nautilus_serialization/arrow/instrument/
crypto_perpetual.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 CryptoPerpetual 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_perpetual::CryptoPerpetual,
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 CryptoPerpetual {
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("base_currency", 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("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),
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("tick_scheme", DataType::Utf8, true),
70            json_string_field("info", true),
71            Field::new("ts_event", timestamp_data_type(), false),
72            Field::new("ts_init", timestamp_data_type(), false),
73        ];
74
75        let mut final_metadata = HashMap::new();
76        final_metadata.insert(KEY_CLASS.to_string(), "CryptoPerpetual".to_string());
77
78        if let Some(meta) = metadata {
79            final_metadata.extend(meta);
80        }
81
82        Schema::new_with_metadata(fields, final_metadata)
83    }
84}
85
86impl EncodeToRecordBatch for CryptoPerpetual {
87    fn encode_batch<T>(
88        #[allow(unused)] metadata: &HashMap<String, String>,
89        data: &[T],
90    ) -> Result<RecordBatch, ArrowError>
91    where
92        T: std::borrow::Borrow<Self>,
93    {
94        let mut id_builder = StringBuilder::new();
95        let mut raw_symbol_builder = StringBuilder::new();
96        let mut base_currency_builder = StringBuilder::new();
97        let mut quote_currency_builder = StringBuilder::new();
98        let mut settlement_currency_builder = StringBuilder::new();
99        let mut is_inverse_builder = BooleanBuilder::new();
100        let mut price_precision_builder = UInt8Array::builder(data.len());
101        let mut size_precision_builder = UInt8Array::builder(data.len());
102        let mut price_increment_builder = StringBuilder::new();
103        let mut size_increment_builder = StringBuilder::new();
104        let mut multiplier_builder = StringBuilder::new();
105        let mut lot_size_builder = StringBuilder::new();
106        let mut max_quantity_builder = StringBuilder::new();
107        let mut min_quantity_builder = StringBuilder::new();
108        let mut max_notional_builder = StringBuilder::new();
109        let mut min_notional_builder = StringBuilder::new();
110        let mut max_price_builder = StringBuilder::new();
111        let mut min_price_builder = StringBuilder::new();
112        let mut margin_init_builder = StringBuilder::new();
113        let mut margin_maint_builder = StringBuilder::new();
114        let mut maker_fee_builder = StringBuilder::new();
115        let mut taker_fee_builder = StringBuilder::new();
116        let mut tick_scheme_builder = StringBuilder::new();
117        let mut info_builder = StringBuilder::new();
118        let mut ts_event_builder = UInt64Array::builder(data.len());
119        let mut ts_init_builder = UInt64Array::builder(data.len());
120
121        for cp in data.iter().map(Borrow::borrow) {
122            id_builder.append_value(cp.id.to_string());
123            raw_symbol_builder.append_value(cp.raw_symbol);
124            base_currency_builder.append_value(cp.base_currency.to_string());
125            quote_currency_builder.append_value(cp.quote_currency.to_string());
126            settlement_currency_builder.append_value(cp.settlement_currency.to_string());
127            is_inverse_builder.append_value(cp.is_inverse);
128            price_precision_builder.append_value(cp.price_precision);
129            size_precision_builder.append_value(cp.size_precision);
130            price_increment_builder.append_value(cp.price_increment.to_string());
131            size_increment_builder.append_value(cp.size_increment.to_string());
132            multiplier_builder.append_value(cp.multiplier.to_string());
133            lot_size_builder.append_value(cp.lot_size.to_string());
134
135            if let Some(max_qty) = cp.max_quantity {
136                max_quantity_builder.append_value(max_qty.to_string());
137            } else {
138                max_quantity_builder.append_null();
139            }
140
141            if let Some(min_qty) = cp.min_quantity {
