nautilus_serialization/arrow/instrument/
equity.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 Equity 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::equity::Equity,
32    types::{price::Price, quantity::Quantity},
33};
34use rust_decimal::Decimal;
35use ustr::Ustr;
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 Equity {
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("currency", DataType::Utf8, false),
50            Field::new("price_precision", DataType::UInt8, false),
51            Field::new("price_increment", DataType::Utf8, false),
52            Field::new("lot_size", DataType::Utf8, true), // nullable
53            Field::new("isin", DataType::Utf8, true),     // nullable
54            Field::new("max_quantity", DataType::Utf8, true), // nullable
55            Field::new("min_quantity", DataType::Utf8, true), // nullable
56            Field::new("max_price", DataType::Utf8, true), // nullable
57            Field::new("min_price", DataType::Utf8, true), // nullable
58            Field::new("margin_init", DataType::Utf8, false),
59            Field::new("margin_maint", DataType::Utf8, false),
60            Field::new("maker_fee", DataType::Utf8, false),
61            Field::new("taker_fee", DataType::Utf8, false),
62            Field::new("tick_scheme", DataType::Utf8, true),
63            Field::new("info", DataType::Binary, true), // nullable
64            Field::new("ts_event", DataType::UInt64, false),
65            Field::new("ts_init", DataType::UInt64, false),
66        ];
67
68        let mut final_metadata = HashMap::new();
69        final_metadata.insert(KEY_CLASS.to_string(), "Equity".to_string());
70
71        if let Some(meta) = metadata {
72            final_metadata.extend(meta);
73        }
74
75        Schema::new_with_metadata(fields, final_metadata)
76    }
77}
78
79impl EncodeToRecordBatch for Equity {
80    fn encode_batch(
81        #[allow(unused)] metadata: &HashMap<String, String>,
82        data: &[Self],
83    ) -> Result<RecordBatch, ArrowError> {
84        let mut id_builder = StringBuilder::new();
85        let mut raw_symbol_builder = StringBuilder::new();
86        let mut currency_builder = StringBuilder::new();
87        let mut price_precision_builder = UInt8Array::builder(data.len());
88        let mut price_increment_builder = StringBuilder::new();
89        let mut lot_size_builder = StringBuilder::new();
90        let mut isin_builder = StringBuilder::new();
91        let mut max_quantity_builder = StringBuilder::new();
92        let mut min_quantity_builder = StringBuilder::new();
93        let mut max_price_builder = StringBuilder::new();
94        let mut min_price_builder = StringBuilder::new();
95        let mut margin_init_builder = StringBuilder::new();
96        let mut margin_maint_builder = StringBuilder::new();
97        let mut maker_fee_builder = StringBuilder::new();
98        let mut taker_fee_builder = StringBuilder::new();
99        let mut tick_scheme_builder = StringBuilder::new();
100        let mut info_builder = BinaryBuilder::new();
101        let mut ts_event_builder = UInt64Array::builder(data.len());
102        let mut ts_init_builder = UInt64Array::builder(data.len());
103
104        for equity in data {
105            id_builder.append_value(equity.id.to_string());
106            raw_symbol_builder.append_value(equity.raw_symbol);
107            currency_builder.append_value(equity.currency.to_string());
108            price_precision_builder.append_value(equity.price_precision);
109            price_increment_builder.append_value(equity.price_increment.to_string());
110
111            if let Some(lot_size) = equity.lot_size {
112                lot_size_builder.append_value(lot_size.to_string());
113            } else {
114                lot_size_builder.append_null();
115            }
116
117            if let Some(isin) = equity.isin {
118                isin_builder.append_value(isin);
119            } else {
120                isin_builder.append_null();
121            }
122
123            if let Some(max_qty) = equity.max_quantity {
124                max_quantity_builder.append_value(max_qty.to_string());
125            } else {
126                max_quantity_builder.append_null();
127            }
128
129            if let Some(min_qty) = equity.min_quantity {
130                min_quantity_builder.append_value(min_qty.to_string());
131            } else {
132                min_quantity_builder.append_null();
133            }
134
135            if let Some(max_p) = equity.max_price {
136                max_price_builder.append_value(max_p.to_string());
137            } else {
138                max_price_builder.append_null();
139            }
140
141            if let Some(min_p) = equity.min_price {
142                min_price_builder.append_value(min_p.to_string());
143            } else {
144                min_price_builder.append_null();
145            }
146
147            margin_init_builder.append_value(equity.margin_init.to_string());
148            margin_maint_builder.append_value(equity.margin_maint.to_string());
149            maker_fee_builder.append_value(equity.maker_fee.to_string());
150            taker_fee_builder.append_value(equity.taker_fee.to_string());
151
152            if let Some(tick_scheme) = equity.tick_scheme {
153                tick_scheme_builder.append_value(tick_scheme);
154            } else {
155                tick_scheme_builder.append_null();
156            }
157
158            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
159            if let Some(ref info) = equity.info {
160                match serde_json::to_vec(info) {
161                    Ok(json_bytes) => {
162                        info_builder.append_value(json_bytes);
163                    }
164                    Err(e) => {
165                        return Err(ArrowError::InvalidArgumentError(format!(
