nautilus_serialization/arrow/
snapshot.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::events::{OrderSnapshot, PositionSnapshot};
20
21use super::{
22    ArrowSchemaProvider, DecodeTypedFromRecordBatch, EncodeToRecordBatch, EncodingError,
23    KEY_INSTRUMENT_ID,
24    json::{JsonFieldSpec, decode_batch, encode_batch, metadata_for_type, schema_for_type},
25};
26
27const ORDER_SNAPSHOT_FIELDS: &[JsonFieldSpec] = &[
28    JsonFieldSpec::utf8("trader_id", false),
29    JsonFieldSpec::utf8("strategy_id", false),
30    JsonFieldSpec::utf8("instrument_id", false),
31    JsonFieldSpec::utf8("client_order_id", false),
32    JsonFieldSpec::utf8("venue_order_id", true),
33    JsonFieldSpec::utf8("position_id", true),
34    JsonFieldSpec::utf8("account_id", true),
35    JsonFieldSpec::utf8("last_trade_id", true),
36    JsonFieldSpec::utf8("order_type", false),
37    JsonFieldSpec::utf8("order_side", false),
38    JsonFieldSpec::utf8("quantity", false),
39    JsonFieldSpec::utf8("price", true),
40    JsonFieldSpec::utf8("trigger_price", true),
41    JsonFieldSpec::utf8("trigger_type", true),
42    JsonFieldSpec::utf8("limit_offset", true),
43    JsonFieldSpec::utf8("trailing_offset", true),
44    JsonFieldSpec::utf8("trailing_offset_type", true),
45    JsonFieldSpec::utf8("time_in_force", false),
46    JsonFieldSpec::u64("expire_time", true),
47    JsonFieldSpec::utf8("filled_qty", false),
48    JsonFieldSpec::utf8("liquidity_side", true),
49    JsonFieldSpec::decimal_str("avg_px", true),
50    JsonFieldSpec::decimal_str("slippage", true),
51    JsonFieldSpec::utf8_json("commissions", false),
52    JsonFieldSpec::utf8("status", false),
53    JsonFieldSpec::boolean("is_post_only", false),
54    JsonFieldSpec::boolean("is_reduce_only", false),
55    JsonFieldSpec::boolean("is_quote_quantity", false),
56    JsonFieldSpec::utf8("display_qty", true),
57    JsonFieldSpec::utf8("emulation_trigger", true),
58    JsonFieldSpec::utf8("trigger_instrument_id", true),
59    JsonFieldSpec::utf8("contingency_type", true),
60    JsonFieldSpec::utf8("order_list_id", true),
61    JsonFieldSpec::utf8_json("linked_order_ids", true),
62    JsonFieldSpec::utf8("parent_order_id", true),
63    JsonFieldSpec::utf8("exec_algorithm_id", true),
64    JsonFieldSpec::utf8_json("exec_algorithm_params", true),
65    JsonFieldSpec::utf8("exec_spawn_id", true),
66    JsonFieldSpec::utf8_json("tags", true),
67    JsonFieldSpec::utf8("init_id", false),
68    JsonFieldSpec::u64("ts_init", false),
69    JsonFieldSpec::u64("ts_last", false),
70    // Appended (not inserted) so older batches without this column fail with a clean
71    // `MissingColumn` error rather than silently reading a shifted column.
72    JsonFieldSpec::utf8("activation_price", true),
73];
74
75const POSITION_SNAPSHOT_FIELDS: &[JsonFieldSpec] = &[
76    JsonFieldSpec::utf8("trader_id", false),
77    JsonFieldSpec::utf8("strategy_id", false),
78    JsonFieldSpec::utf8("instrument_id", false),
79    JsonFieldSpec::utf8("position_id", false),
80    JsonFieldSpec::utf8("account_id", false),
81    JsonFieldSpec::utf8("opening_order_id", false),
82    JsonFieldSpec::utf8("closing_order_id", true),
83    JsonFieldSpec::utf8("entry", false),
84    JsonFieldSpec::utf8("side", false),
85    JsonFieldSpec::f64("signed_qty", false),
86    JsonFieldSpec::utf8("quantity", false),
87    JsonFieldSpec::utf8("peak_qty", false),
88    JsonFieldSpec::utf8("quote_currency", false),
89    JsonFieldSpec::utf8("base_currency", true),
90    JsonFieldSpec::utf8("settlement_currency", false),
91    JsonFieldSpec::f64("avg_px_open", false),
92    JsonFieldSpec::f64("avg_px_close", true),
93    JsonFieldSpec::f64("realized_return", true),
94    JsonFieldSpec::utf8("realized_pnl", true),
95    JsonFieldSpec::utf8("unrealized_pnl", true),
96    JsonFieldSpec::utf8_json("commissions", false),
97    JsonFieldSpec::u64("duration_ns", true),
98    JsonFieldSpec::u64("ts_opened", false),
99    JsonFieldSpec::u64("ts_closed", true),
100    JsonFieldSpec::u64("ts_init", false),
101    JsonFieldSpec::u64("ts_last", false),
102    JsonFieldSpec::utf8_json("replay_state", true),
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_snapshot_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_snapshot_arrow!(OrderSnapshot, "OrderSnapshot", ORDER_SNAPSHOT_FIELDS);
144impl_snapshot_arrow!(
145    PositionSnapshot,
146    "PositionSnapshot",
147    POSITION_SNAPSHOT_FIELDS
