nautilus-serialization 0.55.0

// -------------------------------------------------------------------------------------------------
//  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, str::FromStr, sync::Arc};

use arrow::{
    array::{FixedSizeBinaryArray, FixedSizeBinaryBuilder, UInt64Array},
    datatypes::{DataType, Field, Schema},
    error::ArrowError,
    record_batch::RecordBatch,
};
use nautilus_model::{
    data::prices::MarkPriceUpdate, identifiers::InstrumentId, types::fixed::PRECISION_BYTES,
};

use super::{
    DecodeDataFromRecordBatch, EncodingError, KEY_INSTRUMENT_ID, KEY_PRICE_PRECISION, decode_price,
    extract_column, validate_precision_bytes,
};
use crate::arrow::{ArrowSchemaProvider, Data, DecodeFromRecordBatch, EncodeToRecordBatch};

impl ArrowSchemaProvider for MarkPriceUpdate {
    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
        let fields = vec![
            Field::new("value", DataType::FixedSizeBinary(PRECISION_BYTES), false),
            Field::new("ts_event", DataType::UInt64, false),
            Field::new("ts_init", DataType::UInt64, false),
        ];

        match metadata {
            Some(metadata) => Schema::new_with_metadata(fields, metadata),
            None => Schema::new(fields),
        }
    }
}

fn parse_metadata(metadata: &HashMap<String, String>) -> Result<(InstrumentId, u8), EncodingError> {
    let instrument_id_str = metadata
        .get(KEY_INSTRUMENT_ID)
        .ok_or_else(|| EncodingError::MissingMetadata(KEY_INSTRUMENT_ID))?;
    let instrument_id = InstrumentId::from_str(instrument_id_str)
        .map_err(|e| EncodingError::ParseError(KEY_INSTRUMENT_ID, e.to_string()))?;

    let price_precision = metadata
        .get(KEY_PRICE_PRECISION)
        .ok_or_else(|| EncodingError::MissingMetadata(KEY_PRICE_PRECISION))?
        .parse::<u8>()
        .map_err(|e| EncodingError::ParseError(KEY_PRICE_PRECISION, e.to_string()))?;

    Ok((instrument_id, price_precision))
}

impl EncodeToRecordBatch for MarkPriceUpdate {
    fn encode_batch(
        metadata: &HashMap<String, String>,
        data: &[Self],
    ) -> Result<RecordBatch, ArrowError> {
        let mut value_builder = FixedSizeBinaryBuilder::with_capacity(data.len(), PRECISION_BYTES);
        let mut ts_event_builder = UInt64Array::builder(data.len());
        let mut ts_init_builder = UInt64Array::builder(data.len());

        for update in data {
            value_builder
                .append_value(update.value.raw.to_le_bytes())
                .unwrap();
            ts_event_builder.append_value(update.ts_event.as_u64());
            ts_init_builder.append_value(update.ts_init.as_u64());
        }

        RecordBatch::try_new(
            Self::get_schema(Some(metadata.clone())).into(),
            vec![
                Arc::new(value_builder.finish()),
                Arc::new(ts_event_builder.finish()),
                Arc::new(ts_init_builder.finish()),
            ],
        )
    }

    fn metadata(&self) -> HashMap<String, String> {
        let mut metadata = HashMap::new();
        metadata.insert(
            KEY_INSTRUMENT_ID.to_string(),
            self.instrument_id.to_string(),
        );
        metadata.insert(
            KEY_PRICE_PRECISION.to_string(),
            self.value.precision.to_string(),
        );
        metadata
    }
}

impl DecodeFromRecordBatch for MarkPriceUpdate {
    fn decode_batch(
        metadata: &HashMap<String, String>,
        record_batch: RecordBatch,
    ) -> Result<Vec<Self>, EncodingError> {
        let (instrument_id, price_precision) = parse_metadata(metadata)?;
        let cols = record_batch.columns();

        let value_values = extract_column::<FixedSizeBinaryArray>(
            cols,
            "value",
            0,
            DataType::FixedSizeBinary(PRECISION_BYTES),
        )?;
        let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 1, DataType::UInt64)?;
        let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 2, DataType::UInt64)?;

        validate_precision_bytes(value_values, "value")?;

        let result: Result<Vec<Self>, EncodingError> = (0..record_batch.num_rows())
            .map(|row| {
                let value = decode_price(value_values.value(row), price_precision, "value", row)?;
                Ok(Self {
                    instrument_id,
                    value,
                    ts_event: ts_event_values.value(row).into(),
                    ts_init: ts_init_values.value(row).into(),
                })
            })
            .collect();

        result
    }
}

impl DecodeDataFromRecordBatch for MarkPriceUpdate {
    fn decode_data_batch(
        metadata: &HashMap<String, String>,
        record_batch: RecordBatch,
    ) -> Result<Vec<Data>, EncodingError> {
        let updates: Vec<Self> = Self::decode_batch(metadata, record_batch)?;
        Ok(updates.into_iter().map(Data::from).collect())
    }
}

