nautilus_serialization/arrow/instrument/
futures_spread.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 FuturesSpread 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_spread::FuturesSpread,
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 FuturesSpread {
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("strategy_type", DataType::Utf8, false),
51            Field::new("asset_class", DataType::Utf8, false),
52            Field::new("exchange", DataType::Utf8, true), // nullable
53            Field::new("currency", DataType::Utf8, false),
54            Field::new("price_precision", DataType::UInt8, false),
55            Field::new("size_precision", DataType::UInt8, false),
56            Field::new("price_increment", DataType::Utf8, false),
57            Field::new("size_increment", DataType::Utf8, false),
58            Field::new("multiplier", DataType::Utf8, false),
59            Field::new("lot_size", DataType::Utf8, false),
60            Field::new("max_quantity", DataType::Utf8, true), // nullable
61            Field::new("min_quantity", DataType::Utf8, true), // nullable
62            Field::new("max_price", DataType::Utf8, true),    // nullable
63            Field::new("min_price", DataType::Utf8, true),    // nullable
64            Field::new("activation_ns", timestamp_data_type(), false),
65            Field::new("expiration_ns", timestamp_data_type(), false),
66            Field::new("margin_init", DataType::Utf8, false),
67            Field::new("margin_maint", DataType::Utf8, false),
68            Field::new("maker_fee", DataType::Utf8, false),
69            Field::new("taker_fee", DataType::Utf8, false),
70            Field::new("tick_scheme", DataType::Utf8, true),
71            json_string_field("info", true),
72            Field::new("ts_event", timestamp_data_type(), false),
73            Field::new("ts_init", timestamp_data_type(), false),
74        ];
75
76        let mut final_metadata = HashMap::new();
77        final_metadata.insert(KEY_CLASS.to_string(), "FuturesSpread".to_string());
78
79        if let Some(meta) = metadata {
80            final_metadata.extend(meta);
81        }
82
83        Schema::new_with_metadata(fields, final_metadata)
84    }
85}
86
87impl EncodeToRecordBatch for FuturesSpread {
88    fn encode_batch<T>(
89        #[allow(unused)] metadata: &HashMap<String, String>,
90        data: &[T],
91    ) -> Result<RecordBatch, ArrowError>
92    where
93        T: std::borrow::Borrow<Self>,
94    {
95        let mut id_builder = StringBuilder::new();
96        let mut raw_symbol_builder = StringBuilder::new();
97        let mut underlying_builder = StringBuilder::new();
98        let mut strategy_type_builder = StringBuilder::new();
99        let mut asset_class_builder = StringBuilder::new();
100        let mut exchange_builder = StringBuilder::new();
101        let mut currency_builder = StringBuilder::new();
102        let mut price_precision_builder = UInt8Array::builder(data.len());
103        let mut size_precision_builder = UInt8Array::builder(data.len());
104        let mut price_increment_builder = StringBuilder::new();
105        let mut size_increment_builder = StringBuilder::new();
106        let mut multiplier_builder = StringBuilder::new();
107        let mut lot_size_builder = StringBuilder::new();
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 activation_ns_builder = UInt64Array::builder(data.len());
113        let mut expiration_ns_builder = UInt64Array::builder(data.len());
114        let mut margin_init_builder = StringBuilder::new();
115        let mut margin_maint_builder = StringBuilder::new();
116        let mut maker_fee_builder = StringBuilder::new();
117        let mut taker_fee_builder = StringBuilder::new();
118        let mut tick_scheme_builder = StringBuilder::new();
119        let mut info_builder = StringBuilder::new();
120        let mut ts_event_builder = UInt64Array::builder(data.len());
121        let mut ts_init_builder = UInt64Array::builder(data.len());
122
123        for fs in data.iter().map(Borrow::borrow) {
124            id_builder.append_value(fs.id.to_string());
125            raw_symbol_builder.append_value(fs.raw_symbol);
126            underlying_builder.append_value(fs.underlying);
127            strategy_type_builder.append_value(fs.strategy_type);
128            asset_class_builder.append_value(fs.asset_class);
129
130            if let Some(exchange) = fs.exchange {
131                exchange_builder.append_value(exchange);
132            } else {
133                exchange_builder.append_null();
134            }
135
136            currency_builder.append_value(fs.currency.to_string());
137            price_precision_builder.append_value(fs.price_precision);
138            size_precision_builder.append_value(fs.size_precision);
139            price_increment_builder.append_value(fs.price_increment.to_string());
140            size_increment_builder.append_value(fs.size_increment.to_string());
141            multiplier_builder.append_value(fs.multiplier.to_string());
142            lot_size_builder.append_value(fs.lot_size.to_string());
143
144            if let Some(max_qty) = fs.max_quantity {
145                max_quantity_builder.append_value(max_qty.to_string());
146            } else {
147                max_quantity_builder.append_null();
148            }
149
150            if let Some(min_qty) = fs.min_quantity {
151                min_quantity_builder.append_value(min_qty.to_string());
152            } else {
153                min_quantity_builder.append_null();
154            }
155
156            if let Some(max_p) = fs.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) = fs.min_price {
163                min_price_builder.append_value(min_p.to_string());
164            } else {
165                min_price_builder.append_null();
166            }
167
168            activation_ns_builder.append_value(fs.activation_ns.as_u64());
169            expiration_ns_builder.append_value(fs.expiration_ns.as_u64());
170            margin_init_builder.append_value(fs.margin_init.to_string());
