nautilus_serialization/arrow/instrument/
crypto_future.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 CryptoFuture instruments.
17
18use std::{collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        Array, BinaryArray, BinaryBuilder, BooleanArray, BooleanBuilder, StringArray,
23        StringBuilder, UInt8Array, UInt64Array,
24    },
25    datatypes::{DataType, Field, Schema},
26    error::ArrowError,
27    record_batch::RecordBatch,
28};
29use nautilus_core::Params;
30use nautilus_model::{
31    identifiers::{InstrumentId, Symbol},
32    instruments::crypto_future::CryptoFuture,
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, KEY_SIZE_PRECISION, extract_column, extract_column_by_name_or_index,
43    extract_optional_string_column_by_name, optional_ustr_value,
44};
45
46impl ArrowSchemaProvider for CryptoFuture {
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("underlying", DataType::Utf8, false),
52            Field::new("quote_currency", DataType::Utf8, false),
53            Field::new("settlement_currency", DataType::Utf8, false),
54            Field::new("is_inverse", DataType::Boolean, false),
55            Field::new("activation_ns", DataType::UInt64, false),
56            Field::new("expiration_ns", DataType::UInt64, false),
57            Field::new("price_precision", DataType::UInt8, false),
58            Field::new("size_precision", DataType::UInt8, false),
59            Field::new("price_increment", DataType::Utf8, false),
60            Field::new("size_increment", DataType::Utf8, false),
61            Field::new("multiplier", DataType::Utf8, false),
62            Field::new("lot_size", DataType::Utf8, true),
63            Field::new("max_quantity", DataType::Utf8, true), // nullable
64            Field::new("min_quantity", DataType::Utf8, true), // nullable
65            Field::new("max_notional", DataType::Utf8, true), // nullable
66            Field::new("min_notional", DataType::Utf8, true), // nullable
67            Field::new("max_price", DataType::Utf8, true),    // nullable
68            Field::new("min_price", DataType::Utf8, true),    // nullable
69            Field::new("margin_init", DataType::Utf8, false),
70            Field::new("margin_maint", DataType::Utf8, false),
71            Field::new("maker_fee", DataType::Utf8, false),
72            Field::new("taker_fee", DataType::Utf8, false),
73            Field::new("tick_scheme", DataType::Utf8, true),
74            Field::new("info", DataType::Binary, true), // nullable
75            Field::new("ts_event", DataType::UInt64, false),
76            Field::new("ts_init", DataType::UInt64, false),
77        ];
78
79        let mut final_metadata = HashMap::new();
80        final_metadata.insert("class".to_string(), "CryptoFuture".to_string());
81
82        if let Some(meta) = metadata {
83            final_metadata.extend(meta);
84        }
85
86        Schema::new_with_metadata(fields, final_metadata)
87    }
88}
89
90impl EncodeToRecordBatch for CryptoFuture {
91    fn encode_batch(
92        #[allow(unused)] metadata: &HashMap<String, String>,
93        data: &[Self],
94    ) -> Result<RecordBatch, ArrowError> {
95        let mut id_builder = StringBuilder::new();
96        let mut raw_symbol_builder = StringBuilder::new();
97        let mut underlying_builder = StringBuilder::new();
98        let mut quote_currency_builder = StringBuilder::new();
99        let mut settlement_currency_builder = StringBuilder::new();
100        let mut is_inverse_builder = BooleanBuilder::new();
101        let mut activation_ns_builder = UInt64Array::builder(data.len());
102        let mut expiration_ns_builder = UInt64Array::builder(data.len());
103        let mut price_precision_builder = UInt8Array::builder(data.len());
104        let mut size_precision_builder = UInt8Array::builder(data.len());
105        let mut price_increment_builder = StringBuilder::new();
106        let mut size_increment_builder = StringBuilder::new();
107        let mut multiplier_builder = StringBuilder::new();
108        let mut lot_size_builder = StringBuilder::new();
109        let mut max_quantity_builder = StringBuilder::new();
110        let mut min_quantity_builder = StringBuilder::new();
111        let mut max_notional_builder = StringBuilder::new();
112        let mut min_notional_builder = StringBuilder::new();
113        let mut max_price_builder = StringBuilder::new();
114        let mut min_price_builder = StringBuilder::new();
115        let mut margin_init_builder = StringBuilder::new();
116        let mut margin_maint_builder = StringBuilder::new();
117        let mut maker_fee_builder = StringBuilder::new();
118        let mut taker_fee_builder = StringBuilder::new();
119        let mut tick_scheme_builder = StringBuilder::new();
120        let mut info_builder = BinaryBuilder::new();
121        let mut ts_event_builder = UInt64Array::builder(data.len());
122        let mut ts_init_builder = UInt64Array::builder(data.len());
123
124        for cf in data {
125            id_builder.append_value(cf.id.to_string());
126            raw_symbol_builder.append_value(cf.raw_symbol);
127            underlying_builder.append_value(cf.underlying.to_string());
128            quote_currency_builder.append_value(cf.quote_currency.to_string());
129            settlement_currency_builder.append_value(cf.settlement_currency.to_string());
130            is_inverse_builder.append_value(cf.is_inverse);
131            activation_ns_builder.append_value(cf.activation_ns.as_u64());
132            expiration_ns_builder.append_value(cf.expiration_ns.as_u64());
133            price_precision_builder.append_value(cf.price_precision);
134            size_precision_builder.append_value(cf.size_precision);
135            price_increment_builder.append_value(cf.price_increment.to_string());
