nautilus_serialization/arrow/instrument/
crypto_future.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 CryptoFuture instruments.
17
18use std::{collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        Array, BinaryArray, BinaryBuilder, BooleanArray, BooleanBuilder, StringArray,
23        StringBuilder, UInt8Array, UInt64Array,
24    },
25    datatypes::{DataType, Field, Schema},
26    error::ArrowError,
27    record_batch::RecordBatch,
28};
29use nautilus_core::Params;
30use nautilus_model::{
31    identifiers::{InstrumentId, Symbol},
32    instruments::crypto_future::CryptoFuture,
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, KEY_SIZE_PRECISION, extract_column, extract_column_by_name_or_index,
41    extract_optional_string_column_by_name, optional_ustr_value,
42};
43
44impl ArrowSchemaProvider for CryptoFuture {
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("underlying", DataType::Utf8, false),
50            Field::new("quote_currency", DataType::Utf8, false),
51            Field::new("settlement_currency", DataType::Utf8, false),
52            Field::new("is_inverse", DataType::Boolean, false),
53            Field::new("activation_ns", DataType::UInt64, false),
54            Field::new("expiration_ns", DataType::UInt64, false),
55            Field::new("price_precision", DataType::UInt8, false),
56            Field::new("size_precision", DataType::UInt8, false),
57            Field::new("price_increment", DataType::Utf8, false),
58            Field::new("size_increment", DataType::Utf8, false),
59            Field::new("multiplier", DataType::Utf8, false),
60            Field::new("lot_size", DataType::Utf8, true),
61            Field::new("max_quantity", DataType::Utf8, true), // nullable
62            Field::new("min_quantity", DataType::Utf8, true), // nullable
63            Field::new("max_notional", DataType::Utf8, true), // nullable
64            Field::new("min_notional", DataType::Utf8, true), // nullable
65            Field::new("max_price", DataType::Utf8, true),    // nullable
66            Field::new("min_price", DataType::Utf8, true),    // nullable
67            Field::new("margin_init", DataType::Utf8, false),
68            Field::new("margin_maint", DataType::Utf8, false),
69            Field::new("maker_fee", DataType::Utf8, false),
70            Field::new("taker_fee", DataType::Utf8, false),
71            Field::new("tick_scheme", DataType::Utf8, true),
72            Field::new("info", DataType::Binary, true), // nullable
73            Field::new("ts_event", DataType::UInt64, false),
74            Field::new("ts_init", DataType::UInt64, false),
75        ];
76
77        let mut final_metadata = HashMap::new();
78        final_metadata.insert(KEY_CLASS.to_string(), "CryptoFuture".to_string());
79
80        if let Some(meta) = metadata {
81            final_metadata.extend(meta);
82        }
83
84        Schema::new_with_metadata(fields, final_metadata)
85    }
86}
87
88impl EncodeToRecordBatch for CryptoFuture {
89    fn encode_batch(
90        #[allow(unused)] metadata: &HashMap<String, String>,
91        data: &[Self],
92    ) -> Result<RecordBatch, ArrowError> {
93        let mut id_builder = StringBuilder::new();
94        let mut raw_symbol_builder = StringBuilder::new();
95        let mut underlying_builder = StringBuilder::new();
96        let mut quote_currency_builder = StringBuilder::new();
97        let mut settlement_currency_builder = StringBuilder::new();
98        let mut is_inverse_builder = BooleanBuilder::new();
99        let mut activation_ns_builder = UInt64Array::builder(data.len());
100        let mut expiration_ns_builder = UInt64Array::builder(data.len());
101        let mut price_precision_builder = UInt8Array::builder(data.len());
102        let mut size_precision_builder = UInt8Array::builder(data.len());
103        let mut price_increment_builder = StringBuilder::new();
104        let mut size_increment_builder = StringBuilder::new();
105        let mut multiplier_builder = StringBuilder::new();
106        let mut lot_size_builder = StringBuilder::new();
107        let mut max_quantity_builder = StringBuilder::new();
108        let mut min_quantity_builder = StringBuilder::new();
109        let mut max_notional_builder = StringBuilder::new();
110        let mut min_notional_builder = StringBuilder::new();
111        let mut max_price_builder = StringBuilder::new();
112        let mut min_price_builder = StringBuilder::new();
113        let mut margin_init_builder = StringBuilder::new();
114        let mut margin_maint_builder = StringBuilder::new();
115        let mut maker_fee_builder = StringBuilder::new();
