nautilus_serialization/arrow/
report.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
16use std::collections::HashMap;
17
18use arrow::{datatypes::Schema, error::ArrowError, record_batch::RecordBatch};
19use nautilus_model::reports::{
20    ExecutionMassStatus, FillReport, OrderStatusReport, PositionStatusReport,
21};
22
23use super::{
24    ArrowSchemaProvider, DecodeTypedFromRecordBatch, EncodeToRecordBatch, EncodingError,
25    KEY_INSTRUMENT_ID,
26    json::{JsonFieldSpec, decode_batch, encode_batch, metadata_for_type, schema_for_type},
27};
28
29const ORDER_STATUS_REPORT_FIELDS: &[JsonFieldSpec] = &[
30    JsonFieldSpec::utf8("account_id", false),
31    JsonFieldSpec::utf8("instrument_id", false),
32    JsonFieldSpec::utf8("client_order_id", true),
33    JsonFieldSpec::utf8("venue_order_id", false),
34    JsonFieldSpec::utf8("order_side", false),
35    JsonFieldSpec::utf8("order_type", false),
36    JsonFieldSpec::utf8("time_in_force", false),
37    JsonFieldSpec::utf8("order_status", false),
38    JsonFieldSpec::utf8("quantity", false),
39    JsonFieldSpec::utf8("filled_qty", false),
40    JsonFieldSpec::utf8("report_id", false),
41    JsonFieldSpec::u64("ts_accepted", false),
42    JsonFieldSpec::u64("ts_last", false),
43    JsonFieldSpec::u64("ts_init", false),
44    JsonFieldSpec::utf8("order_list_id", true),
45    JsonFieldSpec::utf8("venue_position_id", true),
46    JsonFieldSpec::utf8_json("linked_order_ids", true),
47    JsonFieldSpec::utf8("parent_order_id", true),
48    JsonFieldSpec::utf8("contingency_type", false),
49    JsonFieldSpec::u64("expire_time", true),
50    JsonFieldSpec::utf8("price", true),
51    JsonFieldSpec::utf8("activation_price", true),
52    JsonFieldSpec::utf8("trigger_price", true),
53    JsonFieldSpec::utf8("trigger_type", true),
54    JsonFieldSpec::utf8("limit_offset", true),
55    JsonFieldSpec::utf8("trailing_offset", true),
56    JsonFieldSpec::utf8("trailing_offset_type", false),
57    JsonFieldSpec::utf8("avg_px", true),
58    JsonFieldSpec::utf8("display_qty", true),
59    JsonFieldSpec::boolean("post_only", false),
60    JsonFieldSpec::boolean("reduce_only", false),
61    JsonFieldSpec::utf8("cancel_reason", true),
62    JsonFieldSpec::u64("ts_triggered", true),
63];
64
65const FILL_REPORT_FIELDS: &[JsonFieldSpec] = &[
66    JsonFieldSpec::utf8("account_id", false),
67    JsonFieldSpec::utf8("instrument_id", false),
68    JsonFieldSpec::utf8("venue_order_id", false),
69    JsonFieldSpec::utf8("trade_id", false),
70    JsonFieldSpec::utf8("order_side", false),
71    JsonFieldSpec::utf8("last_qty", false),
72    JsonFieldSpec::utf8("last_px", false),
73    JsonFieldSpec::utf8("commission", false),
74    JsonFieldSpec::utf8("liquidity_side", false),
75    JsonFieldSpec::utf8("report_id", false),
76    JsonFieldSpec::u64("ts_event", false),
77    JsonFieldSpec::u64("ts_init", false),
78    JsonFieldSpec::utf8("client_order_id", true),
79    JsonFieldSpec::utf8("venue_position_id", true),
80];
81
82const POSITION_STATUS_REPORT_FIELDS: &[JsonFieldSpec] = &[
83    JsonFieldSpec::utf8("account_id", false),
84    JsonFieldSpec::utf8("instrument_id", false),
85    JsonFieldSpec::utf8("position_side", false),
86    JsonFieldSpec::utf8("quantity", false),
87    JsonFieldSpec::utf8("signed_decimal_qty", false),
88    JsonFieldSpec::utf8("report_id", false),
89    JsonFieldSpec::u64("ts_last", false),
90    JsonFieldSpec::u64("ts_init", false),
91    JsonFieldSpec::utf8("venue_position_id", true),
92    JsonFieldSpec::utf8("avg_px_open", true),
93];
94
95const EXECUTION_MASS_STATUS_FIELDS: &[JsonFieldSpec] = &[
96    JsonFieldSpec::utf8("client_id", false),
97    JsonFieldSpec::utf8("account_id", false),
98    JsonFieldSpec::utf8("venue", false),
99    JsonFieldSpec::utf8("report_id", false),
100    JsonFieldSpec::u64("ts_init", false),
101    JsonFieldSpec::utf8_json("order_reports", false),
102    JsonFieldSpec::utf8_json("fill_reports", false),
103    JsonFieldSpec::utf8_json("position_reports", false),
104];
105
106fn instrument_metadata(type_name: &'static str, instrument_id: &str) -> HashMap<String, String> {
107    let mut metadata = metadata_for_type(type_name);
108    metadata.insert(KEY_INSTRUMENT_ID.to_string(), instrument_id.to_string());
109    metadata
110}
111
112macro_rules! impl_report_arrow {
113    ($type:ty, $type_name:expr, $fields:expr) => {
114        impl ArrowSchemaProvider for $type {
115            fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
116                schema_for_type($type_name, metadata, $fields)
117            }
118        }
119
120        impl EncodeToRecordBatch for $type {
121            fn encode_batch(
122                metadata: &HashMap<String, String>,
123                data: &[Self],
124            ) -> Result<RecordBatch, ArrowError> {
125                encode_batch($type_name, metadata, data, $fields)
126            }
127
128            fn metadata(&self) -> HashMap<String, String> {
129                instrument_metadata($type_name, &self.instrument_id.to_string())
130            }
131        }
132
133        impl DecodeTypedFromRecordBatch for $type {
