nautilus_serialization/python/
arrow.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::io::Cursor;
17
18use arrow::{ipc::writer::StreamWriter, record_batch::RecordBatch};
19use nautilus_core::python::{to_pyruntime_err, to_pytype_err, to_pyvalue_err};
20use nautilus_model::{
21    data::{
22        Bar, IndexPriceUpdate, MarkPriceUpdate, OrderBookDelta, OrderBookDepth10, QuoteTick,
23        TradeTick, close::InstrumentClose,
24    },
25    python::data::{
26        pyobjects_to_bars, pyobjects_to_book_deltas, pyobjects_to_index_prices,
27        pyobjects_to_instrument_closes, pyobjects_to_mark_prices, pyobjects_to_quotes,
28        pyobjects_to_trades,
29    },
30};
31use pyo3::{
32    conversion::IntoPyObjectExt,
33    prelude::*,
34    types::{PyBytes, PyType},
35};
36
37use crate::arrow::{
38    ArrowSchemaProvider, bars_to_arrow_record_batch_bytes, book_deltas_to_arrow_record_batch_bytes,
39    book_depth10_to_arrow_record_batch_bytes, index_prices_to_arrow_record_batch_bytes,
40    instrument_closes_to_arrow_record_batch_bytes, mark_prices_to_arrow_record_batch_bytes,
41    quotes_to_arrow_record_batch_bytes, trades_to_arrow_record_batch_bytes,
42};
43
44/// Transforms the given record `batches` into Python `bytes`.
45fn arrow_record_batch_to_pybytes(py: Python, batch: RecordBatch) -> PyResult<Py<PyBytes>> {
46    // Create a cursor to write to a byte array in memory
47    let mut cursor = Cursor::new(Vec::new());
48    {
49        let mut writer =
50            StreamWriter::try_new(&mut cursor, &batch.schema()).map_err(to_pyruntime_err)?;
51
52        writer.write(&batch).map_err(to_pyruntime_err)?;
53
54        writer.finish().map_err(to_pyruntime_err)?;
55    }
56
57    let buffer = cursor.into_inner();
58    let pybytes = PyBytes::new(py, &buffer);
59
60    Ok(pybytes.into())
61}
62
63/// Returns a mapping from field names to Arrow data types for the given Rust data class.
64///
65/// # Errors
66///
67/// Returns a `PyErr` if the class name is not recognized or schema extraction fails.
68#[pyfunction]
69pub fn get_arrow_schema_map(py: Python<'_>, cls: &Bound<'_, PyType>) -> PyResult<Py<PyAny>> {
70    let cls_str: String = cls.getattr("__name__")?.extract()?;
71    let result_map = match cls_str.as_str() {
72        stringify!(OrderBookDelta) => OrderBookDelta::get_schema_map(),
73        stringify!(OrderBookDepth10) => OrderBookDepth10::get_schema_map(),
74        stringify!(QuoteTick) => QuoteTick::get_schema_map(),
75        stringify!(TradeTick) => TradeTick::get_schema_map(),
76        stringify!(Bar) => Bar::get_schema_map(),
77        stringify!(MarkPriceUpdate) => MarkPriceUpdate::get_schema_map(),
78        stringify!(IndexPriceUpdate) => IndexPriceUpdate::get_schema_map(),
79        stringify!(InstrumentClose) => InstrumentClose::get_schema_map(),
80        _ => {
81            return Err(to_pytype_err(format!(
82                "Arrow schema for `{cls_str}` is not currently implemented in Rust."
83            )));
84        }
85    };
86
87    result_map.into_py_any(py)
88}
89
90/// Returns Python `bytes` from the given list of legacy data objects, which can be passed
91/// to `pa.ipc.open_stream` to create a `RecordBatchReader`.
92///
93/// # Errors
94///
95/// Returns an error if:
96/// - The input list is empty: `PyErr`.
97/// - An unsupported data type is encountered or conversion fails: `PyErr`.
