nautilus_serialization/arrow/instrument/
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 FuturesSpread 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_spread::FuturesSpread,
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 FuturesSpread {
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("strategy_type", DataType::Utf8, false),
84            Field::new("asset_class", DataType::Utf8, false),
85            Field::new("exchange", DataType::Utf8, true), // nullable
86            Field::new("currency", DataType::Utf8, false),
87            Field::new("price_precision", DataType::UInt8, false),
88            Field::new("size_precision", DataType::UInt8, false),
89            Field::new("price_increment", DataType::Utf8, false),
90            Field::new("size_increment", DataType::Utf8, false),
91            Field::new("multiplier", DataType::Utf8, false),
92            Field::new("lot_size", DataType::Utf8, false),
93            Field::new("max_quantity", DataType::Utf8, true), // nullable
94            Field::new("min_quantity", DataType::Utf8, true), // nullable
95            Field::new("max_price", DataType::Utf8, true),    // nullable
96            Field::new("min_price", DataType::Utf8, true),    // nullable
97            Field::new("activation_ns", DataType::UInt64, false),
98            Field::new("expiration_ns", DataType::UInt64, false),
99            Field::new("margin_init", DataType::Utf8, false),
100            Field::new("margin_maint", DataType::Utf8, false),
101            Field::new("maker_fee", DataType::Utf8, false),
102            Field::new("taker_fee", DataType::Utf8, false),
103            Field::new("tick_scheme", DataType::Utf8, true),
104            Field::new("info", DataType::Binary, true), // nullable
105            Field::new("ts_event", DataType::UInt64, false),
106            Field::new("ts_init", DataType::UInt64, false),
107        ];
108
109        let mut final_metadata = HashMap::new();
110        final_metadata.insert("class".to_string(), "FuturesSpread".to_string());
111
112        if let Some(meta) = metadata {
113            final_metadata.extend(meta);
114        }
115
116        Schema::new_with_metadata(fields, final_metadata)
117    }
118}
119
120impl EncodeToRecordBatch for FuturesSpread {
121    fn encode_batch(
122        #[allow(unused)] metadata: &HashMap<String, String>,
123        data: &[Self],
124    ) -> Result<RecordBatch, ArrowError> {
125        let mut id_builder = StringBuilder::new();
126        let mut raw_symbol_builder = StringBuilder::new();
127        let mut underlying_builder = StringBuilder::new();
128        let mut strategy_type_builder = StringBuilder::new();
129        let mut asset_class_builder = StringBuilder::new();
130        let mut exchange_builder = StringBuilder::new();
131        let mut currency_builder = StringBuilder::new();
132        let mut price_precision_builder = UInt8Array::builder(data.len());
133        let mut size_precision_builder = UInt8Array::builder(data.len());
134        let mut price_increment_builder = StringBuilder::new();
135        let mut size_increment_builder = StringBuilder::new();
136        let mut multiplier_builder = StringBuilder::new();
137        let mut lot_size_builder = StringBuilder::new();
138        let mut max_quantity_builder = StringBuilder::new();
139        let mut min_quantity_builder = StringBuilder::new();
140        let mut max_price_builder = StringBuilder::new();
141        let mut min_price_builder = StringBuilder::new();
142        let mut activation_ns_builder = UInt64Array::builder(data.len());
143        let mut expiration_ns_builder = UInt64Array::builder(data.len());
144        let mut margin_init_builder = StringBuilder::new();
145        let mut margin_maint_builder = StringBuilder::new();
146        let mut maker_fee_builder = StringBuilder::new();
147        let mut taker_fee_builder = StringBuilder::new();
148        let mut tick_scheme_builder = StringBuilder::new();
149        let mut info_builder = BinaryBuilder::new();
150        let mut ts_event_builder = UInt64Array::builder(data.len());
151        let mut ts_init_builder = UInt64Array::builder(data.len());
152
153        for fs in data {
154            id_builder.append_value(fs.id.to_string());
155            raw_symbol_builder.append_value(fs.raw_symbol);
156            underlying_builder.append_value(fs.underlying);
157            strategy_type_builder.append_value(fs.strategy_type);
158            asset_class_builder.append_value(asset_class_to_string(fs.asset_class));
159
160            if let Some(exchange) = fs.exchange {
161                exchange_builder.append_value(exchange);
162            } else {
163                exchange_builder.append_null();
164            }
165