171            margin_maint_builder.append_value(fs.margin_maint.to_string());
172            maker_fee_builder.append_value(fs.maker_fee.to_string());
173            taker_fee_builder.append_value(fs.taker_fee.to_string());
174
175            if let Some(tick_scheme) = fs.tick_scheme {
176                tick_scheme_builder.append_value(tick_scheme);
177            } else {
178                tick_scheme_builder.append_null();
179            }
180
181            if let Some(ref info) = fs.info {
182                match serde_json::to_string(info) {
183                    Ok(json) => {
184                        info_builder.append_value(json);
185                    }
186                    Err(e) => {
187                        return Err(ArrowError::InvalidArgumentError(format!(
188                            "Failed to serialize info dict to JSON: {e}"
189                        )));
190                    }
191                }
192            } else {
193                info_builder.append_null();
194            }
195
196            ts_event_builder.append_value(fs.ts_event.as_u64());
197            ts_init_builder.append_value(fs.ts_init.as_u64());
198        }
199
200        let mut final_metadata = metadata.clone();
201        final_metadata.insert(KEY_CLASS.to_string(), "FuturesSpread".to_string());
202
203        record_batch_with_timestamps(
204            Self::get_schema(Some(final_metadata)).into(),
205            vec![
206                Arc::new(id_builder.finish()),
207                Arc::new(raw_symbol_builder.finish()),
208                Arc::new(underlying_builder.finish()),
209                Arc::new(strategy_type_builder.finish()),
210                Arc::new(asset_class_builder.finish()),
211                Arc::new(exchange_builder.finish()),
212                Arc::new(currency_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_price_builder.finish()),
222                Arc::new(min_price_builder.finish()),
223                Arc::new(activation_ns_builder.finish()),
224                Arc::new(expiration_ns_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 [`FuturesSpread`] 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_futures_spread_batch(
262    #[allow(unused)] metadata: &HashMap<String, String>,
263    record_batch: &RecordBatch,
264) -> Result<Vec<FuturesSpread>, 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 underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
273    let strategy_type_values =
274        extract_column::<StringArray>(cols, "strategy_type", 3, DataType::Utf8)?;
275    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 4, DataType::Utf8)?;
276    let exchange_values = cols
277        .get(5)
278        .ok_or_else(|| EncodingError::MissingColumn("exchange", 5))?;
279    let currency_values = extract_column::<StringArray>(cols, "currency", 6, DataType::Utf8)?;
280    let price_precision_values =
281        extract_column::<UInt8Array>(cols, "price_precision", 7, DataType::UInt8)?;
282    let size_precision_values =
283        extract_column::<UInt8Array>(cols, "size_precision", 8, DataType::UInt8)?;
284    let price_increment_values =
285        extract_column::<StringArray>(cols, "price_increment", 9, DataType::Utf8)?;
286    let size_increment_values =
287        extract_column::<StringArray>(cols, "size_increment", 10, DataType::Utf8)?;
288    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 11, DataType::Utf8)?;
289    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 12, DataType::Utf8)?;
290    let max_quantity_values = cols
291        .get(13)
292        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 13))?;
293    let min_quantity_values = cols
294        .get(14)
295        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 14))?;
296    let max_price_values = cols
297        .get(15)
298        .ok_or_else(|| EncodingError::MissingColumn("max_price", 15))?;
299    let min_price_values = cols
300        .get(16)
301        .ok_or_else(|| EncodingError::MissingColumn("min_price", 16))?;
302    let activation_ns_values =
303        extract_column::<UInt64Array>(cols, "activation_ns", 17, DataType::UInt64)?;
304    let expiration_ns_values =
305        extract_column::<UInt64Array>(cols, "expiration_ns", 18, DataType::UInt64)?;
306    let margin_init_values =
307        extract_column::<StringArray>(cols, "margin_init", 19, DataType::Utf8)?;
308    let margin_maint_values =
309        extract_column::<StringArray>(cols, "margin_maint", 20, DataType::Utf8)?;
310    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 21, DataType::Utf8)?;
311    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 22, DataType::Utf8)?;
312    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
313    let info_values =
314        extract_column_by_name_or_index::<StringArray>(record_batch, "info", 23, DataType::Utf8)?;
315    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
316        record_batch,
317        "ts_event",
318        24,
319        DataType::UInt64,
320    )?;
321    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
322        record_batch,
323        "ts_init",
324        25,
325        DataType::UInt64,
326    )?;
327
328    let mut result = Vec::with_capacity(num_rows);
329
330    for i in 0..num_rows {
331        let id = InstrumentId::from_str(id_values.value(i))
332            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
333        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
334        let underlying = Ustr::from(underlying_values.value(i));
335        let strategy_type = Ustr::from(strategy_type_values.value(i));
336        let asset_class = AssetClass::from_str(asset_class_values.value(i))
337            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
338
339        let exchange = if exchange_values.is_null(i) {
340            None
341        } else {
342            let exchange_str = exchange_values
343                .as_any()
344                .downcast_ref::<StringArray>()
345                .ok_or_else(|| {
346                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
347                })?
