nautilus_serialization/arrow/instrument/
perpetual_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 PerpetualContract 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, UnixNanos};
29use nautilus_model::{
30    enums::AssetClass,
31    identifiers::{InstrumentId, Symbol},
32    instruments::perpetual_contract::PerpetualContract,
33    types::{money::Money, price::Price, quantity::Quantity},
34};
35use rust_decimal::Decimal;
36use ustr::Ustr;
37
38use super::KEY_CLASS;
39use crate::arrow::{
40    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
41    KEY_PRICE_PRECISION, extract_column, extract_column_by_name_or_index,
42    extract_optional_string_column_by_name, json_string_field, optional_ustr_value,
43    record_batch_with_timestamps, record_batch_with_u64_timestamps, timestamp_data_type,
44};
45
46impl ArrowSchemaProvider for PerpetualContract {
47    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
48        let fields = vec![
49            Field::new("id", DataType::Utf8, false),
50            Field::new("raw_symbol", DataType::Utf8, false),
51            Field::new("underlying", DataType::Utf8, false),
52            Field::new("asset_class", DataType::Utf8, false),
53            Field::new("base_currency", DataType::Utf8, true), // nullable
54            Field::new("quote_currency", DataType::Utf8, false),
55            Field::new("settlement_currency", DataType::Utf8, false),
56            Field::new("is_inverse", DataType::Boolean, false),
57            Field::new("price_precision", DataType::UInt8, false),
58            Field::new("size_precision", DataType::UInt8, false),
59            Field::new("price_increment", DataType::Utf8, false),
60            Field::new("size_increment", DataType::Utf8, false),
61            Field::new("multiplier", DataType::Utf8, false),
62            Field::new("lot_size", DataType::Utf8, false),
63            Field::new("max_quantity", DataType::Utf8, true), // nullable
64            Field::new("min_quantity", DataType::Utf8, true), // nullable
65            Field::new("max_notional", DataType::Utf8, true), // nullable
66            Field::new("min_notional", DataType::Utf8, true), // nullable
67            Field::new("max_price", DataType::Utf8, true),    // nullable
68            Field::new("min_price", DataType::Utf8, true),    // nullable
69            Field::new("margin_init", DataType::Utf8, false),
70            Field::new("margin_maint", DataType::Utf8, false),
71            Field::new("maker_fee", DataType::Utf8, false),
72            Field::new("taker_fee", DataType::Utf8, false),
73            Field::new("tick_scheme", DataType::Utf8, true),
74            json_string_field("info", true),
75            Field::new("ts_event", timestamp_data_type(), false),
76            Field::new("ts_init", timestamp_data_type(), false),
77        ];
78
79        let mut final_metadata = HashMap::new();
80        final_metadata.insert(KEY_CLASS.to_string(), "PerpetualContract".to_string());
81
82        if let Some(meta) = metadata {
83            final_metadata.extend(meta);
84        }
85
86        Schema::new_with_metadata(fields, final_metadata)
87    }
88}
89
90impl EncodeToRecordBatch for PerpetualContract {
91    fn encode_batch<T>(
92        #[allow(unused)] metadata: &HashMap<String, String>,
93        data: &[T],
94    ) -> Result<RecordBatch, ArrowError>
95    where
96        T: std::borrow::Borrow<Self>,
97    {
98        let mut id_builder = StringBuilder::new();
99        let mut raw_symbol_builder = StringBuilder::new();
100        let mut underlying_builder = StringBuilder::new();
101        let mut asset_class_builder = StringBuilder::new();
102        let mut base_currency_builder = StringBuilder::new();
103        let mut quote_currency_builder = StringBuilder::new();
104        let mut settlement_currency_builder = StringBuilder::new();
105        let mut is_inverse_builder = BooleanBuilder::new();
106        let mut price_precision_builder = UInt8Array::builder(data.len());
107        let mut size_precision_builder = UInt8Array::builder(data.len());
108        let mut price_increment_builder = StringBuilder::new();
109        let mut size_increment_builder = StringBuilder::new();
110        let mut multiplier_builder = StringBuilder::new();
111        let mut lot_size_builder = StringBuilder::new();
112        let mut max_quantity_builder = StringBuilder::new();
113        let mut min_quantity_builder = StringBuilder::new();
114        let mut max_notional_builder = StringBuilder::new();
115        let mut min_notional_builder = StringBuilder::new();
116        let mut max_price_builder = StringBuilder::new();
