nautilus_serialization/arrow/instrument/
crypto_futures_spread.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 CryptoFuturesSpread 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_futures_spread::CryptoFuturesSpread,
33    types::{money::Money, price::Price, quantity::Quantity},
34};
35#[allow(unused)]
36use rust_decimal::Decimal;
37#[allow(unused)]
38use serde_json::Value;
39use ustr::Ustr;
40
41use crate::arrow::{
42    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
43    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name_or_index,
44    extract_optional_string_column_by_name, optional_ustr_value,
45};
46
47impl ArrowSchemaProvider for CryptoFuturesSpread {
48    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
49        let fields = vec![
50            Field::new("id", DataType::Utf8, false),
51            Field::new("raw_symbol", DataType::Utf8, false),
52            Field::new("underlying", DataType::Utf8, false),
53            Field::new("quote_currency", DataType::Utf8, false),
54            Field::new("settlement_currency", DataType::Utf8, false),
55            Field::new("is_inverse", DataType::Boolean, false),
56            Field::new("strategy_type", DataType::Utf8, false),
57            Field::new("activation_ns", DataType::UInt64, false),
58            Field::new("expiration_ns", DataType::UInt64, false),
59            Field::new("price_precision", DataType::UInt8, false),
60            Field::new("size_precision", DataType::UInt8, false),
61            Field::new("price_increment", DataType::Utf8, false),
62            Field::new("size_increment", DataType::Utf8, false),
63            Field::new("multiplier", DataType::Utf8, false),
64            Field::new("lot_size", DataType::Utf8, false),
65            Field::new("max_quantity", DataType::Utf8, true),
66            Field::new("min_quantity", DataType::Utf8, true),
67            Field::new("max_notional", DataType::Utf8, true),
68            Field::new("min_notional", DataType::Utf8, true),
69            Field::new("max_price", DataType::Utf8, true),
70            Field::new("min_price", DataType::Utf8, true),
71            Field::new("margin_init", DataType::Utf8, false),
72            Field::new("margin_maint", DataType::Utf8, false),
73            Field::new("maker_fee", DataType::Utf8, false),
74            Field::new("taker_fee", DataType::Utf8, false),
75            Field::new("tick_scheme", DataType::Utf8, true),
76            Field::new("info", DataType::Binary, true),
77            Field::new("ts_event", DataType::UInt64, false),
78            Field::new("ts_init", DataType::UInt64, false),
79        ];
80
81        let mut final_metadata = HashMap::new();
82        final_metadata.insert("class".to_string(), "CryptoFuturesSpread".to_string());
83
84        if let Some(meta) = metadata {
85            final_metadata.extend(meta);
86        }
87
88        Schema::new_with_metadata(fields, final_metadata)
89    }
90}
91
92impl EncodeToRecordBatch for CryptoFuturesSpread {
93    fn encode_batch(
94        #[allow(unused)] metadata: &HashMap<String, String>,
95        data: &[Self],
96    ) -> Result<RecordBatch, ArrowError> {
97        let mut id_builder = StringBuilder::new();
98        let mut raw_symbol_builder = StringBuilder::new();
99        let mut underlying_builder = StringBuilder::new();
100        let mut quote_currency_builder = StringBuilder::new();
101        let mut settlement_currency_builder = StringBuilder::new();
102        let mut is_inverse_builder = BooleanBuilder::new();
103        let mut strategy_type_builder = StringBuilder::new();
104        let mut activation_ns_builder = UInt64Array::builder(data.len());
105        let mut expiration_ns_builder = UInt64Array::builder(data.len());
106        let mut price_precision_builder = UInt8Array::builder(data.len());
107        let mut size_precision_builder = UInt8Array::builder(data.len());
108        let mut price_increment_builder = StringBuilder::new();
109        let mut size_increment_builder = StringBuilder::new();
110        let mut multiplier_builder = StringBuilder::new();
111        let mut lot_size_builder = StringBuilder::new();
112        let mut max_quantity_builder = StringBuilder::new();
113        let mut min_quantity_builder = StringBuilder::new();
114        let mut max_notional_builder = StringBuilder::new();
115        let mut min_notional_builder = StringBuilder::new();
116        let mut max_price_builder = StringBuilder::new();
117        let mut min_price_builder = StringBuilder::new();
118        let mut margin_init_builder = StringBuilder::new();
119        let mut margin_maint_builder = StringBuilder::new();
120        let mut maker_fee_builder = StringBuilder::new();
121        let mut taker_fee_builder = StringBuilder::new();
122        let mut tick_scheme_builder = StringBuilder::new();
123        let mut info_builder = BinaryBuilder::new();
124        let mut ts_event_builder = UInt64Array::builder(data.len());
