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::{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;
27use nautilus_model::{
28    enums::AssetClass,
29    identifiers::{InstrumentId, Symbol},
30    instruments::tokenized_asset::TokenizedAsset,
31    types::{money::Money, price::Price, quantity::Quantity},
32};
33#[allow(unused)]
34use rust_decimal::Decimal;
35#[allow(unused)]
36use serde_json::Value;
37use ustr::Ustr;
38
39use crate::arrow::{
40    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
41    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column,
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("maker_fee", DataType::Utf8, false),
68            Field::new("taker_fee", DataType::Utf8, false),
69            Field::new("info", DataType::Binary, true), // nullable
70            Field::new("ts_event", DataType::UInt64, false),
71            Field::new("ts_init", DataType::UInt64, false),
72        ];
73
74        let mut final_metadata = HashMap::new();
75        final_metadata.insert("class".to_string(), "TokenizedAsset".to_string());
76
77        if let Some(meta) = metadata {
78            final_metadata.extend(meta);
79        }
80
81        Schema::new_with_metadata(fields, final_metadata)
82    }
83}
84
85impl EncodeToRecordBatch for TokenizedAsset {
86    fn encode_batch(
87        #[allow(unused)] metadata: &HashMap<String, String>,
88        data: &[Self],
89    ) -> Result<RecordBatch, ArrowError> {
90        let mut id_builder = StringBuilder::new();
91        let mut raw_symbol_builder = StringBuilder::new();
92        let mut asset_class_builder = StringBuilder::new();
93        let mut base_currency_builder = StringBuilder::new();
94        let mut quote_currency_builder = StringBuilder::new();
95        let mut isin_builder = StringBuilder::new();
96        let mut price_precision_builder = UInt8Array::builder(data.len());
97        let mut size_precision_builder = UInt8Array::builder(data.len());
98        let mut price_increment_builder = StringBuilder::new();
99        let mut size_increment_builder = StringBuilder::new();
100        let mut multiplier_builder = StringBuilder::new();
101        let mut lot_size_builder = StringBuilder::new();
102        let mut max_quantity_builder = StringBuilder::new();
103        let mut min_quantity_builder = StringBuilder::new();
104        let mut max_notional_builder = StringBuilder::new();
105        let mut min_notional_builder = StringBuilder::new();
106        let mut max_price_builder = StringBuilder::new();
107        let mut min_price_builder = StringBuilder::new();
108        let mut margin_init_builder = StringBuilder::new();
109        let mut margin_maint_builder = StringBuilder::new();
110        let mut maker_fee_builder = StringBuilder::new();
111        let mut taker_fee_builder = StringBuilder::new();
112        let mut info_builder = BinaryBuilder::new();
113        let mut ts_event_builder = UInt64Array::builder(data.len());
114        let mut ts_init_builder = UInt64Array::builder(data.len());
115
116        for ta in data {
117            id_builder.append_value(ta.id.to_string());
118            raw_symbol_builder.append_value(ta.raw_symbol);
119            asset_class_builder.append_value(ta.asset_class.as_ref());
120            base_currency_builder.append_value(ta.base_currency.to_string());
121            quote_currency_builder.append_value(ta.quote_currency.to_string());
122
123            if let Some(isin) = ta.isin {
124                isin_builder.append_value(isin.as_str());
125            } else {
126                isin_builder.append_null();
127            }
128
129            price_precision_builder.append_value(ta.price_precision);
130            size_precision_builder.append_value(ta.size_precision);
131            price_increment_builder.append_value(ta.price_increment.to_string());
132            size_increment_builder.append_value(ta.size_increment.to_string());
133            multiplier_builder.append_value(ta.multiplier.to_string());