142                min_quantity_builder.append_value(min_qty.to_string());
143            } else {
144                min_quantity_builder.append_null();
145            }
146
147            if let Some(max_not) = cp.max_notional {
148                max_notional_builder.append_value(max_not.to_string());
149            } else {
150                max_notional_builder.append_null();
151            }
152
153            if let Some(min_not) = cp.min_notional {
154                min_notional_builder.append_value(min_not.to_string());
155            } else {
156                min_notional_builder.append_null();
157            }
158
159            if let Some(max_p) = cp.max_price {
160                max_price_builder.append_value(max_p.to_string());
161            } else {
162                max_price_builder.append_null();
163            }
164
165            if let Some(min_p) = cp.min_price {
166                min_price_builder.append_value(min_p.to_string());
167            } else {
168                min_price_builder.append_null();
169            }
170
171            margin_init_builder.append_value(cp.margin_init.to_string());
172            margin_maint_builder.append_value(cp.margin_maint.to_string());
173            maker_fee_builder.append_value(cp.maker_fee.to_string());
174            taker_fee_builder.append_value(cp.taker_fee.to_string());
175
176            if let Some(tick_scheme) = cp.tick_scheme {
177                tick_scheme_builder.append_value(tick_scheme);
178            } else {
179                tick_scheme_builder.append_null();
180            }
181
182            if let Some(ref info) = cp.info {
183                match serde_json::to_string(info) {
184                    Ok(json) => {
185                        info_builder.append_value(json);
186                    }
187                    Err(e) => {
188                        return Err(ArrowError::InvalidArgumentError(format!(
189                            "Failed to serialize info dict to JSON: {e}"
190                        )));
191                    }
192                }
193            } else {
194                info_builder.append_null();
195            }
196
197            ts_event_builder.append_value(cp.ts_event.as_u64());
198            ts_init_builder.append_value(cp.ts_init.as_u64());
199        }
200
201        let mut final_metadata = metadata.clone();
202        final_metadata.insert(KEY_CLASS.to_string(), "CryptoPerpetual".to_string());
203
204        record_batch_with_timestamps(
205            Self::get_schema(Some(final_metadata)).into(),
206            vec![
207                Arc::new(id_builder.finish()),
208                Arc::new(raw_symbol_builder.finish()),
209                Arc::new(base_currency_builder.finish()),
210                Arc::new(quote_currency_builder.finish()),
211                Arc::new(settlement_currency_builder.finish()),
212                Arc::new(is_inverse_builder.finish()),
213                Arc::new(price_precision_builder.finish()),
214                Arc::new(size_precision_builder.finish()),
215                Arc::new(price_increment_builder.finish()),
216                Arc::new(size_increment_builder.finish()),
217                Arc::new(multiplier_builder.finish()),
218                Arc::new(lot_size_builder.finish()),
219                Arc::new(max_quantity_builder.finish()),
220                Arc::new(min_quantity_builder.finish()),
221                Arc::new(max_notional_builder.finish()),
222                Arc::new(min_notional_builder.finish()),
223                Arc::new(max_price_builder.finish()),
224                Arc::new(min_price_builder.finish()),
225                Arc::new(margin_init_builder.finish()),
226                Arc::new(margin_maint_builder.finish()),
227                Arc::new(maker_fee_builder.finish()),
228                Arc::new(taker_fee_builder.finish()),
229                Arc::new(tick_scheme_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 [`CryptoPerpetual`] instruments from a record batch.
253///
254/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
255///
256/// # Errors
257///
258/// Returns an `EncodingError` if the record batch cannot be decoded.
