nautilus_serialization/arrow/instrument/
perpetual_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 PerpetualContract 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, UnixNanos};
30use nautilus_model::{
31    enums::AssetClass,
32    identifiers::{InstrumentId, Symbol},
33    instruments::perpetual_contract::PerpetualContract,
34    types::{money::Money, price::Price, quantity::Quantity},
35};
36#[allow(unused)]
37use rust_decimal::Decimal;
38#[allow(unused)]
39use serde_json::Value;
40use ustr::Ustr;
41
42use crate::arrow::{
43    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
44    KEY_PRICE_PRECISION, extract_column, extract_column_by_name_or_index,
45    extract_optional_string_column_by_name, optional_ustr_value,
46};
47
48impl ArrowSchemaProvider for PerpetualContract {
49    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
50        let fields = vec![
51            Field::new("id", DataType::Utf8, false),
52            Field::new("raw_symbol", DataType::Utf8, false),
53            Field::new("underlying", DataType::Utf8, false),
54            Field::new("asset_class", DataType::Utf8, false),
55            Field::new("base_currency", DataType::Utf8, true), // nullable
56            Field::new("quote_currency", DataType::Utf8, false),
57            Field::new("settlement_currency", DataType::Utf8, false),
58            Field::new("is_inverse", DataType::Boolean, false),
59            Field::new("price_precision", DataType::UInt8, false),
60            Field::new("size_precision", DataType::UInt8, false),
61            Field::new("price_increment", DataType::Utf8, false),
62            Field::new("size_increment", DataType::Utf8, false),
63            Field::new("multiplier", DataType::Utf8, false),
64            Field::new("lot_size", DataType::Utf8, false),
65            Field::new("max_quantity", DataType::Utf8, true), // nullable
66            Field::new("min_quantity", DataType::Utf8, true), // nullable
67            Field::new("max_notional", DataType::Utf8, true), // nullable
68            Field::new("min_notional", DataType::Utf8, true), // nullable
69            Field::new("max_price", DataType::Utf8, true),    // nullable
70            Field::new("min_price", DataType::Utf8, true),    // nullable
71            Field::new("margin_init", DataType::Utf8, false),
72            Field::new("margin_maint", DataType::Utf8, false),
73            Field::new("maker_fee", DataType::Utf8, false),
74            Field::new("taker_fee", DataType::Utf8, false),
75            Field::new("tick_scheme", DataType::Utf8, true),
76            Field::new("info", DataType::Binary, true), // nullable
77            Field::new("ts_event", DataType::UInt64, false),
78            Field::new("ts_init", DataType::UInt64, false),
79        ];
80
81        let mut final_metadata = HashMap::new();
82        final_metadata.insert("class".to_string(), "PerpetualContract".to_string());
83
84        if let Some(meta) = metadata {
85            final_metadata.extend(meta);
86        }
87
88        Schema::new_with_metadata(fields, final_metadata)
89    }
90}
91
92impl EncodeToRecordBatch for PerpetualContract {
93    fn encode_batch(
94        #[allow(unused)] metadata: &HashMap<String, String>,
95        data: &[Self],
96    ) -> Result<RecordBatch, ArrowError> {
97        let mut id_builder = StringBuilder::new();
98        let mut raw_symbol_builder = StringBuilder::new();
99        let mut underlying_builder = StringBuilder::new();
100        let mut asset_class_builder = StringBuilder::new();
101        let mut base_currency_builder = StringBuilder::new();
102        let mut quote_currency_builder = StringBuilder::new();
103        let mut settlement_currency_builder = StringBuilder::new();
104        let mut is_inverse_builder = BooleanBuilder::new();
105        let mut price_precision_builder = UInt8Array::builder(data.len());
106        let mut size_precision_builder = UInt8Array::builder(data.len());
107        let mut price_increment_builder = StringBuilder::new();
108        let mut size_increment_builder = StringBuilder::new();
109        let mut multiplier_builder = StringBuilder::new();
110        let mut lot_size_builder = StringBuilder::new();
111        let mut max_quantity_builder = StringBuilder::new();
112        let mut min_quantity_builder = StringBuilder::new();
113        let mut max_notional_builder = StringBuilder::new();
114        let mut min_notional_builder = StringBuilder::new();
115        let mut max_price_builder = StringBuilder::new();
116        let mut min_price_builder = StringBuilder::new();
117        let mut margin_init_builder = StringBuilder::new();
118        let mut margin_maint_builder = StringBuilder::new();
119        let mut maker_fee_builder = StringBuilder::new();
120        let mut taker_fee_builder = StringBuilder::new();
121        let mut tick_scheme_builder = StringBuilder::new();
122        let mut info_builder = BinaryBuilder::new();
123        let mut ts_event_builder = UInt64Array::builder(data.len());
124        let mut ts_init_builder = UInt64Array::builder(data.len());
125
126        for perp in data {
127            id_builder.append_value(perp.id.to_string());
128            raw_symbol_builder.append_value(perp.raw_symbol);
129            underlying_builder.append_value(perp.underlying.as_str());