125        let mut ts_init_builder = UInt64Array::builder(data.len());
126
127        for cf in data {
128            id_builder.append_value(cf.id.to_string());
129            raw_symbol_builder.append_value(cf.raw_symbol);
130            underlying_builder.append_value(cf.underlying.to_string());
131            quote_currency_builder.append_value(cf.quote_currency.to_string());
132            settlement_currency_builder.append_value(cf.settlement_currency.to_string());
133            is_inverse_builder.append_value(cf.is_inverse);
134            strategy_type_builder.append_value(cf.strategy_type.as_str());
135            activation_ns_builder.append_value(cf.activation_ns.as_u64());
136            expiration_ns_builder.append_value(cf.expiration_ns.as_u64());
137            price_precision_builder.append_value(cf.price_precision);
138            size_precision_builder.append_value(cf.size_precision);
139            price_increment_builder.append_value(cf.price_increment.to_string());
140            size_increment_builder.append_value(cf.size_increment.to_string());
141            multiplier_builder.append_value(cf.multiplier.to_string());
142            lot_size_builder.append_value(cf.lot_size.to_string());
143
144            if let Some(max_qty) = cf.max_quantity {
145                max_quantity_builder.append_value(max_qty.to_string());
146            } else {
147                max_quantity_builder.append_null();
148            }
149
150            if let Some(min_qty) = cf.min_quantity {
151                min_quantity_builder.append_value(min_qty.to_string());
152            } else {
153                min_quantity_builder.append_null();
154            }
155
156            if let Some(max_not) = cf.max_notional {
157                max_notional_builder.append_value(max_not.to_string());
158            } else {
159                max_notional_builder.append_null();
160            }
161
162            if let Some(min_not) = cf.min_notional {
163                min_notional_builder.append_value(min_not.to_string());
164            } else {
165                min_notional_builder.append_null();
166            }
167
168            if let Some(max_p) = cf.max_price {
169                max_price_builder.append_value(max_p.to_string());
170            } else {
171                max_price_builder.append_null();
172            }
173
174            if let Some(min_p) = cf.min_price {
175                min_price_builder.append_value(min_p.to_string());
176            } else {
177                min_price_builder.append_null();
178            }
179
180            margin_init_builder.append_value(cf.margin_init.to_string());
181            margin_maint_builder.append_value(cf.margin_maint.to_string());
182            maker_fee_builder.append_value(cf.maker_fee.to_string());
183            taker_fee_builder.append_value(cf.taker_fee.to_string());
184
185            if let Some(tick_scheme) = cf.tick_scheme {
186                tick_scheme_builder.append_value(tick_scheme);
187            } else {
188                tick_scheme_builder.append_null();
189            }
190
191            if let Some(ref info) = cf.info {
192                match serde_json::to_vec(info) {
193                    Ok(json_bytes) => info_builder.append_value(json_bytes),
194                    Err(e) => {
195                        return Err(ArrowError::InvalidArgumentError(format!(
196                            "Failed to serialize info dict to JSON: {e}"
197                        )));
198                    }
199                }
200            } else {
201                info_builder.append_null();
202            }
203
204            ts_event_builder.append_value(cf.ts_event.as_u64());
205            ts_init_builder.append_value(cf.ts_init.as_u64());
206        }
207
208        let mut final_metadata = metadata.clone();
209        final_metadata.insert("class".to_string(), "CryptoFuturesSpread".to_string());
210
211        RecordBatch::try_new(
212            Self::get_schema(Some(final_metadata)).into(),
213            vec![
214                Arc::new(id_builder.finish()),
215                Arc::new(raw_symbol_builder.finish()),
216                Arc::new(underlying_builder.finish()),
217                Arc::new(quote_currency_builder.finish()),
218                Arc::new(settlement_currency_builder.finish()),
219                Arc::new(is_inverse_builder.finish()),
220                Arc::new(strategy_type_builder.finish()),
221                Arc::new(activation_ns_builder.finish()),
222                Arc::new(expiration_ns_builder.finish()),
223                Arc::new(price_precision_builder.finish()),
224                Arc::new(size_precision_builder.finish()),
225                Arc::new(price_increment_builder.finish()),
226                Arc::new(size_increment_builder.finish()),
227                Arc::new(multiplier_builder.finish()),
228                Arc::new(lot_size_builder.finish()),
