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::{collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        BinaryArray, BinaryBuilder, BooleanArray, BooleanBuilder, StringArray, StringBuilder,
23        UInt8Array, UInt64Array,
24    },
25    datatypes::{DataType, Field, Schema},
26    error::ArrowError,
27    record_batch::RecordBatch,
28};
29use nautilus_core::{Params, UnixNanos};
30use nautilus_model::{
31    enums::AssetClass,
32    identifiers::{InstrumentId, Symbol},
33    instruments::perpetual_contract::PerpetualContract,
34    types::{money::Money, price::Price, quantity::Quantity},
35};
36#[allow(unused)]
37use rust_decimal::Decimal;
38#[allow(unused)]
39use serde_json::Value;
40use ustr::Ustr;
41
42use crate::arrow::{
43    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
44    KEY_PRICE_PRECISION, extract_column,
45};
46
47impl ArrowSchemaProvider for PerpetualContract {
48    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
49        let fields = vec![
50            Field::new("id", DataType::Utf8, false),
51            Field::new("raw_symbol", DataType::Utf8, false),
52            Field::new("underlying", DataType::Utf8, false),
53            Field::new("asset_class", DataType::Utf8, false),
54            Field::new("base_currency", DataType::Utf8, true), // nullable
55            Field::new("quote_currency", DataType::Utf8, false),
56            Field::new("settlement_currency", DataType::Utf8, false),
57            Field::new("is_inverse", DataType::Boolean, false),
58            Field::new("price_precision", DataType::UInt8, false),
59            Field::new("size_precision", DataType::UInt8, false),
60            Field::new("price_increment", DataType::Utf8, false),
61            Field::new("size_increment", DataType::Utf8, false),
62            Field::new("multiplier", DataType::Utf8, false),
63            Field::new("lot_size", DataType::Utf8, false),
64            Field::new("max_quantity", DataType::Utf8, true), // nullable
65            Field::new("min_quantity", DataType::Utf8, true), // nullable
66            Field::new("max_notional", DataType::Utf8, true), // nullable
67            Field::new("min_notional", DataType::Utf8, true), // nullable
68            Field::new("max_price", DataType::Utf8, true),    // nullable
69            Field::new("min_price", DataType::Utf8, true),    // nullable
70            Field::new("margin_init", DataType::Utf8, false),
71            Field::new("margin_maint", DataType::Utf8, false),
72            Field::new("maker_fee", DataType::Utf8, false),
73            Field::new("taker_fee", DataType::Utf8, false),
74            Field::new("info", DataType::Binary, true), // nullable
75            Field::new("ts_event", DataType::UInt64, false),
76            Field::new("ts_init", DataType::UInt64, false),
77        ];
78
79        let mut final_metadata = HashMap::new();
80        final_metadata.insert("class".to_string(), "PerpetualContract".to_string());
81
82        if let Some(meta) = metadata {
83            final_metadata.extend(meta);
84        }
85
86        Schema::new_with_metadata(fields, final_metadata)
87    }
88}
89
90impl EncodeToRecordBatch for PerpetualContract {
91    fn encode_batch(
92        #[allow(unused)] metadata: &HashMap<String, String>,
93        data: &[Self],
94    ) -> Result<RecordBatch, ArrowError> {
95        let mut id_builder = StringBuilder::new();
96        let mut raw_symbol_builder = StringBuilder::new();
97        let mut underlying_builder = StringBuilder::new();
98        let mut asset_class_builder = StringBuilder::new();
99        let mut base_currency_builder = StringBuilder::new();
100        let mut quote_currency_builder = StringBuilder::new();
101        let mut settlement_currency_builder = StringBuilder::new();
102        let mut is_inverse_builder = BooleanBuilder::new();
103        let mut price_precision_builder = UInt8Array::builder(data.len());
104        let mut size_precision_builder = UInt8Array::builder(data.len());
105        let mut price_increment_builder = StringBuilder::new();
106        let mut size_increment_builder = StringBuilder::new();
107        let mut multiplier_builder = StringBuilder::new();
108        let mut lot_size_builder = StringBuilder::new();
109        let mut max_quantity_builder = StringBuilder::new();
110        let mut min_quantity_builder = StringBuilder::new();
111        let mut max_notional_builder = StringBuilder::new();
112        let mut min_notional_builder = StringBuilder::new();
113        let mut max_price_builder = StringBuilder::new();
114        let mut min_price_builder = StringBuilder::new();
115        let mut margin_init_builder = StringBuilder::new();
116        let mut margin_maint_builder = StringBuilder::new();
117        let mut maker_fee_builder = StringBuilder::new();
118        let mut taker_fee_builder = StringBuilder::new();
119        let mut info_builder = BinaryBuilder::new();