117        let mut min_price_builder = StringBuilder::new();
118        let mut margin_init_builder = StringBuilder::new();
119        let mut margin_maint_builder = StringBuilder::new();
120        let mut maker_fee_builder = StringBuilder::new();
121        let mut taker_fee_builder = StringBuilder::new();
122        let mut tick_scheme_builder = StringBuilder::new();
123        let mut info_builder = StringBuilder::new();
124        let mut ts_event_builder = UInt64Array::builder(data.len());
125        let mut ts_init_builder = UInt64Array::builder(data.len());
126
127        for perp in data.iter().map(Borrow::borrow) {
128            id_builder.append_value(perp.id.to_string());
129            raw_symbol_builder.append_value(perp.raw_symbol);
130            underlying_builder.append_value(perp.underlying.as_str());
131            asset_class_builder.append_value(perp.asset_class);
132
133            if let Some(base_cur) = perp.base_currency {
134                base_currency_builder.append_value(base_cur.to_string());
135            } else {
136                base_currency_builder.append_null();
137            }
138
139            quote_currency_builder.append_value(perp.quote_currency.to_string());
140            settlement_currency_builder.append_value(perp.settlement_currency.to_string());
141            is_inverse_builder.append_value(perp.is_inverse);
142            price_precision_builder.append_value(perp.price_precision);
143            size_precision_builder.append_value(perp.size_precision);
144            price_increment_builder.append_value(perp.price_increment.to_string());
145            size_increment_builder.append_value(perp.size_increment.to_string());
146            multiplier_builder.append_value(perp.multiplier.to_string());
147            lot_size_builder.append_value(perp.lot_size.to_string());
148
149            if let Some(max_qty) = perp.max_quantity {
150                max_quantity_builder.append_value(max_qty.to_string());
151            } else {
152                max_quantity_builder.append_null();
153            }
154
155            if let Some(min_qty) = perp.min_quantity {
156                min_quantity_builder.append_value(min_qty.to_string());
157            } else {
158                min_quantity_builder.append_null();
159            }
160
161            if let Some(max_not) = perp.max_notional {
162                max_notional_builder.append_value(max_not.to_string());
163            } else {
164                max_notional_builder.append_null();
165            }
166
167            if let Some(min_not) = perp.min_notional {
168                min_notional_builder.append_value(min_not.to_string());
169            } else {
170                min_notional_builder.append_null();
171            }
172
173            if let Some(max_p) = perp.max_price {
174                max_price_builder.append_value(max_p.to_string());
175            } else {
176                max_price_builder.append_null();
177            }
178
179            if let Some(min_p) = perp.min_price {
180                min_price_builder.append_value(min_p.to_string());
181            } else {
182                min_price_builder.append_null();
183            }
184
185            margin_init_builder.append_value(perp.margin_init.to_string());
186            margin_maint_builder.append_value(perp.margin_maint.to_string());
187            maker_fee_builder.append_value(perp.maker_fee.to_string());
188            taker_fee_builder.append_value(perp.taker_fee.to_string());
189
190            if let Some(tick_scheme) = perp.tick_scheme {
191                tick_scheme_builder.append_value(tick_scheme);
192            } else {
193                tick_scheme_builder.append_null();
194            }
195
196            if let Some(ref info) = perp.info {
197                match serde_json::to_string(info) {
198                    Ok(json) => {
199                        info_builder.append_value(json);
200                    }
201                    Err(e) => {
202                        return Err(ArrowError::InvalidArgumentError(format!(
203                            "Failed to serialize info dict to JSON: {e}"
204                        )));
205                    }
206                }
207            } else {
208                info_builder.append_null();
209            }
210
211            ts_event_builder.append_value(perp.ts_event.as_u64());
212            ts_init_builder.append_value(perp.ts_init.as_u64());
213        }
214
215        let mut final_metadata = metadata.clone();
216        final_metadata.insert(KEY_CLASS.to_string(), "PerpetualContract".to_string());
217