166            currency_builder.append_value(fs.currency.to_string());
167            price_precision_builder.append_value(fs.price_precision);
168            size_precision_builder.append_value(fs.size_precision);
169            price_increment_builder.append_value(fs.price_increment.to_string());
170            size_increment_builder.append_value(fs.size_increment.to_string());
171            multiplier_builder.append_value(fs.multiplier.to_string());
172            lot_size_builder.append_value(fs.lot_size.to_string());
173
174            if let Some(max_qty) = fs.max_quantity {
175                max_quantity_builder.append_value(max_qty.to_string());
176            } else {
177                max_quantity_builder.append_null();
178            }
179
180            if let Some(min_qty) = fs.min_quantity {
181                min_quantity_builder.append_value(min_qty.to_string());
182            } else {
183                min_quantity_builder.append_null();
184            }
185
186            if let Some(max_p) = fs.max_price {
187                max_price_builder.append_value(max_p.to_string());
188            } else {
189                max_price_builder.append_null();
190            }
191
192            if let Some(min_p) = fs.min_price {
193                min_price_builder.append_value(min_p.to_string());
194            } else {
195                min_price_builder.append_null();
196            }
197
198            activation_ns_builder.append_value(fs.activation_ns.as_u64());
199            expiration_ns_builder.append_value(fs.expiration_ns.as_u64());
200            margin_init_builder.append_value(fs.margin_init.to_string());
201            margin_maint_builder.append_value(fs.margin_maint.to_string());
202            maker_fee_builder.append_value(fs.maker_fee.to_string());
203            taker_fee_builder.append_value(fs.taker_fee.to_string());
204
205            if let Some(tick_scheme) = fs.tick_scheme {
206                tick_scheme_builder.append_value(tick_scheme);
207            } else {
208                tick_scheme_builder.append_null();
209            }
210
211            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
212            if let Some(ref info) = fs.info {
213                match serde_json::to_vec(info) {
214                    Ok(json_bytes) => {
215                        info_builder.append_value(json_bytes);
216                    }
217                    Err(e) => {
218                        return Err(ArrowError::InvalidArgumentError(format!(
219                            "Failed to serialize info dict to JSON: {e}"
220                        )));
221                    }
222                }
223            } else {
224                info_builder.append_null();
225            }
226
227            ts_event_builder.append_value(fs.ts_event.as_u64());
228            ts_init_builder.append_value(fs.ts_init.as_u64());
229        }
230
231        let mut final_metadata = metadata.clone();
232        final_metadata.insert("class".to_string(), "FuturesSpread".to_string());
233
234        RecordBatch::try_new(
235            Self::get_schema(Some(final_metadata)).into(),
236            vec![
237                Arc::new(id_builder.finish()),
238                Arc::new(raw_symbol_builder.finish()),
239                Arc::new(underlying_builder.finish()),
240                Arc::new(strategy_type_builder.finish()),
241                Arc::new(asset_class_builder.finish()),
242                Arc::new(exchange_builder.finish()),
243                Arc::new(currency_builder.finish()),
244                Arc::new(price_precision_builder.finish()),
245                Arc::new(size_precision_builder.finish()),
246                Arc::new(price_increment_builder.finish()),
247                Arc::new(size_increment_builder.finish()),
248                Arc::new(multiplier_builder.finish()),
249                Arc::new(lot_size_builder.finish()),
250                Arc::new(max_quantity_builder.finish()),
251                Arc::new(min_quantity_builder.finish()),
252                Arc::new(max_price_builder.finish()),
253                Arc::new(min_price_builder.finish()),
254                Arc::new(activation_ns_builder.finish()),
255                Arc::new(expiration_ns_builder.finish()),
256                Arc::new(margin_init_builder.finish()),
257                Arc::new(margin_maint_builder.finish()),
258                Arc::new(maker_fee_builder.finish()),
259                Arc::new(taker_fee_builder.finish()),
260                Arc::new(tick_scheme_builder.finish()),
261                Arc::new(info_builder.finish()),
262                Arc::new(ts_event_builder.finish()),
263                Arc::new(ts_init_builder.finish()),
264            ],
265        )
