nautilus_serialization/arrow/instrument/
cfd.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 Cfd 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, UnixNanos};
27use nautilus_model::{
28    enums::AssetClass,
29    identifiers::{InstrumentId, Symbol},
30    instruments::cfd::Cfd,
31    types::{money::Money, price::Price, quantity::Quantity},
32};
33use rust_decimal::Decimal;
34
35use super::KEY_CLASS;
36use crate::arrow::{
37    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
38    KEY_PRICE_PRECISION, extract_column, extract_column_by_name_or_index,
39    extract_optional_string_column_by_name, json_string_field, optional_ustr_value,
40    record_batch_with_timestamps, record_batch_with_u64_timestamps, timestamp_data_type,
41};
42
43impl ArrowSchemaProvider for Cfd {
44    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
45        let fields = vec![
46            Field::new("id", DataType::Utf8, false),
47            Field::new("raw_symbol", DataType::Utf8, false),
48            Field::new("asset_class", DataType::Utf8, false),
49            Field::new("base_currency", DataType::Utf8, true), // nullable
50            Field::new("quote_currency", DataType::Utf8, false),
51            Field::new("price_precision", DataType::UInt8, false),
52            Field::new("size_precision", DataType::UInt8, false),
53            Field::new("price_increment", DataType::Utf8, false),
54            Field::new("size_increment", DataType::Utf8, false),
55            Field::new("lot_size", DataType::Utf8, true), // nullable
56            Field::new("max_quantity", DataType::Utf8, true), // nullable
57            Field::new("min_quantity", DataType::Utf8, true), // nullable
58            Field::new("max_notional", DataType::Utf8, true), // nullable
59            Field::new("min_notional", DataType::Utf8, true), // nullable
60            Field::new("max_price", DataType::Utf8, true), // nullable
61            Field::new("min_price", DataType::Utf8, true), // nullable
62            Field::new("margin_init", DataType::Utf8, false),
63            Field::new("margin_maint", DataType::Utf8, false),
64            Field::new("maker_fee", DataType::Utf8, false),
65            Field::new("taker_fee", DataType::Utf8, false),
66            Field::new("tick_scheme", DataType::Utf8, true),
67            json_string_field("info", true),
68            Field::new("ts_event", timestamp_data_type(), false),
69            Field::new("ts_init", timestamp_data_type(), false),
70        ];
71
72        let mut final_metadata = HashMap::new();
73        final_metadata.insert(KEY_CLASS.to_string(), "Cfd".to_string());
74
75        if let Some(meta) = metadata {
76            final_metadata.extend(meta);
77        }
78
79        Schema::new_with_metadata(fields, final_metadata)
80    }
81}
82
83impl EncodeToRecordBatch for Cfd {
84    fn encode_batch<T>(
85        #[allow(unused)] metadata: &HashMap<String, String>,
86        data: &[T],
87    ) -> Result<RecordBatch, ArrowError>
88    where
89        T: std::borrow::Borrow<Self>,
90    {
91        let mut id_builder = StringBuilder::new();
92        let mut raw_symbol_builder = StringBuilder::new();
93        let mut asset_class_builder = StringBuilder::new();
94        let mut base_currency_builder = StringBuilder::new();
95        let mut quote_currency_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 lot_size_builder = StringBuilder::new();
101        let mut max_quantity_builder = StringBuilder::new();
102        let mut min_quantity_builder = StringBuilder::new();
103        let mut max_notional_builder = StringBuilder::new();
104        let mut min_notional_builder = StringBuilder::new();
105        let mut max_price_builder = StringBuilder::new();
106        let mut min_price_builder = StringBuilder::new();
107        let mut margin_init_builder = StringBuilder::new();
108        let mut margin_maint_builder = StringBuilder::new();
109        let mut maker_fee_builder = StringBuilder::new();
110        let mut taker_fee_builder = StringBuilder::new();
111        let mut tick_scheme_builder = StringBuilder::new();
112        let mut info_builder = StringBuilder::new();
113        let mut ts_event_builder = UInt64Array::builder(data.len());
114        let mut ts_init_builder = UInt64Array::builder(data.len());
115
116        for cfd in data.iter().map(Borrow::borrow) {
117            id_builder.append_value(cfd.id.to_string());
118            raw_symbol_builder.append_value(cfd.raw_symbol);
119            asset_class_builder.append_value(cfd.asset_class);
120
121            if let Some(base_cur) = cfd.base_currency {
122                base_currency_builder.append_value(base_cur.to_string());
123            } else {
124                base_currency_builder.append_null();
125            }
126
127            quote_currency_builder.append_value(cfd.quote_currency.to_string());
128            price_precision_builder.append_value(cfd.price_precision);
129            size_precision_builder.append_value(cfd.size_precision);
130            price_increment_builder.append_value(cfd.price_increment.to_string());
