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

nautilus_serialization/arrow/instrument/
currency_pair.rs