#[cfg(test)]
mod tests {
    use std::sync::Arc;

    use arrow::{array::Array, record_batch::RecordBatch};
    use nautilus_model::types::{Price, fixed::FIXED_SCALAR, price::PriceRaw};
    use rstest::rstest;
    use rust_decimal_macros::dec;

    use super::*;
    use crate::arrow::get_raw_price;

    #[rstest]
    fn test_get_schema() {
        let instrument_id = InstrumentId::from("BTC-USDT.BINANCE");
        let metadata = HashMap::from([
            (KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string()),
            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
        ]);
        let schema = MarkPriceUpdate::get_schema(Some(metadata.clone()));

        let expected_fields = vec![
            Field::new("value", DataType::FixedSizeBinary(PRECISION_BYTES), false),
            Field::new("ts_event", DataType::UInt64, false),
            Field::new("ts_init", DataType::UInt64, false),
        ];

        let expected_schema = Schema::new_with_metadata(expected_fields, metadata);
        assert_eq!(schema, expected_schema);
    }

    #[rstest]
    fn test_get_schema_map() {
        let schema_map = MarkPriceUpdate::get_schema_map();
        let mut expected_map = HashMap::new();

        let fixed_size_binary = format!("FixedSizeBinary({PRECISION_BYTES})");
        expected_map.insert("value".to_string(), fixed_size_binary);
        expected_map.insert("ts_event".to_string(), "UInt64".to_string());
        expected_map.insert("ts_init".to_string(), "UInt64".to_string());
        assert_eq!(schema_map, expected_map);
    }

    #[rstest]
    fn test_encode_batch() {
        let instrument_id = InstrumentId::from("BTC-USDT.BINANCE");
        let metadata = HashMap::from([
            (KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string()),
            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
        ]);

        let update1 = MarkPriceUpdate {
            instrument_id,
            value: Price::from("50200.00"),
            ts_event: 1.into(),
            ts_init: 3.into(),
        };

        let update2 = MarkPriceUpdate {
            instrument_id,
            value: Price::from("50300.00"),
            ts_event: 2.into(),
            ts_init: 4.into(),
        };

        let data = vec![update1, update2];
        let record_batch = MarkPriceUpdate::encode_batch(&metadata, &data).unwrap();

        let columns = record_batch.columns();
        let value_values = columns[0]
            .as_any()
            .downcast_ref::<FixedSizeBinaryArray>()
            .unwrap();
        let ts_event_values = columns[1].as_any().downcast_ref::<UInt64Array>().unwrap();
        let ts_init_values = columns[2].as_any().downcast_ref::<UInt64Array>().unwrap();

        assert_eq!(columns.len(), 3);
        assert_eq!(value_values.len(), 2);
        assert_eq!(
            get_raw_price(value_values.value(0)),
            Price::from(dec!(50200.00).to_string()).raw
        );
        assert_eq!(
            get_raw_price(value_values.value(1)),
            Price::from(dec!(50300.00).to_string()).raw
        );
        assert_eq!(ts_event_values.len(), 2);
        assert_eq!(ts_event_values.value(0), 1);
        assert_eq!(ts_event_values.value(1), 2);
        assert_eq!(ts_init_values.len(), 2);
        assert_eq!(ts_init_values.value(0), 3);
        assert_eq!(ts_init_values.value(1), 4);
    }

    #[rstest]
    fn test_decode_batch() {
        let instrument_id = InstrumentId::from("BTC-USDT.BINANCE");
        let metadata = HashMap::from([
            (KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string()),
            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
        ]);

        let raw_price1 = (50.20 * FIXED_SCALAR) as PriceRaw;
        let raw_price2 = (50.30 * FIXED_SCALAR) as PriceRaw;
        let value =
            FixedSizeBinaryArray::from(vec![&raw_price1.to_le_bytes(), &raw_price2.to_le_bytes()]);
        let ts_event = UInt64Array::from(vec![1, 2]);
        let ts_init = UInt64Array::from(vec![3, 4]);

