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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::collections::HashMap;
use nautilus_core::{UnixNanos, python::to_pytype_err};
use nautilus_model::{
data::{
Bar, Data, IndexPriceUpdate, MarkPriceUpdate, OrderBookDelta, OrderBookDepth10, QuoteTick,
TradeTick, close::InstrumentClose,
},
python::instruments::{instrument_any_to_pyobject, pyobject_to_instrument_any},
};
use pyo3::{exceptions::PyIOError, prelude::*, types::PyList};
use crate::backend::catalog::ParquetDataCatalog;
/// Converts a single `Data` variant into a Python object for returning from catalog methods.
fn data_to_pyobject(py: Python<'_>, item: Data) -> PyResult<Py<PyAny>> {
match item {
Data::Quote(quote) => Py::new(py, quote).map(|x| x.into_any()),
Data::Trade(trade) => Py::new(py, trade).map(|x| x.into_any()),
Data::Bar(bar) => Py::new(py, bar).map(|x| x.into_any()),
Data::Delta(delta) => Py::new(py, delta).map(|x| x.into_any()),
Data::Deltas(deltas) => Py::new(py, (*deltas).clone()).map(|x| x.into_any()),
Data::Depth10(depth) => Py::new(py, *depth).map(|x| x.into_any()),
Data::IndexPriceUpdate(price) => Py::new(py, price).map(|x| x.into_any()),
Data::MarkPriceUpdate(price) => Py::new(py, price).map(|x| x.into_any()),
Data::InstrumentClose(close) => Py::new(py, close).map(|x| x.into_any()),
Data::Custom(custom) => Py::new(py, custom).map(|x| x.into_any()),
}
}
/// A catalog for writing data to Parquet files.
#[pyclass(
name = "ParquetDataCatalog",
module = "nautilus_trader.core.nautilus_pyo3.persistence"
)]
#[pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.persistence")]
pub struct PyParquetDataCatalog {
inner: ParquetDataCatalog,
}
#[pymethods]
#[pyo3_stub_gen::derive::gen_stub_pymethods]
impl PyParquetDataCatalog {
/// Create a new `ParquetCatalog` with the given base path and optional parameters.
///
/// # Parameters
///
/// - `base_path`: The base path for the catalog
/// - `storage_options`: Optional storage configuration for cloud backends
/// - `batch_size`: Optional batch size for processing (default: 5000)
/// - `compression`: Optional compression type (0=UNCOMPRESSED, 1=SNAPPY, 2=GZIP, 3=LZO, 4=BROTLI, 5=LZ4, 6=ZSTD)
/// - `max_row_group_size`: Optional maximum row group size (default: 5000)
#[new]
#[pyo3(signature = (base_path, storage_options=None, batch_size=None, compression=None, max_row_group_size=None))]
#[must_use]
pub fn new(
base_path: &str,
storage_options: Option<HashMap<String, String>>,
batch_size: Option<usize>,
compression: Option<u8>,
max_row_group_size: Option<usize>,
) -> Self {
let compression = compression.map(|c| match c {
0 => parquet::basic::Compression::UNCOMPRESSED,
1 => parquet::basic::Compression::SNAPPY,
// For GZIP, LZO, BROTLI, LZ4, ZSTD we need to use the default level
// since we can't pass the level parameter through PyO3
2 => {
let level = parquet::basic::GzipLevel::default();
parquet::basic::Compression::GZIP(level)
}
3 => parquet::basic::Compression::LZO,
4 => {
let level = parquet::basic::BrotliLevel::default();
parquet::basic::Compression::BROTLI(level)
}
5 => parquet::basic::Compression::LZ4,
6 => {
let level = parquet::basic::ZstdLevel::default();
parquet::basic::Compression::ZSTD(level)
}
_ => parquet::basic::Compression::SNAPPY,
});
// Convert HashMap to AHashMap for internal use
let storage_options = storage_options.map(|m| m.into_iter().collect());
Self {
inner: ParquetDataCatalog::from_uri(
base_path,
storage_options,
batch_size,
compression,
max_row_group_size,
)
.expect("Failed to create ParquetDataCatalog"),
}
}
// TODO: Cannot pass mixed data across pyo3 as a single type
// pub fn write_data(mut slf: PyRefMut<'_, Self>, data_type: NautilusDataType, data: Vec<Data>) {}
/// Write quote tick data to Parquet files.
///
/// # Parameters
///
/// - `data`: Vector of quote ticks to write
/// - `start`: Optional start timestamp override (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp override (nanoseconds since Unix epoch)
///
/// # Returns
///
/// Returns the path of the created file as a string.
#[pyo3(signature = (data, start=None, end=None, skip_disjoint_check=false))]
pub fn write_quote_ticks(
&self,
data: Vec<QuoteTick>,
start: Option<u64>,
end: Option<u64>,
skip_disjoint_check: bool,
) -> PyResult<String> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.write_to_parquet(data, start_nanos, end_nanos, Some(skip_disjoint_check))
.map(|path| path.to_string_lossy().to_string())
.map_err(|e| PyIOError::new_err(format!("Failed to write quote ticks: {e}")))
}
/// Write trade tick data to Parquet files.
///
/// # Parameters
///
/// - `data`: Vector of trade ticks to write
/// - `start`: Optional start timestamp override (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp override (nanoseconds since Unix epoch)
///
/// # Returns
///
/// Returns the path of the created file as a string.
