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

nautilus_serialization/arrow/instrument/
tokenized_asset.rs
