nautilus_serialization/arrow/instrument/
cfd.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 Cfd 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, UnixNanos};
29use nautilus_model::{
30    enums::AssetClass,
31    identifiers::{InstrumentId, Symbol},
32    instruments::cfd::Cfd,
33    types::{money::Money, price::Price, quantity::Quantity},
34};
35use rust_decimal::Decimal;
36
37use super::KEY_CLASS;
38use crate::arrow::{
39    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
40    KEY_PRICE_PRECISION, extract_column, extract_column_by_name_or_index,
41    extract_optional_string_column_by_name, optional_ustr_value,
42};
43
44impl ArrowSchemaProvider for Cfd {
45    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
46        let fields = vec![
47            Field::new("id", DataType::Utf8, false),
48            Field::new("raw_symbol", DataType::Utf8, false),
49            Field::new("asset_class", DataType::Utf8, false),
50            Field::new("base_currency", DataType::Utf8, true), // nullable
51            Field::new("quote_currency", DataType::Utf8, false),
52            Field::new("price_precision", DataType::UInt8, false),
53            Field::new("size_precision", DataType::UInt8, false),
54            Field::new("price_increment", DataType::Utf8, false),
55            Field::new("size_increment", DataType::Utf8, false),
56            Field::new("lot_size", DataType::Utf8, true), // nullable
57            Field::new("max_quantity", DataType::Utf8, true), // nullable
58            Field::new("min_quantity", DataType::Utf8, true), // nullable
59            Field::new("max_notional", DataType::Utf8, true), // nullable
60            Field::new("min_notional", DataType::Utf8, true), // nullable
61            Field::new("max_price", DataType::Utf8, true), // nullable
62            Field::new("min_price", DataType::Utf8, true), // nullable
63            Field::new("margin_init", DataType::Utf8, false),
64            Field::new("margin_maint", DataType::Utf8, false),
65            Field::new("maker_fee", DataType::Utf8, false),
66            Field::new("taker_fee", DataType::Utf8, false),
67            Field::new("tick_scheme", DataType::Utf8, true),
68            Field::new("info", DataType::Binary, true), // nullable
69            Field::new("ts_event", DataType::UInt64, false),
70            Field::new("ts_init", DataType::UInt64, false),
71        ];
72
73        let mut final_metadata = HashMap::new();
74        final_metadata.insert(KEY_CLASS.to_string(), "Cfd".to_string());
75
76        if let Some(meta) = metadata {
77            final_metadata.extend(meta);
78        }
79
80        Schema::new_with_metadata(fields, final_metadata)
81    }
82}
83
84impl EncodeToRecordBatch for Cfd {
85    fn encode_batch(
86        #[allow(unused)] metadata: &HashMap<String, String>,
87        data: &[Self],
88    ) -> Result<RecordBatch, ArrowError> {
89        let mut id_builder = StringBuilder::new();
90        let mut raw_symbol_builder = StringBuilder::new();
91        let mut asset_class_builder = StringBuilder::new();
92        let mut base_currency_builder = StringBuilder::new();
93        let mut quote_currency_builder = StringBuilder::new();
94        let mut price_precision_builder = UInt8Array::builder(data.len());
95        let mut size_precision_builder = UInt8Array::builder(data.len());
96        let mut price_increment_builder = StringBuilder::new();
97        let mut size_increment_builder = StringBuilder::new();
98        let mut lot_size_builder = StringBuilder::new();
99        let mut max_quantity_builder = StringBuilder::new();
100        let mut min_quantity_builder = StringBuilder::new();
101        let mut max_notional_builder = StringBuilder::new();
102        let mut min_notional_builder = StringBuilder::new();
103        let mut max_price_builder = StringBuilder::new();
104        let mut min_price_builder = StringBuilder::new();
105        let mut margin_init_builder = StringBuilder::new();
106        let mut margin_maint_builder = StringBuilder::new();
107        let mut maker_fee_builder = StringBuilder::new();
108        let mut taker_fee_builder = StringBuilder::new();
109        let mut tick_scheme_builder = StringBuilder::new();
110        let mut info_builder = BinaryBuilder::new();
111        let mut ts_event_builder = UInt64Array::builder(data.len());
112        let mut ts_init_builder = UInt64Array::builder(data.len());
113
114        for cfd in data {
115            id_builder.append_value(cfd.id.to_string());
116            raw_symbol_builder.append_value(cfd.raw_symbol);
117            asset_class_builder.append_value(cfd.asset_class);
118
119            if let Some(base_cur) = cfd.base_currency {
120                base_currency_builder.append_value(base_cur.to_string());
121            } else {
122                base_currency_builder.append_null();
123            }
124
125            quote_currency_builder.append_value(cfd.quote_currency.to_string());
126            price_precision_builder.append_value(cfd.price_precision);
127            size_precision_builder.append_value(cfd.size_precision);