#[pyo3(signature = (data, start=None, end=None, skip_disjoint_check=false))]
pub fn write_trade_ticks(
&self,
data: Vec<TradeTick>,
start: Option<u64>,
end: Option<u64>,
skip_disjoint_check: bool,
) -> PyResult<String> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.write_to_parquet(data, start_nanos, end_nanos, Some(skip_disjoint_check))
.map(|path| path.to_string_lossy().to_string())
.map_err(|e| PyIOError::new_err(format!("Failed to write trade ticks: {e}")))
}
/// Write order book delta data to Parquet files.
///
/// # Parameters
///
/// - `data`: Vector of order book deltas to write
/// - `start`: Optional start timestamp override (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp override (nanoseconds since Unix epoch)
///
/// # Returns
///
/// Returns the path of the created file as a string.
#[pyo3(signature = (data, start=None, end=None, skip_disjoint_check=false))]
pub fn write_order_book_deltas(
&self,
data: Vec<OrderBookDelta>,
start: Option<u64>,
end: Option<u64>,
skip_disjoint_check: bool,
) -> PyResult<String> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.write_to_parquet(data, start_nanos, end_nanos, Some(skip_disjoint_check))
.map(|path| path.to_string_lossy().to_string())
.map_err(|e| PyIOError::new_err(format!("Failed to write order book deltas: {e}")))
}
/// Write bar data to Parquet files.
///
/// # Parameters
///
/// - `data`: Vector of bars to write
/// - `start`: Optional start timestamp override (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp override (nanoseconds since Unix epoch)
///
/// # Returns
///
/// Returns the path of the created file as a string.
#[pyo3(signature = (data, start=None, end=None, skip_disjoint_check=false))]
pub fn write_bars(
&self,
data: Vec<Bar>,
start: Option<u64>,
end: Option<u64>,
skip_disjoint_check: bool,
) -> PyResult<String> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.write_to_parquet(data, start_nanos, end_nanos, Some(skip_disjoint_check))
.map(|path| path.to_string_lossy().to_string())
.map_err(|e| PyIOError::new_err(format!("Failed to write bars: {e}")))
}
/// Write order book depth data to Parquet files.
///
/// # Parameters
///
/// - `data`: Vector of order book depths to write
/// - `start`: Optional start timestamp override (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp override (nanoseconds since Unix epoch)
///
/// # Returns
///
/// Returns the path of the created file as a string.
#[pyo3(signature = (data, start=None, end=None, skip_disjoint_check=false))]
pub fn write_order_book_depths(
&self,
data: Vec<OrderBookDepth10>,
start: Option<u64>,
end: Option<u64>,
skip_disjoint_check: bool,
) -> PyResult<String> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.write_to_parquet(data, start_nanos, end_nanos, Some(skip_disjoint_check))
.map(|path| path.to_string_lossy().to_string())
.map_err(|e| PyIOError::new_err(format!("Failed to write order book depths: {e}")))
}
/// Write mark price update data to Parquet files.
///
/// # Parameters
///
/// - `data`: Vector of mark price updates to write
/// - `start`: Optional start timestamp override (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp override (nanoseconds since Unix epoch)
///
/// # Returns
///
/// Returns the path of the created file as a string.
#[pyo3(signature = (data, start=None, end=None, skip_disjoint_check=false))]
pub fn write_mark_price_updates(
&self,
data: Vec<MarkPriceUpdate>,
start: Option<u64>,
end: Option<u64>,
skip_disjoint_check: bool,
) -> PyResult<String> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.write_to_parquet(data, start_nanos, end_nanos, Some(skip_disjoint_check))
.map(|path| path.to_string_lossy().to_string())
.map_err(|e| PyIOError::new_err(format!("Failed to write mark price updates: {e}")))
}
/// Write index price update data to Parquet files.
///
/// # Parameters
///
/// - `data`: Vector of index price updates to write
/// - `start`: Optional start timestamp override (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp override (nanoseconds since Unix epoch)
///
/// # Returns
///
/// Returns the path of the created file as a string.
#[pyo3(signature = (data, start=None, end=None, skip_disjoint_check=false))]
pub fn write_index_price_updates(
&self,
data: Vec<IndexPriceUpdate>,
start: Option<u64>,
end: Option<u64>,
skip_disjoint_check: bool,
) -> PyResult<String> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.write_to_parquet(data, start_nanos, end_nanos, Some(skip_disjoint_check))
.map(|path| path.to_string_lossy().to_string())
.map_err(|e| PyIOError::new_err(format!("Failed to write index price updates: {e}")))
}
/// Write instruments to Parquet files in the catalog.
///
/// Instruments are stored under `data/instruments/{instrument_id}/` using timestamp-ranged
/// parquet file names, allowing multiple historical versions of the same instrument to be
/// written across separate calls.
///
/// # Parameters
///
/// - `data`: A Python list of instrument objects (e.g. CurrencyPair, Equity).
///
/// # Returns
///
/// Returns a list of written file paths.
#[pyo3(signature = (data))]
pub fn write_instruments(&self, data: &Bound<'_, PyAny>) -> PyResult<Vec<String>> {
let py = data.py();
let list = data.cast::<PyList>()?;
let mut instruments = Vec::with_capacity(list.len());
for item in list.iter() {
let py_item: Py<PyAny> = item.unbind();
let instrument = pyobject_to_instrument_any(py, py_item)?;
instruments.push(instrument);
}
self.inner
.write_instruments(instruments)
.map(|paths| {
paths
.into_iter()
.map(|p| p.to_string_lossy().to_string())
.collect()
})
.map_err(|e| PyIOError::new_err(format!("Failed to write instruments: {e}")))
}
/// Query instruments from the catalog.
///
/// # Parameters
///
/// - `instrument_ids`: Optional list of instrument IDs to filter by. If `None`, returns all instruments.
/// - `start`: Optional inclusive lower bound for `ts_init` filtering.
