nautilus_serialization/arrow/instrument/
futures_contract.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 FuturesContract 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    enums::AssetClass,
31    identifiers::{InstrumentId, Symbol},
32    instruments::futures_contract::FuturesContract,
33    types::{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
47// Helper function to convert AssetClass to string
48fn asset_class_to_string(ac: AssetClass) -> String {
49    match ac {
50        AssetClass::FX => "FX".to_string(),
51        AssetClass::Equity => "Equity".to_string(),
52        AssetClass::Commodity => "Commodity".to_string(),
53        AssetClass::Debt => "Debt".to_string(),
54        AssetClass::Index => "Index".to_string(),
55        AssetClass::Cryptocurrency => "Cryptocurrency".to_string(),
56        AssetClass::Alternative => "Alternative".to_string(),
57    }
58}
59
60// Helper function to parse AssetClass from string
61fn asset_class_from_str(s: &str) -> Result<AssetClass, EncodingError> {
62    match s {
63        "FX" => Ok(AssetClass::FX),
64        "Equity" => Ok(AssetClass::Equity),
65        "Commodity" => Ok(AssetClass::Commodity),
66        "Debt" => Ok(AssetClass::Debt),
67        "Index" => Ok(AssetClass::Index),
68        "Cryptocurrency" => Ok(AssetClass::Cryptocurrency),
69        "Alternative" => Ok(AssetClass::Alternative),
70        _ => Err(EncodingError::ParseError(
71            "asset_class",
72            format!("Unknown asset class: {s}"),
73        )),
74    }
75}
76
77impl ArrowSchemaProvider for FuturesContract {
78    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
79        let fields = vec![
80            Field::new("id", DataType::Utf8, false),
81            Field::new("raw_symbol", DataType::Utf8, false),
82            Field::new("underlying", DataType::Utf8, false),
83            Field::new("asset_class", DataType::Utf8, false),
84            Field::new("exchange", DataType::Utf8, true), // nullable
85            Field::new("currency", DataType::Utf8, false),
86            Field::new("price_precision", DataType::UInt8, false),
87            Field::new("size_precision", DataType::UInt8, false),
88            Field::new("price_increment", DataType::Utf8, false),
89            Field::new("size_increment", DataType::Utf8, false),
90            Field::new("multiplier", DataType::Utf8, false),
91            Field::new("lot_size", DataType::Utf8, false),
92            Field::new("activation_ns", DataType::UInt64, false),
93            Field::new("expiration_ns", DataType::UInt64, false),
94            Field::new("margin_init", DataType::Utf8, false),
95            Field::new("margin_maint", DataType::Utf8, false),
96            Field::new("maker_fee", DataType::Utf8, false),
97            Field::new("taker_fee", DataType::Utf8, false),
98            Field::new("tick_scheme", DataType::Utf8, true),
99            Field::new("info", DataType::Binary, true), // nullable
100            Field::new("ts_event", DataType::UInt64, false),
101            Field::new("ts_init", DataType::UInt64, false),
102        ];
103
104        let mut final_metadata = HashMap::new();
105        final_metadata.insert("class".to_string(), "FuturesContract".to_string());
106
107        if let Some(meta) = metadata {
108            final_metadata.extend(meta);
109        }
110
111        Schema::new_with_metadata(fields, final_metadata)
112    }
113}
114
115impl EncodeToRecordBatch for FuturesContract {
116    fn encode_batch(
117        #[allow(unused)] metadata: &HashMap<String, String>,
118        data: &[Self],
119    ) -> Result<RecordBatch, ArrowError> {
120        let mut id_builder = StringBuilder::new();
121        let mut raw_symbol_builder = StringBuilder::new();
122        let mut underlying_builder = StringBuilder::new();
123        let mut asset_class_builder = StringBuilder::new();
124        let mut exchange_builder = StringBuilder::new();
125        let mut currency_builder = StringBuilder::new();
126        let mut price_precision_builder = UInt8Array::builder(data.len());
127        let mut size_precision_builder = UInt8Array::builder(data.len());
128        let mut price_increment_builder = StringBuilder::new();
129        let mut size_increment_builder = StringBuilder::new();
130        let mut multiplier_builder = StringBuilder::new();
131        let mut lot_size_builder = StringBuilder::new();
132        let mut activation_ns_builder = UInt64Array::builder(data.len());
133        let mut expiration_ns_builder = UInt64Array::builder(data.len());
134        let mut margin_init_builder = StringBuilder::new();
135        let mut margin_maint_builder = StringBuilder::new();
136        let mut maker_fee_builder = StringBuilder::new();
137        let mut taker_fee_builder = StringBuilder::new();
138        let mut tick_scheme_builder = StringBuilder::new();
139        let mut info_builder = BinaryBuilder::new();
140        let mut ts_event_builder = UInt64Array::builder(data.len());
141        let mut ts_init_builder = UInt64Array::builder(data.len());
142
143        for fc in data {
144            id_builder.append_value(fc.id.to_string());
145            raw_symbol_builder.append_value(fc.raw_symbol);
146            underlying_builder.append_value(fc.underlying);
147            asset_class_builder.append_value(asset_class_to_string(fc.asset_class));
148
149            if let Some(exchange) = fc.exchange {
150                exchange_builder.append_value(exchange);
151            } else {
152                exchange_builder.append_null();
153            }
154
155            currency_builder.append_value(fc.currency.to_string());