229                Arc::new(max_quantity_builder.finish()),
230                Arc::new(min_quantity_builder.finish()),
231                Arc::new(max_notional_builder.finish()),
232                Arc::new(min_notional_builder.finish()),
233                Arc::new(max_price_builder.finish()),
234                Arc::new(min_price_builder.finish()),
235                Arc::new(margin_init_builder.finish()),
236                Arc::new(margin_maint_builder.finish()),
237                Arc::new(maker_fee_builder.finish()),
238                Arc::new(taker_fee_builder.finish()),
239                Arc::new(tick_scheme_builder.finish()),
240                Arc::new(info_builder.finish()),
241                Arc::new(ts_event_builder.finish()),
242                Arc::new(ts_init_builder.finish()),
243            ],
244        )
245    }
246
247    fn metadata(&self) -> HashMap<String, String> {
248        let mut metadata = HashMap::new();
249        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
250        metadata.insert(
251            KEY_PRICE_PRECISION.to_string(),
252            self.price_precision.to_string(),
253        );
254        metadata.insert(
255            KEY_SIZE_PRECISION.to_string(),
256            self.size_precision.to_string(),
257        );
258        metadata
259    }
260}
261
262/// Helper function to decode CryptoFuturesSpread from RecordBatch
263/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
264///
265/// # Errors
266///
267/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
268pub fn decode_crypto_futures_spread_batch(
269    #[allow(unused)] metadata: &HashMap<String, String>,
270    record_batch: &RecordBatch,
271) -> Result<Vec<CryptoFuturesSpread>, EncodingError> {
272    let cols = record_batch.columns();
273    let num_rows = record_batch.num_rows();
274
275    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
276    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
277    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
278    let quote_currency_values =
279        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
280    let settlement_currency_values =
281        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
282    let is_inverse_values =
283        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
284    let strategy_type_values =
285        extract_column::<StringArray>(cols, "strategy_type", 6, DataType::Utf8)?;
286    let activation_ns_values =
287        extract_column::<UInt64Array>(cols, "activation_ns", 7, DataType::UInt64)?;
288    let expiration_ns_values =
289        extract_column::<UInt64Array>(cols, "expiration_ns", 8, DataType::UInt64)?;
290    let price_precision_values =
291        extract_column::<UInt8Array>(cols, "price_precision", 9, DataType::UInt8)?;
292    let size_precision_values =
293        extract_column::<UInt8Array>(cols, "size_precision", 10, DataType::UInt8)?;
294    let price_increment_values =
295        extract_column::<StringArray>(cols, "price_increment", 11, DataType::Utf8)?;
296    let size_increment_values =
297        extract_column::<StringArray>(cols, "size_increment", 12, DataType::Utf8)?;
298    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 13, DataType::Utf8)?;
299    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 14, DataType::Utf8)?;
300    let max_quantity_values = cols
301        .get(15)
302        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 15))?;
303    let min_quantity_values = cols
304        .get(16)
305        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 16))?;
306    let max_notional_values = cols
307        .get(17)
308        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 17))?;
309    let min_notional_values = cols
310        .get(18)
311        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 18))?;
312    let max_price_values = cols
313        .get(19)
314        .ok_or_else(|| EncodingError::MissingColumn("max_price", 19))?;
315    let min_price_values = cols
316        .get(20)
317        .ok_or_else(|| EncodingError::MissingColumn("min_price", 20))?;
318    let margin_init_values =
319        extract_column::<StringArray>(cols, "margin_init", 21, DataType::Utf8)?;
320    let margin_maint_values =
321        extract_column::<StringArray>(cols, "margin_maint", 22, DataType::Utf8)?;
322    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 23, DataType::Utf8)?;
323    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 24, DataType::Utf8)?;
324    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
325    let info_values =
326        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 25, DataType::Binary)?;
327    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
328        record_batch,
329        "ts_event",
330        26,
331        DataType::UInt64,
332    )?;
333    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
334        record_batch,
335        "ts_init",
336        27,
337        DataType::UInt64,