134
135            if let Some(lot_size) = ta.lot_size {
136                lot_size_builder.append_value(lot_size.to_string());
137            } else {
138                lot_size_builder.append_null();
139            }
140
141            if let Some(max_qty) = ta.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) = ta.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) = ta.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) = ta.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) = ta.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) = ta.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(ta.margin_init.to_string());
178            margin_maint_builder.append_value(ta.margin_maint.to_string());
179            maker_fee_builder.append_value(ta.maker_fee.to_string());
180            taker_fee_builder.append_value(ta.taker_fee.to_string());
181
182            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
183            if let Some(ref info) = ta.info {
184                match serde_json::to_vec(info) {
185                    Ok(json_bytes) => {
186                        info_builder.append_value(json_bytes);
187                    }
188                    Err(e) => {
189                        return Err(ArrowError::InvalidArgumentError(format!(
190                            "Failed to serialize info dict to JSON: {e}"
191                        )));
192                    }
193                }
194            } else {
195                info_builder.append_null();
196            }
197
198            ts_event_builder.append_value(ta.ts_event.as_u64());
199            ts_init_builder.append_value(ta.ts_init.as_u64());
200        }
201
202        let mut final_metadata = metadata.clone();
203        final_metadata.insert("class".to_string(), "TokenizedAsset".to_string());
204
205        RecordBatch::try_new(
206            Self::get_schema(Some(final_metadata)).into(),
207            vec![
208                Arc::new(id_builder.finish()),
209                Arc::new(raw_symbol_builder.finish()),
210                Arc::new(asset_class_builder.finish()),
211                Arc::new(base_currency_builder.finish()),
212                Arc::new(quote_currency_builder.finish()),
213                Arc::new(isin_builder.finish()),
214                Arc::new(price_precision_builder.finish()),
215                Arc::new(size_precision_builder.finish()),
216                Arc::new(price_increment_builder.finish()),
217                Arc::new(size_increment_builder.finish()),
218                Arc::new(multiplier_builder.finish()),
219                Arc::new(lot_size_builder.finish()),
220                Arc::new(max_quantity_builder.finish()),
221                Arc::new(min_quantity_builder.finish()),
222                Arc::new(max_notional_builder.finish()),
223                Arc::new(min_notional_builder.finish()),
224                Arc::new(max_price_builder.finish()),
225                Arc::new(min_price_builder.finish()),
226                Arc::new(margin_init_builder.finish()),
227                Arc::new(margin_maint_builder.finish()),
228                Arc::new(maker_fee_builder.finish()),
229                Arc::new(taker_fee_builder.finish()),
230                Arc::new(info_builder.finish()),
231                Arc::new(ts_event_builder.finish()),
232                Arc::new(ts_init_builder.finish()),
233            ],
234        )
235    }
236
237    fn metadata(&self) -> HashMap<String, String> {
238        let mut metadata = HashMap::new();
239        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
240        metadata.insert(
241            KEY_PRICE_PRECISION.to_string(),
242            self.price_precision.to_string(),
243        );
244        metadata.insert(
245            KEY_SIZE_PRECISION.to_string(),
246            self.size_precision.to_string(),
247        );
248        metadata
249    }
250}
251
252/// Decodes a batch of [`TokenizedAsset`] from a [`RecordBatch`].