116        let mut taker_fee_builder = StringBuilder::new();
117        let mut tick_scheme_builder = StringBuilder::new();
118        let mut info_builder = BinaryBuilder::new();
119        let mut ts_event_builder = UInt64Array::builder(data.len());
120        let mut ts_init_builder = UInt64Array::builder(data.len());
121
122        for cf in data {
123            id_builder.append_value(cf.id.to_string());
124            raw_symbol_builder.append_value(cf.raw_symbol);
125            underlying_builder.append_value(cf.underlying.to_string());
126            quote_currency_builder.append_value(cf.quote_currency.to_string());
127            settlement_currency_builder.append_value(cf.settlement_currency.to_string());
128            is_inverse_builder.append_value(cf.is_inverse);
129            activation_ns_builder.append_value(cf.activation_ns.as_u64());
130            expiration_ns_builder.append_value(cf.expiration_ns.as_u64());
131            price_precision_builder.append_value(cf.price_precision);
132            size_precision_builder.append_value(cf.size_precision);
133            price_increment_builder.append_value(cf.price_increment.to_string());
134            size_increment_builder.append_value(cf.size_increment.to_string());
135            multiplier_builder.append_value(cf.multiplier.to_string());
136            lot_size_builder.append_value(cf.lot_size.to_string());
137
138            if let Some(max_qty) = cf.max_quantity {
139                max_quantity_builder.append_value(max_qty.to_string());
140            } else {
141                max_quantity_builder.append_null();
142            }
143
144            if let Some(min_qty) = cf.min_quantity {
145                min_quantity_builder.append_value(min_qty.to_string());
146            } else {
147                min_quantity_builder.append_null();
148            }
149
150            if let Some(max_not) = cf.max_notional {
151                max_notional_builder.append_value(max_not.to_string());
152            } else {
153                max_notional_builder.append_null();
154            }
155
156            if let Some(min_not) = cf.min_notional {
157                min_notional_builder.append_value(min_not.to_string());
158            } else {
159                min_notional_builder.append_null();
160            }
161
162            if let Some(max_p) = cf.max_price {
163                max_price_builder.append_value(max_p.to_string());
164            } else {
165                max_price_builder.append_null();
166            }
167
168            if let Some(min_p) = cf.min_price {
169                min_price_builder.append_value(min_p.to_string());
170            } else {
171                min_price_builder.append_null();
172            }
173
174            margin_init_builder.append_value(cf.margin_init.to_string());
175            margin_maint_builder.append_value(cf.margin_maint.to_string());
176            maker_fee_builder.append_value(cf.maker_fee.to_string());
177            taker_fee_builder.append_value(cf.taker_fee.to_string());
178
179            if let Some(tick_scheme) = cf.tick_scheme {
180                tick_scheme_builder.append_value(tick_scheme);
181            } else {
182                tick_scheme_builder.append_null();
183            }
184
185            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
186            if let Some(ref info) = cf.info {
187                match serde_json::to_vec(info) {
188                    Ok(json_bytes) => {
189                        info_builder.append_value(json_bytes);
190                    }
191                    Err(e) => {
192                        return Err(ArrowError::InvalidArgumentError(format!(
193                            "Failed to serialize info dict to JSON: {e}"
194                        )));
195                    }
196                }
197            } else {
198                info_builder.append_null();
199            }
200
201            ts_event_builder.append_value(cf.ts_event.as_u64());
202            ts_init_builder.append_value(cf.ts_init.as_u64());
203        }
204
205        let mut final_metadata = metadata.clone();
206        final_metadata.insert(KEY_CLASS.to_string(), "CryptoFuture".to_string());
207
208        RecordBatch::try_new(
209            Self::get_schema(Some(final_metadata)).into(),
210            vec![
211                Arc::new(id_builder.finish()),
212                Arc::new(raw_symbol_builder.finish()),
213                Arc::new(underlying_builder.finish()),
214                Arc::new(quote_currency_builder.finish()),
215                Arc::new(settlement_currency_builder.finish()),
216                Arc::new(is_inverse_builder.finish()),