259///
260/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
261pub fn decode_crypto_perpetual_batch(
262    #[allow(unused)] metadata: &HashMap<String, String>,
263    record_batch: &RecordBatch,
264) -> Result<Vec<CryptoPerpetual>, EncodingError> {
265    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
266    let record_batch = &record_batch;
267    let cols = record_batch.columns();
268    let num_rows = record_batch.num_rows();
269
270    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
271    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
272    let base_currency_values =
273        extract_column::<StringArray>(cols, "base_currency", 2, DataType::Utf8)?;
274    let quote_currency_values =
275        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
276    let settlement_currency_values =
277        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
278    let is_inverse_values =
279        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
280    let price_precision_values =
281        extract_column::<UInt8Array>(cols, "price_precision", 6, DataType::UInt8)?;
282    let size_precision_values =
283        extract_column::<UInt8Array>(cols, "size_precision", 7, DataType::UInt8)?;
284    let price_increment_values =
285        extract_column::<StringArray>(cols, "price_increment", 8, DataType::Utf8)?;
286    let size_increment_values =
287        extract_column::<StringArray>(cols, "size_increment", 9, DataType::Utf8)?;
288    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 10, DataType::Utf8)?;
289    let lot_size_values = record_batch
290        .schema()
291        .index_of("lot_size")
292        .ok()
293        .map(|index| extract_column::<StringArray>(cols, "lot_size", index, DataType::Utf8))
294        .transpose()?;
295    let lot_size_offset = usize::from(lot_size_values.is_some());
296    let max_quantity_values = cols
297        .get(11 + lot_size_offset)
298        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 11 + lot_size_offset))?;
299    let min_quantity_values = cols
300        .get(12 + lot_size_offset)
301        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 12 + lot_size_offset))?;
302    let max_notional_values = cols
303        .get(13 + lot_size_offset)
304        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 13 + lot_size_offset))?;
305    let min_notional_values = cols
306        .get(14 + lot_size_offset)
307        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 14 + lot_size_offset))?;
308    let max_price_values = cols
309        .get(15 + lot_size_offset)
310        .ok_or_else(|| EncodingError::MissingColumn("max_price", 15 + lot_size_offset))?;
311    let min_price_values = cols
312        .get(16 + lot_size_offset)
313        .ok_or_else(|| EncodingError::MissingColumn("min_price", 16 + lot_size_offset))?;
314    let margin_init_values =
315        extract_column::<StringArray>(cols, "margin_init", 17 + lot_size_offset, DataType::Utf8)?;
316    let margin_maint_values =
317        extract_column::<StringArray>(cols, "margin_maint", 18 + lot_size_offset, DataType::Utf8)?;
318    let maker_fee_values =
319        extract_column::<StringArray>(cols, "maker_fee", 19 + lot_size_offset, DataType::Utf8)?;
320    let taker_fee_values =
321        extract_column::<StringArray>(cols, "taker_fee", 20 + lot_size_offset, DataType::Utf8)?;
322    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
323    let info_values = extract_column_by_name_or_index::<StringArray>(
324        record_batch,
325        "info",
326        21 + lot_size_offset,
327        DataType::Utf8,
328    )?;
329    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
330        record_batch,
331        "ts_event",
332        22 + lot_size_offset,
333        DataType::UInt64,
334    )?;
335    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
336        record_batch,
337        "ts_init",
338        23 + lot_size_offset,
339        DataType::UInt64,
340    )?;
341
342    let mut result = Vec::with_capacity(num_rows);
343
344    for i in 0..num_rows {
345        let id = InstrumentId::from_str(id_values.value(i))
346            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
347        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
348        let base_currency = super::decode_currency(
349            base_currency_values.value(i),
350            "base_currency",
351            "crypto_perpetual.base_currency",
352            i,
353        )?;
354        let quote_currency = super::decode_currency(
355            quote_currency_values.value(i),
356            "quote_currency",
357            "crypto_perpetual.quote_currency",
358            i,
359        )?;
360        let settlement_currency = super::decode_currency(
361            settlement_currency_values.value(i),
362            "settlement_currency",
363            "crypto_perpetual.settlement_currency",
364            i,
365        )?;
366        let is_inverse = is_inverse_values.value(i);
367        let price_prec = price_precision_values.value(i);
368        let size_prec = size_precision_values.value(i);
369
370        let price_increment = Price::from_str(price_increment_values.value(i))
371            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
372        let size_increment = Quantity::from_str(size_increment_values.value(i))
373            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
374        let multiplier = Quantity::from_str(multiplier_values.value(i))
375            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
376        let lot_size =
377            if let Some(values) = lot_size_values {
378                if values.is_null(i) {
379                    None
380                } else {
381                    Some(Quantity::from_str(values.value(i)).map_err(|e| {
382                        EncodingError::ParseError("lot_size", format!("row {i}: {e}"))
383                    })?)
384                }
385            } else {
386                None
387            };
388
389        let max_quantity =
390            if max_quantity_values.is_null(i) {
391                None
392            } else {
393                let max_qty_str = max_quantity_values
394                    .as_any()
395                    .downcast_ref::<StringArray>()
396                    .ok_or_else(|| {
397                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
398                    })?