131            size_increment_builder.append_value(cfd.size_increment.to_string());
132
133            if let Some(lot_size) = cfd.lot_size {
134                lot_size_builder.append_value(lot_size.to_string());
135            } else {
136                lot_size_builder.append_null();
137            }
138
139            if let Some(max_qty) = cfd.max_quantity {
140                max_quantity_builder.append_value(max_qty.to_string());
141            } else {
142                max_quantity_builder.append_null();
143            }
144
145            if let Some(min_qty) = cfd.min_quantity {
146                min_quantity_builder.append_value(min_qty.to_string());
147            } else {
148                min_quantity_builder.append_null();
149            }
150
151            if let Some(max_not) = cfd.max_notional {
152                max_notional_builder.append_value(max_not.to_string());
153            } else {
154                max_notional_builder.append_null();
155            }
156
157            if let Some(min_not) = cfd.min_notional {
158                min_notional_builder.append_value(min_not.to_string());
159            } else {
160                min_notional_builder.append_null();
161            }
162
163            if let Some(max_p) = cfd.max_price {
164                max_price_builder.append_value(max_p.to_string());
165            } else {
166                max_price_builder.append_null();
167            }
168
169            if let Some(min_p) = cfd.min_price {
170                min_price_builder.append_value(min_p.to_string());
171            } else {
172                min_price_builder.append_null();
173            }
174
175            margin_init_builder.append_value(cfd.margin_init.to_string());
176            margin_maint_builder.append_value(cfd.margin_maint.to_string());
177            maker_fee_builder.append_value(cfd.maker_fee.to_string());
178            taker_fee_builder.append_value(cfd.taker_fee.to_string());
179
180            if let Some(tick_scheme) = cfd.tick_scheme {
181                tick_scheme_builder.append_value(tick_scheme);
182            } else {
183                tick_scheme_builder.append_null();
184            }
185
186            if let Some(ref info) = cfd.info {
187                match serde_json::to_string(info) {
188                    Ok(json) => {
189                        info_builder.append_value(json);
190                    }
191                    Err(e) => {
192                        return Err(ArrowError::InvalidArgumentError(format!(
193                            "Failed to serialize info dict to JSON: {e}"
194                        )));
195                    }
196                }
197            } else {
198                info_builder.append_null();
199            }
200
201            ts_event_builder.append_value(cfd.ts_event.as_u64());
202            ts_init_builder.append_value(cfd.ts_init.as_u64());
203        }
204
205        let mut final_metadata = metadata.clone();
206        final_metadata.insert(KEY_CLASS.to_string(), "Cfd".to_string());
207
208        record_batch_with_timestamps(
209            Self::get_schema(Some(final_metadata)).into(),
210            vec![
211                Arc::new(id_builder.finish()),
212                Arc::new(raw_symbol_builder.finish()),
213                Arc::new(asset_class_builder.finish()),
214                Arc::new(base_currency_builder.finish()),
215                Arc::new(quote_currency_builder.finish()),
216                Arc::new(price_precision_builder.finish()),
217                Arc::new(size_precision_builder.finish()),
218                Arc::new(price_increment_builder.finish()),
219                Arc::new(size_increment_builder.finish()),
220                Arc::new(lot_size_builder.finish()),
221                Arc::new(max_quantity_builder.finish()),
222                Arc::new(min_quantity_builder.finish()),
223                Arc::new(max_notional_builder.finish()),
224                Arc::new(min_notional_builder.finish()),
225                Arc::new(max_price_builder.finish()),
226                Arc::new(min_price_builder.finish()),
227                Arc::new(margin_init_builder.finish()),
228                Arc::new(margin_maint_builder.finish()),
229                Arc::new(maker_fee_builder.finish()),
230                Arc::new(taker_fee_builder.finish()),
231                Arc::new(tick_scheme_builder.finish()),
232                Arc::new(info_builder.finish()),
233                Arc::new(ts_event_builder.finish()),
234                Arc::new(ts_init_builder.finish()),
235            ],
236        )
237    }
238
239    fn metadata(&self) -> HashMap<String, String> {
240        let mut metadata = HashMap::new();
241        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
242        metadata.insert(
243            KEY_PRICE_PRECISION.to_string(),
244            self.price_precision.to_string(),
245        );
246        metadata
247    }
248}
249
250/// Decodes [`Cfd`] instruments from a record batch.