/// - `end`: Optional inclusive upper bound for `ts_init` filtering.
///
/// # Returns
///
/// Returns a list of instrument objects (e.g. CurrencyPair, Equity).
#[pyo3(signature = (instrument_ids=None, start=None, end=None))]
#[allow(clippy::needless_pass_by_value)]
pub fn instruments(
&self,
instrument_ids: Option<Vec<String>>,
start: Option<u64>,
end: Option<u64>,
) -> PyResult<Vec<Py<PyAny>>> {
let rust_instruments = self
.inner
.query_instruments_filtered(
instrument_ids.as_deref(),
start.map(UnixNanos::from),
end.map(UnixNanos::from),
)
.map_err(|e| PyIOError::new_err(format!("Failed to query instruments: {e}")))?;
Python::attach(|py| {
rust_instruments
.into_iter()
.map(|inst| instrument_any_to_pyobject(py, inst))
.collect()
})
}
/// Extend file names in the catalog with additional timestamp information.
///
/// # Parameters
///
/// - `data_cls`: The data class name
/// - `instrument_id`: Optional instrument ID filter
/// - `start`: Start timestamp (nanoseconds since Unix epoch)
/// - `end`: End timestamp (nanoseconds since Unix epoch)
#[pyo3(signature = (data_cls, instrument_id=None, *, start, end))]
#[allow(clippy::needless_pass_by_value)]
pub fn extend_file_name(
&self,
data_cls: &str,
instrument_id: Option<String>,
start: u64,
end: u64,
) -> PyResult<()> {
// Convert u64 timestamps to UnixNanos
let start_nanos = UnixNanos::from(start);
let end_nanos = UnixNanos::from(end);
self.inner
.extend_file_name(data_cls, instrument_id.as_deref(), start_nanos, end_nanos)
.map_err(|e| PyIOError::new_err(format!("Failed to extend file name: {e}")))
}
/// Consolidate all data files in the catalog within the specified time range.
///
/// # Parameters
///
/// - `start`: Optional start timestamp (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp (nanoseconds since Unix epoch)
/// - `ensure_contiguous_files`: Optional flag to ensure files are contiguous
/// - `deduplicate`: Optional flag to deduplicate rows when combining files
#[pyo3(signature = (start=None, end=None, ensure_contiguous_files=None, deduplicate=None))]
pub fn consolidate_catalog(
&self,
start: Option<u64>,
end: Option<u64>,
ensure_contiguous_files: Option<bool>,
deduplicate: Option<bool>,
) -> PyResult<()> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.consolidate_catalog(start_nanos, end_nanos, ensure_contiguous_files, deduplicate)
.map_err(|e| PyIOError::new_err(format!("Failed to consolidate catalog: {e}")))
}
/// Consolidate data files for a specific data type within the specified time range.
///
/// # Parameters
///
/// - `type_name`: The data type name to consolidate
/// - `instrument_id`: Optional instrument ID filter
/// - `start`: Optional start timestamp (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp (nanoseconds since Unix epoch)
/// - `ensure_contiguous_files`: Optional flag to ensure files are contiguous
/// - `deduplicate`: Optional flag to deduplicate rows when combining files
#[pyo3(signature = (type_name, instrument_id=None, start=None, end=None, ensure_contiguous_files=None, deduplicate=None))]
#[allow(clippy::needless_pass_by_value)]
pub fn consolidate_data(
&self,
type_name: &str,
instrument_id: Option<String>,
start: Option<u64>,
end: Option<u64>,
ensure_contiguous_files: Option<bool>,
deduplicate: Option<bool>,
) -> PyResult<()> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.consolidate_data(
type_name,
instrument_id.as_deref(),
start_nanos,
end_nanos,
ensure_contiguous_files,
deduplicate,
)
.map_err(|e| PyIOError::new_err(format!("Failed to consolidate data: {e}")))
}
/// Consolidate all data files in the catalog by splitting them into fixed time periods.
///
/// This method identifies all leaf directories in the catalog that contain parquet files
/// and consolidates them by period. A leaf directory is one that contains files but no subdirectories.
/// This is a convenience method that effectively calls `consolidate_data_by_period` for all data types
/// and instrument IDs in the catalog.
///
/// # Parameters
///
/// - `period_nanos`: Optional period duration for consolidation in nanoseconds. Default is 1 day (86400000000000).
/// Examples: 3600000000000 (1 hour), 604800000000000 (7 days), 1800000000000 (30 minutes)
/// - `start`: Optional start timestamp for the consolidation range (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp for the consolidation range (nanoseconds since Unix epoch)
/// - `ensure_contiguous_files`: Optional flag to control file naming strategy
#[pyo3(signature = (period_nanos=None, start=None, end=None, ensure_contiguous_files=None))]
pub fn consolidate_catalog_by_period(
&mut self,
period_nanos: Option<u64>,
start: Option<u64>,
end: Option<u64>,
ensure_contiguous_files: Option<bool>,
) -> PyResult<()> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.consolidate_catalog_by_period(
period_nanos,
start_nanos,
end_nanos,
ensure_contiguous_files,
)
.map_err(|e| {
PyIOError::new_err(format!("Failed to consolidate catalog by period: {e}"))
})
}
/// Consolidate data files by splitting them into fixed time periods.
///
/// This method queries data by period and writes consolidated files immediately,
/// using efficient period-based consolidation logic. When start/end boundaries intersect existing files,
/// the function automatically splits those files to preserve all data.
///
/// # Parameters
///
/// - `type_name`: The data type directory name (e.g., "quotes", "trades", "bars")
/// - `identifier`: Optional instrument ID to consolidate. If None, consolidates all instruments
/// - `period_nanos`: Optional period duration for consolidation in nanoseconds. Default is 1 day (86400000000000).