156            price_precision_builder.append_value(fc.price_precision);
157            size_precision_builder.append_value(fc.size_precision);
158            price_increment_builder.append_value(fc.price_increment.to_string());
159            size_increment_builder.append_value(fc.size_increment.to_string());
160            multiplier_builder.append_value(fc.multiplier.to_string());
161            lot_size_builder.append_value(fc.lot_size.to_string());
162            activation_ns_builder.append_value(fc.activation_ns.as_u64());
163            expiration_ns_builder.append_value(fc.expiration_ns.as_u64());
164            margin_init_builder.append_value(fc.margin_init.to_string());
165            margin_maint_builder.append_value(fc.margin_maint.to_string());
166            maker_fee_builder.append_value(fc.maker_fee.to_string());
167            taker_fee_builder.append_value(fc.taker_fee.to_string());
168
169            if let Some(tick_scheme) = fc.tick_scheme {
170                tick_scheme_builder.append_value(tick_scheme);
171            } else {
172                tick_scheme_builder.append_null();
173            }
174
175            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
176            if let Some(ref info) = fc.info {
177                match serde_json::to_vec(info) {
178                    Ok(json_bytes) => {
179                        info_builder.append_value(json_bytes);
180                    }
181                    Err(e) => {
182                        return Err(ArrowError::InvalidArgumentError(format!(
183                            "Failed to serialize info dict to JSON: {e}"
184                        )));
185                    }
186                }
187            } else {
188                info_builder.append_null();
189            }
190
191            ts_event_builder.append_value(fc.ts_event.as_u64());
192            ts_init_builder.append_value(fc.ts_init.as_u64());
193        }
194
195        let mut final_metadata = metadata.clone();
196        final_metadata.insert("class".to_string(), "FuturesContract".to_string());
197
198        RecordBatch::try_new(
199            Self::get_schema(Some(final_metadata)).into(),
200            vec![
201                Arc::new(id_builder.finish()),
202                Arc::new(raw_symbol_builder.finish()),
203                Arc::new(underlying_builder.finish()),
204                Arc::new(asset_class_builder.finish()),
205                Arc::new(exchange_builder.finish()),
206                Arc::new(currency_builder.finish()),
207                Arc::new(price_precision_builder.finish()),
208                Arc::new(size_precision_builder.finish()),
209                Arc::new(price_increment_builder.finish()),
210                Arc::new(size_increment_builder.finish()),
211                Arc::new(multiplier_builder.finish()),
212                Arc::new(lot_size_builder.finish()),
213                Arc::new(activation_ns_builder.finish()),
214                Arc::new(expiration_ns_builder.finish()),
215                Arc::new(margin_init_builder.finish()),
216                Arc::new(margin_maint_builder.finish()),
217                Arc::new(maker_fee_builder.finish()),
218                Arc::new(taker_fee_builder.finish()),
219                Arc::new(tick_scheme_builder.finish()),
220                Arc::new(info_builder.finish()),
221                Arc::new(ts_event_builder.finish()),
222                Arc::new(ts_init_builder.finish()),
223            ],
224        )
225    }
226
227    fn metadata(&self) -> HashMap<String, String> {
228        let mut metadata = HashMap::new();
229        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
230        metadata.insert(
231            KEY_PRICE_PRECISION.to_string(),
232            self.price_precision.to_string(),
233        );
234        metadata.insert(
235            KEY_SIZE_PRECISION.to_string(),
236            self.size_precision.to_string(),
237        );
238        metadata
239    }
240}
241
242/// Helper function to decode FuturesContract from RecordBatch
243/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
244///
245/// # Errors
246///
247/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
248pub fn decode_futures_contract_batch(
249    #[allow(unused)] metadata: &HashMap<String, String>,
250    record_batch: &RecordBatch,
251) -> Result<Vec<FuturesContract>, EncodingError> {
252    let cols = record_batch.columns();
253    let num_rows = record_batch.num_rows();
254
255    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
256    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
257    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
258    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
259    let exchange_values = cols
260        .get(4)
261        .ok_or_else(|| EncodingError::MissingColumn("exchange", 4))?;
262    let currency_values = extract_column::<StringArray>(cols, "currency", 5, DataType::Utf8)?;
263    let price_precision_values =
264        extract_column::<UInt8Array>(cols, "price_precision", 6, DataType::UInt8)?;
265    let size_precision_values =
266        extract_column::<UInt8Array>(cols, "size_precision", 7, DataType::UInt8)?;
267    let price_increment_values =
268        extract_column::<StringArray>(cols, "price_increment", 8, DataType::Utf8)?;
269    let size_increment_values =
270        extract_column::<StringArray>(cols, "size_increment", 9, DataType::Utf8)?;
271    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 10, DataType::Utf8)?;
272    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 11, DataType::Utf8)?;
273    let activation_ns_values =
274        extract_column::<UInt64Array>(cols, "activation_ns", 12, DataType::UInt64)?;
