nautilus_serialization/arrow/instrument/
crypto_future.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 CryptoFuture instruments.
17
18use std::{borrow::Borrow, collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        Array, BooleanArray, BooleanBuilder, StringArray, StringBuilder, UInt8Array, UInt64Array,
23    },
24    datatypes::{DataType, Field, Schema},
25    error::ArrowError,
26    record_batch::RecordBatch,
27};
28use nautilus_core::Params;
29use nautilus_model::{
30    identifiers::{InstrumentId, Symbol},
31    instruments::crypto_future::CryptoFuture,
32    types::{money::Money, price::Price, quantity::Quantity},
33};
34use rust_decimal::Decimal;
35
36use super::KEY_CLASS;
37use crate::arrow::{
38    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
39    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name_or_index,
40    extract_optional_string_column_by_name, json_string_field, optional_ustr_value,
41    record_batch_with_timestamps, record_batch_with_u64_timestamps, timestamp_data_type,
42};
43
44impl ArrowSchemaProvider for CryptoFuture {
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("underlying", DataType::Utf8, false),
50            Field::new("quote_currency", DataType::Utf8, false),
51            Field::new("settlement_currency", DataType::Utf8, false),
52            Field::new("is_inverse", DataType::Boolean, false),
53            Field::new("activation_ns", timestamp_data_type(), false),
54            Field::new("expiration_ns", timestamp_data_type(), false),
55            Field::new("price_precision", DataType::UInt8, false),
56            Field::new("size_precision", DataType::UInt8, false),
57            Field::new("price_increment", DataType::Utf8, false),
58            Field::new("size_increment", DataType::Utf8, false),
59            Field::new("multiplier", DataType::Utf8, false),
60            Field::new("lot_size", DataType::Utf8, true),
61            Field::new("max_quantity", DataType::Utf8, true), // nullable
62            Field::new("min_quantity", DataType::Utf8, true), // nullable
63            Field::new("max_notional", DataType::Utf8, true), // nullable
64            Field::new("min_notional", DataType::Utf8, true), // nullable
65            Field::new("max_price", DataType::Utf8, true),    // nullable
66            Field::new("min_price", DataType::Utf8, true),    // nullable
67            Field::new("margin_init", DataType::Utf8, false),
68            Field::new("margin_maint", DataType::Utf8, false),
69            Field::new("maker_fee", DataType::Utf8, false),
70            Field::new("taker_fee", DataType::Utf8, false),
71            Field::new("tick_scheme", DataType::Utf8, true),
72            json_string_field("info", true),
73            Field::new("ts_event", timestamp_data_type(), false),
74            Field::new("ts_init", timestamp_data_type(), false),
75        ];
76
77        let mut final_metadata = HashMap::new();
78        final_metadata.insert(KEY_CLASS.to_string(), "CryptoFuture".to_string());
79
80        if let Some(meta) = metadata {
81            final_metadata.extend(meta);
82        }
83
84        Schema::new_with_metadata(fields, final_metadata)
85    }
86}
87
88impl EncodeToRecordBatch for CryptoFuture {
89    fn encode_batch<T>(
90        #[allow(unused)] metadata: &HashMap<String, String>,
91        data: &[T],
92    ) -> Result<RecordBatch, ArrowError>
93    where
94        T: std::borrow::Borrow<Self>,
95    {
96        let mut id_builder = StringBuilder::new();
97        let mut raw_symbol_builder = StringBuilder::new();
98        let mut underlying_builder = StringBuilder::new();
99        let mut quote_currency_builder = StringBuilder::new();
100        let mut settlement_currency_builder = StringBuilder::new();
101        let mut is_inverse_builder = BooleanBuilder::new();
102        let mut activation_ns_builder = UInt64Array::builder(data.len());
103        let mut expiration_ns_builder = UInt64Array::builder(data.len());
104        let mut price_precision_builder = UInt8Array::builder(data.len());
105        let mut size_precision_builder = UInt8Array::builder(data.len());
106        let mut price_increment_builder = StringBuilder::new();
107        let mut size_increment_builder = StringBuilder::new();
108        let mut multiplier_builder = StringBuilder::new();
109        let mut lot_size_builder = StringBuilder::new();
110        let mut max_quantity_builder = StringBuilder::new();
111        let mut min_quantity_builder = StringBuilder::new();
112        let mut max_notional_builder = StringBuilder::new();
113        let mut min_notional_builder = StringBuilder::new();
114        let mut max_price_builder = StringBuilder::new();
115        let mut min_price_builder = StringBuilder::new();
116        let mut margin_init_builder = StringBuilder::new();
117        let mut margin_maint_builder = StringBuilder::new();
118        let mut maker_fee_builder = StringBuilder::new();
119        let mut taker_fee_builder = StringBuilder::new();
120        let mut tick_scheme_builder = StringBuilder::new();
121        let mut info_builder = StringBuilder::new();
122        let mut ts_event_builder = UInt64Array::builder(data.len());
123        let mut ts_init_builder = UInt64Array::builder(data.len());
124
125        for cf in data.iter().map(Borrow::borrow) {