148);
149
150#[cfg(test)]
151mod tests {
152    use std::str::FromStr;
153
154    use arrow::datatypes::DataType;
155    use nautilus_core::UnixNanos;
156    use nautilus_model::{
157        enums::{OrderSide, OrderType, PositionSide, TrailingOffsetType},
158        identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TraderId},
159        orders::OrderTestBuilder,
160        types::{Currency, Money, Price, Quantity},
161    };
162    use rstest::rstest;
163    use rust_decimal::Decimal;
164    use rust_decimal_macros::dec;
165
166    use super::*;
167
168    #[rstest]
169    fn test_order_snapshot_round_trip_preserves_decimal_precision() {
170        let order = OrderTestBuilder::new(OrderType::TrailingStopLimit)
171            .instrument_id(InstrumentId::from("BTCUSDT.BINANCE"))
172            .side(OrderSide::Buy)
173            .price(Price::from("50000"))
174            .trigger_price(Price::from("50500"))
175            .limit_offset(Decimal::from_str("0.123456789123456789").unwrap())
176            .trailing_offset(Decimal::from_str("0.987654321987654321").unwrap())
177            .trailing_offset_type(TrailingOffsetType::Price)
178            .quantity(Quantity::from("0.5"))
179            .build();
180        let snapshot = OrderSnapshot::from(order);
181        let metadata = snapshot.metadata();
182        let batch =
183            OrderSnapshot::encode_batch(&metadata, std::slice::from_ref(&snapshot)).unwrap();
184        let decoded = OrderSnapshot::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
185
186        assert_eq!(decoded, vec![snapshot]);
187    }
188
189    fn make_order_snapshot(avg_px: Option<Decimal>, slippage: Option<Decimal>) -> OrderSnapshot {
190        let order = OrderTestBuilder::new(OrderType::Limit)
191            .instrument_id(InstrumentId::from("BTCUSDT.BINANCE"))
192            .side(OrderSide::Buy)
193            .price(Price::from("50000"))
194            .quantity(Quantity::from("0.5"))
195            .build();
196        let mut snapshot = OrderSnapshot::from(order);
197        snapshot.avg_px = avg_px;
198        snapshot.slippage = slippage;
199        snapshot
200    }
201
202    // The catalog spec before `avg_px` and `slippage` became exact
203    fn legacy_float64_fields() -> Vec<JsonFieldSpec> {
204        ORDER_SNAPSHOT_FIELDS
205            .iter()
206            .map(|spec| match spec.name {
207                "avg_px" | "slippage" => JsonFieldSpec::f64(spec.name, spec.nullable),
208                _ => *spec,
209            })
210            .collect()
211    }
212
213    #[rstest]
214    fn test_order_snapshot_round_trip_preserves_exact_avg_px_and_slippage() {
215        // A quotient at full `Decimal` scale, which is the precision the `Float64` column could
216        // not hold.
217        let snapshot = make_order_snapshot(
218            Some(Decimal::from_str("1.6666666666666666666666666667").unwrap()),
219            Some(Decimal::from_str("0.0000000000000000000000000001").unwrap()),
220        );
221        let metadata = snapshot.metadata();
222        let batch =
223            OrderSnapshot::encode_batch(&metadata, std::slice::from_ref(&snapshot)).unwrap();
224
225        let avg_px_field = batch.schema().field_with_name("avg_px").unwrap().clone();
226        let slippage_field = batch.schema().field_with_name("slippage").unwrap().clone();
227        let decoded = OrderSnapshot::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
228
229        assert_eq!(avg_px_field.data_type(), &DataType::Utf8);
230        assert_eq!(slippage_field.data_type(), &DataType::Utf8);
231        assert_eq!(decoded, vec![snapshot]);
232    }
233
234    #[rstest]
235    fn test_order_snapshot_round_trip_null_avg_px_and_slippage() {
236        let snapshot = make_order_snapshot(None, None);
237        let metadata = snapshot.metadata();
238        let batch =
239            OrderSnapshot::encode_batch(&metadata, std::slice::from_ref(&snapshot)).unwrap();
240        let decoded = OrderSnapshot::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
241
242        assert_eq!(decoded, vec![snapshot]);
243    }
244
245    #[rstest]
246    fn test_order_snapshot_decodes_legacy_float64_columns() {
247        // A catalog file written while the fields were `f64`: the columns are `Float64`, not
248        // `Utf8`, and must still decode to the same economic state without a version marker.
