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

nautilus_serialization/arrow/instrument/
commodity.rs