120        let mut ts_event_builder = UInt64Array::builder(data.len());
121        let mut ts_init_builder = UInt64Array::builder(data.len());
122
123        for perp in data {
124            id_builder.append_value(perp.id.to_string());
125            raw_symbol_builder.append_value(perp.raw_symbol);
126            underlying_builder.append_value(perp.underlying.as_str());
127            asset_class_builder.append_value(perp.asset_class);
128
129            if let Some(base_cur) = perp.base_currency {
130                base_currency_builder.append_value(base_cur.to_string());
131            } else {
132                base_currency_builder.append_null();
133            }
134
135            quote_currency_builder.append_value(perp.quote_currency.to_string());
136            settlement_currency_builder.append_value(perp.settlement_currency.to_string());
137            is_inverse_builder.append_value(perp.is_inverse);
138            price_precision_builder.append_value(perp.price_precision);
139            size_precision_builder.append_value(perp.size_precision);
140            price_increment_builder.append_value(perp.price_increment.to_string());
141            size_increment_builder.append_value(perp.size_increment.to_string());
142            multiplier_builder.append_value(perp.multiplier.to_string());
143            lot_size_builder.append_value(perp.lot_size.to_string());
144
145            if let Some(max_qty) = perp.max_quantity {
146                max_quantity_builder.append_value(max_qty.to_string());
147            } else {
148                max_quantity_builder.append_null();
149            }
150
151            if let Some(min_qty) = perp.min_quantity {
152                min_quantity_builder.append_value(min_qty.to_string());
153            } else {
154                min_quantity_builder.append_null();
155            }
156
157            if let Some(max_not) = perp.max_notional {
158                max_notional_builder.append_value(max_not.to_string());
159            } else {
160                max_notional_builder.append_null();
161            }
162
163            if let Some(min_not) = perp.min_notional {
164                min_notional_builder.append_value(min_not.to_string());
165            } else {
166                min_notional_builder.append_null();
167            }
168
169            if let Some(max_p) = perp.max_price {
170                max_price_builder.append_value(max_p.to_string());
171            } else {
172                max_price_builder.append_null();
173            }
174
175            if let Some(min_p) = perp.min_price {
176                min_price_builder.append_value(min_p.to_string());
177            } else {
178                min_price_builder.append_null();
179            }
180
181            margin_init_builder.append_value(perp.margin_init.to_string());
182            margin_maint_builder.append_value(perp.margin_maint.to_string());
183            maker_fee_builder.append_value(perp.maker_fee.to_string());
184            taker_fee_builder.append_value(perp.taker_fee.to_string());
185
186            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
187            if let Some(ref info) = perp.info {
188                match serde_json::to_vec(info) {
189                    Ok(json_bytes) => {
190                        info_builder.append_value(json_bytes);
191                    }
192                    Err(e) => {
193                        return Err(ArrowError::InvalidArgumentError(format!(
194                            "Failed to serialize info dict to JSON: {e}"
195                        )));
196                    }
197                }
198            } else {
199                info_builder.append_null();
200            }
201
202            ts_event_builder.append_value(perp.ts_event.as_u64());
203            ts_init_builder.append_value(perp.ts_init.as_u64());
204        }
205
206        let mut final_metadata = metadata.clone();
207        final_metadata.insert("class".to_string(), "PerpetualContract".to_string());
208
209        RecordBatch::try_new(
210            Self::get_schema(Some(final_metadata)).into(),
211            vec![
212                Arc::new(id_builder.finish()),
213                Arc::new(raw_symbol_builder.finish()),
214                Arc::new(underlying_builder.finish()),
215                Arc::new(asset_class_builder.finish()),
216                Arc::new(base_currency_builder.finish()),
217                Arc::new(quote_currency_builder.finish()),
218                Arc::new(settlement_currency_builder.finish()),
219                Arc::new(is_inverse_builder.finish()),
220                Arc::new(price_precision_builder.finish()),
221                Arc::new(size_precision_builder.finish()),
222                Arc::new(price_increment_builder.finish()),
223                Arc::new(size_increment_builder.finish()),
