nautilus_serialization/arrow/instrument/
futures_contract.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 FuturesContract 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    enums::AssetClass,
31    identifiers::{InstrumentId, Symbol},
32    instruments::futures_contract::FuturesContract,
33    types::{price::Price, quantity::Quantity},
34};
35use rust_decimal::Decimal;
36use ustr::Ustr;
37
38use super::KEY_CLASS;
39use crate::arrow::{
40    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
41    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name_or_index,
42    extract_optional_string_column_by_name, optional_ustr_value,
43};
44
45impl ArrowSchemaProvider for FuturesContract {
46    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
47        let fields = vec![
48            Field::new("id", DataType::Utf8, false),
49            Field::new("raw_symbol", DataType::Utf8, false),
50            Field::new("underlying", DataType::Utf8, false),
51            Field::new("asset_class", DataType::Utf8, false),
52            Field::new("exchange", DataType::Utf8, true), // nullable
53            Field::new("currency", DataType::Utf8, false),
54            Field::new("price_precision", DataType::UInt8, false),
55            Field::new("size_precision", DataType::UInt8, false),
56            Field::new("price_increment", DataType::Utf8, false),
57            Field::new("size_increment", DataType::Utf8, false),
58            Field::new("multiplier", DataType::Utf8, false),
59            Field::new("lot_size", DataType::Utf8, false),
60            Field::new("activation_ns", DataType::UInt64, false),
61            Field::new("expiration_ns", DataType::UInt64, false),
62            Field::new("max_quantity", DataType::Utf8, true), // nullable
63            Field::new("min_quantity", DataType::Utf8, true), // nullable
64            Field::new("max_price", DataType::Utf8, true),    // nullable
65            Field::new("min_price", DataType::Utf8, true),    // nullable
66            Field::new("margin_init", DataType::Utf8, false),
67            Field::new("margin_maint", DataType::Utf8, false),
68            Field::new("maker_fee", DataType::Utf8, false),
69            Field::new("taker_fee", DataType::Utf8, false),
70            Field::new("tick_scheme", DataType::Utf8, true),
71            Field::new("info", DataType::Binary, true), // nullable
72            Field::new("ts_event", DataType::UInt64, false),
73            Field::new("ts_init", DataType::UInt64, false),
74        ];
75
76        let mut final_metadata = HashMap::new();
77        final_metadata.insert(KEY_CLASS.to_string(), "FuturesContract".to_string());
78
79        if let Some(meta) = metadata {
80            final_metadata.extend(meta);
81        }
82
83        Schema::new_with_metadata(fields, final_metadata)
84    }
85}
86
87impl EncodeToRecordBatch for FuturesContract {
88    fn encode_batch(
89        #[allow(unused)] metadata: &HashMap<String, String>,
90        data: &[Self],
91    ) -> Result<RecordBatch, ArrowError> {
92        let mut id_builder = StringBuilder::new();
93        let mut raw_symbol_builder = StringBuilder::new();
94        let mut underlying_builder = StringBuilder::new();
95        let mut asset_class_builder = StringBuilder::new();
96        let mut exchange_builder = StringBuilder::new();
97        let mut currency_builder = StringBuilder::new();
98        let mut price_precision_builder = UInt8Array::builder(data.len());
99        let mut size_precision_builder = UInt8Array::builder(data.len());
100        let mut price_increment_builder = StringBuilder::new();
101        let mut size_increment_builder = StringBuilder::new();
102        let mut multiplier_builder = StringBuilder::new();
103        let mut lot_size_builder = StringBuilder::new();
104        let mut activation_ns_builder = UInt64Array::builder(data.len());
105        let mut expiration_ns_builder = UInt64Array::builder(data.len());
106        let mut max_quantity_builder = StringBuilder::new();
107        let mut min_quantity_builder = StringBuilder::new();
108        let mut max_price_builder = StringBuilder::new();
109        let mut min_price_builder = StringBuilder::new();
110        let mut margin_init_builder = StringBuilder::new();
111        let mut margin_maint_builder = StringBuilder::new();
112        let mut maker_fee_builder = StringBuilder::new();
113        let mut taker_fee_builder = StringBuilder::new();
114        let mut tick_scheme_builder = StringBuilder::new();
115        let mut info_builder = BinaryBuilder::new();
116        let mut ts_event_builder = UInt64Array::builder(data.len());
117        let mut ts_init_builder = UInt64Array::builder(data.len());
118
119        for fc in data {
120            id_builder.append_value(fc.id.to_string());