266    }
267
268    fn metadata(&self) -> HashMap<String, String> {
269        let mut metadata = HashMap::new();
270        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
271        metadata.insert(
272            KEY_PRICE_PRECISION.to_string(),
273            self.price_precision.to_string(),
274        );
275        metadata.insert(
276            KEY_SIZE_PRECISION.to_string(),
277            self.size_precision.to_string(),
278        );
279        metadata
280    }
281}
282
283/// Helper function to decode FuturesSpread from RecordBatch
284/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
285///
286/// # Errors
287///
288/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
289pub fn decode_futures_spread_batch(
290    #[allow(unused)] metadata: &HashMap<String, String>,
291    record_batch: &RecordBatch,
292) -> Result<Vec<FuturesSpread>, EncodingError> {
293    let cols = record_batch.columns();
294    let num_rows = record_batch.num_rows();
295
296    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
297    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
298    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
299    let strategy_type_values =
300        extract_column::<StringArray>(cols, "strategy_type", 3, DataType::Utf8)?;
301    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 4, DataType::Utf8)?;
302    let exchange_values = cols
303        .get(5)
304        .ok_or_else(|| EncodingError::MissingColumn("exchange", 5))?;
305    let currency_values = extract_column::<StringArray>(cols, "currency", 6, DataType::Utf8)?;
306    let price_precision_values =
307        extract_column::<UInt8Array>(cols, "price_precision", 7, DataType::UInt8)?;
308    let size_precision_values =
309        extract_column::<UInt8Array>(cols, "size_precision", 8, DataType::UInt8)?;
310    let price_increment_values =
311        extract_column::<StringArray>(cols, "price_increment", 9, DataType::Utf8)?;
312    let size_increment_values =
313        extract_column::<StringArray>(cols, "size_increment", 10, DataType::Utf8)?;
314    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 11, DataType::Utf8)?;
315    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 12, DataType::Utf8)?;
316    let max_quantity_values = cols
317        .get(13)
318        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 13))?;
319    let min_quantity_values = cols
320        .get(14)
321        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 14))?;
322    let max_price_values = cols
323        .get(15)
324        .ok_or_else(|| EncodingError::MissingColumn("max_price", 15))?;
325    let min_price_values = cols
326        .get(16)
327        .ok_or_else(|| EncodingError::MissingColumn("min_price", 16))?;
328    let activation_ns_values =
329        extract_column::<UInt64Array>(cols, "activation_ns", 17, DataType::UInt64)?;
330    let expiration_ns_values =
331        extract_column::<UInt64Array>(cols, "expiration_ns", 18, DataType::UInt64)?;
332    let margin_init_values =
333        extract_column::<StringArray>(cols, "margin_init", 19, DataType::Utf8)?;
334    let margin_maint_values =
335        extract_column::<StringArray>(cols, "margin_maint", 20, DataType::Utf8)?;
336    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 21, DataType::Utf8)?;
337    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 22, DataType::Utf8)?;
338    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
339    let info_values =
340        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 23, DataType::Binary)?;
341    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
342        record_batch,
343        "ts_event",
344        24,
345        DataType::UInt64,
346    )?;
347    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
348        record_batch,
349        "ts_init",
350        25,
351        DataType::UInt64,
352    )?;
353
354    let mut result = Vec::with_capacity(num_rows);
355
356    for i in 0..num_rows {
357        let id = InstrumentId::from_str(id_values.value(i))
358            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
359        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
360        let underlying = Ustr::from(underlying_values.value(i));
361        let strategy_type = Ustr::from(strategy_type_values.value(i));
362        let asset_class = asset_class_from_str(asset_class_values.value(i))?;
363
364        let exchange = if exchange_values.is_null(i) {
365            None
366        } else {
367            let exchange_str = exchange_values
368                .as_any()
369                .downcast_ref::<StringArray>()
370                .ok_or_else(|| {
371                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
372                })?