249        let snapshot = make_order_snapshot(Some(dec!(1.07)), Some(dec!(0.07)));
250        let metadata = snapshot.metadata();
251        let legacy_batch = encode_batch(
252            "OrderSnapshot",
253            &metadata,
254            std::slice::from_ref(&snapshot),
255            &legacy_float64_fields(),
256        )
257        .unwrap();
258
259        assert_eq!(
260            legacy_batch
261                .schema()
262                .field_with_name("avg_px")
263                .unwrap()
264                .data_type(),
265            &DataType::Float64
266        );
267
268        let decoded =
269            OrderSnapshot::decode_typed_batch(legacy_batch.schema().metadata(), legacy_batch)
270                .unwrap();
271
272        assert_eq!(decoded, vec![snapshot]);
273    }
274
275    #[rstest]
276    fn test_order_snapshot_decodes_legacy_float64_null_columns() {
277        let snapshot = make_order_snapshot(None, None);
278        let metadata = snapshot.metadata();
279        let legacy_batch = encode_batch(
280            "OrderSnapshot",
281            &metadata,
282            std::slice::from_ref(&snapshot),
283            &legacy_float64_fields(),
284        )
285        .unwrap();
286        let decoded =
287            OrderSnapshot::decode_typed_batch(legacy_batch.schema().metadata(), legacy_batch)
288                .unwrap();
289
290        assert_eq!(decoded, vec![snapshot]);
291    }
292
293    fn make_position_snapshot() -> PositionSnapshot {
294        PositionSnapshot {
295            trader_id: TraderId::from("TRADER-001"),
296            strategy_id: StrategyId::from("EMA-CROSS"),
297            instrument_id: InstrumentId::from("EURUSD.SIM"),
298            position_id: PositionId::from("P-001"),
299            account_id: AccountId::from("SIM-001"),
300            opening_order_id: ClientOrderId::from("O-1"),
301            closing_order_id: Some(ClientOrderId::from("O-2")),
302            entry: OrderSide::Buy,
303            side: PositionSide::Long,
304            signed_qty: 100.0,
305            quantity: Quantity::from("100"),
306            peak_qty: Quantity::from("100"),
307            quote_currency: Currency::USD(),
308            base_currency: Some(Currency::EUR()),
309            settlement_currency: Currency::USD(),
310            avg_px_open: 1.0500,
311            avg_px_close: Some(1.0600),
312            realized_return: Some(0.0095),
313            realized_pnl: Some(Money::new(100.0, Currency::USD())),
314            unrealized_pnl: Some(Money::new(50.0, Currency::USD())),
315            commissions: vec![Money::new(2.0, Currency::USD())],
316            duration_ns: Some(3_600_000_000_000),
317            ts_opened: UnixNanos::from(1_000_000_000),
318            ts_closed: Some(UnixNanos::from(4_600_000_000)),
319            ts_init: UnixNanos::from(2_000_000_000),
320            ts_last: UnixNanos::from(4_600_000_000),
321            replay_state: None,
322        }
323    }
324
325    #[rstest]
326    fn test_position_snapshot_round_trip() {
327        let mut snapshot = make_position_snapshot();
328        snapshot.replay_state = Some(serde_json::json!({"fill_voids": []}));
329        let metadata = snapshot.metadata();
330        let batch =
331            PositionSnapshot::encode_batch(&metadata, std::slice::from_ref(&snapshot)).unwrap();
332        let decoded =
333            PositionSnapshot::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
334
335        assert_eq!(decoded, vec![snapshot]);
336    }
337
338    #[rstest]
339    fn test_position_snapshot_round_trip_null_optionals() {
340        let mut snapshot = make_position_snapshot();
341        snapshot.closing_order_id = None;
342        snapshot.base_currency = None;
343        snapshot.avg_px_close = None;
344        snapshot.realized_return = None;
345        snapshot.realized_pnl = None;
346        snapshot.unrealized_pnl = None;
347        snapshot.duration_ns = None;
348        snapshot.ts_closed = None;
349
350        let metadata = snapshot.metadata();
351        let batch =
352            PositionSnapshot::encode_batch(&metadata, std::slice::from_ref(&snapshot)).unwrap();
353        let decoded =
354            PositionSnapshot::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
355
356        assert_eq!(decoded, vec![snapshot]);
357    }
358}
nautilus_serialization/arrow/snapshot.rs

nautilus_serialization/arrow/
snapshot.rs