128            price_increment_builder.append_value(cfd.price_increment.to_string());
129            size_increment_builder.append_value(cfd.size_increment.to_string());
130
131            if let Some(lot_size) = cfd.lot_size {
132                lot_size_builder.append_value(lot_size.to_string());
133            } else {
134                lot_size_builder.append_null();
135            }
136
137            if let Some(max_qty) = cfd.max_quantity {
138                max_quantity_builder.append_value(max_qty.to_string());
139            } else {
140                max_quantity_builder.append_null();
141            }
142
143            if let Some(min_qty) = cfd.min_quantity {
144                min_quantity_builder.append_value(min_qty.to_string());
145            } else {
146                min_quantity_builder.append_null();
147            }
148
149            if let Some(max_not) = cfd.max_notional {
150                max_notional_builder.append_value(max_not.to_string());
151            } else {
152                max_notional_builder.append_null();
153            }
154
155            if let Some(min_not) = cfd.min_notional {
156                min_notional_builder.append_value(min_not.to_string());
157            } else {
158                min_notional_builder.append_null();
159            }
160
161            if let Some(max_p) = cfd.max_price {
162                max_price_builder.append_value(max_p.to_string());
163            } else {
164                max_price_builder.append_null();
165            }
166
167            if let Some(min_p) = cfd.min_price {
168                min_price_builder.append_value(min_p.to_string());
169            } else {
170                min_price_builder.append_null();
171            }
172
173            margin_init_builder.append_value(cfd.margin_init.to_string());
174            margin_maint_builder.append_value(cfd.margin_maint.to_string());
175            maker_fee_builder.append_value(cfd.maker_fee.to_string());
176            taker_fee_builder.append_value(cfd.taker_fee.to_string());
177
178            if let Some(tick_scheme) = cfd.tick_scheme {
179                tick_scheme_builder.append_value(tick_scheme);
180            } else {
181                tick_scheme_builder.append_null();
182            }
183
184            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
185            if let Some(ref info) = cfd.info {
186                match serde_json::to_vec(info) {
187                    Ok(json_bytes) => {
188                        info_builder.append_value(json_bytes);
189                    }
190                    Err(e) => {
191                        return Err(ArrowError::InvalidArgumentError(format!(
192                            "Failed to serialize info dict to JSON: {e}"
193                        )));
194                    }
195                }
196            } else {
197                info_builder.append_null();
198            }
199
200            ts_event_builder.append_value(cfd.ts_event.as_u64());
201            ts_init_builder.append_value(cfd.ts_init.as_u64());
202        }
203
204        let mut final_metadata = metadata.clone();
205        final_metadata.insert(KEY_CLASS.to_string(), "Cfd".to_string());
206
207        RecordBatch::try_new(
208            Self::get_schema(Some(final_metadata)).into(),
209            vec![
210                Arc::new(id_builder.finish()),
211                Arc::new(raw_symbol_builder.finish()),
212                Arc::new(asset_class_builder.finish()),
213                Arc::new(base_currency_builder.finish()),
214                Arc::new(quote_currency_builder.finish()),
215                Arc::new(price_precision_builder.finish()),
216                Arc::new(size_precision_builder.finish()),
217                Arc::new(price_increment_builder.finish()),
218                Arc::new(size_increment_builder.finish()),
219                Arc::new(lot_size_builder.finish()),
220                Arc::new(max_quantity_builder.finish()),
221                Arc::new(min_quantity_builder.finish()),
222                Arc::new(max_notional_builder.finish()),
223                Arc::new(min_notional_builder.finish()),
224                Arc::new(max_price_builder.finish()),
225                Arc::new(min_price_builder.finish()),
226                Arc::new(margin_init_builder.finish()),
227                Arc::new(margin_maint_builder.finish()),
228                Arc::new(maker_fee_builder.finish()),
229                Arc::new(taker_fee_builder.finish()),
230                Arc::new(tick_scheme_builder.finish()),
231                Arc::new(info_builder.finish()),
232                Arc::new(ts_event_builder.finish()),
233                Arc::new(ts_init_builder.finish()),
234            ],
235        )
236    }
237
238    fn metadata(&self) -> HashMap<String, String> {
239        let mut metadata = HashMap::new();
240        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
241        metadata.insert(
242            KEY_PRICE_PRECISION.to_string(),
243            self.price_precision.to_string(),
244        );
245        metadata
246    }
247}
248
249/// Decodes [`Cfd`] instruments from a record batch.