166                            "Failed to serialize info dict to JSON: {e}"
167                        )));
168                    }
169                }
170            } else {
171                info_builder.append_null();
172            }
173
174            ts_event_builder.append_value(equity.ts_event.as_u64());
175            ts_init_builder.append_value(equity.ts_init.as_u64());
176        }
177
178        let mut final_metadata = metadata.clone();
179        final_metadata.insert(KEY_CLASS.to_string(), "Equity".to_string());
180
181        RecordBatch::try_new(
182            Self::get_schema(Some(final_metadata)).into(),
183            vec![
184                Arc::new(id_builder.finish()),
185                Arc::new(raw_symbol_builder.finish()),
186                Arc::new(currency_builder.finish()),
187                Arc::new(price_precision_builder.finish()),
188                Arc::new(price_increment_builder.finish()),
189                Arc::new(lot_size_builder.finish()),
190                Arc::new(isin_builder.finish()),
191                Arc::new(max_quantity_builder.finish()),
192                Arc::new(min_quantity_builder.finish()),
193                Arc::new(max_price_builder.finish()),
194                Arc::new(min_price_builder.finish()),
195                Arc::new(margin_init_builder.finish()),
196                Arc::new(margin_maint_builder.finish()),
197                Arc::new(maker_fee_builder.finish()),
198                Arc::new(taker_fee_builder.finish()),
199                Arc::new(tick_scheme_builder.finish()),
200                Arc::new(info_builder.finish()),
201                Arc::new(ts_event_builder.finish()),
202                Arc::new(ts_init_builder.finish()),
203            ],
204        )
205    }
206
207    fn metadata(&self) -> HashMap<String, String> {
208        let mut metadata = HashMap::new();
209        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
210        metadata.insert(
211            KEY_PRICE_PRECISION.to_string(),
212            self.price_precision.to_string(),
213        );
214        metadata
215    }
216}
217
218/// Decodes [`Equity`] instruments from a record batch.
219///
220/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
221///
222/// # Errors
223///
224/// Returns an `EncodingError` if the record batch cannot be decoded.
225///
226/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
227pub fn decode_equity_batch(
228    #[allow(unused)] metadata: &HashMap<String, String>,
229    record_batch: &RecordBatch,
230) -> Result<Vec<Equity>, EncodingError> {
231    let cols = record_batch.columns();
232    let num_rows = record_batch.num_rows();
233
234    // Read precision from data columns (it's in the schema)
235    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
236    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
237    let currency_values = extract_column::<StringArray>(cols, "currency", 2, DataType::Utf8)?;
238    let price_precision_values =
239        extract_column::<UInt8Array>(cols, "price_precision", 3, DataType::UInt8)?;
240    let price_increment_values =
241        extract_column::<StringArray>(cols, "price_increment", 4, DataType::Utf8)?;
242    let lot_size_values = cols
243        .get(5)
244        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 5))?;
245    let isin_values = cols
246        .get(6)
247        .ok_or_else(|| EncodingError::MissingColumn("isin", 6))?;
248    let max_quantity_values = cols
249        .get(7)
250        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 7))?;
251    let min_quantity_values = cols
252        .get(8)
253        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 8))?;
254    let max_price_values = cols
255        .get(9)
256        .ok_or_else(|| EncodingError::MissingColumn("max_price", 9))?;
257    let min_price_values = cols
258        .get(10)
259        .ok_or_else(|| EncodingError::MissingColumn("min_price", 10))?;
260    let margin_init_values =
261        extract_column::<StringArray>(cols, "margin_init", 11, DataType::Utf8)?;
262    let margin_maint_values =
263        extract_column::<StringArray>(cols, "margin_maint", 12, DataType::Utf8)?;
264    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 13, DataType::Utf8)?;
265    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 14, DataType::Utf8)?;
266    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
267    let info_values =
268        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 15, DataType::Binary)?;
269    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
270        record_batch,
271        "ts_event",
272        16,
273        DataType::UInt64,
274    )?;
275    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
276        record_batch,
277        "ts_init",
278        17,
279        DataType::UInt64,
280    )?;
281
282    let mut result = Vec::with_capacity(num_rows);
283
284    for i in 0..num_rows {
285        let id = InstrumentId::from_str(id_values.value(i))
286            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
287        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
288        let currency =
289            super::decode_currency(currency_values.value(i), "currency", "equity.currency", i)?;
290        let price_prec = price_precision_values.value(i);
291
292        let price_increment = Price::from_str(price_increment_values.value(i))
293            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
294
295        let lot_size = if lot_size_values.is_null(i) {
296            None
297        } else {
298            let lot_size_str = lot_size_values
299                .as_any()
300                .downcast_ref::<StringArray>()
301                .ok_or_else(|| {
302                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
303                })?