/// Examples: 3600000000000 (1 hour), 604800000000000 (7 days), 1800000000000 (30 minutes)
/// - `start`: Optional start timestamp for consolidation range (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp for consolidation range (nanoseconds since Unix epoch)
/// - `ensure_contiguous_files`: Optional flag to control file naming strategy
#[pyo3(signature = (type_name, identifier=None, period_nanos=None, start=None, end=None, ensure_contiguous_files=None))]
#[allow(clippy::needless_pass_by_value)]
pub fn consolidate_data_by_period(
&mut self,
type_name: &str,
identifier: Option<String>,
period_nanos: Option<u64>,
start: Option<u64>,
end: Option<u64>,
ensure_contiguous_files: Option<bool>,
) -> PyResult<()> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.consolidate_data_by_period(
type_name,
identifier.as_deref(),
period_nanos,
start_nanos,
end_nanos,
ensure_contiguous_files,
)
.map_err(|e| PyIOError::new_err(format!("Failed to consolidate data by period: {e}")))
}
/// Reset all catalog file names to their canonical form.
pub fn reset_all_file_names(&self) -> PyResult<()> {
self.inner
.reset_all_file_names()
.map_err(|e| PyIOError::new_err(format!("Failed to reset catalog file names: {e}")))
}
/// Reset data file names for a specific data class to their canonical form.
///
/// # Parameters
///
/// - `data_cls`: The data class name
/// - `instrument_id`: Optional instrument ID filter
#[pyo3(signature = (data_cls, instrument_id=None))]
#[allow(clippy::needless_pass_by_value)]
pub fn reset_data_file_names(
&self,
data_cls: &str,
instrument_id: Option<String>,
) -> PyResult<()> {
self.inner
.reset_data_file_names(data_cls, instrument_id.as_deref())
.map_err(|e| PyIOError::new_err(format!("Failed to reset data file names: {e}")))
}
/// Delete data within a specified time range across the entire catalog.
///
/// This method identifies all leaf directories in the catalog that contain parquet files
/// and deletes data within the specified time range from each directory. A leaf directory
/// is one that contains files but no subdirectories. This is a convenience method that
/// effectively calls `delete_data_range` for all data types and instrument IDs in the catalog.
///
/// # Parameters
///
/// - `start`: Optional start timestamp for the deletion range (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp for the deletion range (nanoseconds since Unix epoch)
///
/// # Notes
///
/// - This operation permanently removes data and cannot be undone
/// - The deletion process handles file intersections intelligently by splitting files
/// when they partially overlap with the deletion range
/// - Files completely within the deletion range are removed entirely
/// - Files partially overlapping the deletion range are split to preserve data outside the range
/// - This method is useful for bulk data cleanup operations across the entire catalog
/// - Empty directories are not automatically removed after deletion
#[pyo3(signature = (start=None, end=None))]
pub fn delete_catalog_range(&mut self, start: Option<u64>, end: Option<u64>) -> PyResult<()> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.delete_catalog_range(start_nanos, end_nanos)
.map_err(|e| PyIOError::new_err(format!("Failed to delete catalog range: {e}")))
}
/// Delete data within a specified time range for a specific data type and instrument.
///
/// This method identifies all parquet files that intersect with the specified time range
/// and handles them appropriately:
/// - Files completely within the range are deleted
/// - Files partially overlapping the range are split to preserve data outside the range
/// - The original intersecting files are removed after processing
///
/// # Parameters
///
/// - `type_name`: The data type directory name (e.g., "quotes", "trades", "bars")
/// - `instrument_id`: Optional instrument ID to delete data for. If None, deletes data across all instruments
/// - `start`: Optional start timestamp for the deletion range (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp for the deletion range (nanoseconds since Unix epoch)
///
/// # Notes
///
/// - This operation permanently removes data and cannot be undone
/// - Files that partially overlap the deletion range are split to preserve data outside the range
/// - The method ensures data integrity by using atomic operations where possible
/// - Empty directories are not automatically removed after deletion
#[pyo3(signature = (type_name, instrument_id=None, start=None, end=None))]
#[allow(clippy::needless_pass_by_value)]
pub fn delete_data_range(
&mut self,
type_name: &str,
instrument_id: Option<String>,
start: Option<u64>,
end: Option<u64>,
) -> PyResult<()> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.delete_data_range(type_name, instrument_id.as_deref(), start_nanos, end_nanos)
.map_err(|e| PyIOError::new_err(format!("Failed to delete data range: {e}")))
}
/// Write custom data to Parquet files.
///
/// Requires `CustomData` wrappers. Callers must wrap raw custom objects in
/// `CustomData(data_type=DataType(cls, metadata=...), data=...)` before writing.
#[pyo3(signature = (data, start=None, end=None, skip_disjoint_check=false))]
pub fn write_custom_data(
&self,
_py: Python<'_>,
data: Vec<Bound<'_, PyAny>>,
start: Option<u64>,
end: Option<u64>,
skip_disjoint_check: bool,
) -> PyResult<String> {
use nautilus_model::data::CustomData;
let mut custom_items: Vec<CustomData> = Vec::with_capacity(data.len());
for obj in data {
let custom = obj.extract::<CustomData>().map_err(|_| {
to_pytype_err(
"write_custom_data requires CustomData wrappers; wrap with CustomData(data_type=DataType(cls, metadata=...), data=...)",
)
})?;
custom_items.push(custom);
}
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.write_custom_data_batch(
custom_items,
start_nanos,
end_nanos,
Some(skip_disjoint_check),
)
.map(|path| path.to_string_lossy().to_string())
.map_err(|e| PyIOError::new_err(format!("Failed to write custom data: {e}")))
}
/// List all instrument IDs available in the catalog for a given data type.
pub fn list_instruments(&self, data_type: &str) -> PyResult<Vec<String>> {
self.inner
.list_instruments(data_type)
.map_err(|e| PyIOError::new_err(format!("Failed to list instruments: {e}")))
}
/// List all Parquet files in the catalog for a given data type and instrument.
pub fn list_parquet_files(
&self,
data_type: &str,
instrument_id: &str,
) -> PyResult<Vec<String>> {
let directory = format!("data/{data_type}/{instrument_id}");
self.inner
.list_parquet_files(&directory)
.map_err(|e| PyIOError::new_err(format!("Failed to list parquet files: {e}")))
}
/// Query files in the catalog matching the specified criteria.