98
99#[pyfunction]
100#[allow(clippy::missing_panics_doc)] // Guarded by empty check
101pub fn pyobjects_to_arrow_record_batch_bytes(
102    py: Python,
103    data: Vec<Bound<'_, PyAny>>,
104) -> PyResult<Py<PyBytes>> {
105    if data.is_empty() {
106        return Err(to_pyvalue_err("Empty data"));
107    }
108
109    let data_type: String = data
110        .first()
111        .unwrap() // SAFETY: Unwrap safe as already checked that `data` not empty
112        .getattr("__class__")?
113        .getattr("__name__")?
114        .extract()?;
115
116    match data_type.as_str() {
117        stringify!(OrderBookDelta) => {
118            let deltas = pyobjects_to_book_deltas(data)?;
119            py_book_deltas_to_arrow_record_batch_bytes(py, deltas)
120        }
121        stringify!(OrderBookDepth10) => {
122            let depth_snapshots: Vec<OrderBookDepth10> = data
123                .into_iter()
124                .map(|obj| obj.extract::<OrderBookDepth10>().map_err(Into::into))
125                .collect::<PyResult<Vec<OrderBookDepth10>>>()?;
126            py_book_depth10_to_arrow_record_batch_bytes(py, depth_snapshots)
127        }
128        stringify!(QuoteTick) => {
129            let quotes = pyobjects_to_quotes(data)?;
130            py_quotes_to_arrow_record_batch_bytes(py, quotes)
131        }
132        stringify!(TradeTick) => {
133            let trades = pyobjects_to_trades(data)?;
134            py_trades_to_arrow_record_batch_bytes(py, trades)
135        }
136        stringify!(Bar) => {
137            let bars = pyobjects_to_bars(data)?;
138            py_bars_to_arrow_record_batch_bytes(py, bars)
139        }
140        stringify!(MarkPriceUpdate) => {
141            let updates = pyobjects_to_mark_prices(data)?;
142            py_mark_prices_to_arrow_record_batch_bytes(py, updates)
143        }
144        stringify!(IndexPriceUpdate) => {
145            let index_prices = pyobjects_to_index_prices(data)?;
146            py_index_prices_to_arrow_record_batch_bytes(py, index_prices)
147        }
148        stringify!(InstrumentClose) => {
149            let closes = pyobjects_to_instrument_closes(data)?;
150            py_instrument_closes_to_arrow_record_batch_bytes(py, closes)
151        }
152        _ => Err(to_pyvalue_err(format!(
153            "unsupported data type: {data_type}"
154        ))),
155    }
156}
157
158/// Converts a list of `OrderBookDelta` into Arrow IPC bytes for Python.
159///
160/// # Errors
161///
162/// Returns a `PyErr` if encoding fails.
163#[pyfunction(name = "book_deltas_to_arrow_record_batch_bytes")]
164pub fn py_book_deltas_to_arrow_record_batch_bytes(
165    py: Python,
166    data: Vec<OrderBookDelta>,
167) -> PyResult<Py<PyBytes>> {
168    match book_deltas_to_arrow_record_batch_bytes(data) {
169        Ok(batch) => arrow_record_batch_to_pybytes(py, batch),
170        Err(e) => Err(to_pyvalue_err(e)),
171    }
172}
173
174/// Converts a list of `OrderBookDepth10` into Arrow IPC bytes for Python.
175///
176/// # Errors
177///
178/// Returns a `PyErr` if encoding fails.
179#[pyfunction(name = "book_depth10_to_arrow_record_batch_bytes")]
180pub fn py_book_depth10_to_arrow_record_batch_bytes(
181    py: Python,
182    data: Vec<OrderBookDepth10>,
183) -> PyResult<Py<PyBytes>> {
184    match book_depth10_to_arrow_record_batch_bytes(data) {
185        Ok(batch) => arrow_record_batch_to_pybytes(py, batch),
186        Err(e) => Err(to_pyvalue_err(e)),
187    }
188}
189
190/// Converts a list of `QuoteTick` into Arrow IPC bytes for Python.
191///
192/// # Errors
193///
194/// Returns a `PyErr` if encoding fails.