373                .value(i);
374            Some(Ustr::from(exchange_str))
375        };
376
377        let currency = super::decode_currency(
378            currency_values.value(i),
379            "currency",
380            "futures_spread.currency",
381            i,
382        )?;
383        let price_prec = price_precision_values.value(i);
384        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
385
386        let price_increment = Price::from_str(price_increment_values.value(i))
387            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
388        let _size_increment = Quantity::from_str(size_increment_values.value(i))
389            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
390        let multiplier = Quantity::from_str(multiplier_values.value(i))
391            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
392        let lot_size = Quantity::from_str(lot_size_values.value(i))
393            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
394
395        let max_quantity =
396            if max_quantity_values.is_null(i) {
397                None
398            } else {
399                let max_qty_str = max_quantity_values
400                    .as_any()
401                    .downcast_ref::<StringArray>()
402                    .ok_or_else(|| {
403                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
404                    })?
405                    .value(i);
406                Some(Quantity::from_str(max_qty_str).map_err(|e| {
407                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
408                })?)
409            };
410
411        let min_quantity =
412            if min_quantity_values.is_null(i) {
413                None
414            } else {
415                let min_qty_str = min_quantity_values
416                    .as_any()
417                    .downcast_ref::<StringArray>()
418                    .ok_or_else(|| {
419                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
420                    })?
421                    .value(i);
422                Some(Quantity::from_str(min_qty_str).map_err(|e| {
423                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
424                })?)
425            };
426
427        let max_price = if max_price_values.is_null(i) {
428            None
429        } else {
430            let max_p_str = max_price_values
431                .as_any()
432                .downcast_ref::<StringArray>()
433                .ok_or_else(|| {
434                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
435                })?
436                .value(i);
437            Some(
438                Price::from_str(max_p_str)
439                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
440            )
441        };
442
443        let min_price = if min_price_values.is_null(i) {
444            None
445        } else {
446            let min_p_str = min_price_values
447                .as_any()
448                .downcast_ref::<StringArray>()
449                .ok_or_else(|| {
450                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
451                })?
452                .value(i);
453            Some(
454                Price::from_str(min_p_str)
455                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
456            )
457        };
458
459        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
460        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
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 futures_spread = FuturesSpread::new_checked(
498            id,
499            raw_symbol,
500            asset_class,
501            exchange,
502            underlying,
503            strategy_type,
504            activation_ns,
505            expiration_ns,
506            currency,
507            price_prec,
508            price_increment,
509            multiplier,
510            lot_size,
511            max_quantity,
512            min_quantity,
513            max_price,
514            min_price,
515            Some(margin_init),
516            Some(margin_maint),
517            Some(maker_fee),
518            Some(taker_fee),
519            tick_scheme,
520            info,
521            ts_event,
522            ts_init,
523        )
524        .map_err(|e| super::instrument_validation_error::<FuturesSpread>(i, e))?;
525
526        result.push(futures_spread);
527    }
528
529    Ok(result)
530}
nautilus_serialization/arrow/instrument/futures_spread.rs

nautilus_serialization/arrow/instrument/
futures_spread.rs