218        record_batch_with_timestamps(
219            Self::get_schema(Some(final_metadata)).into(),
220            vec![
221                Arc::new(id_builder.finish()),
222                Arc::new(raw_symbol_builder.finish()),
223                Arc::new(underlying_builder.finish()),
224                Arc::new(asset_class_builder.finish()),
225                Arc::new(base_currency_builder.finish()),
226                Arc::new(quote_currency_builder.finish()),
227                Arc::new(settlement_currency_builder.finish()),
228                Arc::new(is_inverse_builder.finish()),
229                Arc::new(price_precision_builder.finish()),
230                Arc::new(size_precision_builder.finish()),
231                Arc::new(price_increment_builder.finish()),
232                Arc::new(size_increment_builder.finish()),
233                Arc::new(multiplier_builder.finish()),
234                Arc::new(lot_size_builder.finish()),
235                Arc::new(max_quantity_builder.finish()),
236                Arc::new(min_quantity_builder.finish()),
237                Arc::new(max_notional_builder.finish()),
238                Arc::new(min_notional_builder.finish()),
239                Arc::new(max_price_builder.finish()),
240                Arc::new(min_price_builder.finish()),
241                Arc::new(margin_init_builder.finish()),
242                Arc::new(margin_maint_builder.finish()),
243                Arc::new(maker_fee_builder.finish()),
244                Arc::new(taker_fee_builder.finish()),
245                Arc::new(tick_scheme_builder.finish()),
246                Arc::new(info_builder.finish()),
247                Arc::new(ts_event_builder.finish()),
248                Arc::new(ts_init_builder.finish()),
249            ],
250        )
251    }
252
253    fn metadata(&self) -> HashMap<String, String> {
254        let mut metadata = HashMap::new();
255        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
256        metadata.insert(
257            KEY_PRICE_PRECISION.to_string(),
258            self.price_precision.to_string(),
259        );
260        metadata
261    }
262}
263
264/// Decodes [`PerpetualContract`] instruments from a record batch.
265///
266/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
267///
268/// # Errors
269///
270/// Returns an `EncodingError` if the record batch cannot be decoded.
271///
272/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
273pub fn decode_perpetual_contract_batch(
274    #[allow(unused)] metadata: &HashMap<String, String>,
275    record_batch: &RecordBatch,
276) -> Result<Vec<PerpetualContract>, EncodingError> {
277    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
278    let record_batch = &record_batch;
279    let cols = record_batch.columns();
280    let num_rows = record_batch.num_rows();
281
282    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
283    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
284    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
285    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
286    let base_currency_values = cols
287        .get(4)
288        .ok_or_else(|| EncodingError::MissingColumn("base_currency", 4))?;
289    let quote_currency_values =
290        extract_column::<StringArray>(cols, "quote_currency", 5, DataType::Utf8)?;
291    let settlement_currency_values =
292        extract_column::<StringArray>(cols, "settlement_currency", 6, DataType::Utf8)?;
293    let is_inverse_values =
294        extract_column::<BooleanArray>(cols, "is_inverse", 7, DataType::Boolean)?;
295    let price_precision_values =
296        extract_column::<UInt8Array>(cols, "price_precision", 8, DataType::UInt8)?;
297    let size_precision_values =
298        extract_column::<UInt8Array>(cols, "size_precision", 9, DataType::UInt8)?;
299    let price_increment_values =
300        extract_column::<StringArray>(cols, "price_increment", 10, DataType::Utf8)?;
301    let size_increment_values =
302        extract_column::<StringArray>(cols, "size_increment", 11, DataType::Utf8)?;
303    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 12, DataType::Utf8)?;
304    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 13, DataType::Utf8)?;
305    let max_quantity_values = cols
306        .get(14)
307        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 14))?;
308    let min_quantity_values = cols
309        .get(15)
310        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 15))?;
311    let max_notional_values = cols
312        .get(16)
313        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 16))?;
314    let min_notional_values = cols
315        .get(17)