126            id_builder.append_value(cf.id.to_string());
127            raw_symbol_builder.append_value(cf.raw_symbol);
128            underlying_builder.append_value(cf.underlying.to_string());
129            quote_currency_builder.append_value(cf.quote_currency.to_string());
130            settlement_currency_builder.append_value(cf.settlement_currency.to_string());
131            is_inverse_builder.append_value(cf.is_inverse);
132            activation_ns_builder.append_value(cf.activation_ns.as_u64());
133            expiration_ns_builder.append_value(cf.expiration_ns.as_u64());
134            price_precision_builder.append_value(cf.price_precision);
135            size_precision_builder.append_value(cf.size_precision);
136            price_increment_builder.append_value(cf.price_increment.to_string());
137            size_increment_builder.append_value(cf.size_increment.to_string());
138            multiplier_builder.append_value(cf.multiplier.to_string());
139            lot_size_builder.append_value(cf.lot_size.to_string());
140
141            if let Some(max_qty) = cf.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) = cf.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) = cf.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) = cf.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) = cf.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) = cf.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(cf.margin_init.to_string());
178            margin_maint_builder.append_value(cf.margin_maint.to_string());
179            maker_fee_builder.append_value(cf.maker_fee.to_string());
180            taker_fee_builder.append_value(cf.taker_fee.to_string());
181
182            if let Some(tick_scheme) = cf.tick_scheme {
183                tick_scheme_builder.append_value(tick_scheme);
184            } else {
185                tick_scheme_builder.append_null();
186            }
187
188            if let Some(ref info) = cf.info {
189                match serde_json::to_string(info) {
190                    Ok(json) => {
191                        info_builder.append_value(json);
192                    }
193                    Err(e) => {
194                        return Err(ArrowError::InvalidArgumentError(format!(
195                            "Failed to serialize info dict to JSON: {e}"
196                        )));
197                    }
198                }
199            } else {
200                info_builder.append_null();
201            }
202
203            ts_event_builder.append_value(cf.ts_event.as_u64());
204            ts_init_builder.append_value(cf.ts_init.as_u64());
205        }
206
207        let mut final_metadata = metadata.clone();
208        final_metadata.insert(KEY_CLASS.to_string(), "CryptoFuture".to_string());
209
210        record_batch_with_timestamps(
211            Self::get_schema(Some(final_metadata)).into(),
212            vec![
213                Arc::new(id_builder.finish()),
214                Arc::new(raw_symbol_builder.finish()),
215                Arc::new(underlying_builder.finish()),
216                Arc::new(quote_currency_builder.finish()),
217                Arc::new(settlement_currency_builder.finish()),
218                Arc::new(is_inverse_builder.finish()),
219                Arc::new(activation_ns_builder.finish()),
220                Arc::new(expiration_ns_builder.finish()),
221                Arc::new(price_precision_builder.finish()),
222                Arc::new(size_precision_builder.finish()),
223                Arc::new(price_increment_builder.finish()),
224                Arc::new(size_increment_builder.finish()),
225                Arc::new(multiplier_builder.finish()),
226                Arc::new(lot_size_builder.finish()),
227                Arc::new(max_quantity_builder.finish()),
228                Arc::new(min_quantity_builder.finish()),
229                Arc::new(max_notional_builder.finish()),
230                Arc::new(min_notional_builder.finish()),
231                Arc::new(max_price_builder.finish()),
232                Arc::new(min_price_builder.finish()),
233                Arc::new(margin_init_builder.finish()),
234                Arc::new(margin_maint_builder.finish()),
235                Arc::new(maker_fee_builder.finish()),
236                Arc::new(taker_fee_builder.finish()),
237                Arc::new(tick_scheme_builder.finish()),
238                Arc::new(info_builder.finish()),
239                Arc::new(ts_event_builder.finish()),
240                Arc::new(ts_init_builder.finish()),
241            ],
242        )
243    }
244
245    fn metadata(&self) -> HashMap<String, String> {
246        let mut metadata = HashMap::new();
247        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
248        metadata.insert(
249            KEY_PRICE_PRECISION.to_string(),
250            self.price_precision.to_string(),
251        );
252        metadata.insert(
253            KEY_SIZE_PRECISION.to_string(),
254            self.size_precision.to_string(),
255        );
256        metadata
257    }
258}
259
260/// Decodes [`CryptoFuture`] instruments from a record batch.
261///
262/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
263///
264/// # Errors
265///
266/// Returns an `EncodingError` if the record batch cannot be decoded.