///
/// # Parameters
///
/// - `data_cls`: The data class name to query
/// - `identifiers`: Optional list of identifiers to filter by. Can be instrument_id strings
/// (e.g., "EUR/USD.SIM") or bar_type strings (e.g., "EUR/USD.SIM-1-MINUTE-LAST-EXTERNAL").
/// For bars, partial matching is supported.
/// - `start`: Optional start timestamp (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp (nanoseconds since Unix epoch)
///
/// # Returns
///
/// Returns a list of file paths matching the criteria.
#[pyo3(signature = (data_cls, identifiers=None, start=None, end=None))]
pub fn query_files(
&self,
data_cls: &str,
identifiers: Option<Vec<String>>,
start: Option<u64>,
end: Option<u64>,
) -> PyResult<Vec<String>> {
// Convert u64 timestamps to UnixNanos
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.query_files(data_cls, identifiers, start_nanos, end_nanos)
.map_err(|e| PyIOError::new_err(format!("Failed to query files list: {e}")))
}
/// Get missing time intervals for a data request.
///
/// # Parameters
///
/// - `start`: Start timestamp (nanoseconds since Unix epoch)
/// - `end`: End timestamp (nanoseconds since Unix epoch)
/// - `data_cls`: The data class name
/// - `instrument_id`: Optional instrument ID filter
///
/// # Returns
///
/// Returns a list of (start, end) timestamp tuples representing missing intervals.
#[pyo3(signature = (start, end, data_cls, instrument_id=None))]
#[allow(clippy::needless_pass_by_value)]
pub fn get_missing_intervals_for_request(
&self,
start: u64,
end: u64,
data_cls: &str,
instrument_id: Option<String>,
) -> PyResult<Vec<(u64, u64)>> {
self.inner
.get_missing_intervals_for_request(start, end, data_cls, instrument_id.as_deref())
.map_err(|e| PyIOError::new_err(format!("Failed to get missing intervals: {e}")))
}
/// Query the first timestamp for a specific data class and instrument.
///
/// # Parameters
///
/// - `data_cls`: The data class name
/// - `instrument_id`: Optional instrument ID filter
///
/// # Returns
///
/// Returns the first timestamp as nanoseconds since Unix epoch, or None if no data exists.
#[pyo3(signature = (data_cls, instrument_id=None))]
#[allow(clippy::needless_pass_by_value)]
pub fn query_first_timestamp(
&self,
data_cls: &str,
instrument_id: Option<String>,
) -> PyResult<Option<u64>> {
self.inner
.query_first_timestamp(data_cls, instrument_id.as_deref())
.map_err(|e| PyIOError::new_err(format!("Failed to query first timestamp: {e}")))
}
/// Query the last timestamp for a specific data class and instrument.
///
/// # Parameters
///
/// - `data_cls`: The data class name
/// - `instrument_id`: Optional instrument ID filter
///
/// # Returns
///
/// Returns the last timestamp as nanoseconds since Unix epoch, or None if no data exists.
#[pyo3(signature = (data_cls, instrument_id=None))]
#[allow(clippy::needless_pass_by_value)]
pub fn query_last_timestamp(
&self,
data_cls: &str,
instrument_id: Option<String>,
) -> PyResult<Option<u64>> {
self.inner
.query_last_timestamp(data_cls, instrument_id.as_deref())
.map_err(|e| PyIOError::new_err(format!("Failed to query last timestamp: {e}")))
}
/// Get time intervals covered by data for a specific data class and instrument.
///
/// # Parameters
///
/// - `data_cls`: The data class name
/// - `instrument_id`: Optional instrument ID filter
///
/// # Returns
///
/// Returns a list of (start, end) timestamp tuples representing covered intervals.
#[pyo3(signature = (data_cls, instrument_id=None))]
#[allow(clippy::needless_pass_by_value)]
pub fn get_intervals(
&self,
data_cls: &str,
instrument_id: Option<String>,
) -> PyResult<Vec<(u64, u64)>> {
self.inner
.get_intervals(data_cls, instrument_id.as_deref())
.map_err(|e| PyIOError::new_err(format!("Failed to get intervals: {e}")))
}
/// Query Parquet files for data matching the given criteria.
