nautilus_serialization/arrow/instrument/
cfd.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
16//! Arrow serialization for Cfd instruments.
17
18use std::{collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        Array, BinaryArray, BinaryBuilder, StringArray, StringBuilder, UInt8Array, UInt64Array,
23    },
24    datatypes::{DataType, Field, Schema},
25    error::ArrowError,
26    record_batch::RecordBatch,
27};
28use nautilus_core::{Params, UnixNanos};
29use nautilus_model::{
30    enums::AssetClass,
31    identifiers::{InstrumentId, Symbol},
32    instruments::cfd::Cfd,
33    types::{money::Money, price::Price, quantity::Quantity},
34};
35#[allow(unused)]
36use rust_decimal::Decimal;
37#[allow(unused)]
38use serde_json::Value;
39
40use crate::arrow::{
41    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
42    KEY_PRICE_PRECISION, extract_column, extract_column_by_name_or_index,
43    extract_optional_string_column_by_name, optional_ustr_value,
44};
45
46impl ArrowSchemaProvider for Cfd {
47    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
48        let fields = vec![
49            Field::new("id", DataType::Utf8, false),
50            Field::new("raw_symbol", DataType::Utf8, false),
51            Field::new("asset_class", DataType::Utf8, false),
52            Field::new("base_currency", DataType::Utf8, true), // nullable
53            Field::new("quote_currency", DataType::Utf8, false),
54            Field::new("price_precision", DataType::UInt8, false),
55            Field::new("size_precision", DataType::UInt8, false),
56            Field::new("price_increment", DataType::Utf8, false),
57            Field::new("size_increment", DataType::Utf8, false),
58            Field::new("lot_size", DataType::Utf8, true), // nullable
59            Field::new("max_quantity", DataType::Utf8, true), // nullable
60            Field::new("min_quantity", DataType::Utf8, true), // nullable
61            Field::new("max_notional", DataType::Utf8, true), // nullable
62            Field::new("min_notional", DataType::Utf8, true), // nullable
63            Field::new("max_price", DataType::Utf8, true), // nullable
64            Field::new("min_price", DataType::Utf8, true), // nullable
65            Field::new("margin_init", DataType::Utf8, false),
66            Field::new("margin_maint", DataType::Utf8, false),
67            Field::new("maker_fee", DataType::Utf8, false),
68            Field::new("taker_fee", DataType::Utf8, false),
69            Field::new("tick_scheme", DataType::Utf8, true),
70            Field::new("info", DataType::Binary, true), // nullable
71            Field::new("ts_event", DataType::UInt64, false),
72            Field::new("ts_init", DataType::UInt64, false),
73        ];
74
75        let mut final_metadata = HashMap::new();
76        final_metadata.insert("class".to_string(), "Cfd".to_string());
77
78        if let Some(meta) = metadata {
79            final_metadata.extend(meta);
80        }
81
82        Schema::new_with_metadata(fields, final_metadata)
83    }
84}
85
86impl EncodeToRecordBatch for Cfd {
87    fn encode_batch(
88        #[allow(unused)] metadata: &HashMap<String, String>,
89        data: &[Self],
90    ) -> Result<RecordBatch, ArrowError> {
91        let mut id_builder = StringBuilder::new();
92        let mut raw_symbol_builder = StringBuilder::new();
93        let mut asset_class_builder = StringBuilder::new();
94        let mut base_currency_builder = StringBuilder::new();
95        let mut quote_currency_builder = StringBuilder::new();
96        let mut price_precision_builder = UInt8Array::builder(data.len());
97        let mut size_precision_builder = UInt8Array::builder(data.len());
98        let mut price_increment_builder = StringBuilder::new();
99        let mut size_increment_builder = StringBuilder::new();
100        let mut lot_size_builder = StringBuilder::new();
101        let mut max_quantity_builder = StringBuilder::new();
102        let mut min_quantity_builder = StringBuilder::new();
103        let mut max_notional_builder = StringBuilder::new();
104        let mut min_notional_builder = StringBuilder::new();
105        let mut max_price_builder = StringBuilder::new();
106        let mut min_price_builder = StringBuilder::new();
107        let mut margin_init_builder = StringBuilder::new();
108        let mut margin_maint_builder = StringBuilder::new();
109        let mut maker_fee_builder = StringBuilder::new();
110        let mut taker_fee_builder = StringBuilder::new();
111        let mut tick_scheme_builder = StringBuilder::new();
112        let mut info_builder = BinaryBuilder::new();
113        let mut ts_event_builder = UInt64Array::builder(data.len());
114        let mut ts_init_builder = UInt64Array::builder(data.len());
115
116        for cfd in data {
117            id_builder.append_value(cfd.id.to_string());
118            raw_symbol_builder.append_value(cfd.raw_symbol);
119            asset_class_builder.append_value(cfd.asset_class);
120
121            if let Some(base_cur) = cfd.base_currency {
122                base_currency_builder.append_value(base_cur.to_string());
123            } else {
124                base_currency_builder.append_null();
125            }
126
