nautilus_serialization/arrow/
report.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
16use std::collections::HashMap;
17
18use arrow::{datatypes::Schema, error::ArrowError, record_batch::RecordBatch};
19use nautilus_model::reports::{
20    ExecutionMassStatus, FillReport, OrderStatusReport, PositionStatusReport,
21};
22
23use super::{
24    ArrowSchemaProvider, DecodeTypedFromRecordBatch, EncodeToRecordBatch, EncodingError,
25    KEY_INSTRUMENT_ID,
26    json::{JsonFieldSpec, decode_batch, encode_batch, metadata_for_type, schema_for_type},
27};
28
29const ORDER_STATUS_REPORT_FIELDS: &[JsonFieldSpec] = &[
30    JsonFieldSpec::utf8("account_id", false),
31    JsonFieldSpec::utf8("instrument_id", false),
32    JsonFieldSpec::utf8("client_order_id", true),
33    JsonFieldSpec::utf8("venue_order_id", false),
34    JsonFieldSpec::utf8("order_side", false),
35    JsonFieldSpec::utf8("order_type", false),
36    JsonFieldSpec::utf8("time_in_force", false),
37    JsonFieldSpec::utf8("order_status", false),
38    JsonFieldSpec::utf8("quantity", false),
39    JsonFieldSpec::utf8("filled_qty", false),
40    JsonFieldSpec::utf8("report_id", false),
41    JsonFieldSpec::u64("ts_accepted", false),
42    JsonFieldSpec::u64("ts_last", false),
43    JsonFieldSpec::u64("ts_init", false),
44    JsonFieldSpec::utf8("order_list_id", true),
45    JsonFieldSpec::utf8("venue_position_id", true),
46    JsonFieldSpec::utf8_json("linked_order_ids", true),
47    JsonFieldSpec::utf8("parent_order_id", true),
48    JsonFieldSpec::utf8("contingency_type", false),
49    JsonFieldSpec::u64("expire_time", true),
50    JsonFieldSpec::utf8("price", true),
51    JsonFieldSpec::utf8("trigger_price", true),
52    JsonFieldSpec::utf8("trigger_type", true),
53    JsonFieldSpec::utf8("limit_offset", true),
54    JsonFieldSpec::utf8("trailing_offset", true),
55    JsonFieldSpec::utf8("trailing_offset_type", false),
56    JsonFieldSpec::utf8("avg_px", true),
57    JsonFieldSpec::utf8("display_qty", true),
58    JsonFieldSpec::boolean("post_only", false),
59    JsonFieldSpec::boolean("reduce_only", false),
60    JsonFieldSpec::utf8("cancel_reason", true),
61    JsonFieldSpec::u64("ts_triggered", true),
62];
63
64const FILL_REPORT_FIELDS: &[JsonFieldSpec] = &[
65    JsonFieldSpec::utf8("account_id", false),
66    JsonFieldSpec::utf8("instrument_id", false),
67    JsonFieldSpec::utf8("venue_order_id", false),
68    JsonFieldSpec::utf8("trade_id", false),
69    JsonFieldSpec::utf8("order_side", false),
70    JsonFieldSpec::utf8("last_qty", false),
71    JsonFieldSpec::utf8("last_px", false),
72    JsonFieldSpec::utf8("commission", false),
73    JsonFieldSpec::utf8("liquidity_side", false),
74    JsonFieldSpec::utf8("report_id", false),
75    JsonFieldSpec::u64("ts_event", false),
76    JsonFieldSpec::u64("ts_init", false),
77    JsonFieldSpec::utf8("client_order_id", true),
78    JsonFieldSpec::utf8("venue_position_id", true),
79];
80
81const POSITION_STATUS_REPORT_FIELDS: &[JsonFieldSpec] = &[
82    JsonFieldSpec::utf8("account_id", false),
83    JsonFieldSpec::utf8("instrument_id", false),
84    JsonFieldSpec::utf8("position_side", false),
85    JsonFieldSpec::utf8("quantity", false),
86    JsonFieldSpec::utf8("signed_decimal_qty", false),
87    JsonFieldSpec::utf8("report_id", false),
88    JsonFieldSpec::u64("ts_last", false),
89    JsonFieldSpec::u64("ts_init", false),
90    JsonFieldSpec::utf8("venue_position_id", true),
91    JsonFieldSpec::utf8("avg_px_open", true),
92];
93
94const EXECUTION_MASS_STATUS_FIELDS: &[JsonFieldSpec] = &[
95    JsonFieldSpec::utf8("client_id", false),
96    JsonFieldSpec::utf8("account_id", false),
97    JsonFieldSpec::utf8("venue", false),
98    JsonFieldSpec::utf8("report_id", false),
99    JsonFieldSpec::u64("ts_init", false),
100    JsonFieldSpec::utf8_json("order_reports", false),
101    JsonFieldSpec::utf8_json("fill_reports", false),
102    JsonFieldSpec::utf8_json("position_reports", false),
103];
104
105fn instrument_metadata(type_name: &'static str, instrument_id: &str) -> HashMap<String, String> {
106    let mut metadata = metadata_for_type(type_name);
107    metadata.insert(KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string());
108    metadata
109}
110
111macro_rules! impl_report_arrow {
112    ($type:ty, $type_name:expr, $fields:expr) => {
113        impl ArrowSchemaProvider for $type {
114            fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
115                schema_for_type($type_name, metadata, $fields)
116            }
117        }
118
119        impl EncodeToRecordBatch for $type {
120            fn encode_batch(
121                metadata: &HashMap<String, String>,
122                data: &[Self],
123            ) -> Result<RecordBatch, ArrowError> {
124                encode_batch($type_name, metadata, data, $fields)
125            }
126
127            fn metadata(&self) -> HashMap<String, String> {
128                instrument_metadata($type_name, &self.instrument_id.to_string())
129            }
130        }
131
132        impl DecodeTypedFromRecordBatch for $type {
