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

nautilus_serialization/arrow/instrument/
currency_pair.rs
