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

nautilus_serialization/arrow/instrument/
tokenized_asset.rs