267///
268/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
269pub fn decode_crypto_future_batch(
270    #[allow(unused)] metadata: &HashMap<String, String>,
271    record_batch: &RecordBatch,
272) -> Result<Vec<CryptoFuture>, EncodingError> {
273    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
274    let record_batch = &record_batch;
275    let cols = record_batch.columns();
276    let num_rows = record_batch.num_rows();
277
278    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
279    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
280    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
281    let quote_currency_values =
282        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
283    let settlement_currency_values =
284        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
285    let is_inverse_values =
286        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
287    let activation_ns_values =
288        extract_column::<UInt64Array>(cols, "activation_ns", 6, DataType::UInt64)?;
289    let expiration_ns_values =
290        extract_column::<UInt64Array>(cols, "expiration_ns", 7, DataType::UInt64)?;
291    let price_precision_values =
292        extract_column::<UInt8Array>(cols, "price_precision", 8, DataType::UInt8)?;
293    let size_precision_values =
294        extract_column::<UInt8Array>(cols, "size_precision", 9, DataType::UInt8)?;
295    let price_increment_values =
296        extract_column::<StringArray>(cols, "price_increment", 10, DataType::Utf8)?;
297    let size_increment_values =
298        extract_column::<StringArray>(cols, "size_increment", 11, DataType::Utf8)?;
299    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 12, DataType::Utf8)?;
300    let lot_size_values = record_batch
301        .schema()
302        .index_of("lot_size")
303        .ok()
304        .map(|index| extract_column::<StringArray>(cols, "lot_size", index, DataType::Utf8))
305        .transpose()?;
306    let lot_size_offset = usize::from(lot_size_values.is_some());
307    let max_quantity_values = cols
308        .get(13 + lot_size_offset)
309        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 13 + lot_size_offset))?;
310    let min_quantity_values = cols
311        .get(14 + lot_size_offset)
312        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 14 + lot_size_offset))?;
313    let max_notional_values = cols
314        .get(15 + lot_size_offset)
315        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 15 + lot_size_offset))?;
316    let min_notional_values = cols
317        .get(16 + lot_size_offset)
318        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 16 + lot_size_offset))?;
319    let max_price_values = cols
320        .get(17 + lot_size_offset)
321        .ok_or_else(|| EncodingError::MissingColumn("max_price", 17 + lot_size_offset))?;
322    let min_price_values = cols
323        .get(18 + lot_size_offset)
324        .ok_or_else(|| EncodingError::MissingColumn("min_price", 18 + lot_size_offset))?;
325    let margin_init_values =
326        extract_column::<StringArray>(cols, "margin_init", 19 + lot_size_offset, DataType::Utf8)?;
327    let margin_maint_values =
328        extract_column::<StringArray>(cols, "margin_maint", 20 + lot_size_offset, DataType::Utf8)?;
329    let maker_fee_values =
330        extract_column::<StringArray>(cols, "maker_fee", 21 + lot_size_offset, DataType::Utf8)?;
331    let taker_fee_values =
332        extract_column::<StringArray>(cols, "taker_fee", 22 + lot_size_offset, DataType::Utf8)?;
333    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
334    let info_values = extract_column_by_name_or_index::<StringArray>(
335        record_batch,
336        "info",
337        23 + lot_size_offset,
338        DataType::Utf8,
339    )?;
340    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
341        record_batch,
342        "ts_event",
343        24 + lot_size_offset,
344        DataType::UInt64,
345    )?;
346    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
347        record_batch,
348        "ts_init",
349        25 + lot_size_offset,
350        DataType::UInt64,
351    )?;
352
353    let mut result = Vec::with_capacity(num_rows);
354
355    for i in 0..num_rows {
356        let id = InstrumentId::from_str(id_values.value(i))
357            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
358        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
359        let underlying = super::decode_currency(
360            underlying_values.value(i),
361            "underlying",
362            "crypto_future.underlying",
363            i,
364        )?;
365        let quote_currency = super::decode_currency(
366            quote_currency_values.value(i),
367            "quote_currency",
368            "crypto_future.quote_currency",
369            i,
370        )?;
371        let settlement_currency = super::decode_currency(
372            settlement_currency_values.value(i),
373            "settlement_currency",
374            "crypto_future.settlement_currency",
375            i,
376        )?;
377        let is_inverse = is_inverse_values.value(i);
378        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
379        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
380        let price_prec = price_precision_values.value(i);
381        let size_prec = size_precision_values.value(i);
382
383        let price_increment = Price::from_str(price_increment_values.value(i))
384            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
385        let size_increment = Quantity::from_str(size_increment_values.value(i))
386            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
387        let multiplier = Quantity::from_str(multiplier_values.value(i))
388            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
389        let lot_size =
390            if let Some(values) = lot_size_values {
391                if values.is_null(i) {
392                    None
393                } else {
394                    Some(Quantity::from_str(values.value(i)).map_err(|e| {
395                        EncodingError::ParseError("lot_size", format!("row {i}: {e}"))
396                    })?)