253///
254/// # Errors
255///
256/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
257pub fn decode_tokenized_asset_batch(
258    #[allow(unused)] metadata: &HashMap<String, String>,
259    record_batch: &RecordBatch,
260) -> Result<Vec<TokenizedAsset>, EncodingError> {
261    let cols = record_batch.columns();
262    let num_rows = record_batch.num_rows();
263
264    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
265    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
266    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
267    let base_currency_values =
268        extract_column::<StringArray>(cols, "base_currency", 3, DataType::Utf8)?;
269    let quote_currency_values =
270        extract_column::<StringArray>(cols, "quote_currency", 4, DataType::Utf8)?;
271    let isin_values = cols
272        .get(5)
273        .ok_or_else(|| EncodingError::MissingColumn("isin", 5))?;
274    let price_precision_values =
275        extract_column::<UInt8Array>(cols, "price_precision", 6, DataType::UInt8)?;
276    let size_precision_values =
277        extract_column::<UInt8Array>(cols, "size_precision", 7, DataType::UInt8)?;
278    let price_increment_values =
279        extract_column::<StringArray>(cols, "price_increment", 8, DataType::Utf8)?;
280    let size_increment_values =
281        extract_column::<StringArray>(cols, "size_increment", 9, DataType::Utf8)?;
282    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 10, DataType::Utf8)?;
283    let lot_size_values = cols
284        .get(11)
285        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 11))?;
286    let max_quantity_values = cols
287        .get(12)
288        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 12))?;
289    let min_quantity_values = cols
290        .get(13)
291        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 13))?;
292    let max_notional_values = cols
293        .get(14)
294        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 14))?;
295    let min_notional_values = cols
296        .get(15)
297        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 15))?;
298    let max_price_values = cols
299        .get(16)
300        .ok_or_else(|| EncodingError::MissingColumn("max_price", 16))?;
301    let min_price_values = cols
302        .get(17)
303        .ok_or_else(|| EncodingError::MissingColumn("min_price", 17))?;
304    let margin_init_values =
305        extract_column::<StringArray>(cols, "margin_init", 18, DataType::Utf8)?;
306    let margin_maint_values =
307        extract_column::<StringArray>(cols, "margin_maint", 19, DataType::Utf8)?;
308    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 20, DataType::Utf8)?;
309    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 21, DataType::Utf8)?;
310    let info_values = cols
311        .get(22)
312        .ok_or_else(|| EncodingError::MissingColumn("info", 22))?;
313    let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 23, DataType::UInt64)?;
314    let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 24, DataType::UInt64)?;
315
316    let mut result = Vec::with_capacity(num_rows);
317
318    for i in 0..num_rows {
319        let id = InstrumentId::from_str(id_values.value(i))
320            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
321        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
322        let asset_class = AssetClass::from_str(asset_class_values.value(i))
323            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
324        let base_currency = super::decode_currency(
325            base_currency_values.value(i),
326            "base_currency",
327            "tokenized_asset.base_currency",
328            i,
329        )?;
330        let quote_currency = super::decode_currency(
331            quote_currency_values.value(i),
332            "quote_currency",
333            "tokenized_asset.quote_currency",
334            i,
335        )?;
336
337        let isin = if isin_values.is_null(i) {
338            None
339        } else {
340            let isin_str = isin_values
341                .as_any()
342                .downcast_ref::<StringArray>()
343                .ok_or_else(|| EncodingError::ParseError("isin", format!("row {i}: invalid type")))?
344                .value(i);
345            Some(Ustr::from(isin_str))
346        };
347
348        let price_prec = price_precision_values.value(i);
349        let size_prec = size_precision_values.value(i);
350
351        let price_increment = Price::from_str(price_increment_values.value(i))
352            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
353        let size_increment = Quantity::from_str(size_increment_values.value(i))
354            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
355        let multiplier = Quantity::from_str(multiplier_values.value(i))
356            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
357
358        let lot_size = if lot_size_values.is_null(i) {
359            None
360        } else {
361            let lot_size_str = lot_size_values
362                .as_any()
363                .downcast_ref::<StringArray>()
364                .ok_or_else(|| {
365                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
366                })?
367                .value(i);
368            Some(
369                Quantity::from_str(lot_size_str)
370                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
371            )
372        };
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 = nautilus_core::UnixNanos::from(ts_event_values.value(i));
501        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
502
503        let tokenized_asset = TokenizedAsset::new(
504            id,
505            raw_symbol,
506            asset_class,
507            base_currency,
508            quote_currency,
509            isin,
510            price_prec,
511            size_prec,
512            price_increment,
513            size_increment,
514            Some(multiplier),
515            lot_size,
516            max_quantity,
517            min_quantity,
518            max_notional,
519            min_notional,
520            max_price,
521            min_price,
522            Some(margin_init),
523            Some(margin_maint),
524            Some(maker_fee),
525            Some(taker_fee),
526            info,
527            ts_event,
528            ts_init,
529        );
530
531        result.push(tokenized_asset);
532    }
533
534    Ok(result)
535}
nautilus_serialization/arrow/instrument/tokenized_asset.rs

nautilus_serialization/arrow/instrument/
tokenized_asset.rs