224                Arc::new(multiplier_builder.finish()),
225                Arc::new(lot_size_builder.finish()),
226                Arc::new(max_quantity_builder.finish()),
227                Arc::new(min_quantity_builder.finish()),
228                Arc::new(max_notional_builder.finish()),
229                Arc::new(min_notional_builder.finish()),
230                Arc::new(max_price_builder.finish()),
231                Arc::new(min_price_builder.finish()),
232                Arc::new(margin_init_builder.finish()),
233                Arc::new(margin_maint_builder.finish()),
234                Arc::new(maker_fee_builder.finish()),
235                Arc::new(taker_fee_builder.finish()),
236                Arc::new(info_builder.finish()),
237                Arc::new(ts_event_builder.finish()),
238                Arc::new(ts_init_builder.finish()),
239            ],
240        )
241    }
242
243    fn metadata(&self) -> HashMap<String, String> {
244        let mut metadata = HashMap::new();
245        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
246        metadata.insert(
247            KEY_PRICE_PRECISION.to_string(),
248            self.price_precision.to_string(),
249        );
250        metadata
251    }
252}
253
254/// Helper function to decode PerpetualContract from RecordBatch
255/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
256///
257/// # Errors
258///
259/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
260pub fn decode_perpetual_contract_batch(
261    #[allow(unused)] metadata: &HashMap<String, String>,
262    record_batch: &RecordBatch,
263) -> Result<Vec<PerpetualContract>, EncodingError> {
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 maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 22, DataType::Utf8)?;
313    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 23, DataType::Utf8)?;
314    let info_values = cols
315        .get(24)
316        .ok_or_else(|| EncodingError::MissingColumn("info", 24))?;
317    let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 25, DataType::UInt64)?;
318    let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 26, DataType::UInt64)?;
319
320    let mut result = Vec::with_capacity(num_rows);
321
322    for i in 0..num_rows {
323        let id = InstrumentId::from_str(id_values.value(i))
324            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
325        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
326        let underlying = Ustr::from(underlying_values.value(i));
327        let asset_class = AssetClass::from_str(asset_class_values.value(i))
328            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
329
330        let base_currency = if base_currency_values.is_null(i) {
331            None
332        } else {
333            let base_cur_str = base_currency_values
334                .as_any()
335                .downcast_ref::<StringArray>()
336                .ok_or_else(|| {
337                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
338                })?
339                .value(i);
340            Some(super::decode_currency(
341                base_cur_str,
342                "base_currency",
343                "perpetual_contract.base_currency",
344                i,
345            )?)
346        };
347
348        let quote_currency = super::decode_currency(
349            quote_currency_values.value(i),
350            "quote_currency",
351            "perpetual_contract.quote_currency",
352            i,
353        )?;
354        let settlement_currency = super::decode_currency(
355            settlement_currency_values.value(i),
356            "settlement_currency",
357            "perpetual_contract.settlement_currency",
358            i,
359        )?;
360        let is_inverse = is_inverse_values.value(i);
361        let price_prec = price_precision_values.value(i);
362        let size_prec = size_precision_values.value(i);
363
364        let price_increment = Price::from_str(price_increment_values.value(i))
365            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
366        let size_increment = Quantity::from_str(size_increment_values.value(i))
367            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
368
369        let multiplier = Quantity::from_str(multiplier_values.value(i))
370            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
371        let lot_size = Quantity::from_str(lot_size_values.value(i))
372            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
373
374        let max_quantity =
375            if max_quantity_values.is_null(i) {
376                None
377            } else {
378                let max_qty_str = max_quantity_values
379                    .as_any()
380                    .downcast_ref::<StringArray>()
381                    .ok_or_else(|| {
382                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
383                    })?