304                .value(i);
305            Some(
306                Quantity::from_str(lot_size_str)
307                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
308            )
309        };
310
311        let isin = if isin_values.is_null(i) {
312            None
313        } else {
314            let isin_str = isin_values
315                .as_any()
316                .downcast_ref::<StringArray>()
317                .ok_or_else(|| EncodingError::ParseError("isin", format!("row {i}: invalid type")))?
318                .value(i);
319            Some(Ustr::from(isin_str))
320        };
321
322        let max_quantity =
323            if max_quantity_values.is_null(i) {
324                None
325            } else {
326                let max_qty_str = max_quantity_values
327                    .as_any()
328                    .downcast_ref::<StringArray>()
329                    .ok_or_else(|| {
330                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
331                    })?
332                    .value(i);
333                Some(Quantity::from_str(max_qty_str).map_err(|e| {
334                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
335                })?)
336            };
337
338        let min_quantity =
339            if min_quantity_values.is_null(i) {
340                None
341            } else {
342                let min_qty_str = min_quantity_values
343                    .as_any()
344                    .downcast_ref::<StringArray>()
345                    .ok_or_else(|| {
346                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
347                    })?
348                    .value(i);
349                Some(Quantity::from_str(min_qty_str).map_err(|e| {
350                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
351                })?)
352            };
353
354        let max_price = if max_price_values.is_null(i) {
355            None
356        } else {
357            let max_p_str = max_price_values
358                .as_any()
359                .downcast_ref::<StringArray>()
360                .ok_or_else(|| {
361                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
362                })?
363                .value(i);
364            Some(
365                Price::from_str(max_p_str)
366                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
367            )
368        };
369
370        let min_price = if min_price_values.is_null(i) {
371            None
372        } else {
373            let min_p_str = min_price_values
374                .as_any()
375                .downcast_ref::<StringArray>()
376                .ok_or_else(|| {
377                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
378                })?
379                .value(i);
380            Some(
381                Price::from_str(min_p_str)
382                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
383            )
384        };
385
386        let margin_init = Decimal::from_str(margin_init_values.value(i))
387            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
388        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
389            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
390        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
391            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
392        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
393            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
394
395        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
396        let info = if info_values.is_null(i) {
397            None
398        } else {
399            let info_bytes = info_values
400                .as_any()
401                .downcast_ref::<BinaryArray>()
402                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
403                .value(i);
404
405            match serde_json::from_slice::<Params>(info_bytes) {
406                Ok(info_dict) => Some(info_dict),
407                Err(e) => {
408                    return Err(EncodingError::ParseError(
409                        "info",
410                        format!("row {i}: failed to deserialize JSON: {e}"),
411                    ));
412                }
413            }
414        };
415
416        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
417        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
418
419        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
420
421        let equity = Equity::builder()
422            .instrument_id(id)
423            .raw_symbol(raw_symbol)
424            .maybe_isin(isin)
425            .currency(currency)
426            .price_precision(price_prec)
427            .price_increment(price_increment)
428            .maybe_lot_size(lot_size)
429            .maybe_max_quantity(max_quantity)
430            .maybe_min_quantity(min_quantity)
431            .maybe_max_price(max_price)
432            .maybe_min_price(min_price)
433            .margin_init(margin_init)
434            .margin_maint(margin_maint)
435            .maker_fee(maker_fee)
436            .taker_fee(taker_fee)
437            .maybe_tick_scheme(tick_scheme)
438            .maybe_info(info)
439            .ts_event(ts_event)
440            .ts_init(ts_init)
441            .build()
442            .map_err(|e| super::instrument_validation_error::<Equity>(i, e))?;
443
444        result.push(equity);
445    }
446
447    Ok(result)
448}
nautilus_serialization/arrow/instrument/equity.rs

nautilus_serialization/arrow/instrument/
equity.rs