136            size_increment_builder.append_value(cf.size_increment.to_string());
137            multiplier_builder.append_value(cf.multiplier.to_string());
138            lot_size_builder.append_value(cf.lot_size.to_string());
139
140            if let Some(max_qty) = cf.max_quantity {
141                max_quantity_builder.append_value(max_qty.to_string());
142            } else {
143                max_quantity_builder.append_null();
144            }
145
146            if let Some(min_qty) = cf.min_quantity {
147                min_quantity_builder.append_value(min_qty.to_string());
148            } else {
149                min_quantity_builder.append_null();
150            }
151
152            if let Some(max_not) = cf.max_notional {
153                max_notional_builder.append_value(max_not.to_string());
154            } else {
155                max_notional_builder.append_null();
156            }
157
158            if let Some(min_not) = cf.min_notional {
159                min_notional_builder.append_value(min_not.to_string());
160            } else {
161                min_notional_builder.append_null();
162            }
163
164            if let Some(max_p) = cf.max_price {
165                max_price_builder.append_value(max_p.to_string());
166            } else {
167                max_price_builder.append_null();
168            }
169
170            if let Some(min_p) = cf.min_price {
171                min_price_builder.append_value(min_p.to_string());
172            } else {
173                min_price_builder.append_null();
174            }
175
176            margin_init_builder.append_value(cf.margin_init.to_string());
177            margin_maint_builder.append_value(cf.margin_maint.to_string());
178            maker_fee_builder.append_value(cf.maker_fee.to_string());
179            taker_fee_builder.append_value(cf.taker_fee.to_string());
180
181            if let Some(tick_scheme) = cf.tick_scheme {
182                tick_scheme_builder.append_value(tick_scheme);
183            } else {
184                tick_scheme_builder.append_null();
185            }
186
187            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
188            if let Some(ref info) = cf.info {
189                match serde_json::to_vec(info) {
190                    Ok(json_bytes) => {
191                        info_builder.append_value(json_bytes);
192                    }
193                    Err(e) => {
194                        return Err(ArrowError::InvalidArgumentError(format!(
195                            "Failed to serialize info dict to JSON: {e}"
196                        )));
197                    }
198                }
199            } else {
200                info_builder.append_null();
201            }
202
203            ts_event_builder.append_value(cf.ts_event.as_u64());
204            ts_init_builder.append_value(cf.ts_init.as_u64());
205        }
206
207        let mut final_metadata = metadata.clone();
208        final_metadata.insert("class".to_string(), "CryptoFuture".to_string());
209
210        RecordBatch::try_new(
211            Self::get_schema(Some(final_metadata)).into(),
212            vec![
213                Arc::new(id_builder.finish()),
214                Arc::new(raw_symbol_builder.finish()),
215                Arc::new(underlying_builder.finish()),
216                Arc::new(quote_currency_builder.finish()),
217                Arc::new(settlement_currency_builder.finish()),
218                Arc::new(is_inverse_builder.finish()),
219                Arc::new(activation_ns_builder.finish()),
220                Arc::new(expiration_ns_builder.finish()),
221                Arc::new(price_precision_builder.finish()),
222                Arc::new(size_precision_builder.finish()),
223                Arc::new(price_increment_builder.finish()),
224                Arc::new(size_increment_builder.finish()),
225                Arc::new(multiplier_builder.finish()),
226                Arc::new(lot_size_builder.finish()),
227                Arc::new(max_quantity_builder.finish()),
228                Arc::new(min_quantity_builder.finish()),
229                Arc::new(max_notional_builder.finish()),
230                Arc::new(min_notional_builder.finish()),
231                Arc::new(max_price_builder.finish()),
232                Arc::new(min_price_builder.finish()),
233                Arc::new(margin_init_builder.finish()),
234                Arc::new(margin_maint_builder.finish()),
235                Arc::new(maker_fee_builder.finish()),
236                Arc::new(taker_fee_builder.finish()),
237                Arc::new(tick_scheme_builder.finish()),
238                Arc::new(info_builder.finish()),
239                Arc::new(ts_event_builder.finish()),
240                Arc::new(ts_init_builder.finish()),
241            ],
242        )
243    }
244
245    fn metadata(&self) -> HashMap<String, String> {
246        let mut metadata = HashMap::new();
247        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
248        metadata.insert(
249            KEY_PRICE_PRECISION.to_string(),
250            self.price_precision.to_string(),
251        );
252        metadata.insert(
253            KEY_SIZE_PRECISION.to_string(),
254            self.size_precision.to_string(),
255        );
256        metadata
257    }
258}
259
260/// Helper function to decode CryptoFuture from RecordBatch
261/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
262///
263/// # Errors
264///
265/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
266pub fn decode_crypto_future_batch(
267    #[allow(unused)] metadata: &HashMap<String, String>,
268    record_batch: &RecordBatch,
269) -> Result<Vec<CryptoFuture>, EncodingError> {
270    let cols = record_batch.columns();
271    let num_rows = record_batch.num_rows();
