nautilus-infrastructure 0.61.0

Infrastructure components for the Nautilus trading engine
Documentation 
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// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

use std::str::FromStr;

use nautilus_core::UnixNanos;
use nautilus_model::{
    data::{Bar, BarSpecification, BarType, QuoteTick, TradeTick},
    identifiers::{InstrumentId, TradeId},
    types::{Price, Quantity},
};
use sqlx::{Error, FromRow, Row, postgres::PgRow};

use crate::sql::models::{
    enums::{AggregationSourceModel, AggressorSideModel, BarAggregationModel, PriceTypeModel},
    read_usize,
};

#[derive(Debug)]
pub struct QuoteTickModel(pub QuoteTick);

#[derive(Debug)]
pub struct TradeTickModel(pub TradeTick);

#[derive(Debug)]
pub struct BarModel(pub Bar);

impl<'r> FromRow<'r, PgRow> for QuoteTickModel {
    fn from_row(row: &'r PgRow) -> Result<Self, Error> {
        let instrument_id = row
            .try_get::<&str, _>("instrument_id")
            .map(InstrumentId::from)?;
        let bid_price = row.try_get::<&str, _>("bid_price").map(Price::from)?;
        let ask_price = row.try_get::<&str, _>("ask_price").map(Price::from)?;
        let bid_size = row.try_get::<&str, _>("bid_size").map(Quantity::from)?;
        let ask_size = row.try_get::<&str, _>("ask_size").map(Quantity::from)?;
        let ts_event = row.try_get::<&str, _>("ts_event").map(UnixNanos::from)?;
        let ts_init = row.try_get::<&str, _>("ts_init").map(UnixNanos::from)?;
        let quote = QuoteTick::new(
            instrument_id,
            bid_price,
            ask_price,
            bid_size,
            ask_size,
            ts_event,
            ts_init,
        );
        Ok(Self(quote))
    }
}

impl<'r> FromRow<'r, PgRow> for TradeTickModel {
    fn from_row(row: &'r PgRow) -> Result<Self, Error> {
        let instrument_id = row
            .try_get::<&str, _>("instrument_id")
            .map(InstrumentId::from)?;
        let price = row.try_get::<&str, _>("price").map(Price::from)?;
        let size = row.try_get::<&str, _>("quantity").map(Quantity::from)?;
        let aggressor_side = row
            .try_get::<AggressorSideModel, _>("aggressor_side")
            .map(|x| x.0)?;
        let trade_id = row
            .try_get::<&str, _>("venue_trade_id")
            .map(TradeId::from)?;
        let ts_event = row.try_get::<&str, _>("ts_event").map(UnixNanos::from)?;
        let ts_init = row.try_get::<&str, _>("ts_init").map(UnixNanos::from)?;
        let trade = TradeTick::new(
            instrument_id,
            price,
            size,
            aggressor_side,
            trade_id,
            ts_event,
            ts_init,
        );
        Ok(Self(trade))
    }
}

impl<'r> FromRow<'r, PgRow> for BarModel {
    fn from_row(row: &'r PgRow) -> Result<Self, Error> {
        fn decode<T: FromStr>(row: &PgRow, column: &str) -> Result<T, Error>
        where
            T::Err: std::fmt::Display,
        {
            row.try_get::<&str, _>(column)?.parse::<T>().map_err(|e| {
                Error::Decode(format!("Invalid `{column}` value in bar row: {e}").into())
            })
        }

        let instrument_id: InstrumentId = decode(row, "instrument_id")?;
        let step = read_usize(row, "step")?;
        let price_type = row
            .try_get::<PriceTypeModel, _>("price_type")
            .map(|x| x.0)?;
        let bar_aggregation = row
            .try_get::<BarAggregationModel, _>("bar_aggregation")
            .map(|x| x.0)?;
        let aggregation_source = row
            .try_get::<AggregationSourceModel, _>("aggregation_source")
            .map(|x| x.0)?;
        let spec = BarSpecification::new_checked(step, bar_aggregation, price_type)
            .map_err(|e| Error::Decode(format!("Invalid bar specification in row: {e}").into()))?;
        let bar_type = BarType::new(instrument_id, spec, aggregation_source);
        let open: Price = decode(row, "open")?;
        let high: Price = decode(row, "high")?;
        let low: Price = decode(row, "low")?;
        let close: Price = decode(row, "close")?;
        let volume: Quantity = decode(row, "volume")?;
        let ts_event: UnixNanos = decode(row, "ts_event")?;
        let ts_init: UnixNanos = decode(row, "ts_init")?;
        let bar = Bar::new_checked(bar_type, open, high, low, close, volume, ts_event, ts_init)
            .map_err(|e| Error::Decode(format!("Invalid bar in row: {e}").into()))?;
        Ok(Self(bar))
    }
}