nautilus_serialization/arrow/instrument/
futures_contract.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 FuturesContract 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    enums::AssetClass,
29    identifiers::{InstrumentId, Symbol},
30    instruments::futures_contract::FuturesContract,
31    types::{price::Price, quantity::Quantity},
32};
33use rust_decimal::Decimal;
34use ustr::Ustr;
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 FuturesContract {
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("asset_class", DataType::Utf8, false),
51            Field::new("exchange", DataType::Utf8, true), // nullable
52            Field::new("currency", DataType::Utf8, 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, false),
59            Field::new("activation_ns", timestamp_data_type(), false),
60            Field::new("expiration_ns", timestamp_data_type(), false),
61            Field::new("max_quantity", DataType::Utf8, true), // nullable
62            Field::new("min_quantity", 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(), "FuturesContract".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 FuturesContract {
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 underlying_builder = StringBuilder::new();
97        let mut asset_class_builder = StringBuilder::new();
98        let mut exchange_builder = StringBuilder::new();
99        let mut currency_builder = StringBuilder::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 activation_ns_builder = UInt64Array::builder(data.len());
107        let mut expiration_ns_builder = UInt64Array::builder(data.len());
108        let mut max_quantity_builder = StringBuilder::new();
109        let mut min_quantity_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 fc in data.iter().map(Borrow::borrow) {
122            id_builder.append_value(fc.id.to_string());
123            raw_symbol_builder.append_value(fc.raw_symbol);
124            underlying_builder.append_value(fc.underlying);
125            asset_class_builder.append_value(fc.asset_class);
126
127            if let Some(exchange) = fc.exchange {
128                exchange_builder.append_value(exchange);
129            } else {
130                exchange_builder.append_null();
131            }
132
133            currency_builder.append_value(fc.currency.to_string());
134            price_precision_builder.append_value(fc.price_precision);
135            size_precision_builder.append_value(fc.size_precision);
136            price_increment_builder.append_value(fc.price_increment.to_string());
137            size_increment_builder.append_value(fc.size_increment.to_string());
138            multiplier_builder.append_value(fc.multiplier.to_string());
139            lot_size_builder.append_value(fc.lot_size.to_string());
140            activation_ns_builder.append_value(fc.activation_ns.as_u64());
141            expiration_ns_builder.append_value(fc.expiration_ns.as_u64());
142
143            if let Some(max_quantity) = fc.max_quantity {
144                max_quantity_builder.append_value(max_quantity.to_string());
145            } else {
146                max_quantity_builder.append_null();
147            }
148
149            if let Some(min_quantity) = fc.min_quantity {
150                min_quantity_builder.append_value(min_quantity.to_string());
151            } else {
152                min_quantity_builder.append_null();
153            }
154
155            if let Some(max_price) = fc.max_price {
156                max_price_builder.append_value(max_price.to_string());
157            } else {
158                max_price_builder.append_null();
159            }
160
161            if let Some(min_price) = fc.min_price {
162                min_price_builder.append_value(min_price.to_string());
163            } else {
164                min_price_builder.append_null();
165            }
166
167            margin_init_builder.append_value(fc.margin_init.to_string());
168            margin_maint_builder.append_value(fc.margin_maint.to_string());
169            maker_fee_builder.append_value(fc.maker_fee.to_string());
170            taker_fee_builder.append_value(fc.taker_fee.to_string());
171
172            if let Some(tick_scheme) = fc.tick_scheme {
173                tick_scheme_builder.append_value(tick_scheme);
174            } else {
175                tick_scheme_builder.append_null();
176            }
177
178            if let Some(ref info) = fc.info {
179                match serde_json::to_string(info) {
180                    Ok(json) => {
181                        info_builder.append_value(json);
182                    }
183                    Err(e) => {
184                        return Err(ArrowError::InvalidArgumentError(format!(
185                            "Failed to serialize info dict to JSON: {e}"
186                        )));
187                    }
188                }
189            } else {
190                info_builder.append_null();
191            }
192
193            ts_event_builder.append_value(fc.ts_event.as_u64());
194            ts_init_builder.append_value(fc.ts_init.as_u64());
195        }
196
197        let mut final_metadata = metadata.clone();
198        final_metadata.insert(KEY_CLASS.to_string(), "FuturesContract".to_string());
199
200        record_batch_with_timestamps(
201            Self::get_schema(Some(final_metadata)).into(),
202            vec![
203                Arc::new(id_builder.finish()),
204                Arc::new(raw_symbol_builder.finish()),
205                Arc::new(underlying_builder.finish()),
206                Arc::new(asset_class_builder.finish()),
207                Arc::new(exchange_builder.finish()),
208                Arc::new(currency_builder.finish()),
209                Arc::new(price_precision_builder.finish()),
