantity)
515            .maybe_min_quantity(min_quantity)
516            .maybe_max_notional(max_notional)
517            .maybe_min_notional(min_notional)
518            .maybe_max_price(max_price)
519            .maybe_min_price(min_price)
520            .margin_init(margin_init)
521            .margin_maint(margin_maint)
522            .maybe_tick_scheme(tick_scheme)
523            .maybe_info(info)
524            .ts_event(ts_event)
525            .ts_init(ts_init)
526            .build()
527            .map_err(|e| super::instrument_validation_error::<PerpetualContract>(i, e))?;
528
529        result.push(perp);
530    }
531
532    Ok(result)
533}
nautilus_serialization/arrow/instrument/perpetual_contract.rs

nautilus_serialization/arrow/instrument/
perpetual_contract.rs