127            quote_currency_builder.append_value(cfd.quote_currency.to_string());
128            price_precision_builder.append_value(cfd.price_precision);
129            size_precision_builder.append_value(cfd.size_precision);
130            price_increment_builder.append_value(cfd.price_increment.to_string());
131            size_increment_builder.append_value(cfd.size_increment.to_string());
132
133            if let Some(lot_size) = cfd.lot_size {
134                lot_size_builder.append_value(lot_size.to_string());
135            } else {
136                lot_size_builder.append_null();
137            }
138
139            if let Some(max_qty) = cfd.max_quantity {
140                max_quantity_builder.append_value(max_qty.to_string());
141            } else {
142                max_quantity_builder.append_null();
143            }
144
145            if let Some(min_qty) = cfd.min_quantity {
146                min_quantity_builder.append_value(min_qty.to_string());
147            } else {
148                min_quantity_builder.append_null();
149            }
150
151            if let Some(max_not) = cfd.max_notional {
152                max_notional_builder.append_value(max_not.to_string());
153            } else {
154                max_notional_builder.append_null();
155            }
156
157            if let Some(min_not) = cfd.min_notional {
158                min_notional_builder.append_value(min_not.to_string());
159            } else {
160                min_notional_builder.append_null();
161            }
162
163            if let Some(max_p) = cfd.max_price {
164                max_price_builder.append_value(max_p.to_string());
165            } else {
166                max_price_builder.append_null();
167            }
168
169            if let Some(min_p) = cfd.min_price {
170                min_price_builder.append_value(min_p.to_string());
171            } else {
172                min_price_builder.append_null();
173            }
174
175            margin_init_builder.append_value(cfd.margin_init.to_string());
176            margin_maint_builder.append_value(cfd.margin_maint.to_string());
177            maker_fee_builder.append_value(cfd.maker_fee.to_string());
178            taker_fee_builder.append_value(cfd.taker_fee.to_string());
179
180            if let Some(tick_scheme) = cfd.tick_scheme {
181                tick_scheme_builder.append_value(tick_scheme);
182            } else {
183                tick_scheme_builder.append_null();
184            }
185
186            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
187            if let Some(ref info) = cfd.info {
188                match serde_json::to_vec(info) {
189                    Ok(json_bytes) => {
190                        info_builder.append_value(json_bytes);
191                    }
192                    Err(e) => {
193                        return Err(ArrowError::InvalidArgumentError(format!(
194                            "Failed to serialize info dict to JSON: {e}"
195                        )));
196                    }
197                }
198            } else {
199                info_builder.append_null();
200            }
201
202            ts_event_builder.append_value(cfd.ts_event.as_u64());
203            ts_init_builder.append_value(cfd.ts_init.as_u64());
204        }
205
206        let mut final_metadata = metadata.clone();
207        final_metadata.insert("class".to_string(), "Cfd".to_string());
208
209        RecordBatch::try_new(
210            Self::get_schema(Some(final_metadata)).into(),
211            vec![
212                Arc::new(id_builder.finish()),
213                Arc::new(raw_symbol_builder.finish()),
214                Arc::new(asset_class_builder.finish()),
215                Arc::new(base_currency_builder.finish()),
216                Arc::new(quote_currency_builder.finish()),
217                Arc::new(price_precision_builder.finish()),
218                Arc::new(size_precision_builder.finish()),
219                Arc::new(price_increment_builder.finish()),
220                Arc::new(size_increment_builder.finish()),
221                Arc::new(lot_size_builder.finish()),
222                Arc::new(max_quantity_builder.finish()),
223                Arc::new(min_quantity_builder.finish()),
224                Arc::new(max_notional_builder.finish()),
225                Arc::new(min_notional_builder.finish()),
226                Arc::new(max_price_builder.finish()),
227                Arc::new(min_price_builder.finish()),
228                Arc::new(margin_init_builder.finish()),
229                Arc::new(margin_maint_builder.finish()),
230                Arc::new(maker_fee_builder.finish()),
231                Arc::new(taker_fee_builder.finish()),
232                Arc::new(tick_scheme_builder.finish()),
233                Arc::new(info_builder.finish()),
234                Arc::new(ts_event_builder.finish()),
235                Arc::new(ts_init_builder.finish()),
236            ],
237        )
238    }
239
240    fn metadata(&self) -> HashMap<String, String> {
241        let mut metadata = HashMap::new();
242        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
243        metadata.insert(
244            KEY_PRICE_PRECISION.to_string(),
245            self.price_precision.to_string(),