121            raw_symbol_builder.append_value(fc.raw_symbol);
122            underlying_builder.append_value(fc.underlying);
123            asset_class_builder.append_value(fc.asset_class);
124
125            if let Some(exchange) = fc.exchange {
126                exchange_builder.append_value(exchange);
127            } else {
128                exchange_builder.append_null();
129            }
130
131            currency_builder.append_value(fc.currency.to_string());
132            price_precision_builder.append_value(fc.price_precision);
133            size_precision_builder.append_value(fc.size_precision);
134            price_increment_builder.append_value(fc.price_increment.to_string());
135            size_increment_builder.append_value(fc.size_increment.to_string());
136            multiplier_builder.append_value(fc.multiplier.to_string());
137            lot_size_builder.append_value(fc.lot_size.to_string());
138            activation_ns_builder.append_value(fc.activation_ns.as_u64());
139            expiration_ns_builder.append_value(fc.expiration_ns.as_u64());
140
141            if let Some(max_quantity) = fc.max_quantity {
142                max_quantity_builder.append_value(max_quantity.to_string());
143            } else {
144                max_quantity_builder.append_null();
145            }
146
147            if let Some(min_quantity) = fc.min_quantity {
148                min_quantity_builder.append_value(min_quantity.to_string());
149            } else {
150                min_quantity_builder.append_null();
151            }
152
153            if let Some(max_price) = fc.max_price {
154                max_price_builder.append_value(max_price.to_string());
155            } else {
156                max_price_builder.append_null();
157            }
158
159            if let Some(min_price) = fc.min_price {
160                min_price_builder.append_value(min_price.to_string());
161            } else {
162                min_price_builder.append_null();
163            }
164
165            margin_init_builder.append_value(fc.margin_init.to_string());
166            margin_maint_builder.append_value(fc.margin_maint.to_string());
167            maker_fee_builder.append_value(fc.maker_fee.to_string());
168            taker_fee_builder.append_value(fc.taker_fee.to_string());
169
170            if let Some(tick_scheme) = fc.tick_scheme {
171                tick_scheme_builder.append_value(tick_scheme);
172            } else {
173                tick_scheme_builder.append_null();
174            }
175
176            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
177            if let Some(ref info) = fc.info {
178                match serde_json::to_vec(info) {
179                    Ok(json_bytes) => {
180                        info_builder.append_value(json_bytes);
181                    }
182                    Err(e) => {
183                        return Err(ArrowError::InvalidArgumentError(format!(
184                            "Failed to serialize info dict to JSON: {e}"
185                        )));
186                    }
187                }
188            } else {
189                info_builder.append_null();
190            }
191
192            ts_event_builder.append_value(fc.ts_event.as_u64());
193            ts_init_builder.append_value(fc.ts_init.as_u64());
194        }
195
196        let mut final_metadata = metadata.clone();
197        final_metadata.insert(KEY_CLASS.to_string(), "FuturesContract".to_string());
198
199        RecordBatch::try_new(
200            Self::get_schema(Some(final_metadata)).into(),
201            vec![
202                Arc::new(id_builder.finish()),
203                Arc::new(raw_symbol_builder.finish()),
204                Arc::new(underlying_builder.finish()),
205                Arc::new(asset_class_builder.finish()),
206                Arc::new(exchange_builder.finish()),
207                Arc::new(currency_builder.finish()),
208                Arc::new(price_precision_builder.finish()),
209                Arc::new(size_precision_builder.finish()),
210                Arc::new(price_increment_builder.finish()),
211                Arc::new(size_increment_builder.finish()),
212                Arc::new(multiplier_builder.finish()),
213                Arc::new(lot_size_builder.finish()),
214                Arc::new(activation_ns_builder.finish()),
215                Arc::new(expiration_ns_builder.finish()),
216                Arc::new(max_quantity_builder.finish()),
217                Arc::new(min_quantity_builder.finish()),
218                Arc::new(max_price_builder.finish()),
219                Arc::new(min_price_builder.finish()),
220                Arc::new(margin_init_builder.finish()),
221                Arc::new(margin_maint_builder.finish()),
222                Arc::new(maker_fee_builder.finish()),