275    let expiration_ns_values =
276        extract_column::<UInt64Array>(cols, "expiration_ns", 13, DataType::UInt64)?;
277    let margin_init_values =
278        extract_column::<StringArray>(cols, "margin_init", 14, DataType::Utf8)?;
279    let margin_maint_values =
280        extract_column::<StringArray>(cols, "margin_maint", 15, DataType::Utf8)?;
281    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 16, DataType::Utf8)?;
282    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 17, DataType::Utf8)?;
283    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
284    let info_values =
285        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 18, DataType::Binary)?;
286    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
287        record_batch,
288        "ts_event",
289        19,
290        DataType::UInt64,
291    )?;
292    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
293        record_batch,
294        "ts_init",
295        20,
296        DataType::UInt64,
297    )?;
298
299    let mut result = Vec::with_capacity(num_rows);
300
301    for i in 0..num_rows {
302        let id = InstrumentId::from_str(id_values.value(i))
303            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
304        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
305        let underlying = Ustr::from(underlying_values.value(i));
306        let asset_class = asset_class_from_str(asset_class_values.value(i))?;
307
308        let exchange = if exchange_values.is_null(i) {
309            None
310        } else {
311            let exchange_str = exchange_values
312                .as_any()
313                .downcast_ref::<StringArray>()
314                .ok_or_else(|| {
315                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
316                })?
317                .value(i);
318            Some(Ustr::from(exchange_str))
319        };
320
321        let currency = super::decode_currency(
322            currency_values.value(i),
323            "currency",
324            "futures_contract.currency",
325            i,
326        )?;
327        let price_prec = price_precision_values.value(i);
328        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
329
330        let price_increment = Price::from_str(price_increment_values.value(i))
331            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
332        let _size_increment = Quantity::from_str(size_increment_values.value(i))
333            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
334        let multiplier = Quantity::from_str(multiplier_values.value(i))
335            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
336        let lot_size = Quantity::from_str(lot_size_values.value(i))
337            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
338
339        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
340        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
341
342        let margin_init = Decimal::from_str(margin_init_values.value(i))
343            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
344        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
345            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
346        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
347            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
348        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
349            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
350
351        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
352        let info = if info_values.is_null(i) {
353            None
354        } else {
355            let info_bytes = info_values
356                .as_any()
357                .downcast_ref::<BinaryArray>()
358                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
359                .value(i);
360
361            match serde_json::from_slice::<Params>(info_bytes) {
362                Ok(info_dict) => Some(info_dict),
363                Err(e) => {
364                    return Err(EncodingError::ParseError(
365                        "info",
366                        format!("row {i}: failed to deserialize JSON: {e}"),
367                    ));
368                }
369            }
370        };
371
372        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
373        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
374
375        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
376
377        let futures_contract = FuturesContract::new_checked(
378            id,
379            raw_symbol,
380            asset_class,
381            exchange,
382            underlying,
383            activation_ns,
384            expiration_ns,
385            currency,
386            price_prec,
387            price_increment,
388            multiplier,
389            lot_size,
390            None, // max_quantity - not in Python schema
391            None, // min_quantity - not in Python schema
392            None, // max_price - not in Python schema
393            None, // min_price - not in Python schema
394            Some(margin_init),
395            Some(margin_maint),
396            Some(maker_fee),
397            Some(taker_fee),
398            tick_scheme,
399            info,
400            ts_event,
401            ts_init,
402        )
403        .map_err(|e| super::instrument_validation_error::<FuturesContract>(i, e))?;
404
405        result.push(futures_contract);
406    }
407
408    Ok(result)
409}
nautilus_serialization/arrow/instrument/futures_contract.rs

nautilus_serialization/arrow/instrument/
futures_contract.rs