217                Arc::new(activation_ns_builder.finish()),
218                Arc::new(expiration_ns_builder.finish()),
219                Arc::new(price_precision_builder.finish()),
220                Arc::new(size_precision_builder.finish()),
221                Arc::new(price_increment_builder.finish()),
222                Arc::new(size_increment_builder.finish()),
223                Arc::new(multiplier_builder.finish()),
224                Arc::new(lot_size_builder.finish()),
225                Arc::new(max_quantity_builder.finish()),
226                Arc::new(min_quantity_builder.finish()),
227                Arc::new(max_notional_builder.finish()),
228                Arc::new(min_notional_builder.finish()),
229                Arc::new(max_price_builder.finish()),
230                Arc::new(min_price_builder.finish()),
231                Arc::new(margin_init_builder.finish()),
232                Arc::new(margin_maint_builder.finish()),
233                Arc::new(maker_fee_builder.finish()),
234                Arc::new(taker_fee_builder.finish()),
235                Arc::new(tick_scheme_builder.finish()),
236                Arc::new(info_builder.finish()),
237                Arc::new(ts_event_builder.finish()),
238                Arc::new(ts_init_builder.finish()),
239            ],
240        )
241    }
242
243    fn metadata(&self) -> HashMap<String, String> {
244        let mut metadata = HashMap::new();
245        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
246        metadata.insert(
247            KEY_PRICE_PRECISION.to_string(),
248            self.price_precision.to_string(),
249        );
250        metadata.insert(
251            KEY_SIZE_PRECISION.to_string(),
252            self.size_precision.to_string(),
253        );
254        metadata
255    }
256}
257
258/// Decodes [`CryptoFuture`] instruments from a record batch.
259///
260/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
261///
262/// # Errors
263///
264/// Returns an `EncodingError` if the record batch cannot be decoded.
265///
266/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
267pub fn decode_crypto_future_batch(
268    #[allow(unused)] metadata: &HashMap<String, String>,
269    record_batch: &RecordBatch,
270) -> Result<Vec<CryptoFuture>, EncodingError> {
271    let cols = record_batch.columns();
272    let num_rows = record_batch.num_rows();
273
274    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
275    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
276    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
277    let quote_currency_values =
278        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
279    let settlement_currency_values =
280        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
281    let is_inverse_values =
282        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
283    let activation_ns_values =
284        extract_column::<UInt64Array>(cols, "activation_ns", 6, DataType::UInt64)?;
285    let expiration_ns_values =
286        extract_column::<UInt64Array>(cols, "expiration_ns", 7, DataType::UInt64)?;
287    let price_precision_values =
288        extract_column::<UInt8Array>(cols, "price_precision", 8, DataType::UInt8)?;
289    let size_precision_values =
290        extract_column::<UInt8Array>(cols, "size_precision", 9, DataType::UInt8)?;
291    let price_increment_values =
292        extract_column::<StringArray>(cols, "price_increment", 10, DataType::Utf8)?;
293    let size_increment_values =
294        extract_column::<StringArray>(cols, "size_increment", 11, DataType::Utf8)?;
295    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 12, DataType::Utf8)?;
296    let lot_size_values = record_batch
297        .schema()
298        .index_of("lot_size")
299        .ok()
300        .map(|index| extract_column::<StringArray>(cols, "lot_size", index, DataType::Utf8))
301        .transpose()?;
302    let lot_size_offset = usize::from(lot_size_values.is_some());
303    let max_quantity_values = cols
304        .get(13 + lot_size_offset)
305        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 13 + lot_size_offset))?;
306    let min_quantity_values = cols
307        .get(14 + lot_size_offset)
308        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 14 + lot_size_offset))?;
309    let max_notional_values = cols
310        .get(15 + lot_size_offset)
311        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 15 + lot_size_offset))?;
312    let min_notional_values = cols
313        .get(16 + lot_size_offset)
314        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 16 + lot_size_offset))?;