195#[pyfunction(name = "quotes_to_arrow_record_batch_bytes")]
196pub fn py_quotes_to_arrow_record_batch_bytes(
197    py: Python,
198    data: Vec<QuoteTick>,
199) -> PyResult<Py<PyBytes>> {
200    match quotes_to_arrow_record_batch_bytes(data) {
201        Ok(batch) => arrow_record_batch_to_pybytes(py, batch),
202        Err(e) => Err(to_pyvalue_err(e)),
203    }
204}
205
206/// Converts a list of `TradeTick` into Arrow IPC bytes for Python.
207///
208/// # Errors
209///
210/// Returns a `PyErr` if encoding fails.
211#[pyfunction(name = "trades_to_arrow_record_batch_bytes")]
212pub fn py_trades_to_arrow_record_batch_bytes(
213    py: Python,
214    data: Vec<TradeTick>,
215) -> PyResult<Py<PyBytes>> {
216    match trades_to_arrow_record_batch_bytes(data) {
217        Ok(batch) => arrow_record_batch_to_pybytes(py, batch),
218        Err(e) => Err(to_pyvalue_err(e)),
219    }
220}
221
222/// Converts a list of `Bar` into Arrow IPC bytes for Python.
223///
224/// # Errors
225///
226/// Returns a `PyErr` if encoding fails.
227#[pyfunction(name = "bars_to_arrow_record_batch_bytes")]
228pub fn py_bars_to_arrow_record_batch_bytes(py: Python, data: Vec<Bar>) -> PyResult<Py<PyBytes>> {
229    match bars_to_arrow_record_batch_bytes(data) {
230        Ok(batch) => arrow_record_batch_to_pybytes(py, batch),
231        Err(e) => Err(to_pyvalue_err(e)),
232    }
233}
234
235/// Converts a list of `MarkPriceUpdate` into Arrow IPC bytes for Python.
236///
237/// # Errors
238///
239/// Returns a `PyErr` if encoding fails.
240#[pyfunction(name = "mark_prices_to_arrow_record_batch_bytes")]
241pub fn py_mark_prices_to_arrow_record_batch_bytes(
242    py: Python,
243    data: Vec<MarkPriceUpdate>,
244) -> PyResult<Py<PyBytes>> {
245    match mark_prices_to_arrow_record_batch_bytes(data) {
246        Ok(batch) => arrow_record_batch_to_pybytes(py, batch),
247        Err(e) => Err(to_pyvalue_err(e)),
248    }
249}
250
251/// Converts a list of `IndexPriceUpdate` into Arrow IPC bytes for Python.
252///
253/// # Errors
254///
255/// Returns a `PyErr` if encoding fails.
256#[pyfunction(name = "index_prices_to_arrow_record_batch_bytes")]
257pub fn py_index_prices_to_arrow_record_batch_bytes(
258    py: Python,
259    data: Vec<IndexPriceUpdate>,
260) -> PyResult<Py<PyBytes>> {
261    match index_prices_to_arrow_record_batch_bytes(data) {
262        Ok(batch) => arrow_record_batch_to_pybytes(py, batch),
263        Err(e) => Err(to_pyvalue_err(e)),
264    }
265}
266
267/// Converts a list of `InstrumentClose` into Arrow IPC bytes for Python.
268///
269/// # Errors
270///
271/// Returns a `PyErr` if encoding fails.
272#[pyfunction(name = "instrument_closes_to_arrow_record_batch_bytes")]
273pub fn py_instrument_closes_to_arrow_record_batch_bytes(
274    py: Python,
275    data: Vec<InstrumentClose>,
276) -> PyResult<Py<PyBytes>> {
277    match instrument_closes_to_arrow_record_batch_bytes(data) {
278        Ok(batch) => arrow_record_batch_to_pybytes(py, batch),
279        Err(e) => Err(to_pyvalue_err(e)),
280    }
281}
nautilus_serialization/python/arrow.rs

nautilus_serialization/python/
arrow.rs