210                Arc::new(size_precision_builder.finish()),
211                Arc::new(price_increment_builder.finish()),
212                Arc::new(size_increment_builder.finish()),
213                Arc::new(multiplier_builder.finish()),
214                Arc::new(lot_size_builder.finish()),
215                Arc::new(activation_ns_builder.finish()),
216                Arc::new(expiration_ns_builder.finish()),
217                Arc::new(max_quantity_builder.finish()),
218                Arc::new(min_quantity_builder.finish()),
219                Arc::new(max_price_builder.finish()),
220                Arc::new(min_price_builder.finish()),
221                Arc::new(margin_init_builder.finish()),
222                Arc::new(margin_maint_builder.finish()),
223                Arc::new(maker_fee_builder.finish()),
224                Arc::new(taker_fee_builder.finish()),
225                Arc::new(tick_scheme_builder.finish()),
226                Arc::new(info_builder.finish()),
227                Arc::new(ts_event_builder.finish()),
228                Arc::new(ts_init_builder.finish()),
229            ],
230        )
231    }
232
233    fn metadata(&self) -> HashMap<String, String> {
234        let mut metadata = HashMap::new();
235        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
236        metadata.insert(
237            KEY_PRICE_PRECISION.to_string(),
238            self.price_precision.to_string(),
239        );
240        metadata.insert(
241            KEY_SIZE_PRECISION.to_string(),
242            self.size_precision.to_string(),
243        );
244        metadata
245    }
246}
247
248/// Decodes [`FuturesContract`] instruments from a record batch.
249///
250/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
251///
252/// # Errors
253///
254/// Returns an `EncodingError` if the record batch cannot be decoded.
255///
256/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
257pub fn decode_futures_contract_batch(
258    #[allow(unused)] metadata: &HashMap<String, String>,
259    record_batch: &RecordBatch,
260) -> Result<Vec<FuturesContract>, EncodingError> {
261    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
262    let record_batch = &record_batch;
263    let cols = record_batch.columns();
264    let num_rows = record_batch.num_rows();
265
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 underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
269    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
270    let exchange_values = cols
271        .get(4)
272        .ok_or_else(|| EncodingError::MissingColumn("exchange", 4))?;
273    let currency_values = extract_column::<StringArray>(cols, "currency", 5, DataType::Utf8)?;
274    let price_precision_values =
275        extract_column::<UInt8Array>(cols, "price_precision", 6, DataType::UInt8)?;
276    let size_precision_values =
277        extract_column::<UInt8Array>(cols, "size_precision", 7, DataType::UInt8)?;
278    let price_increment_values =
279        extract_column::<StringArray>(cols, "price_increment", 8, DataType::Utf8)?;
280    let size_increment_values =
281        extract_column::<StringArray>(cols, "size_increment", 9, DataType::Utf8)?;
282    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 10, DataType::Utf8)?;
283    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 11, DataType::Utf8)?;
284    let activation_ns_values =
285        extract_column::<UInt64Array>(cols, "activation_ns", 12, DataType::UInt64)?;
286    let expiration_ns_values =
287        extract_column::<UInt64Array>(cols, "expiration_ns", 13, DataType::UInt64)?;
288    let max_quantity_values = extract_optional_string_column_by_name(record_batch, "max_quantity")?;
289    let min_quantity_values = extract_optional_string_column_by_name(record_batch, "min_quantity")?;
290    let max_price_values = extract_optional_string_column_by_name(record_batch, "max_price")?;
291    let min_price_values = extract_optional_string_column_by_name(record_batch, "min_price")?;
292    let margin_init_values =
293        extract_column::<StringArray>(cols, "margin_init", 18, DataType::Utf8)?;
294    let margin_maint_values =
295        extract_column::<StringArray>(cols, "margin_maint", 19, DataType::Utf8)?;
296    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 20, DataType::Utf8)?;
297    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 21, DataType::Utf8)?;
298    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
299    let info_values =
300        extract_column_by_name_or_index::<StringArray>(record_batch, "info", 23, DataType::Utf8)?;
301    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
302        record_batch,
303        "ts_event",
304        24,
305        DataType::UInt64,
306    )?;
307    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
308        record_batch,
309        "ts_init",
310        25,
311        DataType::UInt64,
312    )?;
313
314    let mut result = Vec::with_capacity(num_rows);
315
316    for i in 0..num_rows {
317        let id = InstrumentId::from_str(id_values.value(i))
318            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
319        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
320        let underlying = Ustr::from(underlying_values.value(i));
321        let asset_class = AssetClass::from_str(asset_class_values.value(i))
322            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
323
324        let exchange = if exchange_values.is_null(i) {
325            None
326        } else {
327            let exchange_str = exchange_values
328                .as_any()
329                .downcast_ref::<StringArray>()
330                .ok_or_else(|| {
331                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
332                })?