130            asset_class_builder.append_value(perp.asset_class);
131
132            if let Some(base_cur) = perp.base_currency {
133                base_currency_builder.append_value(base_cur.to_string());
134            } else {
135                base_currency_builder.append_null();
136            }
137
138            quote_currency_builder.append_value(perp.quote_currency.to_string());
139            settlement_currency_builder.append_value(perp.settlement_currency.to_string());
140            is_inverse_builder.append_value(perp.is_inverse);
141            price_precision_builder.append_value(perp.price_precision);
142            size_precision_builder.append_value(perp.size_precision);
143            price_increment_builder.append_value(perp.price_increment.to_string());
144            size_increment_builder.append_value(perp.size_increment.to_string());
145            multiplier_builder.append_value(perp.multiplier.to_string());
146            lot_size_builder.append_value(perp.lot_size.to_string());
147
148            if let Some(max_qty) = perp.max_quantity {
149                max_quantity_builder.append_value(max_qty.to_string());
150            } else {
151                max_quantity_builder.append_null();
152            }
153
154            if let Some(min_qty) = perp.min_quantity {
155                min_quantity_builder.append_value(min_qty.to_string());
156            } else {
157                min_quantity_builder.append_null();
158            }
159
160            if let Some(max_not) = perp.max_notional {
161                max_notional_builder.append_value(max_not.to_string());
162            } else {
163                max_notional_builder.append_null();
164            }
165
166            if let Some(min_not) = perp.min_notional {
167                min_notional_builder.append_value(min_not.to_string());
168            } else {
169                min_notional_builder.append_null();
170            }
171
172            if let Some(max_p) = perp.max_price {
173                max_price_builder.append_value(max_p.to_string());
174            } else {
175                max_price_builder.append_null();
176            }
177
178            if let Some(min_p) = perp.min_price {
179                min_price_builder.append_value(min_p.to_string());
180            } else {
181                min_price_builder.append_null();
182            }
183
184            margin_init_builder.append_value(perp.margin_init.to_string());
185            margin_maint_builder.append_value(perp.margin_maint.to_string());
186            maker_fee_builder.append_value(perp.maker_fee.to_string());
187            taker_fee_builder.append_value(perp.taker_fee.to_string());
188
189            if let Some(tick_scheme) = perp.tick_scheme {
190                tick_scheme_builder.append_value(tick_scheme);
191            } else {
192                tick_scheme_builder.append_null();
193            }
194
195            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
196            if let Some(ref info) = perp.info {
197                match serde_json::to_vec(info) {
198                    Ok(json_bytes) => {
199                        info_builder.append_value(json_bytes);
200                    }
201                    Err(e) => {
202                        return Err(ArrowError::InvalidArgumentError(format!(
203                            "Failed to serialize info dict to JSON: {e}"
204                        )));
205                    }
206                }
207            } else {
208                info_builder.append_null();
209            }
210
211            ts_event_builder.append_value(perp.ts_event.as_u64());
212            ts_init_builder.append_value(perp.ts_init.as_u64());
213        }
214
215        let mut final_metadata = metadata.clone();
216        final_metadata.insert("class".to_string(), "PerpetualContract".to_string());
217
218        RecordBatch::try_new(
219            Self::get_schema(Some(final_metadata)).into(),
220            vec![
221                Arc::new(id_builder.finish()),
222                Arc::new(raw_symbol_builder.finish()),
223                Arc::new(underlying_builder.finish()),
224                Arc::new(asset_class_builder.finish()),
225                Arc::new(base_currency_builder.finish()),
226                Arc::new(quote_currency_builder.finish()),
227                Arc::new(settlement_currency_builder.finish()),
228                Arc::new(is_inverse_builder.finish()),
229                Arc::new(price_precision_builder.finish()),
230                Arc::new(size_precision_builder.finish()),
231                Arc::new(price_increment_builder.finish()),
232                Arc::new(size_increment_builder.finish()),
233                Arc::new(multiplier_builder.finish()),
234                Arc::new(lot_size_builder.finish()),
235                Arc::new(max_quantity_builder.finish()),
236                Arc::new(min_quantity_builder.finish()),
237                Arc::new(max_notional_builder.finish()),
238                Arc::new(min_notional_builder.finish()),
239                Arc::new(max_price_builder.finish()),
240                Arc::new(min_price_builder.finish()),
241                Arc::new(margin_init_builder.finish()),
242                Arc::new(margin_maint_builder.finish()),
243                Arc::new(maker_fee_builder.finish()),
