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

nautilus_serialization/arrow/instrument/
tokenized_asset.rs