251///
252/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
253///
254/// # Errors
255///
256/// Returns an `EncodingError` if the record batch cannot be decoded.
257///
258/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
259pub fn decode_cfd_batch(
260    #[allow(unused)] metadata: &HashMap<String, String>,
261    record_batch: &RecordBatch,
262) -> Result<Vec<Cfd>, EncodingError> {
263    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
264    let record_batch = &record_batch;
265    let cols = record_batch.columns();
266    let num_rows = record_batch.num_rows();
267
268    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
269    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
270    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
271    let base_currency_values = cols
272        .get(3)
273        .ok_or_else(|| EncodingError::MissingColumn("base_currency", 3))?;
274    let quote_currency_values =
275        extract_column::<StringArray>(cols, "quote_currency", 4, DataType::Utf8)?;
276    let price_precision_values =
277        extract_column::<UInt8Array>(cols, "price_precision", 5, DataType::UInt8)?;
278    let size_precision_values =
279        extract_column::<UInt8Array>(cols, "size_precision", 6, DataType::UInt8)?;
280    let price_increment_values =
281        extract_column::<StringArray>(cols, "price_increment", 7, DataType::Utf8)?;
282    let size_increment_values =
283        extract_column::<StringArray>(cols, "size_increment", 8, DataType::Utf8)?;
284    let lot_size_values = cols
285        .get(9)
286        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 9))?;
287    let max_quantity_values = cols
288        .get(10)
289        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 10))?;
290    let min_quantity_values = cols
291        .get(11)
292        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 11))?;
293    let max_notional_values = cols
294        .get(12)
295        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 12))?;
296    let min_notional_values = cols
297        .get(13)
298        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 13))?;
299    let max_price_values = cols
300        .get(14)
301        .ok_or_else(|| EncodingError::MissingColumn("max_price", 14))?;
302    let min_price_values = cols
303        .get(15)
304        .ok_or_else(|| EncodingError::MissingColumn("min_price", 15))?;
305    let margin_init_values =
306        extract_column::<StringArray>(cols, "margin_init", 16, DataType::Utf8)?;
307    let margin_maint_values =
308        extract_column::<StringArray>(cols, "margin_maint", 17, DataType::Utf8)?;
309    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 18, DataType::Utf8)?;
310    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 19, DataType::Utf8)?;
311    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
312    let info_values =
313        extract_column_by_name_or_index::<StringArray>(record_batch, "info", 20, DataType::Utf8)?;
314    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
315        record_batch,
316        "ts_event",
317        21,
318        DataType::UInt64,
319    )?;
320    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
321        record_batch,
322        "ts_init",
323        22,
324        DataType::UInt64,
325    )?;
326
327    let mut result = Vec::with_capacity(num_rows);
328
329    for i in 0..num_rows {
330        let id = InstrumentId::from_str(id_values.value(i))
331            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
332        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
333        let asset_class = AssetClass::from_str(asset_class_values.value(i))
334            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
335
336        let base_currency = if base_currency_values.is_null(i) {
337            None
338        } else {
339            let base_cur_str = base_currency_values
340                .as_any()
341                .downcast_ref::<StringArray>()
342                .ok_or_else(|| {
343                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
344                })?
345                .value(i);
346            Some(super::decode_currency(
347                base_cur_str,
348                "base_currency",
349                "cfd.base_currency",
350                i,
351            )?)
352        };
353
354        let quote_currency = super::decode_currency(
355            quote_currency_values.value(i),
356            "quote_currency",
357            "cfd.quote_currency",
358            i,
359        )?;
360        let price_prec = price_precision_values.value(i);
361        let size_prec = size_precision_values.value(i);
362
363        let price_increment = Price::from_str(price_increment_values.value(i))
364            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
365        let size_increment = Quantity::from_str(size_increment_values.value(i))
366            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
367
368        let lot_size = if lot_size_values.is_null(i) {
369            None
370        } else {
371            let lot_size_str = lot_size_values
372                .as_any()
373                .downcast_ref::<StringArray>()
374                .ok_or_else(|| {
375                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
376                })?