#[pyo3(signature = (data_type, identifiers=None, start=None, end=None, where_clause=None, files=None, optimize_file_loading=true))]
#[allow(clippy::too_many_arguments)]
pub fn query(
&mut self,
py: Python<'_>,
data_type: &str,
identifiers: Option<Vec<String>>,
start: Option<u64>,
end: Option<u64>,
where_clause: Option<&str>,
files: Option<Vec<String>>,
optimize_file_loading: bool,
) -> PyResult<Vec<Py<PyAny>>> {
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
let data = match data_type {
"quotes" => {
let ticks = self
.inner
.query_typed_data::<QuoteTick>(
identifiers,
start_nanos,
end_nanos,
where_clause,
files,
optimize_file_loading,
)
.map_err(|e| PyIOError::new_err(format!("Query failed: {e}")))?;
ticks.into_iter().map(Data::from).collect()
}
"trades" => {
let ticks = self
.inner
.query_typed_data::<TradeTick>(
identifiers,
start_nanos,
end_nanos,
where_clause,
files,
optimize_file_loading,
)
.map_err(|e| PyIOError::new_err(format!("Query failed: {e}")))?;
ticks.into_iter().map(Data::from).collect()
}
"bars" => {
let bars = self
.inner
.query_typed_data::<Bar>(
identifiers,
start_nanos,
end_nanos,
where_clause,
files,
optimize_file_loading,
)
.map_err(|e| PyIOError::new_err(format!("Query failed: {e}")))?;
bars.into_iter().map(Data::from).collect()
}
"order_book_deltas" => {
let deltas = self
.inner
.query_typed_data::<OrderBookDelta>(
identifiers,
start_nanos,
end_nanos,
where_clause,
files,
optimize_file_loading,
)
.map_err(|e| PyIOError::new_err(format!("Query failed: {e}")))?;
deltas.into_iter().map(Data::from).collect()
}
"order_book_depths" => {
let depths = self
.inner
.query_typed_data::<OrderBookDepth10>(
identifiers,
start_nanos,
end_nanos,
where_clause,
files,
optimize_file_loading,
)
.map_err(|e| PyIOError::new_err(format!("Query failed: {e}")))?;
depths.into_iter().map(Data::from).collect()
}
"index_prices" => {
let prices = self
.inner
.query_typed_data::<IndexPriceUpdate>(
identifiers,
start_nanos,
end_nanos,
where_clause,
files,
optimize_file_loading,
)
.map_err(|e| PyIOError::new_err(format!("Query failed: {e}")))?;
prices.into_iter().map(Data::from).collect()
}
"mark_prices" => {
let prices = self
.inner
.query_typed_data::<MarkPriceUpdate>(
identifiers,
start_nanos,
end_nanos,
where_clause,
files,
optimize_file_loading,
)
.map_err(|e| PyIOError::new_err(format!("Query failed: {e}")))?;
prices.into_iter().map(Data::from).collect()
}
"instrument_closes" => {
let closes = self
.inner
.query_typed_data::<InstrumentClose>(
identifiers,
start_nanos,
end_nanos,
where_clause,
files,
optimize_file_loading,
)
.map_err(|e| PyIOError::new_err(format!("Query failed: {e}")))?;
closes.into_iter().map(Data::from).collect()
}
_ => py
.detach(|| {
self.inner.query_custom_data_dynamic(
data_type,
identifiers.as_deref(),
start_nanos,
end_nanos,
where_clause,
files.clone(),
optimize_file_loading,
)
})
.map_err(|e| PyIOError::new_err(format!("Query failed: {e}")))?,
};
let mut python_objects = Vec::new();
for item in data {
python_objects.push(data_to_pyobject(py, item)?);
}
Ok(python_objects)
}
/// Query quote tick data from Parquet files.
///
/// # Parameters
///
/// - `identifiers`: Optional list of identifiers to filter by. Can be instrument_id strings
/// (e.g., "EUR/USD.SIM") or bar_type strings (e.g., "EUR/USD.SIM-1-MINUTE-LAST-EXTERNAL").
/// For bars, partial matching is supported.
/// - `start`: Optional start timestamp (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp (nanoseconds since Unix epoch)
/// - `where_clause`: Optional SQL WHERE clause for additional filtering
///
/// # Returns
///
/// Returns a vector of `QuoteTick` objects matching the query criteria.
#[pyo3(signature = (identifiers=None, start=None, end=None, where_clause=None))]
pub fn query_quote_ticks(
&mut self,
identifiers: Option<Vec<String>>,
start: Option<u64>,
end: Option<u64>,
where_clause: Option<&str>,
) -> PyResult<Vec<QuoteTick>> {
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.query_typed_data::<QuoteTick>(
identifiers,
start_nanos,
end_nanos,
where_clause,
None,
true, // optimize_file_loading=true for directory-based registration (default)
)
.map_err(|e| PyIOError::new_err(format!("Failed to query data: {e}")))
}
/// Query trade tick data from Parquet files.
///
/// # Parameters
///
/// - `identifiers`: Optional list of identifiers to filter by. Can be instrument_id strings
/// (e.g., "EUR/USD.SIM") or bar_type strings (e.g., "EUR/USD.SIM-1-MINUTE-LAST-EXTERNAL").
/// For bars, partial matching is supported.
/// - `start`: Optional start timestamp (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp (nanoseconds since Unix epoch)
/// - `where_clause`: Optional SQL WHERE clause for additional filtering
///
/// # Returns
///
/// Returns a vector of `TradeTick` objects matching the query criteria.
#[pyo3(signature = (identifiers=None, start=None, end=None, where_clause=None))]
pub fn query_trade_ticks(
&mut self,
identifiers: Option<Vec<String>>,
start: Option<u64>,
end: Option<u64>,
where_clause: Option<&str>,
) -> PyResult<Vec<TradeTick>> {
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.query_typed_data::<TradeTick>(
identifiers,
start_nanos,
end_nanos,
where_clause,
None,
true, // optimize_file_loading=true for directory-based registration (default)
)
.map_err(|e| PyIOError::new_err(format!("Failed to query data: {e}")))
}
/// Query order book delta data from Parquet files.
///
/// # Parameters
///
/// - `identifiers`: Optional list of identifiers to filter by. Can be instrument_id strings
/// (e.g., "EUR/USD.SIM") or bar_type strings (e.g., "EUR/USD.SIM-1-MINUTE-LAST-EXTERNAL").