384                    .value(i);
385                Some(Quantity::from_str(max_qty_str).map_err(|e| {
386                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
387                })?)
388            };
389
390        let min_quantity =
391            if min_quantity_values.is_null(i) {
392                None
393            } else {
394                let min_qty_str = min_quantity_values
395                    .as_any()
396                    .downcast_ref::<StringArray>()
397                    .ok_or_else(|| {
398                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
399                    })?
400                    .value(i);
401                Some(Quantity::from_str(min_qty_str).map_err(|e| {
402                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
403                })?)
404            };
405
406        let max_notional =
407            if max_notional_values.is_null(i) {
408                None
409            } else {
410                let max_not_str = max_notional_values
411                    .as_any()
412                    .downcast_ref::<StringArray>()
413                    .ok_or_else(|| {
414                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
415                    })?
416                    .value(i);
417                Some(Money::from_str(max_not_str).map_err(|e| {
418                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
419                })?)
420            };
421
422        let min_notional =
423            if min_notional_values.is_null(i) {
424                None
425            } else {
426                let min_not_str = min_notional_values
427                    .as_any()
428                    .downcast_ref::<StringArray>()
429                    .ok_or_else(|| {
430                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
431                    })?
432                    .value(i);
433                Some(Money::from_str(min_not_str).map_err(|e| {
434                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
435                })?)
436            };
437
438        let max_price = if max_price_values.is_null(i) {
439            None
440        } else {
441            let max_p_str = max_price_values
442                .as_any()
443                .downcast_ref::<StringArray>()
444                .ok_or_else(|| {
445                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
446                })?
447                .value(i);
448            Some(
449                Price::from_str(max_p_str)
450                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
451            )
452        };
453
454        let min_price = if min_price_values.is_null(i) {
455            None
456        } else {
457            let min_p_str = min_price_values
458                .as_any()
459                .downcast_ref::<StringArray>()
460                .ok_or_else(|| {
461                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
462                })?
463                .value(i);
464            Some(
465                Price::from_str(min_p_str)
466                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
467            )
468        };
469
470        let margin_init = Decimal::from_str(margin_init_values.value(i))
471            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
472        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
473            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
474        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
475            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
476        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
477            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
478
479        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
480        let info = if info_values.is_null(i) {
481            None
482        } else {
483            let info_bytes = info_values
484                .as_any()
485                .downcast_ref::<BinaryArray>()
486                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
487                .value(i);
488
489            match serde_json::from_slice::<Params>(info_bytes) {
490                Ok(info_dict) => Some(info_dict),
491                Err(e) => {
492                    return Err(EncodingError::ParseError(
493                        "info",
494                        format!("row {i}: failed to deserialize JSON: {e}"),
495                    ));
496                }
497            }
498        };
499
500        let ts_event = UnixNanos::from(ts_event_values.value(i));
501        let ts_init = UnixNanos::from(ts_init_values.value(i));
502
503        let perp = PerpetualContract::new(
504            id,
505            raw_symbol,
506            underlying,
507            asset_class,
508            base_currency,
509            quote_currency,
510            settlement_currency,
511            is_inverse,
512            price_prec,
513            size_prec,
514            price_increment,
515            size_increment,
516            Some(multiplier),
517            Some(lot_size),
518            max_quantity,
519            min_quantity,
520            max_notional,
521            min_notional,
522            max_price,
523            min_price,
524            Some(margin_init),
525            Some(margin_maint),
526            Some(maker_fee),
527            Some(taker_fee),
528            info,
529            ts_event,
530            ts_init,
531        );
532
533        result.push(perp);
534    }
535
536    Ok(result)
537}
nautilus_serialization/arrow/instrument/perpetual_contract.rs

nautilus_serialization/arrow/instrument/
perpetual_contract.rs