250///
251/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
252///
253/// # Errors
254///
255/// Returns an `EncodingError` if the record batch cannot be decoded.
256///
257/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
258pub fn decode_cfd_batch(
259    #[allow(unused)] metadata: &HashMap<String, String>,
260    record_batch: &RecordBatch,
261) -> Result<Vec<Cfd>, EncodingError> {
262    let cols = record_batch.columns();
263    let num_rows = record_batch.num_rows();
264
265    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
266    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
267    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
268    let base_currency_values = cols
269        .get(3)
270        .ok_or_else(|| EncodingError::MissingColumn("base_currency", 3))?;
271    let quote_currency_values =
272        extract_column::<StringArray>(cols, "quote_currency", 4, DataType::Utf8)?;
273    let price_precision_values =
274        extract_column::<UInt8Array>(cols, "price_precision", 5, DataType::UInt8)?;
275    let size_precision_values =
276        extract_column::<UInt8Array>(cols, "size_precision", 6, DataType::UInt8)?;
277    let price_increment_values =
278        extract_column::<StringArray>(cols, "price_increment", 7, DataType::Utf8)?;
279    let size_increment_values =
280        extract_column::<StringArray>(cols, "size_increment", 8, DataType::Utf8)?;
281    let lot_size_values = cols
282        .get(9)
283        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 9))?;
284    let max_quantity_values = cols
285        .get(10)
286        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 10))?;
287    let min_quantity_values = cols
288        .get(11)
289        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 11))?;
290    let max_notional_values = cols
291        .get(12)
292        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 12))?;
293    let min_notional_values = cols
294        .get(13)
295        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 13))?;
296    let max_price_values = cols
297        .get(14)
298        .ok_or_else(|| EncodingError::MissingColumn("max_price", 14))?;
299    let min_price_values = cols
300        .get(15)
301        .ok_or_else(|| EncodingError::MissingColumn("min_price", 15))?;
302    let margin_init_values =
303        extract_column::<StringArray>(cols, "margin_init", 16, DataType::Utf8)?;
304    let margin_maint_values =
305        extract_column::<StringArray>(cols, "margin_maint", 17, DataType::Utf8)?;
306    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 18, DataType::Utf8)?;
307    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 19, DataType::Utf8)?;
308    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
309    let info_values =
310        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 20, DataType::Binary)?;
311    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
312        record_batch,
313        "ts_event",
314        21,
315        DataType::UInt64,
316    )?;
317    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
318        record_batch,
319        "ts_init",
320        22,
321        DataType::UInt64,
322    )?;
323
324    let mut result = Vec::with_capacity(num_rows);
325
326    for i in 0..num_rows {
327        let id = InstrumentId::from_str(id_values.value(i))
328            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
329        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
330        let asset_class = AssetClass::from_str(asset_class_values.value(i))
331            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
332
333        let base_currency = if base_currency_values.is_null(i) {
334            None
335        } else {
336            let base_cur_str = base_currency_values
337                .as_any()
338                .downcast_ref::<StringArray>()
339                .ok_or_else(|| {
340                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
341                })?
342                .value(i);
343            Some(super::decode_currency(
344                base_cur_str,
345                "base_currency",
346                "cfd.base_currency",
347                i,
348            )?)
349        };
350
351        let quote_currency = super::decode_currency(
352            quote_currency_values.value(i),
353            "quote_currency",
354            "cfd.quote_currency",
355            i,
356        )?;
357        let price_prec = price_precision_values.value(i);
358        let size_prec = size_precision_values.value(i);
359
360        let price_increment = Price::from_str(price_increment_values.value(i))
361            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
362        let size_increment = Quantity::from_str(size_increment_values.value(i))
363            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
364
365        let lot_size = if lot_size_values.is_null(i) {
366            None
367        } else {
368            let lot_size_str = lot_size_values
369                .as_any()
370                .downcast_ref::<StringArray>()
371                .ok_or_else(|| {
372                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
373                })?