272
273    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
274    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
275    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
276    let quote_currency_values =
277        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
278    let settlement_currency_values =
279        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
280    let is_inverse_values =
281        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
282    let activation_ns_values =
283        extract_column::<UInt64Array>(cols, "activation_ns", 6, DataType::UInt64)?;
284    let expiration_ns_values =
285        extract_column::<UInt64Array>(cols, "expiration_ns", 7, DataType::UInt64)?;
286    let price_precision_values =
287        extract_column::<UInt8Array>(cols, "price_precision", 8, DataType::UInt8)?;
288    let size_precision_values =
289        extract_column::<UInt8Array>(cols, "size_precision", 9, DataType::UInt8)?;
290    let price_increment_values =
291        extract_column::<StringArray>(cols, "price_increment", 10, DataType::Utf8)?;
292    let size_increment_values =
293        extract_column::<StringArray>(cols, "size_increment", 11, DataType::Utf8)?;
294    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 12, DataType::Utf8)?;
295    let lot_size_values = record_batch
296        .schema()
297        .index_of("lot_size")
298        .ok()
299        .map(|index| extract_column::<StringArray>(cols, "lot_size", index, DataType::Utf8))
300        .transpose()?;
301    let lot_size_offset = usize::from(lot_size_values.is_some());
302    let max_quantity_values = cols
303        .get(13 + lot_size_offset)
304        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 13 + lot_size_offset))?;
305    let min_quantity_values = cols
306        .get(14 + lot_size_offset)
307        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 14 + lot_size_offset))?;
308    let max_notional_values = cols
309        .get(15 + lot_size_offset)
310        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 15 + lot_size_offset))?;
311    let min_notional_values = cols
312        .get(16 + lot_size_offset)
313        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 16 + lot_size_offset))?;
314    let max_price_values = cols
315        .get(17 + lot_size_offset)
316        .ok_or_else(|| EncodingError::MissingColumn("max_price", 17 + lot_size_offset))?;
317    let min_price_values = cols
318        .get(18 + lot_size_offset)
319        .ok_or_else(|| EncodingError::MissingColumn("min_price", 18 + lot_size_offset))?;
320    let margin_init_values =
321        extract_column::<StringArray>(cols, "margin_init", 19 + lot_size_offset, DataType::Utf8)?;
322    let margin_maint_values =
323        extract_column::<StringArray>(cols, "margin_maint", 20 + lot_size_offset, DataType::Utf8)?;
324    let maker_fee_values =
325        extract_column::<StringArray>(cols, "maker_fee", 21 + lot_size_offset, DataType::Utf8)?;
326    let taker_fee_values =
327        extract_column::<StringArray>(cols, "taker_fee", 22 + lot_size_offset, DataType::Utf8)?;
328    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
329    let info_values = extract_column_by_name_or_index::<BinaryArray>(
330        record_batch,
331        "info",
332        23 + lot_size_offset,
333        DataType::Binary,
334    )?;
335    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
336        record_batch,
337        "ts_event",
338        24 + lot_size_offset,
339        DataType::UInt64,
340    )?;
341    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
342        record_batch,
343        "ts_init",
344        25 + lot_size_offset,
345        DataType::UInt64,
346    )?;
347
348    let mut result = Vec::with_capacity(num_rows);
349
350    for i in 0..num_rows {
351        let id = InstrumentId::from_str(id_values.value(i))
352            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
353        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
354        let underlying = super::decode_currency(
355            underlying_values.value(i),
356            "underlying",
357            "crypto_future.underlying",
358            i,
359        )?;
360        let quote_currency = super::decode_currency(
361            quote_currency_values.value(i),
362            "quote_currency",
363            "crypto_future.quote_currency",
364            i,
365        )?;
366        let settlement_currency = super::decode_currency(
367            settlement_currency_values.value(i),
368            "settlement_currency",
369            "crypto_future.settlement_currency",
370            i,
371        )?;
372        let is_inverse = is_inverse_values.value(i);
373        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
374        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
375        let price_prec = price_precision_values.value(i);
376        let size_prec = size_precision_values.value(i);
377
378        let price_increment = Price::from_str(price_increment_values.value(i))
379            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
380        let size_increment = Quantity::from_str(size_increment_values.value(i))
381            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
382        let multiplier = Quantity::from_str(multiplier_values.value(i))
383            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
384        let lot_size =
385            if let Some(values) = lot_size_values {
386                if values.is_null(i) {
387                    None
388                } else {
389                    Some(Quantity::from_str(values.value(i)).map_err(|e| {
390                        EncodingError::ParseError("lot_size", format!("row {i}: {e}"))
391                    })?)