244                Arc::new(taker_fee_builder.finish()),
245                Arc::new(tick_scheme_builder.finish()),
246                Arc::new(info_builder.finish()),
247                Arc::new(ts_event_builder.finish()),
248                Arc::new(ts_init_builder.finish()),
249            ],
250        )
251    }
252
253    fn metadata(&self) -> HashMap<String, String> {
254        let mut metadata = HashMap::new();
255        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
256        metadata.insert(
257            KEY_PRICE_PRECISION.to_string(),
258            self.price_precision.to_string(),
259        );
260        metadata
261    }
262}
263
264/// Helper function to decode PerpetualContract from RecordBatch
265/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
266///
267/// # Errors
268///
269/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
270pub fn decode_perpetual_contract_batch(
271    #[allow(unused)] metadata: &HashMap<String, String>,
272    record_batch: &RecordBatch,
273) -> Result<Vec<PerpetualContract>, EncodingError> {
274    let cols = record_batch.columns();
275    let num_rows = record_batch.num_rows();
276
277    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
278    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
279    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
280    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
281    let base_currency_values = cols
282        .get(4)
283        .ok_or_else(|| EncodingError::MissingColumn("base_currency", 4))?;
284    let quote_currency_values =
285        extract_column::<StringArray>(cols, "quote_currency", 5, DataType::Utf8)?;
286    let settlement_currency_values =
287        extract_column::<StringArray>(cols, "settlement_currency", 6, DataType::Utf8)?;
288    let is_inverse_values =
289        extract_column::<BooleanArray>(cols, "is_inverse", 7, DataType::Boolean)?;
290    let price_precision_values =
291        extract_column::<UInt8Array>(cols, "price_precision", 8, DataType::UInt8)?;
292    let size_precision_values =
293        extract_column::<UInt8Array>(cols, "size_precision", 9, DataType::UInt8)?;
294    let price_increment_values =
295        extract_column::<StringArray>(cols, "price_increment", 10, DataType::Utf8)?;
296    let size_increment_values =
297        extract_column::<StringArray>(cols, "size_increment", 11, DataType::Utf8)?;
298    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 12, DataType::Utf8)?;
299    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 13, DataType::Utf8)?;
300    let max_quantity_values = cols
301        .get(14)
302        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 14))?;
303    let min_quantity_values = cols
304        .get(15)
305        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 15))?;
306    let max_notional_values = cols
307        .get(16)
308        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 16))?;
309    let min_notional_values = cols
310        .get(17)
311        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 17))?;
312    let max_price_values = cols
313        .get(18)
314        .ok_or_else(|| EncodingError::MissingColumn("max_price", 18))?;
315    let min_price_values = cols
316        .get(19)
317        .ok_or_else(|| EncodingError::MissingColumn("min_price", 19))?;
318    let margin_init_values =
319        extract_column::<StringArray>(cols, "margin_init", 20, DataType::Utf8)?;
320    let margin_maint_values =
321        extract_column::<StringArray>(cols, "margin_maint", 21, DataType::Utf8)?;
322    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 22, DataType::Utf8)?;
323    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 23, DataType::Utf8)?;
324    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
325    let info_values =
326        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 24, DataType::Binary)?;
327    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
328        record_batch,
329        "ts_event",
330        25,
331        DataType::UInt64,
332    )?;
333    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
334        record_batch,
335        "ts_init",
336        26,
337        DataType::UInt64,
338    )?;
339
340    let mut result = Vec::with_capacity(num_rows);
341
342    for i in 0..num_rows {
343        let id = InstrumentId::from_str(id_values.value(i))
344            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
345        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
346        let underlying = Ustr::from(underlying_values.value(i));
347        let asset_class = AssetClass::from_str(asset_class_values.value(i))
348            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
349
350        let base_currency = if base_currency_values.is_null(i) {
351            None
352        } else {
353            let base_cur_str = base_currency_values
354                .as_any()
355                .downcast_ref::<StringArray>()
356                .ok_or_else(|| {
357                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
358                })?
359                .value(i);
360            Some(super::decode_currency(
361                base_cur_str,
362                "base_currency",
363                "perpetual_contract.base_currency",
364                i,
365            )?)