397                }
398            } else {
399                None
400            };
401
402        let max_quantity =
403            if max_quantity_values.is_null(i) {
404                None
405            } else {
406                let max_qty_str = max_quantity_values
407                    .as_any()
408                    .downcast_ref::<StringArray>()
409                    .ok_or_else(|| {
410                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
411                    })?
412                    .value(i);
413                Some(Quantity::from_str(max_qty_str).map_err(|e| {
414                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
415                })?)
416            };
417
418        let min_quantity =
419            if min_quantity_values.is_null(i) {
420                None
421            } else {
422                let min_qty_str = min_quantity_values
423                    .as_any()
424                    .downcast_ref::<StringArray>()
425                    .ok_or_else(|| {
426                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
427                    })?
428                    .value(i);
429                Some(Quantity::from_str(min_qty_str).map_err(|e| {
430                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
431                })?)
432            };
433
434        let max_notional =
435            if max_notional_values.is_null(i) {
436                None
437            } else {
438                let max_not_str = max_notional_values
439                    .as_any()
440                    .downcast_ref::<StringArray>()
441                    .ok_or_else(|| {
442                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
443                    })?
444                    .value(i);
445                Some(Money::from_str(max_not_str).map_err(|e| {
446                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
447                })?)
448            };
449
450        let min_notional =
451            if min_notional_values.is_null(i) {
452                None
453            } else {
454                let min_not_str = min_notional_values
455                    .as_any()
456                    .downcast_ref::<StringArray>()
457                    .ok_or_else(|| {
458                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
459                    })?
460                    .value(i);
461                Some(Money::from_str(min_not_str).map_err(|e| {
462                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
463                })?)
464            };
465
466        let max_price = if max_price_values.is_null(i) {
467            None
468        } else {
469            let max_p_str = max_price_values
470                .as_any()
471                .downcast_ref::<StringArray>()
472                .ok_or_else(|| {
473                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
474                })?
475                .value(i);
476            Some(
477                Price::from_str(max_p_str)
478                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
479            )
480        };
481
482        let min_price = if min_price_values.is_null(i) {
483            None
484        } else {
485            let min_p_str = min_price_values
486                .as_any()
487                .downcast_ref::<StringArray>()
488                .ok_or_else(|| {
489                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
490                })?
491                .value(i);
492            Some(
493                Price::from_str(min_p_str)
494                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
495            )
496        };
497
498        let margin_init = Decimal::from_str(margin_init_values.value(i))
499            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
500        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
501            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
502        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
503            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
504        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
505            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
506
507        let info = if info_values.is_null(i) {
508            None
509        } else {
510            let info_json = info_values
511                .as_any()
512                .downcast_ref::<StringArray>()
513                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
514                .value(i);
515
516            match serde_json::from_str::<Params>(info_json) {
517                Ok(info_dict) => Some(info_dict),
518                Err(e) => {
519                    return Err(EncodingError::ParseError(
520                        "info",
521                        format!("row {i}: failed to deserialize JSON: {e}"),
522                    ));
523                }
524            }
525        };
526
527        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
528        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
529
530        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
531
532        let crypto_future = CryptoFuture::builder()
533            .instrument_id(id)
534            .raw_symbol(raw_symbol)
535            .underlying(underlying)
536            .quote_currency(quote_currency)
537            .settlement_currency(settlement_currency)
538            .is_inverse(is_inverse)
539            .activation_ns(activation_ns)
540            .expiration_ns(expiration_ns)
541            .price_precision(price_prec)
542            .size_precision(size_prec)
543            .price_increment(price_increment)
544            .size_increment(size_increment)
545            .multiplier(multiplier)
546            .maybe_lot_size(lot_size)
547            .maybe_max_quantity(max_quantity)
548            .maybe_min_quantity(min_quantity)
549            .maybe_max_notional(max_notional)
550            .maybe_min_notional(min_notional)
551            .maybe_max_price(max_price)
552            .maybe_min_price(min_price)
553            .margin_init(margin_init)
554            .margin_maint(margin_maint)
555            .maker_fee(maker_fee)
556            .taker_fee(taker_fee)
557            .maybe_tick_scheme(tick_scheme)
558            .maybe_info(info)
559            .ts_event(ts_event)
560            .ts_init(ts_init)
561            .build()
562            .map_err(|e| super::instrument_validation_error::<CryptoFuture>(i, e))?;
563
564        result.push(crypto_future);
565    }
566
567    Ok(result)
568}
nautilus_serialization/arrow/instrument/crypto_future.rs

nautilus_serialization/arrow/instrument/
crypto_future.rs