392                }
393            } else {
394                None
395            };
396
397        let max_quantity =
398            if max_quantity_values.is_null(i) {
399                None
400            } else {
401                let max_qty_str = max_quantity_values
402                    .as_any()
403                    .downcast_ref::<StringArray>()
404                    .ok_or_else(|| {
405                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
406                    })?
407                    .value(i);
408                Some(Quantity::from_str(max_qty_str).map_err(|e| {
409                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
410                })?)
411            };
412
413        let min_quantity =
414            if min_quantity_values.is_null(i) {
415                None
416            } else {
417                let min_qty_str = min_quantity_values
418                    .as_any()
419                    .downcast_ref::<StringArray>()
420                    .ok_or_else(|| {
421                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
422                    })?
423                    .value(i);
424                Some(Quantity::from_str(min_qty_str).map_err(|e| {
425                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
426                })?)
427            };
428
429        let max_notional =
430            if max_notional_values.is_null(i) {
431                None
432            } else {
433                let max_not_str = max_notional_values
434                    .as_any()
435                    .downcast_ref::<StringArray>()
436                    .ok_or_else(|| {
437                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
438                    })?
439                    .value(i);
440                Some(Money::from_str(max_not_str).map_err(|e| {
441                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
442                })?)
443            };
444
445        let min_notional =
446            if min_notional_values.is_null(i) {
447                None
448            } else {
449                let min_not_str = min_notional_values
450                    .as_any()
451                    .downcast_ref::<StringArray>()
452                    .ok_or_else(|| {
453                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
454                    })?
455                    .value(i);
456                Some(Money::from_str(min_not_str).map_err(|e| {
457                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
458                })?)
459            };
460
461        let max_price = if max_price_values.is_null(i) {
462            None
463        } else {
464            let max_p_str = max_price_values
465                .as_any()
466                .downcast_ref::<StringArray>()
467                .ok_or_else(|| {
468                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
469                })?
470                .value(i);
471            Some(
472                Price::from_str(max_p_str)
473                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
474            )
475        };
476
477        let min_price = if min_price_values.is_null(i) {
478            None
479        } else {
480            let min_p_str = min_price_values
481                .as_any()
482                .downcast_ref::<StringArray>()
483                .ok_or_else(|| {
484                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
485                })?
486                .value(i);
487            Some(
488                Price::from_str(min_p_str)
489                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
490            )
491        };
492
493        let margin_init = Decimal::from_str(margin_init_values.value(i))
494            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
495        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
496            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
497        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
498            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
499        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
500            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
501
502        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
503        let info = if info_values.is_null(i) {
504            None
505        } else {
506            let info_bytes = info_values
507                .as_any()
508                .downcast_ref::<BinaryArray>()
509                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
510                .value(i);
511
512            match serde_json::from_slice::<Params>(info_bytes) {
513                Ok(info_dict) => Some(info_dict),
514                Err(e) => {
515                    return Err(EncodingError::ParseError(
516                        "info",
517                        format!("row {i}: failed to deserialize JSON: {e}"),
518                    ));
519                }
520            }
521        };
522
523        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
524        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
525
526        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
527
528        let crypto_future = CryptoFuture::new_checked(
529            id,
530            raw_symbol,
531            underlying,
532            quote_currency,
533            settlement_currency,
534            is_inverse,
535            activation_ns,
536            expiration_ns,
537            price_prec,
538            size_prec,
539            price_increment,
540            size_increment,
541            Some(multiplier),
542            lot_size,
543            max_quantity,
544            min_quantity,
545            max_notional,
546            min_notional,
547            max_price,
548            min_price,
549            Some(margin_init),
550            Some(margin_maint),
551            Some(maker_fee),
552            Some(taker_fee),
553            tick_scheme,
554            info,
555            ts_event,
556            ts_init,
557        )
558        .map_err(|e| super::instrument_validation_error::<CryptoFuture>(i, e))?;
559
560        result.push(crypto_future);
561    }
562
563    Ok(result)
564}
nautilus_serialization/arrow/instrument/crypto_future.rs

nautilus_serialization/arrow/instrument/
crypto_future.rs