366        };
367
368        let quote_currency = super::decode_currency(
369            quote_currency_values.value(i),
370            "quote_currency",
371            "perpetual_contract.quote_currency",
372            i,
373        )?;
374        let settlement_currency = super::decode_currency(
375            settlement_currency_values.value(i),
376            "settlement_currency",
377            "perpetual_contract.settlement_currency",
378            i,
379        )?;
380        let is_inverse = is_inverse_values.value(i);
381        let price_prec = price_precision_values.value(i);
382        let size_prec = size_precision_values.value(i);
383
384        let price_increment = Price::from_str(price_increment_values.value(i))
385            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
386        let size_increment = Quantity::from_str(size_increment_values.value(i))
387            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
388
389        let multiplier = Quantity::from_str(multiplier_values.value(i))
390            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
391        let lot_size = Quantity::from_str(lot_size_values.value(i))
392            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
393
394        let max_quantity =
395            if max_quantity_values.is_null(i) {
396                None
397            } else {
398                let max_qty_str = max_quantity_values
399                    .as_any()
400                    .downcast_ref::<StringArray>()
401                    .ok_or_else(|| {
402                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
403                    })?
404                    .value(i);
405                Some(Quantity::from_str(max_qty_str).map_err(|e| {
406                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
407                })?)
408            };
409
410        let min_quantity =
411            if min_quantity_values.is_null(i) {
412                None
413            } else {
414                let min_qty_str = min_quantity_values
415                    .as_any()
416                    .downcast_ref::<StringArray>()
417                    .ok_or_else(|| {
418                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
419                    })?
420                    .value(i);
421                Some(Quantity::from_str(min_qty_str).map_err(|e| {
422                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
423                })?)
424            };
425
426        let max_notional =
427            if max_notional_values.is_null(i) {
428                None
429            } else {
430                let max_not_str = max_notional_values
431                    .as_any()
432                    .downcast_ref::<StringArray>()
433                    .ok_or_else(|| {
434                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
435                    })?
436                    .value(i);
437                Some(Money::from_str(max_not_str).map_err(|e| {
438                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
439                })?)
440            };
441
442        let min_notional =
443            if min_notional_values.is_null(i) {
444                None
445            } else {
446                let min_not_str = min_notional_values
447                    .as_any()
448                    .downcast_ref::<StringArray>()
449                    .ok_or_else(|| {
450                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
451                    })?
452                    .value(i);
453                Some(Money::from_str(min_not_str).map_err(|e| {
454                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
455                })?)
456            };
457
458        let max_price = if max_price_values.is_null(i) {
459            None
460        } else {
461            let max_p_str = max_price_values
462                .as_any()
463                .downcast_ref::<StringArray>()
464                .ok_or_else(|| {
465                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
466                })?
467                .value(i);
468            Some(
469                Price::from_str(max_p_str)
470                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
471            )
472        };
473
474        let min_price = if min_price_values.is_null(i) {
475            None
476        } else {
477            let min_p_str = min_price_values
478                .as_any()
479                .downcast_ref::<StringArray>()
480                .ok_or_else(|| {
481                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
482                })?
483                .value(i);
484            Some(
485                Price::from_str(min_p_str)
486                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
487            )
488        };
489
490        let margin_init = Decimal::from_str(margin_init_values.value(i))
491            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
492        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
493            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
494        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
495            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
496        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
497            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
498
499        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
500        let info = if info_values.is_null(i) {
501            None
502        } else {
503            let info_bytes = info_values
504                .as_any()
505                .downcast_ref::<BinaryArray>()
506                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
507                .value(i);
508
509            match serde_json::from_slice::<Params>(info_bytes) {
510                Ok(info_dict) => Some(info_dict),
511                Err(e) => {
512                    return Err(EncodingError::ParseError(
513                        "info",
514                        format!("row {i}: failed to deserialize JSON: {e}"),
515                    ));
516                }
517            }
518        };
519
520        let ts_event = UnixNanos::from(ts_event_values.value(i));
521        let ts_init = UnixNanos::from(ts_init_values.value(i));
522
523        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
524
525        let perp = PerpetualContract::new_checked(
526            id,
527            raw_symbol,
528            underlying,
529            asset_class,
530            base_currency,
531            quote_currency,
532            settlement_currency,
533            is_inverse,
534            price_prec,
535            size_prec,
536            price_increment,
537            size_increment,
538            Some(multiplier),
539            Some(lot_size),
540            max_quantity,
541            min_quantity,
542            max_notional,
543            min_notional,
544            max_price,
545            min_price,
546            Some(margin_init),
547            Some(margin_maint),
548            Some(maker_fee),
549            Some(taker_fee),
550            tick_scheme,
551            info,
552            ts_event,
553            ts_init,
554        )
555        .map_err(|e| super::instrument_validation_error::<PerpetualContract>(i, e))?;
556
557        result.push(perp);
558    }
559
560    Ok(result)
561}
nautilus_serialization/arrow/instrument/perpetual_contract.rs

nautilus_serialization/arrow/instrument/
perpetual_contract.rs