377                .value(i);
378            Some(
379                Quantity::from_str(lot_size_str)
380                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
381            )
382        };
383
384        let max_quantity =
385            if max_quantity_values.is_null(i) {
386                None
387            } else {
388                let max_qty_str = max_quantity_values
389                    .as_any()
390                    .downcast_ref::<StringArray>()
391                    .ok_or_else(|| {
392                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
393                    })?
394                    .value(i);
395                Some(Quantity::from_str(max_qty_str).map_err(|e| {
396                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
397                })?)
398            };
399
400        let min_quantity =
401            if min_quantity_values.is_null(i) {
402                None
403            } else {
404                let min_qty_str = min_quantity_values
405                    .as_any()
406                    .downcast_ref::<StringArray>()
407                    .ok_or_else(|| {
408                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
409                    })?
410                    .value(i);
411                Some(Quantity::from_str(min_qty_str).map_err(|e| {
412                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
413                })?)
414            };
415
416        let max_notional =
417            if max_notional_values.is_null(i) {
418                None
419            } else {
420                let max_not_str = max_notional_values
421                    .as_any()
422                    .downcast_ref::<StringArray>()
423                    .ok_or_else(|| {
424                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
425                    })?
426                    .value(i);
427                Some(Money::from_str(max_not_str).map_err(|e| {
428                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
429                })?)
430            };
431
432        let min_notional =
433            if min_notional_values.is_null(i) {
434                None
435            } else {
436                let min_not_str = min_notional_values
437                    .as_any()
438                    .downcast_ref::<StringArray>()
439                    .ok_or_else(|| {
440                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
441                    })?
442                    .value(i);
443                Some(Money::from_str(min_not_str).map_err(|e| {
444                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
445                })?)
446            };
447
448        let max_price = if max_price_values.is_null(i) {
449            None
450        } else {
451            let max_p_str = max_price_values
452                .as_any()
453                .downcast_ref::<StringArray>()
454                .ok_or_else(|| {
455                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
456                })?
457                .value(i);
458            Some(
459                Price::from_str(max_p_str)
460                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
461            )
462        };
463
464        let min_price = if min_price_values.is_null(i) {
465            None
466        } else {
467            let min_p_str = min_price_values
468                .as_any()
469                .downcast_ref::<StringArray>()
470                .ok_or_else(|| {
471                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
472                })?
473                .value(i);
474            Some(
475                Price::from_str(min_p_str)
476                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
477            )
478        };
479
480        let margin_init = Decimal::from_str(margin_init_values.value(i))
481            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
482        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
483            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
484        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
485            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
486        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
487            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
488
489        let info = if info_values.is_null(i) {
490            None
491        } else {
492            let info_json = info_values
493                .as_any()
494                .downcast_ref::<StringArray>()
495                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
496                .value(i);
497
498            match serde_json::from_str::<Params>(info_json) {
499                Ok(info_dict) => Some(info_dict),
500                Err(e) => {
501                    return Err(EncodingError::ParseError(
502                        "info",
503                        format!("row {i}: failed to deserialize JSON: {e}"),
504                    ));
505                }
506            }
507        };
508
509        let ts_event = UnixNanos::from(ts_event_values.value(i));
510        let ts_init = UnixNanos::from(ts_init_values.value(i));
511
512        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
513
514        let cfd = Cfd::builder()
515            .instrument_id(id)
516            .raw_symbol(raw_symbol)
517            .asset_class(asset_class)
518            .maybe_base_currency(base_currency)
519            .quote_currency(quote_currency)
520            .price_precision(price_prec)
521            .size_precision(size_prec)
522            .price_increment(price_increment)
523            .size_increment(size_increment)
524            .maybe_lot_size(lot_size)
525            .maybe_max_quantity(max_quantity)
526            .maybe_min_quantity(min_quantity)
527            .maybe_max_notional(max_notional)
528            .maybe_min_notional(min_notional)
529            .maybe_max_price(max_price)
530            .maybe_min_price(min_price)
531            .margin_init(margin_init)
532            .margin_maint(margin_maint)
533            .maker_fee(maker_fee)
534            .taker_fee(taker_fee)
535            .maybe_tick_scheme(tick_scheme)
536            .maybe_info(info)
537            .ts_event(ts_event)
538            .ts_init(ts_init)
539            .build()
540            .map_err(|e| super::instrument_validation_error::<Cfd>(i, e))?;
541
542        result.push(cfd);
543    }
544
545    Ok(result)
546}
nautilus_serialization/arrow/instrument/cfd.rs

nautilus_serialization/arrow/instrument/
cfd.rs