134            fn decode_typed_batch(
135                metadata: &HashMap<String, String>,
136                record_batch: RecordBatch,
137            ) -> Result<Vec<Self>, EncodingError> {
138                decode_batch(metadata, &record_batch, $fields, Some($type_name))
139            }
140        }
141    };
142}
143
144impl_report_arrow!(
145    OrderStatusReport,
146    "OrderStatusReport",
147    ORDER_STATUS_REPORT_FIELDS
148);
149impl_report_arrow!(FillReport, "FillReport", FILL_REPORT_FIELDS);
150impl_report_arrow!(
151    PositionStatusReport,
152    "PositionStatusReport",
153    POSITION_STATUS_REPORT_FIELDS
154);
155
156impl ArrowSchemaProvider for ExecutionMassStatus {
157    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
158        schema_for_type(
159            "ExecutionMassStatus",
160            metadata,
161            EXECUTION_MASS_STATUS_FIELDS,
162        )
163    }
164}
165
166impl EncodeToRecordBatch for ExecutionMassStatus {
167    fn encode_batch(
168        metadata: &HashMap<String, String>,
169        data: &[Self],
170    ) -> Result<RecordBatch, ArrowError> {
171        encode_batch(
172            "ExecutionMassStatus",
173            metadata,
174            data,
175            EXECUTION_MASS_STATUS_FIELDS,
176        )
177    }
178
179    fn metadata(&self) -> HashMap<String, String> {
180        metadata_for_type("ExecutionMassStatus")
181    }
182}
183
184impl DecodeTypedFromRecordBatch for ExecutionMassStatus {
185    fn decode_typed_batch(
186        metadata: &HashMap<String, String>,
187        record_batch: RecordBatch,
188    ) -> Result<Vec<Self>, EncodingError> {
189        decode_batch(
190            metadata,
191            &record_batch,
192            EXECUTION_MASS_STATUS_FIELDS,
193            Some("ExecutionMassStatus"),
194        )
195    }
196}
197
198#[cfg(test)]
199mod tests {
200    use std::str::FromStr;
201
202    use nautilus_core::{UUID4, UnixNanos};
203    use nautilus_model::{
204        enums::{OrderSide, OrderStatus, OrderType, PositionSideSpecified, TimeInForce},
205        identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, VenueOrderId},
206        reports::{OrderStatusReport, PositionStatusReport},
207        types::{Price, Quantity},
208    };
209    use rstest::rstest;
210    use rust_decimal::Decimal;
211
212    use super::*;
213
214    #[rstest]
215    fn test_order_status_report_round_trip() {
216        let report = OrderStatusReport::new(
217            AccountId::from("SIM-001"),
218            InstrumentId::from("AUDUSD.SIM"),
219            Some(ClientOrderId::from("O-19700101-000000-001-001-1")),
220            VenueOrderId::from("1"),
221            OrderSide::Buy,
222            OrderType::Limit,
223            TimeInForce::Gtc,
224            OrderStatus::Accepted,
225            Quantity::from("100"),
226            Quantity::from("25"),
227            UnixNanos::from(1_000_000_000),
228            UnixNanos::from(2_000_000_000),
229            UnixNanos::from(3_000_000_000),
230            None,
231        )
232        .with_linked_order_ids([ClientOrderId::from("O-19700101-000000-001-001-2")]);
233        let report = OrderStatusReport {
234            activation_price: Some(Price::from("1.05000")),
235            limit_offset: Some(Decimal::from_str("0.123456789123456789").unwrap()),
236            trailing_offset: Some(Decimal::from_str("0.987654321987654321").unwrap()),
237            avg_px: Some(Decimal::from_str("1.23456789123456789").unwrap()),
238            ..report
239        };
240
241        let metadata = report.metadata();
242        let batch =
243            OrderStatusReport::encode_batch(&metadata, std::slice::from_ref(&report)).unwrap();
244        let decoded =
245            OrderStatusReport::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
246
247        assert_eq!(decoded, vec![report]);
248    }
249
250    #[rstest]
251    fn test_position_status_report_round_trip_preserves_decimal_precision() {
252        let report = PositionStatusReport {
253            account_id: AccountId::from("SIM-001"),
254            instrument_id: InstrumentId::from("AUDUSD.SIM"),
255            position_side: PositionSideSpecified::Long,
256            quantity: Quantity::from("100.25"),
257            signed_decimal_qty: Decimal::from_str("100.250000000123456789").unwrap(),
258            report_id: UUID4::default(),
259            ts_last: UnixNanos::from(1_000_000_000),
260            ts_init: UnixNanos::from(2_000_000_000),
261            venue_position_id: Some(PositionId::from("P-001")),
262            avg_px_open: Some(Decimal::from_str("1.23456789123456789").unwrap()),
263        };
264        let metadata = report.metadata();
265        let batch =
266            PositionStatusReport::encode_batch(&metadata, std::slice::from_ref(&report)).unwrap();
267        let decoded =
268            PositionStatusReport::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
269
270        assert_eq!(decoded, vec![report]);
271    }
272}
nautilus_serialization/arrow/report.rs

nautilus_serialization/arrow/
report.rs