348                .value(i);
349            Some(Ustr::from(exchange_str))
350        };
351
352        let currency = super::decode_currency(
353            currency_values.value(i),
354            "currency",
355            "futures_spread.currency",
356            i,
357        )?;
358        let price_prec = price_precision_values.value(i);
359        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
360
361        let price_increment = Price::from_str(price_increment_values.value(i))
362            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
363        let _size_increment = Quantity::from_str(size_increment_values.value(i))
364            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
365        let multiplier = Quantity::from_str(multiplier_values.value(i))
366            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
367        let lot_size = Quantity::from_str(lot_size_values.value(i))
368            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
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_price = if max_price_values.is_null(i) {
403            None
404        } else {
405            let max_p_str = max_price_values
406                .as_any()
407                .downcast_ref::<StringArray>()
408                .ok_or_else(|| {
409                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
410                })?
411                .value(i);
412            Some(
413                Price::from_str(max_p_str)
414                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
415            )
416        };
417
418        let min_price = if min_price_values.is_null(i) {
419            None
420        } else {
421            let min_p_str = min_price_values
422                .as_any()
423                .downcast_ref::<StringArray>()
424                .ok_or_else(|| {
425                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
426                })?
427                .value(i);
428            Some(
429                Price::from_str(min_p_str)
430                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
431            )
432        };
433
434        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
435        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
436
437        let margin_init = Decimal::from_str(margin_init_values.value(i))
438            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
439        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
440            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
441        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
442            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
443        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
444            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
445
446        let info = if info_values.is_null(i) {
447            None
448        } else {
449            let info_json = info_values
450                .as_any()
451                .downcast_ref::<StringArray>()
452                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
453                .value(i);
454
455            match serde_json::from_str::<Params>(info_json) {
456                Ok(info_dict) => Some(info_dict),
457                Err(e) => {
458                    return Err(EncodingError::ParseError(
459                        "info",
460                        format!("row {i}: failed to deserialize JSON: {e}"),
461                    ));
462                }
463            }
464        };
465
466        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
467        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
468
469        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
470
471        let futures_spread = FuturesSpread::builder()
472            .instrument_id(id)
473            .raw_symbol(raw_symbol)
474            .asset_class(asset_class)
475            .maybe_exchange(exchange)
476            .underlying(underlying)
477            .strategy_type(strategy_type)
478            .activation_ns(activation_ns)
479            .expiration_ns(expiration_ns)
480            .currency(currency)
481            .price_precision(price_prec)
482            .price_increment(price_increment)
483            .multiplier(multiplier)
484            .lot_size(lot_size)
485            .maybe_max_quantity(max_quantity)
486            .maybe_min_quantity(min_quantity)
487            .maybe_max_price(max_price)
488            .maybe_min_price(min_price)
489            .margin_init(margin_init)
490            .margin_maint(margin_maint)
491            .maker_fee(maker_fee)
492            .taker_fee(taker_fee)
493            .maybe_tick_scheme(tick_scheme)
494            .maybe_info(info)
495            .ts_event(ts_event)
496            .ts_init(ts_init)
497            .build()
498            .map_err(|e| super::instrument_validation_error::<FuturesSpread>(i, e))?;
499
500        result.push(futures_spread);
501    }
502
503    Ok(result)
504}
nautilus_serialization/arrow/instrument/futures_spread.rs

nautilus_serialization/arrow/instrument/
futures_spread.rs