/// For bars, partial matching is supported.
/// - `start`: Optional start timestamp (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp (nanoseconds since Unix epoch)
/// - `where_clause`: Optional SQL WHERE clause for additional filtering
///
/// # Returns
///
/// Returns a vector of `OrderBookDelta` objects matching the query criteria.
#[pyo3(signature = (identifiers=None, start=None, end=None, where_clause=None))]
pub fn query_order_book_deltas(
&mut self,
identifiers: Option<Vec<String>>,
start: Option<u64>,
end: Option<u64>,
where_clause: Option<&str>,
) -> PyResult<Vec<OrderBookDelta>> {
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.query_typed_data::<OrderBookDelta>(
identifiers,
start_nanos,
end_nanos,
where_clause,
None,
true, // optimize_file_loading=true for directory-based registration (default)
)
.map_err(|e| PyIOError::new_err(format!("Failed to query data: {e}")))
}
/// Query bar data from Parquet files.
///
/// # Parameters
///
/// - `identifiers`: Optional list of identifiers to filter by. Can be instrument_id strings
/// (e.g., "EUR/USD.SIM") or bar_type strings (e.g., "EUR/USD.SIM-1-MINUTE-LAST-EXTERNAL").
/// For bars, partial matching is supported (e.g., "EUR/USD.SIM" will match all bar types for that instrument).
/// - `start`: Optional start timestamp (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp (nanoseconds since Unix epoch)
/// - `where_clause`: Optional SQL WHERE clause for additional filtering
///
/// # Returns
///
/// Returns a vector of Bar objects matching the query criteria.
#[pyo3(signature = (identifiers=None, start=None, end=None, where_clause=None))]
pub fn query_bars(
&mut self,
identifiers: Option<Vec<String>>,
start: Option<u64>,
end: Option<u64>,
where_clause: Option<&str>,
) -> PyResult<Vec<Bar>> {
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.query_typed_data::<Bar>(
identifiers,
start_nanos,
end_nanos,
where_clause,
None,
true, // optimize_file_loading=true for directory-based registration (default)
)
.map_err(|e| PyIOError::new_err(format!("Failed to query data: {e}")))
}
/// Query order book depth data from Parquet files.
///
/// # Parameters
///
/// - `instrument_ids`: Optional list of instrument IDs to filter by
/// - `start`: Optional start timestamp (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp (nanoseconds since Unix epoch)
/// - `where_clause`: Optional SQL WHERE clause for additional filtering
///
/// # Returns
///
/// Returns a vector of `OrderBookDepth10` objects matching the query criteria.
#[pyo3(signature = (instrument_ids=None, start=None, end=None, where_clause=None))]
pub fn query_order_book_depths(
&mut self,
instrument_ids: Option<Vec<String>>,
start: Option<u64>,
end: Option<u64>,
where_clause: Option<&str>,
) -> PyResult<Vec<OrderBookDepth10>> {
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.query_typed_data::<OrderBookDepth10>(
instrument_ids,
start_nanos,
end_nanos,
where_clause,
None,
true, // optimize_file_loading=true for directory-based registration (default)
)
.map_err(|e| PyIOError::new_err(format!("Failed to query data: {e}")))
}
/// Query mark price update data from Parquet files.
///
/// # Parameters
///
/// - `instrument_ids`: Optional list of instrument IDs to filter by
/// - `start`: Optional start timestamp (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp (nanoseconds since Unix epoch)
/// - `where_clause`: Optional SQL WHERE clause for additional filtering
///
/// # Returns
///
/// Returns a vector of `MarkPriceUpdate` objects matching the query criteria.
#[pyo3(signature = (instrument_ids=None, start=None, end=None, where_clause=None))]
pub fn query_mark_price_updates(
&mut self,
instrument_ids: Option<Vec<String>>,
start: Option<u64>,
end: Option<u64>,
where_clause: Option<&str>,
) -> PyResult<Vec<MarkPriceUpdate>> {
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.query_typed_data::<MarkPriceUpdate>(
instrument_ids,
start_nanos,
end_nanos,
where_clause,
None,
true, // optimize_file_loading=true for directory-based registration (default)
)
.map_err(|e| PyIOError::new_err(format!("Failed to query data: {e}")))
}
/// Query index price update data from Parquet files.
///
/// # Parameters
///
/// - `instrument_ids`: Optional list of instrument IDs to filter by
/// - `start`: Optional start timestamp (nanoseconds since Unix epoch)
/// - `end`: Optional end timestamp (nanoseconds since Unix epoch)
/// - `where_clause`: Optional SQL WHERE clause for additional filtering
///
/// # Returns
///
/// Returns a vector of `IndexPriceUpdate` objects matching the query criteria.
#[pyo3(signature = (instrument_ids=None, start=None, end=None, where_clause=None))]
pub fn query_index_price_updates(
&mut self,
instrument_ids: Option<Vec<String>>,
start: Option<u64>,
end: Option<u64>,
where_clause: Option<&str>,
) -> PyResult<Vec<IndexPriceUpdate>> {
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
self.inner
.query_typed_data::<IndexPriceUpdate>(
instrument_ids,
start_nanos,
end_nanos,
where_clause,
None,
true, // optimize_file_loading=true for directory-based registration (default)
)
.map_err(|e| PyIOError::new_err(format!("Failed to query data: {e}")))
}
/// List all data types available in the catalog.
///
/// # Returns
///
/// Returns a list of data type names (as directory stems) in the catalog.
pub fn list_data_types(&self) -> PyResult<Vec<String>> {
self.inner
.list_data_types()
.map_err(|e| PyIOError::new_err(format!("Failed to list data types: {e}")))
}
/// List all live run IDs available in the catalog.