223                Arc::new(taker_fee_builder.finish()),
224                Arc::new(tick_scheme_builder.finish()),
225                Arc::new(info_builder.finish()),
226                Arc::new(ts_event_builder.finish()),
227                Arc::new(ts_init_builder.finish()),
228            ],
229        )
230    }
231
232    fn metadata(&self) -> HashMap<String, String> {
233        let mut metadata = HashMap::new();
234        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
235        metadata.insert(
236            KEY_PRICE_PRECISION.to_string(),
237            self.price_precision.to_string(),
238        );
239        metadata.insert(
240            KEY_SIZE_PRECISION.to_string(),
241            self.size_precision.to_string(),
242        );
243        metadata
244    }
245}
246
247/// Decodes [`FuturesContract`] instruments from a record batch.
248///
249/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
250///
251/// # Errors
252///
253/// Returns an `EncodingError` if the record batch cannot be decoded.
254///
255/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
256pub fn decode_futures_contract_batch(
257    #[allow(unused)] metadata: &HashMap<String, String>,
258    record_batch: &RecordBatch,
259) -> Result<Vec<FuturesContract>, EncodingError> {
260    let cols = record_batch.columns();
261    let num_rows = record_batch.num_rows();
262
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 underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
266    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
267    let exchange_values = cols
268        .get(4)
269        .ok_or_else(|| EncodingError::MissingColumn("exchange", 4))?;
270    let currency_values = extract_column::<StringArray>(cols, "currency", 5, DataType::Utf8)?;
271    let price_precision_values =
272        extract_column::<UInt8Array>(cols, "price_precision", 6, DataType::UInt8)?;
273    let size_precision_values =
274        extract_column::<UInt8Array>(cols, "size_precision", 7, DataType::UInt8)?;
275    let price_increment_values =
276        extract_column::<StringArray>(cols, "price_increment", 8, DataType::Utf8)?;
277    let size_increment_values =
278        extract_column::<StringArray>(cols, "size_increment", 9, DataType::Utf8)?;
279    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 10, DataType::Utf8)?;
280    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 11, DataType::Utf8)?;
281    let activation_ns_values =
282        extract_column::<UInt64Array>(cols, "activation_ns", 12, DataType::UInt64)?;
283    let expiration_ns_values =
284        extract_column::<UInt64Array>(cols, "expiration_ns", 13, DataType::UInt64)?;
285    let max_quantity_values = extract_optional_string_column_by_name(record_batch, "max_quantity")?;
286    let min_quantity_values = extract_optional_string_column_by_name(record_batch, "min_quantity")?;
287    let max_price_values = extract_optional_string_column_by_name(record_batch, "max_price")?;
288    let min_price_values = extract_optional_string_column_by_name(record_batch, "min_price")?;
289    let margin_init_values =
290        extract_column::<StringArray>(cols, "margin_init", 18, DataType::Utf8)?;
291    let margin_maint_values =
292        extract_column::<StringArray>(cols, "margin_maint", 19, DataType::Utf8)?;
293    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 20, DataType::Utf8)?;
294    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 21, DataType::Utf8)?;
295    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
296    let info_values =
297        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 23, DataType::Binary)?;
298    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
299        record_batch,
300        "ts_event",
301        24,
302        DataType::UInt64,
303    )?;
304    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
305        record_batch,
306        "ts_init",
307        25,
308        DataType::UInt64,
309    )?;
310
311    let mut result = Vec::with_capacity(num_rows);
312
313    for i in 0..num_rows {
314        let id = InstrumentId::from_str(id_values.value(i))
315            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
316        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
317        let underlying = Ustr::from(underlying_values.value(i));
318        let asset_class = AssetClass::from_str(asset_class_values.value(i))
319            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
320
321        let exchange = if exchange_values.is_null(i) {
322            None
323        } else {
324            let exchange_str = exchange_values
325                .as_any()
326                .downcast_ref::<StringArray>()
327                .ok_or_else(|| {
328                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
329                })?