315    let max_price_values = cols
316        .get(17 + lot_size_offset)
317        .ok_or_else(|| EncodingError::MissingColumn("max_price", 17 + lot_size_offset))?;
318    let min_price_values = cols
319        .get(18 + lot_size_offset)
320        .ok_or_else(|| EncodingError::MissingColumn("min_price", 18 + lot_size_offset))?;
321    let margin_init_values =
322        extract_column::<StringArray>(cols, "margin_init", 19 + lot_size_offset, DataType::Utf8)?;
323    let margin_maint_values =
324        extract_column::<StringArray>(cols, "margin_maint", 20 + lot_size_offset, DataType::Utf8)?;
325    let maker_fee_values =
326        extract_column::<StringArray>(cols, "maker_fee", 21 + lot_size_offset, DataType::Utf8)?;
327    let taker_fee_values =
328        extract_column::<StringArray>(cols, "taker_fee", 22 + lot_size_offset, DataType::Utf8)?;
329    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
330    let info_values = extract_column_by_name_or_index::<BinaryArray>(
331        record_batch,
332        "info",
333        23 + lot_size_offset,
334        DataType::Binary,
335    )?;
336    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
337        record_batch,
338        "ts_event",
339        24 + lot_size_offset,
340        DataType::UInt64,
341    )?;
342    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
343        record_batch,
344        "ts_init",
345        25 + lot_size_offset,
346        DataType::UInt64,
347    )?;
348
349    let mut result = Vec::with_capacity(num_rows);
350
351    for i in 0..num_rows {
352        let id = InstrumentId::from_str(id_values.value(i))
353            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
354        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
355        let underlying = super::decode_currency(
356            underlying_values.value(i),
357            "underlying",
358            "crypto_future.underlying",
359            i,
360        )?;
361        let quote_currency = super::decode_currency(
362            quote_currency_values.value(i),
363            "quote_currency",
364            "crypto_future.quote_currency",
365            i,
366        )?;
367        let settlement_currency = super::decode_currency(
368            settlement_currency_values.value(i),
369            "settlement_currency",
370            "crypto_future.settlement_currency",
371            i,
372        )?;
373        let is_inverse = is_inverse_values.value(i);
374        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
375        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
376        let price_prec = price_precision_values.value(i);
377        let size_prec = size_precision_values.value(i);
378
379        let price_increment = Price::from_str(price_increment_values.value(i))
380            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
381        let size_increment = Quantity::from_str(size_increment_values.value(i))
382            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
383        let multiplier = Quantity::from_str(multiplier_values.value(i))
384            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
385        let lot_size =
386            if let Some(values) = lot_size_values {
387                if values.is_null(i) {
388                    None
389                } else {
390                    Some(Quantity::from_str(values.value(i)).map_err(|e| {
391                        EncodingError::ParseError("lot_size", format!("row {i}: {e}"))
392                    })?)
393                }
394            } else {
395                None
396            };
397
398        let max_quantity =
399            if max_quantity_values.is_null(i) {
400                None
401            } else {
402                let max_qty_str = max_quantity_values
403                    .as_any()
404                    .downcast_ref::<StringArray>()
405                    .ok_or_else(|| {
406                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
407                    })?
408                    .value(i);
409                Some(Quantity::from_str(max_qty_str).map_err(|e| {
410                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
411                })?)
412            };
413
414        let min_quantity =
415            if min_quantity_values.is_null(i) {
416                None
417            } else {
418                let min_qty_str = min_quantity_values
419                    .as_any()
420                    .downcast_ref::<StringArray>()
421                    .ok_or_else(|| {
422                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
423                    })?
