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

nautilus_serialization/arrow/instrument/
equity.rs
