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

nautilus_serialization/arrow/instrument/
crypto_perpetual.rs