330                .value(i);
331            Some(Ustr::from(exchange_str))
332        };
333
334        let currency = super::decode_currency(
335            currency_values.value(i),
336            "currency",
337            "futures_contract.currency",
338            i,
339        )?;
340        let price_prec = price_precision_values.value(i);
341        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
342
343        let price_increment = Price::from_str(price_increment_values.value(i))
344            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
345        let _size_increment = Quantity::from_str(size_increment_values.value(i))
346            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
347        let multiplier = Quantity::from_str(multiplier_values.value(i))
348            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
349        let lot_size = Quantity::from_str(lot_size_values.value(i))
350            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
351
352        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
353        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
354
355        let margin_init = Decimal::from_str(margin_init_values.value(i))
356            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
357        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
358            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
359        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
360            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
361        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
362            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
363
364        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
365        let info = if info_values.is_null(i) {
366            None
367        } else {
368            let info_bytes = info_values
369                .as_any()
370                .downcast_ref::<BinaryArray>()
371                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
372                .value(i);
373
374            match serde_json::from_slice::<Params>(info_bytes) {
375                Ok(info_dict) => Some(info_dict),
376                Err(e) => {
377                    return Err(EncodingError::ParseError(
378                        "info",
379                        format!("row {i}: failed to deserialize JSON: {e}"),
380                    ));
381                }
382            }
383        };
384
385        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
386        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
387
388        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
389
390        let futures_contract = FuturesContract::builder()
391            .instrument_id(id)
392            .raw_symbol(raw_symbol)
393            .asset_class(asset_class)
394            .maybe_exchange(exchange)
395            .underlying(underlying)
396            .activation_ns(activation_ns)
397            .expiration_ns(expiration_ns)
398            .currency(currency)
399            .price_precision(price_prec)
400            .price_increment(price_increment)
401            .multiplier(multiplier)
402            .lot_size(lot_size)
403            .maybe_max_quantity(super::optional_quantity_value(
404                max_quantity_values,
405                "max_quantity",
406                i,
407            )?)
408            .maybe_min_quantity(super::optional_quantity_value(
409                min_quantity_values,
410                "min_quantity",
411                i,
412            )?)
413            .maybe_max_price(super::optional_price_value(
414                max_price_values,
415                "max_price",
416                i,
417            )?)
418            .maybe_min_price(super::optional_price_value(
419                min_price_values,
420                "min_price",
421                i,
422            )?)
423            .margin_init(margin_init)
424            .margin_maint(margin_maint)
425            .maker_fee(maker_fee)
426            .taker_fee(taker_fee)
427            .maybe_tick_scheme(tick_scheme)
428            .maybe_info(info)
429            .ts_event(ts_event)
430            .ts_init(ts_init)
431            .build()
432            .map_err(|e| super::instrument_validation_error::<FuturesContract>(i, e))?;
433
434        result.push(futures_contract);
435    }
436
437    Ok(result)
438}
nautilus_serialization/arrow/instrument/futures_contract.rs

nautilus_serialization/arrow/instrument/
futures_contract.rs