        let record_batch = RecordBatch::try_new(
            MarkPriceUpdate::get_schema(Some(metadata.clone())).into(),
            vec![Arc::new(value), Arc::new(ts_event), Arc::new(ts_init)],
        )
        .unwrap();

        let decoded_data = MarkPriceUpdate::decode_batch(&metadata, record_batch).unwrap();

        assert_eq!(decoded_data.len(), 2);
        assert_eq!(decoded_data[0].instrument_id, instrument_id);
        assert_eq!(decoded_data[0].value, Price::from_raw(raw_price1, 2));
        assert_eq!(decoded_data[0].ts_event.as_u64(), 1);
        assert_eq!(decoded_data[0].ts_init.as_u64(), 3);

        assert_eq!(decoded_data[1].instrument_id, instrument_id);
        assert_eq!(decoded_data[1].value, Price::from_raw(raw_price2, 2));
        assert_eq!(decoded_data[1].ts_event.as_u64(), 2);
        assert_eq!(decoded_data[1].ts_init.as_u64(), 4);
    }

    #[rstest]
    fn test_decode_batch_invalid_value_returns_error() {
        let instrument_id = InstrumentId::from("BTC-USDT.BINANCE");
        let metadata = HashMap::from([
            (KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string()),
            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
        ]);

        let invalid_price: PriceRaw = PriceRaw::MAX - 1000;
        let value = FixedSizeBinaryArray::from(vec![&invalid_price.to_le_bytes()]);
        let ts_event = UInt64Array::from(vec![1]);
        let ts_init = UInt64Array::from(vec![2]);

        let record_batch = RecordBatch::try_new(
            MarkPriceUpdate::get_schema(Some(metadata.clone())).into(),
            vec![Arc::new(value), Arc::new(ts_event), Arc::new(ts_init)],
        )
        .unwrap();

        let result = MarkPriceUpdate::decode_batch(&metadata, record_batch);
        assert!(result.is_err());
        let err = result.unwrap_err();
        assert!(
            err.to_string().contains("value") && err.to_string().contains("row 0"),
            "Expected value error at row 0, was: {err}"
        );
    }

    #[rstest]
    fn test_decode_batch_missing_instrument_id_returns_error() {
        let mut metadata = HashMap::from([
            (
                KEY_INSTRUMENT_ID.to_string(),
                "BTC-USDT.BINANCE".to_string(),
            ),
            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
        ]);

        let raw_price = (50.20 * FIXED_SCALAR) as PriceRaw;
        let value = FixedSizeBinaryArray::from(vec![&raw_price.to_le_bytes()]);
        let ts_event = UInt64Array::from(vec![1]);
        let ts_init = UInt64Array::from(vec![2]);

        let record_batch = RecordBatch::try_new(
            MarkPriceUpdate::get_schema(Some(metadata.clone())).into(),
            vec![Arc::new(value), Arc::new(ts_event), Arc::new(ts_init)],
        )
        .unwrap();

        metadata.remove(KEY_INSTRUMENT_ID);

        let result = MarkPriceUpdate::decode_batch(&metadata, record_batch);
        assert!(result.is_err());
        let err = result.unwrap_err();
        assert!(
            err.to_string().contains("instrument_id"),
            "Expected missing instrument_id error, was: {err}"
        );
    }

    #[rstest]
    fn test_encode_decode_round_trip() {
        let instrument_id = InstrumentId::from("BTC-USDT.BINANCE");
        let metadata = HashMap::from([
            (KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string()),
            (KEY_PRICE_PRECISION.to_string(), "2".to_string()),
        ]);

        let update1 = MarkPriceUpdate {
            instrument_id,
            value: Price::from("50200.00"),
            ts_event: 1_000_000_000.into(),
            ts_init: 1_000_000_001.into(),
        };

        let update2 = MarkPriceUpdate {
            instrument_id,
            value: Price::from("50300.00"),
            ts_event: 2_000_000_000.into(),
            ts_init: 2_000_000_001.into(),
        };

        let original = vec![update1, update2];
        let record_batch = MarkPriceUpdate::encode_batch(&metadata, &original).unwrap();
        let decoded = MarkPriceUpdate::decode_batch(&metadata, record_batch).unwrap();

        assert_eq!(decoded.len(), original.len());
        for (orig, dec) in original.iter().zip(decoded.iter()) {
            assert_eq!(dec.instrument_id, orig.instrument_id);
            assert_eq!(dec.value, orig.value);
            assert_eq!(dec.ts_event, orig.ts_event);
            assert_eq!(dec.ts_init, orig.ts_init);
        }
    }
}