374                .value(i);
375            Some(
376                Quantity::from_str(lot_size_str)
377                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
378            )
379        };
380
381        let max_quantity =
382            if max_quantity_values.is_null(i) {
383                None
384            } else {
385                let max_qty_str = max_quantity_values
386                    .as_any()
387                    .downcast_ref::<StringArray>()
388                    .ok_or_else(|| {
389                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
390                    })?
391                    .value(i);
392                Some(Quantity::from_str(max_qty_str).map_err(|e| {
393                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
394                })?)
395            };
396
397        let min_quantity =
398            if min_quantity_values.is_null(i) {
399                None
400            } else {
401                let min_qty_str = min_quantity_values
402                    .as_any()
403                    .downcast_ref::<StringArray>()
404                    .ok_or_else(|| {
405                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
406                    })?
407                    .value(i);
408                Some(Quantity::from_str(min_qty_str).map_err(|e| {
409                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
410                })?)
411            };
412
413        let max_notional =
414            if max_notional_values.is_null(i) {
415                None
416            } else {
417                let max_not_str = max_notional_values
418                    .as_any()
419                    .downcast_ref::<StringArray>()
420                    .ok_or_else(|| {
421                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
422                    })?
423                    .value(i);
424                Some(Money::from_str(max_not_str).map_err(|e| {
425                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
426                })?)
427            };
428
429        let min_notional =
430            if min_notional_values.is_null(i) {
431                None
432            } else {
433                let min_not_str = min_notional_values
434                    .as_any()
435                    .downcast_ref::<StringArray>()
436                    .ok_or_else(|| {
437                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
438                    })?
439                    .value(i);
440                Some(Money::from_str(min_not_str).map_err(|e| {
441                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
442                })?)
443            };
444
445        let max_price = if max_price_values.is_null(i) {
446            None
447        } else {
448            let max_p_str = max_price_values
449                .as_any()
450                .downcast_ref::<StringArray>()
451                .ok_or_else(|| {
452                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
453                })?
454                .value(i);
455            Some(
456                Price::from_str(max_p_str)
457                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
458            )
459        };
460
461        let min_price = if min_price_values.is_null(i) {
462            None
463        } else {
464            let min_p_str = min_price_values
465                .as_any()
466                .downcast_ref::<StringArray>()
467                .ok_or_else(|| {
468                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
469                })?
470                .value(i);
471            Some(
472                Price::from_str(min_p_str)
473                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
474            )
475        };
476
477        let margin_init = Decimal::from_str(margin_init_values.value(i))
478            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
479        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
480            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
481        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
482            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
483        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
484            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
485
486        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
487        let info = if info_values.is_null(i) {
488            None
489        } else {
490            let info_bytes = info_values
491                .as_any()
492                .downcast_ref::<BinaryArray>()
493                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
494                .value(i);
495
496            match serde_json::from_slice::<Params>(info_bytes) {
497                Ok(info_dict) => Some(info_dict),
498                Err(e) => {
499                    return Err(EncodingError::ParseError(
500                        "info",
501                        format!("row {i}: failed to deserialize JSON: {e}"),
502                    ));
503                }
504            }
505        };
506
507        let ts_event = UnixNanos::from(ts_event_values.value(i));
508        let ts_init = UnixNanos::from(ts_init_values.value(i));
509
510        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
511
512        let cfd = Cfd::builder()
513            .instrument_id(id)
514            .raw_symbol(raw_symbol)
515            .asset_class(asset_class)
516            .maybe_base_currency(base_currency)
517            .quote_currency(quote_currency)
518            .price_precision(price_prec)
519            .size_precision(size_prec)
520            .price_increment(price_increment)
521            .size_increment(size_increment)
522            .maybe_lot_size(lot_size)
523            .maybe_max_quantity(max_quantity)
524            .maybe_min_quantity(min_quantity)
525            .maybe_max_notional(max_notional)
526            .maybe_min_notional(min_notional)
527            .maybe_max_price(max_price)
528            .maybe_min_price(min_price)
529            .margin_init(margin_init)
530            .margin_maint(margin_maint)
531            .maker_fee(maker_fee)
532            .taker_fee(taker_fee)
533            .maybe_tick_scheme(tick_scheme)
534            .maybe_info(info)
535            .ts_event(ts_event)
536            .ts_init(ts_init)
537            .build()
538            .map_err(|e| super::instrument_validation_error::<Cfd>(i, e))?;
539
540        result.push(cfd);
541    }
542
543    Ok(result)
544}
nautilus_serialization/arrow/instrument/cfd.rs

nautilus_serialization/arrow/instrument/
cfd.rs
