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

nautilus_serialization/arrow/instrument/
crypto_perpetual.rs
