nautilus_serialization/arrow/
report.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
16use std::collections::HashMap;
17
18use arrow::{datatypes::Schema, error::ArrowError, record_batch::RecordBatch};
19use nautilus_model::reports::{
20    ExecutionMassStatus, FillReport, OrderStatusReport, PositionStatusReport,
21};
22
23use super::{
24    ArrowSchemaProvider, DecodeTypedFromRecordBatch, EncodeToRecordBatch, EncodingError,
25    KEY_INSTRUMENT_ID,
26    json::{JsonFieldSpec, decode_batch, encode_batch, metadata_for_type, schema_for_type},
27};
28
29const ORDER_STATUS_REPORT_FIELDS: &[JsonFieldSpec] = &[
30    JsonFieldSpec::utf8("account_id", false),
31    JsonFieldSpec::utf8("instrument_id", false),
32    JsonFieldSpec::utf8("client_order_id", true),
33    JsonFieldSpec::utf8("venue_order_id", false),
34    JsonFieldSpec::utf8("order_side", false),
35    JsonFieldSpec::utf8("order_type", false),
36    JsonFieldSpec::utf8("time_in_force", false),
37    JsonFieldSpec::utf8("order_status", false),
38    JsonFieldSpec::utf8("quantity", false),
39    JsonFieldSpec::utf8("filled_qty", false),
40    JsonFieldSpec::utf8("report_id", false),
41    JsonFieldSpec::timestamp("ts_accepted", false),
42    JsonFieldSpec::timestamp("ts_last", false),
43    JsonFieldSpec::timestamp("ts_init", false),
44    JsonFieldSpec::utf8("order_list_id", true),
45    JsonFieldSpec::utf8("venue_position_id", true),
46    JsonFieldSpec::utf8_json("linked_order_ids", true),
47    JsonFieldSpec::utf8("parent_order_id", true),
48    JsonFieldSpec::utf8("contingency_type", false),
49    JsonFieldSpec::timestamp("expire_time", true),
50    JsonFieldSpec::utf8("price", true),
51    JsonFieldSpec::utf8("activation_price", true),
52    JsonFieldSpec::utf8("trigger_price", true),
53    JsonFieldSpec::utf8("trigger_type", true),
54    JsonFieldSpec::utf8("limit_offset", true),
55    JsonFieldSpec::utf8("trailing_offset", true),
56    JsonFieldSpec::utf8("trailing_offset_type", false),
57    JsonFieldSpec::utf8("avg_px", true),
58    JsonFieldSpec::utf8("display_qty", true),
59    JsonFieldSpec::boolean("post_only", false),
60    JsonFieldSpec::boolean("reduce_only", false),
61    JsonFieldSpec::utf8("cancel_reason", true),
62    JsonFieldSpec::timestamp("ts_triggered", true),
63];
64
65const FILL_REPORT_FIELDS: &[JsonFieldSpec] = &[
66    JsonFieldSpec::utf8("account_id", false),
67    JsonFieldSpec::utf8("instrument_id", false),
68    JsonFieldSpec::utf8("venue_order_id", false),
69    JsonFieldSpec::utf8("trade_id", false),
70    JsonFieldSpec::utf8("order_side", false),
71    JsonFieldSpec::utf8("last_qty", false),
72    JsonFieldSpec::utf8("last_px", false),
73    JsonFieldSpec::utf8("commission", false),
74    JsonFieldSpec::utf8("liquidity_side", false),
75    JsonFieldSpec::utf8("report_id", false),
76    JsonFieldSpec::timestamp("ts_event", false),
77    JsonFieldSpec::timestamp("ts_init", false),
78    JsonFieldSpec::utf8("client_order_id", true),
79    JsonFieldSpec::utf8("venue_position_id", true),
80];
81
82const POSITION_STATUS_REPORT_FIELDS: &[JsonFieldSpec] = &[
83    JsonFieldSpec::utf8("account_id", false),
84    JsonFieldSpec::utf8("instrument_id", false),
85    JsonFieldSpec::utf8("position_side", false),
86    JsonFieldSpec::utf8("quantity", false),
87    JsonFieldSpec::utf8("signed_decimal_qty", false),
88    JsonFieldSpec::utf8("report_id", false),
89    JsonFieldSpec::timestamp("ts_last", false),
90    JsonFieldSpec::timestamp("ts_init", false),
91    JsonFieldSpec::utf8("venue_position_id", true),
92    JsonFieldSpec::utf8("avg_px_open", true),
93];
94
95const EXECUTION_MASS_STATUS_FIELDS: &[JsonFieldSpec] = &[
96    JsonFieldSpec::utf8("client_id", false),
97    JsonFieldSpec::utf8("account_id", false),
98    JsonFieldSpec::utf8("venue", false),
99    JsonFieldSpec::utf8("report_id", false),
100    JsonFieldSpec::timestamp("ts_init", false),
101    JsonFieldSpec::utf8_json("order_reports", false),
102    JsonFieldSpec::utf8_json("fill_reports", false),
103    JsonFieldSpec::utf8_json("position_reports", false),
104];
105
106fn instrument_metadata(type_name: &'static str, instrument_id: &str) -> HashMap<String, String> {
107    let mut metadata = metadata_for_type(type_name);
108    metadata.insert(KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string());
109    metadata
110}
111
112macro_rules! impl_report_arrow {
113    ($type:ty, $type_name:expr, $fields:expr) => {
114        impl ArrowSchemaProvider for $type {
115            fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
116                schema_for_type($type_name, metadata, $fields)
117            }
118        }
119
120        impl EncodeToRecordBatch for $type {
121            fn encode_batch<T>(
122                metadata: &HashMap<String, String>,
123                data: &[T],
124            ) -> Result<RecordBatch, ArrowError>
125            where
126                T: std::borrow::Borrow<Self>,
127            {
128                encode_batch(
129                    $type_name,
130                    metadata,
131                    data.iter().map(std::borrow::Borrow::borrow),
132                    $fields,
133                )
134            }
135
136            fn metadata(&self) -> HashMap<String, String> {
137                instrument_metadata($type_name, &self.instrument_id.to_string())