246        );
247        metadata
248    }
249}
250
251/// Helper function to decode Cfd from RecordBatch
252/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
253///
254/// # Errors
255///
256/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
257pub fn decode_cfd_batch(
258    #[allow(unused)] metadata: &HashMap<String, String>,
259    record_batch: &RecordBatch,
260) -> Result<Vec<Cfd>, EncodingError> {
261    let cols = record_batch.columns();
262    let num_rows = record_batch.num_rows();
263
264    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
265    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
266    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
267    let base_currency_values = cols
268        .get(3)
269        .ok_or_else(|| EncodingError::MissingColumn("base_currency", 3))?;
270    let quote_currency_values =
271        extract_column::<StringArray>(cols, "quote_currency", 4, DataType::Utf8)?;
272    let price_precision_values =
273        extract_column::<UInt8Array>(cols, "price_precision", 5, DataType::UInt8)?;
274    let size_precision_values =
275        extract_column::<UInt8Array>(cols, "size_precision", 6, DataType::UInt8)?;
276    let price_increment_values =
277        extract_column::<StringArray>(cols, "price_increment", 7, DataType::Utf8)?;
278    let size_increment_values =
279        extract_column::<StringArray>(cols, "size_increment", 8, DataType::Utf8)?;
280    let lot_size_values = cols
281        .get(9)
282        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 9))?;
283    let max_quantity_values = cols
284        .get(10)
285        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 10))?;
286    let min_quantity_values = cols
287        .get(11)
288        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 11))?;
289    let max_notional_values = cols
290        .get(12)
291        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 12))?;
292    let min_notional_values = cols
293        .get(13)
294        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 13))?;
295    let max_price_values = cols
296        .get(14)
297        .ok_or_else(|| EncodingError::MissingColumn("max_price", 14))?;
298    let min_price_values = cols
299        .get(15)
300        .ok_or_else(|| EncodingError::MissingColumn("min_price", 15))?;
301    let margin_init_values =
302        extract_column::<StringArray>(cols, "margin_init", 16, DataType::Utf8)?;
303    let margin_maint_values =
304        extract_column::<StringArray>(cols, "margin_maint", 17, DataType::Utf8)?;
305    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 18, DataType::Utf8)?;
306    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 19, DataType::Utf8)?;
307    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
308    let info_values =
309        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 20, DataType::Binary)?;
310    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
311        record_batch,
312        "ts_event",
313        21,
314        DataType::UInt64,
315    )?;
316    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
317        record_batch,
318        "ts_init",
319        22,
320        DataType::UInt64,
321    )?;
322
323    let mut result = Vec::with_capacity(num_rows);
324
325    for i in 0..num_rows {
326        let id = InstrumentId::from_str(id_values.value(i))
327            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
328        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
329        let asset_class = AssetClass::from_str(asset_class_values.value(i))
330            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
331
332        let base_currency = if base_currency_values.is_null(i) {
333            None
334        } else {
335            let base_cur_str = base_currency_values
336                .as_any()
337                .downcast_ref::<StringArray>()
338                .ok_or_else(|| {
339                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
340                })?
341                .value(i);
342            Some(super::decode_currency(
343                base_cur_str,
344                "base_currency",
345                "cfd.base_currency",
346                i,
347            )?)
348        };
349
350        let quote_currency = super::decode_currency(
351            quote_currency_values.value(i),
352            "quote_currency",
353            "cfd.quote_currency",
354            i,
355        )?;
356        let price_prec = price_precision_values.value(i);
357        let size_prec = size_precision_values.value(i);
358
359        let price_increment = Price::from_str(price_increment_values.value(i))
360            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
361        let size_increment = Quantity::from_str(size_increment_values.value(i))
362            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
363
364        let lot_size = if lot_size_values.is_null(i) {
365            None
366        } else {
367            let lot_size_str = lot_size_values
368                .as_any()
369                .downcast_ref::<StringArray>()
370                .ok_or_else(|| {
371                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
372                })?