316        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 17))?;
317    let max_price_values = cols
318        .get(18)
319        .ok_or_else(|| EncodingError::MissingColumn("max_price", 18))?;
320    let min_price_values = cols
321        .get(19)
322        .ok_or_else(|| EncodingError::MissingColumn("min_price", 19))?;
323    let margin_init_values =
324        extract_column::<StringArray>(cols, "margin_init", 20, DataType::Utf8)?;
325    let margin_maint_values =
326        extract_column::<StringArray>(cols, "margin_maint", 21, DataType::Utf8)?;
327    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 22, DataType::Utf8)?;
328    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 23, DataType::Utf8)?;
329    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
330    let info_values =
331        extract_column_by_name_or_index::<StringArray>(record_batch, "info", 24, DataType::Utf8)?;
332    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
333        record_batch,
334        "ts_event",
335        25,
336        DataType::UInt64,
337    )?;
338    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
339        record_batch,
340        "ts_init",
341        26,
342        DataType::UInt64,
343    )?;
344
345    let mut result = Vec::with_capacity(num_rows);
346
347    for i in 0..num_rows {
348        let id = InstrumentId::from_str(id_values.value(i))
349            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
350        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
351        let underlying = Ustr::from(underlying_values.value(i));
352        let asset_class = AssetClass::from_str(asset_class_values.value(i))
353            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
354
355        let base_currency = if base_currency_values.is_null(i) {
356            None
357        } else {
358            let base_cur_str = base_currency_values
359                .as_any()
360                .downcast_ref::<StringArray>()
361                .ok_or_else(|| {
362                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
363                })?
364                .value(i);
365            Some(super::decode_currency(
366                base_cur_str,
367                "base_currency",
368                "perpetual_contract.base_currency",
369                i,
370            )?)
371        };
372
373        let quote_currency = super::decode_currency(
374            quote_currency_values.value(i),
375            "quote_currency",
376            "perpetual_contract.quote_currency",
377            i,
378        )?;
379        let settlement_currency = super::decode_currency(
380            settlement_currency_values.value(i),
381            "settlement_currency",
382            "perpetual_contract.settlement_currency",
383            i,
384        )?;
385        let is_inverse = is_inverse_values.value(i);
386        let price_prec = price_precision_values.value(i);
387        let size_prec = size_precision_values.value(i);
388
389        let price_increment = Price::from_str(price_increment_values.value(i))
390            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
391        let size_increment = Quantity::from_str(size_increment_values.value(i))
392            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
393
394        let multiplier = Quantity::from_str(multiplier_values.value(i))
395            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
396        let lot_size = Quantity::from_str(lot_size_values.value(i))
397            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
398
399        let max_quantity =
400            if max_quantity_values.is_null(i) {
401                None
402            } else {
403                let max_qty_str = max_quantity_values
404                    .as_any()
405                    .downcast_ref::<StringArray>()
406                    .ok_or_else(|| {
407                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
408                    })?
409                    .value(i);
410                Some(Quantity::from_str(max_qty_str).map_err(|e| {
411                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
412                })?)
413            };
414
415        let min_quantity =
416            if min_quantity_values.is_null(i) {
417                None
418            } else {
419                let min_qty_str = min_quantity_values
420                    .as_any()
421                    .downcast_ref::<StringArray>()
422                    .ok_or_else(|| {
423                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
424                    })?