338    )?;
339
340    let mut result = Vec::with_capacity(num_rows);
341
342    for i in 0..num_rows {
343        let id = InstrumentId::from_str(id_values.value(i))
344            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
345        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
346        let underlying = super::decode_currency(
347            underlying_values.value(i),
348            "underlying",
349            "crypto_futures_spread.underlying",
350            i,
351        )?;
352        let quote_currency = super::decode_currency(
353            quote_currency_values.value(i),
354            "quote_currency",
355            "crypto_futures_spread.quote_currency",
356            i,
357        )?;
358        let settlement_currency = super::decode_currency(
359            settlement_currency_values.value(i),
360            "settlement_currency",
361            "crypto_futures_spread.settlement_currency",
362            i,
363        )?;
364        let is_inverse = is_inverse_values.value(i);
365        let strategy_type = Ustr::from(strategy_type_values.value(i));
366        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
367        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
368        let price_prec = price_precision_values.value(i);
369        let size_prec = size_precision_values.value(i);
370
371        let price_increment = Price::from_str(price_increment_values.value(i))
372            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
373        let size_increment = Quantity::from_str(size_increment_values.value(i))
374            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
375        let multiplier = Quantity::from_str(multiplier_values.value(i))
376            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
377        let lot_size = Quantity::from_str(lot_size_values.value(i))
378            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
379
380        let max_quantity =
381            if max_quantity_values.is_null(i) {
382                None
383            } else {
384                let value = 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(value).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 value = 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(value).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 value = 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(value).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 value = 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(value).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 value = 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(value)
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 value = 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(value)
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        let info = if info_values.is_null(i) {
486            None
487        } else {
488            let info_bytes = info_values
489                .as_any()
490                .downcast_ref::<BinaryArray>()
491                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
492                .value(i);
493
494            match serde_json::from_slice::<Params>(info_bytes) {
495                Ok(info_dict) => Some(info_dict),
496                Err(e) => {
497                    return Err(EncodingError::ParseError(
498                        "info",
499                        format!("row {i}: failed to deserialize JSON: {e}"),
500                    ));
501                }
502            }
503        };
504
505        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
506        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
507
508        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
509
510        let crypto_futures_spread = CryptoFuturesSpread::new_checked(
511            id,
512            raw_symbol,
513            underlying,
514            quote_currency,
515            settlement_currency,
516            is_inverse,
517            strategy_type,
518            activation_ns,
519            expiration_ns,
520            price_prec,
521            size_prec,
522            price_increment,
523            size_increment,
524            Some(multiplier),
525            Some(lot_size),
526            max_quantity,
527            min_quantity,
528            max_notional,
529            min_notional,
530            max_price,
531            min_price,
532            Some(margin_init),
533            Some(margin_maint),
534            Some(maker_fee),
535            Some(taker_fee),
536            tick_scheme,
537            info,
538            ts_event,
539            ts_init,
540        )
541        .map_err(|e| super::instrument_validation_error::<CryptoFuturesSpread>(i, e))?;
542
543        result.push(crypto_futures_spread);
544    }
545
546    Ok(result)
547}
nautilus_serialization/arrow/instrument/crypto_futures_spread.rs

nautilus_serialization/arrow/instrument/
crypto_futures_spread.rs