133            fn decode_typed_batch(
134                metadata: &HashMap<String, String>,
135                record_batch: RecordBatch,
136            ) -> Result<Vec<Self>, EncodingError> {
137                decode_batch(metadata, &record_batch, $fields, Some($type_name))
138            }
139        }
140    };
141}
142
143impl_report_arrow!(
144    OrderStatusReport,
145    "OrderStatusReport",
146    ORDER_STATUS_REPORT_FIELDS
147);
148impl_report_arrow!(FillReport, "FillReport", FILL_REPORT_FIELDS);
149impl_report_arrow!(
150    PositionStatusReport,
151    "PositionStatusReport",
152    POSITION_STATUS_REPORT_FIELDS
153);
154
155impl ArrowSchemaProvider for ExecutionMassStatus {
156    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
157        schema_for_type(
158            "ExecutionMassStatus",
159            metadata,
160            EXECUTION_MASS_STATUS_FIELDS,
161        )
162    }
163}
164
165impl EncodeToRecordBatch for ExecutionMassStatus {
166    fn encode_batch(
167        metadata: &HashMap<String, String>,
168        data: &[Self],
169    ) -> Result<RecordBatch, ArrowError> {
170        encode_batch(
171            "ExecutionMassStatus",
172            metadata,
173            data,
174            EXECUTION_MASS_STATUS_FIELDS,
175        )
176    }
177
178    fn metadata(&self) -> HashMap<String, String> {
179        metadata_for_type("ExecutionMassStatus")
180    }
181}
182
183impl DecodeTypedFromRecordBatch for ExecutionMassStatus {
184    fn decode_typed_batch(
185        metadata: &HashMap<String, String>,
186        record_batch: RecordBatch,
187    ) -> Result<Vec<Self>, EncodingError> {
188        decode_batch(
189            metadata,
190            &record_batch,
191            EXECUTION_MASS_STATUS_FIELDS,
192            Some("ExecutionMassStatus"),
193        )
194    }
195}
196
197#[cfg(test)]
198mod tests {
199    use std::str::FromStr;
200
201    use nautilus_core::{UUID4, UnixNanos};
202    use nautilus_model::{
203        enums::{OrderSide, OrderStatus, OrderType, PositionSideSpecified, TimeInForce},
204        identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, VenueOrderId},
205        reports::{OrderStatusReport, PositionStatusReport},
206        types::Quantity,
207    };
208    use rstest::rstest;
209    use rust_decimal::Decimal;
210
211    use super::*;
212
213    #[rstest]
214    fn test_order_status_report_round_trip() {
215        let report = OrderStatusReport::new(
216            AccountId::from("SIM-001"),
217            InstrumentId::from("AUDUSD.SIM"),
218            Some(ClientOrderId::from("O-19700101-000000-001-001-1")),
219            VenueOrderId::from("1"),
220            OrderSide::Buy,
221            OrderType::Limit,
222            TimeInForce::Gtc,
223            OrderStatus::Accepted,
224            Quantity::from("100"),
225            Quantity::from("25"),
226            UnixNanos::from(1_000_000_000),
227            UnixNanos::from(2_000_000_000),
228            UnixNanos::from(3_000_000_000),
229            None,
230        )
231        .with_linked_order_ids([ClientOrderId::from("O-19700101-000000-001-001-2")]);
232        let report = OrderStatusReport {
233            limit_offset: Some(Decimal::from_str("0.123456789123456789").unwrap()),
234            trailing_offset: Some(Decimal::from_str("0.987654321987654321").unwrap()),
235            avg_px: Some(Decimal::from_str("1.23456789123456789").unwrap()),
236            ..report
237        };
238
239        let metadata = report.metadata();
240        let batch =
241            OrderStatusReport::encode_batch(&metadata, std::slice::from_ref(&report)).unwrap();
242        let decoded =
243            OrderStatusReport::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
244
245        assert_eq!(decoded, vec![report]);
246    }
247
248    #[rstest]
249    fn test_position_status_report_round_trip_preserves_decimal_precision() {
250        let report = PositionStatusReport {
251            account_id: AccountId::from("SIM-001"),
252            instrument_id: InstrumentId::from("AUDUSD.SIM"),
253            position_side: PositionSideSpecified::Long,
254            quantity: Quantity::from("100.25"),
255            signed_decimal_qty: Decimal::from_str("100.250000000123456789").unwrap(),
256            report_id: UUID4::default(),
257            ts_last: UnixNanos::from(1_000_000_000),
258            ts_init: UnixNanos::from(2_000_000_000),
259            venue_position_id: Some(PositionId::from("P-001")),
260            avg_px_open: Some(Decimal::from_str("1.23456789123456789").unwrap()),
261        };
262        let metadata = report.metadata();
263        let batch =
264            PositionStatusReport::encode_batch(&metadata, std::slice::from_ref(&report)).unwrap();
265        let decoded =
266            PositionStatusReport::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
267
268        assert_eq!(decoded, vec![report]);
269    }
270}
nautilus_serialization/arrow/report.rs

nautilus_serialization/arrow/
report.rs
