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

nautilus_serialization/arrow/instrument/
futures_contract.rs