138            }
139        }
140
141        impl DecodeTypedFromRecordBatch for $type {
142            fn decode_typed_batch(
143                metadata: &HashMap<String, String>,
144                record_batch: RecordBatch,
145            ) -> Result<Vec<Self>, EncodingError> {
146                decode_batch(metadata, &record_batch, $fields, Some($type_name))
147            }
148        }
149    };
150}
151
152impl_report_arrow!(
153    OrderStatusReport,
154    "OrderStatusReport",
155    ORDER_STATUS_REPORT_FIELDS
156);
157impl_report_arrow!(FillReport, "FillReport", FILL_REPORT_FIELDS);
158impl_report_arrow!(
159    PositionStatusReport,
160    "PositionStatusReport",
161    POSITION_STATUS_REPORT_FIELDS
162);
163
164impl ArrowSchemaProvider for ExecutionMassStatus {
165    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
166        schema_for_type(
167            "ExecutionMassStatus",
168            metadata,
169            EXECUTION_MASS_STATUS_FIELDS,
170        )
171    }
172}
173
174impl EncodeToRecordBatch for ExecutionMassStatus {
175    fn encode_batch<T>(
176        metadata: &HashMap<String, String>,
177        data: &[T],
178    ) -> Result<RecordBatch, ArrowError>
179    where
180        T: std::borrow::Borrow<Self>,
181    {
182        encode_batch(
183            "ExecutionMassStatus",
184            metadata,
185            data.iter().map(std::borrow::Borrow::borrow),
186            EXECUTION_MASS_STATUS_FIELDS,
187        )
188    }
189
190    fn metadata(&self) -> HashMap<String, String> {
191        metadata_for_type("ExecutionMassStatus")
192    }
193}
194
195impl DecodeTypedFromRecordBatch for ExecutionMassStatus {
196    fn decode_typed_batch(
197        metadata: &HashMap<String, String>,
198        record_batch: RecordBatch,
199    ) -> Result<Vec<Self>, EncodingError> {
200        decode_batch(
201            metadata,
202            &record_batch,
203            EXECUTION_MASS_STATUS_FIELDS,
204            Some("ExecutionMassStatus"),
205        )
206    }
207}
208
209#[cfg(test)]
210mod tests {
211    use std::str::FromStr;
212
213    use nautilus_core::{UUID4, UnixNanos};
214    use nautilus_model::{
215        enums::{OrderSide, OrderStatus, OrderType, PositionSide, TimeInForce},
216        identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, VenueOrderId},
217        reports::{OrderStatusReport, PositionStatusReport},
218        types::{Price, Quantity},
219    };
220    use rstest::rstest;
221    use rust_decimal::Decimal;
222
223    use super::*;
224
225    #[rstest]
226    fn test_order_status_report_round_trip() {
227        let report = OrderStatusReport::new(
228            AccountId::from("SIM-001"),
229            InstrumentId::from("AUDUSD.SIM"),
230            Some(ClientOrderId::from("O-19700101-000000-001-001-1")),
231            VenueOrderId::from("1"),
232            OrderSide::Buy.into(),
233            OrderType::Limit,
234            TimeInForce::Gtc,
235            OrderStatus::Accepted,
236            Quantity::from("100"),
237            Quantity::from("25"),
238            UnixNanos::from(1_000_000_000),
239            UnixNanos::from(2_000_000_000),
240            UnixNanos::from(3_000_000_000),
241            None,
242        )
243        .with_linked_order_ids([ClientOrderId::from("O-19700101-000000-001-001-2")]);
244        let report = OrderStatusReport {
245            activation_price: Some(Price::from("1.05000")),
246            limit_offset: Some(Decimal::from_str("0.123456789123456789").unwrap()),
247            trailing_offset: Some(Decimal::from_str("0.987654321987654321").unwrap()),
248            avg_px: Some(Decimal::from_str("1.23456789123456789").unwrap()),
249            ..report
250        };
251
252        let metadata = report.metadata();
253        let batch =
254            OrderStatusReport::encode_batch(&metadata, std::slice::from_ref(&report)).unwrap();
255        let decoded =
256            OrderStatusReport::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
257
258        assert_eq!(decoded, vec![report]);
259    }
260
261    #[rstest]
262    fn test_position_status_report_round_trip_preserves_decimal_precision() {
263        let report = PositionStatusReport {
264            account_id: AccountId::from("SIM-001"),
265            instrument_id: InstrumentId::from("AUDUSD.SIM"),
266            position_side: PositionSide::Long,
267            quantity: Quantity::from("100.25"),
268            signed_decimal_qty: Decimal::from_str("100.250000000123456789").unwrap(),
269            report_id: UUID4::default(),
270            ts_last: UnixNanos::from(1_000_000_000),
271            ts_init: UnixNanos::from(2_000_000_000),
272            venue_position_id: Some(PositionId::from("P-001")),
273            avg_px_open: Some(Decimal::from_str("1.23456789123456789").unwrap()),
274        };
275        let metadata = report.metadata();
276        let batch =
277            PositionStatusReport::encode_batch(&metadata, std::slice::from_ref(&report)).unwrap();
278        let decoded =
279            PositionStatusReport::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
280
281        assert_eq!(decoded, vec![report]);
282    }
283}
nautilus_serialization/arrow/report.rs

nautilus_serialization/arrow/
report.rs