399                    .value(i);
400                Some(Quantity::from_str(max_qty_str).map_err(|e| {
401                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
402                })?)
403            };
404
405        let min_quantity =
406            if min_quantity_values.is_null(i) {
407                None
408            } else {
409                let min_qty_str = min_quantity_values
410                    .as_any()
411                    .downcast_ref::<StringArray>()
412                    .ok_or_else(|| {
413                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
414                    })?
415                    .value(i);
416                Some(Quantity::from_str(min_qty_str).map_err(|e| {
417                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
418                })?)
419            };
420
421        let max_notional =
422            if max_notional_values.is_null(i) {
423                None
424            } else {
425                let max_not_str = max_notional_values
426                    .as_any()
427                    .downcast_ref::<StringArray>()
428                    .ok_or_else(|| {
429                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
430                    })?
431                    .value(i);
432                Some(Money::from_str(max_not_str).map_err(|e| {
433                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
434                })?)
435            };
436
437        let min_notional =
438            if min_notional_values.is_null(i) {
439                None
440            } else {
441                let min_not_str = min_notional_values
442                    .as_any()
443                    .downcast_ref::<StringArray>()
444                    .ok_or_else(|| {
445                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
446                    })?
447                    .value(i);
448                Some(Money::from_str(min_not_str).map_err(|e| {
449                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
450                })?)
451            };
452
453        let max_price = if max_price_values.is_null(i) {
454            None
455        } else {
456            let max_p_str = max_price_values
457                .as_any()
458                .downcast_ref::<StringArray>()
459                .ok_or_else(|| {
460                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
461                })?
462                .value(i);
463            Some(
464                Price::from_str(max_p_str)
465                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
466            )
467        };
468
469        let min_price = if min_price_values.is_null(i) {
470            None
471        } else {
472            let min_p_str = min_price_values
473                .as_any()
474                .downcast_ref::<StringArray>()
475                .ok_or_else(|| {
476                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
477                })?
478                .value(i);
479            Some(
480                Price::from_str(min_p_str)
481                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
482            )
483        };
484
485        let margin_init = Decimal::from_str(margin_init_values.value(i))
486            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
487        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
488            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
489        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
490            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
491        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
492            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
493
494        let info = if info_values.is_null(i) {
495            None
496        } else {
497            let info_json = info_values
498                .as_any()
499                .downcast_ref::<StringArray>()
500                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
501                .value(i);
502
503            match serde_json::from_str::<Params>(info_json) {
504                Ok(info_dict) => Some(info_dict),
505                Err(e) => {
506                    return Err(EncodingError::ParseError(
507                        "info",
508                        format!("row {i}: failed to deserialize JSON: {e}"),
509                    ));
510                }
511            }
512        };
513
514        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
515        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
516
517        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
518
519        let crypto_perp = CryptoPerpetual::builder()
520            .instrument_id(id)
521            .raw_symbol(raw_symbol)
522            .base_currency(base_currency)
523            .quote_currency(quote_currency)
524            .settlement_currency(settlement_currency)
525            .is_inverse(is_inverse)
526            .price_precision(price_prec)
527            .size_precision(size_prec)
528            .price_increment(price_increment)
529            .size_increment(size_increment)
530            .multiplier(multiplier)
531            .maybe_lot_size(lot_size)
532            .maybe_max_quantity(max_quantity)
533            .maybe_min_quantity(min_quantity)
534            .maybe_max_notional(max_notional)
535            .maybe_min_notional(min_notional)
536            .maybe_max_price(max_price)
537            .maybe_min_price(min_price)
538            .margin_init(margin_init)
539            .margin_maint(margin_maint)
540            .maker_fee(maker_fee)
541            .taker_fee(taker_fee)
542            .maybe_tick_scheme(tick_scheme)
543            .maybe_info(info)
544            .ts_event(ts_event)
545            .ts_init(ts_init)
546            .build()
547            .map_err(|e| super::instrument_validation_error::<CryptoPerpetual>(i, e))?;
548
549        result.push(crypto_perp);
550    }
551
552    Ok(result)
553}
nautilus_serialization/arrow/instrument/crypto_perpetual.rs

nautilus_serialization/arrow/instrument/
crypto_perpetual.rs