424                    .value(i);
425                Some(Quantity::from_str(min_qty_str).map_err(|e| {
426                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
427                })?)
428            };
429
430        let max_notional =
431            if max_notional_values.is_null(i) {
432                None
433            } else {
434                let max_not_str = max_notional_values
435                    .as_any()
436                    .downcast_ref::<StringArray>()
437                    .ok_or_else(|| {
438                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
439                    })?
440                    .value(i);
441                Some(Money::from_str(max_not_str).map_err(|e| {
442                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
443                })?)
444            };
445
446        let min_notional =
447            if min_notional_values.is_null(i) {
448                None
449            } else {
450                let min_not_str = min_notional_values
451                    .as_any()
452                    .downcast_ref::<StringArray>()
453                    .ok_or_else(|| {
454                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
455                    })?
456                    .value(i);
457                Some(Money::from_str(min_not_str).map_err(|e| {
458                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
459                })?)
460            };
461
462        let max_price = if max_price_values.is_null(i) {
463            None
464        } else {
465            let max_p_str = max_price_values
466                .as_any()
467                .downcast_ref::<StringArray>()
468                .ok_or_else(|| {
469                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
470                })?
471                .value(i);
472            Some(
473                Price::from_str(max_p_str)
474                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
475            )
476        };
477
478        let min_price = if min_price_values.is_null(i) {
479            None
480        } else {
481            let min_p_str = min_price_values
482                .as_any()
483                .downcast_ref::<StringArray>()
484                .ok_or_else(|| {
485                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
486                })?
487                .value(i);
488            Some(
489                Price::from_str(min_p_str)
490                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
491            )
492        };
493
494        let margin_init = Decimal::from_str(margin_init_values.value(i))
495            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
496        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
497            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
498        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
499            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
500        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
501            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
502
503        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
504        let info = if info_values.is_null(i) {
505            None
506        } else {
507            let info_bytes = info_values
508                .as_any()
509                .downcast_ref::<BinaryArray>()
510                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
511                .value(i);
512
513            match serde_json::from_slice::<Params>(info_bytes) {
514                Ok(info_dict) => Some(info_dict),
515                Err(e) => {
516                    return Err(EncodingError::ParseError(
517                        "info",
518                        format!("row {i}: failed to deserialize JSON: {e}"),
519                    ));
520                }
521            }
522        };
523
524        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
525        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
526
527        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
528
529        let crypto_future = CryptoFuture::builder()
530            .instrument_id(id)
531            .raw_symbol(raw_symbol)
532            .underlying(underlying)
533            .quote_currency(quote_currency)
534            .settlement_currency(settlement_currency)
535            .is_inverse(is_inverse)
536            .activation_ns(activation_ns)
537            .expiration_ns(expiration_ns)
538            .price_precision(price_prec)
539            .size_precision(size_prec)
540            .price_increment(price_increment)
541            .size_increment(size_increment)
542            .multiplier(multiplier)
543            .maybe_lot_size(lot_size)
544            .maybe_max_quantity(max_quantity)
545            .maybe_min_quantity(min_quantity)
546            .maybe_max_notional(max_notional)
547            .maybe_min_notional(min_notional)
548            .maybe_max_price(max_price)
549            .maybe_min_price(min_price)
550            .margin_init(margin_init)
551            .margin_maint(margin_maint)
552            .maker_fee(maker_fee)
553            .taker_fee(taker_fee)
554            .maybe_tick_scheme(tick_scheme)
555            .maybe_info(info)
556            .ts_event(ts_event)
557            .ts_init(ts_init)
558            .build()
559            .map_err(|e| super::instrument_validation_error::<CryptoFuture>(i, e))?;
560
561        result.push(crypto_future);
562    }
563
564    Ok(result)
565}
nautilus_serialization/arrow/instrument/crypto_future.rs

nautilus_serialization/arrow/instrument/
crypto_future.rs