333                .value(i);
334            Some(Ustr::from(exchange_str))
335        };
336
337        let currency = super::decode_currency(
338            currency_values.value(i),
339            "currency",
340            "futures_contract.currency",
341            i,
342        )?;
343        let price_prec = price_precision_values.value(i);
344        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
345
346        let price_increment = Price::from_str(price_increment_values.value(i))
347            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
348        let _size_increment = Quantity::from_str(size_increment_values.value(i))
349            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
350        let multiplier = Quantity::from_str(multiplier_values.value(i))
351            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
352        let lot_size = Quantity::from_str(lot_size_values.value(i))
353            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
354
355        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
356        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
357
358        let margin_init = Decimal::from_str(margin_init_values.value(i))
359            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
360        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
361            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
362        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
363            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
364        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
365            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
366
367        let info = if info_values.is_null(i) {
368            None
369        } else {
370            let info_json = info_values
371                .as_any()
372                .downcast_ref::<StringArray>()
373                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
374                .value(i);
375
376            match serde_json::from_str::<Params>(info_json) {
377                Ok(info_dict) => Some(info_dict),
378                Err(e) => {
379                    return Err(EncodingError::ParseError(
380                        "info",
381                        format!("row {i}: failed to deserialize JSON: {e}"),
382                    ));
383                }
384            }
385        };
386
387        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
388        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
389
390        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
391
392        let futures_contract = FuturesContract::builder()
393            .instrument_id(id)
394            .raw_symbol(raw_symbol)
395            .asset_class(asset_class)
396            .maybe_exchange(exchange)
397            .underlying(underlying)
398            .activation_ns(activation_ns)
399            .expiration_ns(expiration_ns)
400            .currency(currency)
401            .price_precision(price_prec)
402            .price_increment(price_increment)
403            .multiplier(multiplier)
404            .lot_size(lot_size)
405            .maybe_max_quantity(super::optional_quantity_value(
406                max_quantity_values,
407                "max_quantity",
408                i,
409            )?)
410            .maybe_min_quantity(super::optional_quantity_value(
411                min_quantity_values,
412                "min_quantity",
413                i,
414            )?)
415            .maybe_max_price(super::optional_price_value(
416                max_price_values,
417                "max_price",
418                i,
419            )?)
420            .maybe_min_price(super::optional_price_value(
421                min_price_values,
422                "min_price",
423                i,
424            )?)
425            .margin_init(margin_init)
426            .margin_maint(margin_maint)
427            .maker_fee(maker_fee)
428            .taker_fee(taker_fee)
429            .maybe_tick_scheme(tick_scheme)
430            .maybe_info(info)
431            .ts_event(ts_event)
432            .ts_init(ts_init)
433            .build()
434            .map_err(|e| super::instrument_validation_error::<FuturesContract>(i, e))?;
435
436        result.push(futures_contract);
437    }
438
439    Ok(result)
440}
nautilus_serialization/arrow/instrument/futures_contract.rs

nautilus_serialization/arrow/instrument/
futures_contract.rs