425                    .value(i);
426                Some(Quantity::from_str(min_qty_str).map_err(|e| {
427                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
428                })?)
429            };
430
431        let max_notional =
432            if max_notional_values.is_null(i) {
433                None
434            } else {
435                let max_not_str = max_notional_values
436                    .as_any()
437                    .downcast_ref::<StringArray>()
438                    .ok_or_else(|| {
439                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
440                    })?
441                    .value(i);
442                Some(Money::from_str(max_not_str).map_err(|e| {
443                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
444                })?)
445            };
446
447        let min_notional =
448            if min_notional_values.is_null(i) {
449                None
450            } else {
451                let min_not_str = min_notional_values
452                    .as_any()
453                    .downcast_ref::<StringArray>()
454                    .ok_or_else(|| {
455                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
456                    })?
457                    .value(i);
458                Some(Money::from_str(min_not_str).map_err(|e| {
459                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
460                })?)
461            };
462
463        let max_price = if max_price_values.is_null(i) {
464            None
465        } else {
466            let max_p_str = max_price_values
467                .as_any()
468                .downcast_ref::<StringArray>()
469                .ok_or_else(|| {
470                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
471                })?
472                .value(i);
473            Some(
474                Price::from_str(max_p_str)
475                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
476            )
477        };
478
479        let min_price = if min_price_values.is_null(i) {
480            None
481        } else {
482            let min_p_str = min_price_values
483                .as_any()
484                .downcast_ref::<StringArray>()
485                .ok_or_else(|| {
486                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
487                })?
488                .value(i);
489            Some(
490                Price::from_str(min_p_str)
491                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
492            )
493        };
494
495        let margin_init = Decimal::from_str(margin_init_values.value(i))
496            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
497        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
498            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
499        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
500            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
501        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
502            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
503
504        let info = if info_values.is_null(i) {
505            None
506        } else {
507            let info_json = info_values
508                .as_any()
509                .downcast_ref::<StringArray>()
510                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
511                .value(i);
512
513            match serde_json::from_str::<Params>(info_json) {
514                Ok(info_dict) => Some(info_dict),
515                Err(e) => {
516                    return Err(EncodingError::ParseError(
517                        "info",
518                        format!("row {i}: failed to deserialize JSON: {e}"),
519                    ));
520                }
521            }
522        };
523
524        let ts_event = UnixNanos::from(ts_event_values.value(i));
525        let ts_init = UnixNanos::from(ts_init_values.value(i));
526
527        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
528
529        let perp = PerpetualContract::builder()
530            .instrument_id(id)
531            .raw_symbol(raw_symbol)
532            .underlying(underlying)
533            .asset_class(asset_class)
534            .maybe_base_currency(base_currency)
535            .quote_currency(quote_currency)
536            .settlement_currency(settlement_currency)
537            .is_inverse(is_inverse)
538            .price_precision(price_prec)
539            .size_precision(size_prec)
540            .price_increment(price_increment)
541            .size_increment(size_increment)
542            .multiplier(multiplier)
543            .lot_size(lot_size)
544            .maybe_max_quantity(max_quantity)
545            .maybe_min_quantity(min_quantity)
546            .maybe_max_notional(max_notional)
547            .maybe_min_notional(min_notional)
548            .maybe_max_price(max_price)
549            .maybe_min_price(min_price)
550            .margin_init(margin_init)
551            .margin_maint(margin_maint)
552            .maker_fee(maker_fee)
553            .taker_fee(taker_fee)
554            .maybe_tick_scheme(tick_scheme)
555            .maybe_info(info)
556            .ts_event(ts_event)
557            .ts_init(ts_init)
558            .build()
559            .map_err(|e| super::instrument_validation_error::<PerpetualContract>(i, e))?;
560
561        result.push(perp);
562    }
563
564    Ok(result)
565}
nautilus_serialization/arrow/instrument/perpetual_contract.rs

nautilus_serialization/arrow/instrument/
perpetual_contract.rs