373                .value(i);
374            Some(
375                Quantity::from_str(lot_size_str)
376                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
377            )
378        };
379
380        let max_quantity =
381            if max_quantity_values.is_null(i) {
382                None
383            } else {
384                let max_qty_str = max_quantity_values
385                    .as_any()
386                    .downcast_ref::<StringArray>()
387                    .ok_or_else(|| {
388                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
389                    })?
390                    .value(i);
391                Some(Quantity::from_str(max_qty_str).map_err(|e| {
392                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
393                })?)
394            };
395
396        let min_quantity =
397            if min_quantity_values.is_null(i) {
398                None
399            } else {
400                let min_qty_str = min_quantity_values
401                    .as_any()
402                    .downcast_ref::<StringArray>()
403                    .ok_or_else(|| {
404                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
405                    })?
406                    .value(i);
407                Some(Quantity::from_str(min_qty_str).map_err(|e| {
408                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
409                })?)
410            };
411
412        let max_notional =
413            if max_notional_values.is_null(i) {
414                None
415            } else {
416                let max_not_str = max_notional_values
417                    .as_any()
418                    .downcast_ref::<StringArray>()
419                    .ok_or_else(|| {
420                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
421                    })?
422                    .value(i);
423                Some(Money::from_str(max_not_str).map_err(|e| {
424                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
425                })?)
426            };
427
428        let min_notional =
429            if min_notional_values.is_null(i) {
430                None
431            } else {
432                let min_not_str = min_notional_values
433                    .as_any()
434                    .downcast_ref::<StringArray>()
435                    .ok_or_else(|| {
436                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
437                    })?
438                    .value(i);
439                Some(Money::from_str(min_not_str).map_err(|e| {
440                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
441                })?)
442            };
443
444        let max_price = if max_price_values.is_null(i) {
445            None
446        } else {
447            let max_p_str = max_price_values
448                .as_any()
449                .downcast_ref::<StringArray>()
450                .ok_or_else(|| {
451                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
452                })?
453                .value(i);
454            Some(
455                Price::from_str(max_p_str)
456                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
457            )
458        };
459
460        let min_price = if min_price_values.is_null(i) {
461            None
462        } else {
463            let min_p_str = min_price_values
464                .as_any()
465                .downcast_ref::<StringArray>()
466                .ok_or_else(|| {
467                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
468                })?
469                .value(i);
470            Some(
471                Price::from_str(min_p_str)
472                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
473            )
474        };
475
476        let margin_init = Decimal::from_str(margin_init_values.value(i))
477            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
478        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
479            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
480        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
481            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
482        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
483            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
484
485        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
486        let info = if info_values.is_null(i) {
487            None
488        } else {
489            let info_bytes = info_values
490                .as_any()
491                .downcast_ref::<BinaryArray>()
492                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
493                .value(i);
494
495            match serde_json::from_slice::<Params>(info_bytes) {
496                Ok(info_dict) => Some(info_dict),
497                Err(e) => {
498                    return Err(EncodingError::ParseError(
499                        "info",
500                        format!("row {i}: failed to deserialize JSON: {e}"),
501                    ));
502                }
503            }
504        };
505
506        let ts_event = UnixNanos::from(ts_event_values.value(i));
507        let ts_init = UnixNanos::from(ts_init_values.value(i));
508
509        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
510
511        let cfd = Cfd::new_checked(
512            id,
513            raw_symbol,
514            asset_class,
515            base_currency,
516            quote_currency,
517            price_prec,
518            size_prec,
519            price_increment,
520            size_increment,
521            lot_size,
522            max_quantity,
523            min_quantity,
524            max_notional,
525            min_notional,
526            max_price,
527            min_price,
528            Some(margin_init),
529            Some(margin_maint),
530            Some(maker_fee),
531            Some(taker_fee),
532            tick_scheme,
533            info,
534            ts_event,
535            ts_init,
536        )
537        .map_err(|e| super::instrument_validation_error::<Cfd>(i, e))?;
538
539        result.push(cfd);
540    }
541
542    Ok(result)
543}
nautilus_serialization/arrow/instrument/cfd.rs

nautilus_serialization/arrow/instrument/
cfd.rs