///
/// # Returns
///
/// Returns a list of live run IDs (as directory stems) in the catalog.
pub fn list_live_runs(&self) -> PyResult<Vec<String>> {
self.inner
.list_live_runs()
.map_err(|e| PyIOError::new_err(format!("Failed to list live runs: {e}")))
}
/// List all backtest run IDs available in the catalog.
///
/// # Returns
///
/// Returns a list of backtest run IDs (as directory stems) in the catalog.
pub fn list_backtest_runs(&self) -> PyResult<Vec<String>> {
self.inner
.list_backtest_runs()
.map_err(|e| PyIOError::new_err(format!("Failed to list backtest runs: {e}")))
}
/// List all backtest run instances available in the catalog.
pub fn list_backtests(&self) -> PyResult<Vec<String>> {
self.inner
.list_backtest_runs()
.map_err(|e| PyIOError::new_err(format!("Failed to list backtests: {e}")))
}
/// Read data from a live run instance.
///
/// # Parameters
///
/// - `instance_id`: The ID of the live run instance
///
/// # Returns
///
/// Returns a list of data objects from the live run, sorted by timestamp.
#[pyo3(signature = (instance_id))]
pub fn read_live_run(&self, py: Python<'_>, instance_id: &str) -> PyResult<Vec<Py<PyAny>>> {
let data = self
.inner
.read_live_run(instance_id)
.map_err(|e| PyIOError::new_err(format!("Failed to read live run: {e}")))?;
let mut python_objects = Vec::new();
for item in data {
python_objects.push(data_to_pyobject(py, item)?);
}
Ok(python_objects)
}
/// Read data from a backtest run instance.
///
/// # Parameters
///
/// - `instance_id`: The ID of the backtest run instance
///
/// # Returns
///
/// Returns a list of data objects from the backtest run, sorted by timestamp.
#[pyo3(signature = (instance_id))]
pub fn read_backtest(&self, py: Python<'_>, instance_id: &str) -> PyResult<Vec<Py<PyAny>>> {
let data = self
.inner
.read_backtest(instance_id)
.map_err(|e| PyIOError::new_err(format!("Failed to read backtest: {e}")))?;
let mut python_objects = Vec::new();
for item in data {
python_objects.push(data_to_pyobject(py, item)?);
}
Ok(python_objects)
}
/// Convert stream data from feather files to parquet files.
///
/// This method reads data from feather files generated during a backtest or live run
/// and writes it to the catalog in parquet format. It's useful for converting temporary
/// stream data into a more permanent and queryable format.
///
/// # Parameters
///
/// - `instance_id`: The ID of the backtest or live run instance
/// - `data_cls`: The data class name (e.g., "quotes", "trades", "bars")
/// - `subdirectory`: Optional subdirectory containing the feather files. Either "backtest" or "live" (default: "backtest")
/// - `identifiers`: Optional list of identifiers to filter by (instrument IDs or bar types)
/// - `use_ts_event_for_ts_init`: If true, replaces the `ts_init` column with `ts_event` column values before deserializing
///
/// # Returns
///
/// Returns nothing on success.
///
/// # Examples
///
/// ```python
/// # Convert backtest stream data to parquet
/// catalog.convert_stream_to_data(
/// "instance-123",
/// "quotes",
/// subdirectory="backtest"
/// )
///
/// # Convert live run data with identifier filtering
/// catalog.convert_stream_to_data(
/// "instance-456",
/// "trades",
/// subdirectory="live",
/// identifiers=["EUR/USD.SIM"]
/// )
/// ```
#[pyo3(signature = (instance_id, data_cls, subdirectory=None, identifiers=None, use_ts_event_for_ts_init=false))]
#[allow(clippy::needless_pass_by_value)]
pub fn convert_stream_to_data(
&mut self,
instance_id: &str,
data_cls: &str,
subdirectory: Option<&str>,
identifiers: Option<Vec<String>>,
use_ts_event_for_ts_init: bool,
) -> PyResult<()> {
let subdir = subdirectory.unwrap_or("backtest");
match self.inner.convert_stream_to_data(
instance_id,
data_cls,
Some(subdir),
identifiers.as_deref(),
use_ts_event_for_ts_init,
) {
Ok(()) => Ok(()),
Err(e) => Err(PyIOError::new_err(format!(
"Failed to convert stream to data: {e}"
))),
}
}
/// Query custom data from Parquet files.
#[pyo3(signature = (type_name, identifiers=None, start=None, end=None, where_clause=None))]
#[allow(clippy::needless_pass_by_value)]
pub fn query_custom_data(
&mut self,
py: Python<'_>,
type_name: &str,
identifiers: Option<Vec<String>>,
start: Option<u64>,
end: Option<u64>,
where_clause: Option<&str>,
) -> PyResult<Vec<Py<PyAny>>> {
let start_nanos = start.map(UnixNanos::from);
let end_nanos = end.map(UnixNanos::from);
let data = py
.detach(|| {
self.inner.query_custom_data_dynamic(
type_name,
identifiers.as_deref(),
start_nanos,
end_nanos,
where_clause,
None,
true,
)
})
.map_err(|e| PyIOError::new_err(format!("Failed to query custom data: {e}")))?;
let mut python_objects = Vec::new();
for item in data {
let py_obj: Py<PyAny> = match item {
Data::Custom(custom) => Py::new(py, custom.clone())?.into_any(),
_ => return Err(PyIOError::new_err("Expected custom data")),
};
python_objects.push(py_obj);
}
Ok(python_objects)
}
}