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

nautilus_serialization/arrow/instrument/
currency_pair.rs
