nautilus_serialization/arrow/instrument/
futures_spread.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 FuturesSpread 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_spread::FuturesSpread,
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 FuturesSpread {
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("strategy_type", DataType::Utf8, false),
52            Field::new("asset_class", DataType::Utf8, false),
53            Field::new("exchange", DataType::Utf8, true), // nullable
54            Field::new("currency", DataType::Utf8, 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, false),
61            Field::new("max_quantity", DataType::Utf8, true), // nullable
62            Field::new("min_quantity", 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("activation_ns", DataType::UInt64, false),
66            Field::new("expiration_ns", DataType::UInt64, false),
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(), "FuturesSpread".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 FuturesSpread {
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 strategy_type_builder = StringBuilder::new();
97        let mut asset_class_builder = StringBuilder::new();
98        let mut exchange_builder = StringBuilder::new();
99        let mut currency_builder = StringBuilder::new();
100        let mut price_precision_builder = UInt8Array::builder(data.len());
101        let mut size_precision_builder = UInt8Array::builder(data.len());
102        let mut price_increment_builder = StringBuilder::new();
103        let mut size_increment_builder = StringBuilder::new();
104        let mut multiplier_builder = StringBuilder::new();
105        let mut lot_size_builder = StringBuilder::new();
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 activation_ns_builder = UInt64Array::builder(data.len());
111        let mut expiration_ns_builder = UInt64Array::builder(data.len());
112        let mut margin_init_builder = StringBuilder::new();
113        let mut margin_maint_builder = StringBuilder::new();
114        let mut maker_fee_builder = StringBuilder::new();
115        let mut taker_fee_builder = StringBuilder::new();
116        let mut tick_scheme_builder = StringBuilder::new();
117        let mut info_builder = BinaryBuilder::new();
118        let mut ts_event_builder = UInt64Array::builder(data.len());
119        let mut ts_init_builder = UInt64Array::builder(data.len());
120
121        for fs in data {
122            id_builder.append_value(fs.id.to_string());
123            raw_symbol_builder.append_value(fs.raw_symbol);
124            underlying_builder.append_value(fs.underlying);
125            strategy_type_builder.append_value(fs.strategy_type);
126            asset_class_builder.append_value(fs.asset_class);
127
128            if let Some(exchange) = fs.exchange {
129                exchange_builder.append_value(exchange);
130            } else {
131                exchange_builder.append_null();
132            }
133
134            currency_builder.append_value(fs.currency.to_string());
135            price_precision_builder.append_value(fs.price_precision);
136            size_precision_builder.append_value(fs.size_precision);
137            price_increment_builder.append_value(fs.price_increment.to_string());
138            size_increment_builder.append_value(fs.size_increment.to_string());
139            multiplier_builder.append_value(fs.multiplier.to_string());
140            lot_size_builder.append_value(fs.lot_size.to_string());
141
142            if let Some(max_qty) = fs.max_quantity {
143                max_quantity_builder.append_value(max_qty.to_string());
144            } else {
145                max_quantity_builder.append_null();
146            }
147
148            if let Some(min_qty) = fs.min_quantity {
149                min_quantity_builder.append_value(min_qty.to_string());
150            } else {
151                min_quantity_builder.append_null();
152            }
153
154            if let Some(max_p) = fs.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) = fs.min_price {
161                min_price_builder.append_value(min_p.to_string());
162            } else {
163                min_price_builder.append_null();
164            }
165
166            activation_ns_builder.append_value(fs.activation_ns.as_u64());
167            expiration_ns_builder.append_value(fs.expiration_ns.as_u64());
168            margin_init_builder.append_value(fs.margin_init.to_string());
169            margin_maint_builder.append_value(fs.margin_maint.to_string());
170            maker_fee_builder.append_value(fs.maker_fee.to_string());
171            taker_fee_builder.append_value(fs.taker_fee.to_string());
172
173            if let Some(tick_scheme) = fs.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) = fs.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(fs.ts_event.as_u64());
196            ts_init_builder.append_value(fs.ts_init.as_u64());
197        }
198
199        let mut final_metadata = metadata.clone();
200        final_metadata.insert(KEY_CLASS.to_string(), "FuturesSpread".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(underlying_builder.finish()),
208                Arc::new(strategy_type_builder.finish()),
209                Arc::new(asset_class_builder.finish()),
210                Arc::new(exchange_builder.finish()),
211                Arc::new(currency_builder.finish()),
212                Arc::new(price_precision_builder.finish()),
213                Arc::new(size_precision_builder.finish()),
214                Arc::new(price_increment_builder.finish()),
215                Arc::new(size_increment_builder.finish()),
216                Arc::new(multiplier_builder.finish()),
217                Arc::new(lot_size_builder.finish()),
218                Arc::new(max_quantity_builder.finish()),
219                Arc::new(min_quantity_builder.finish()),
220                Arc::new(max_price_builder.finish()),
221                Arc::new(min_price_builder.finish()),
222                Arc::new(activation_ns_builder.finish()),
223                Arc::new(expiration_ns_builder.finish()),
224                Arc::new(margin_init_builder.finish()),
225                Arc::new(margin_maint_builder.finish()),
226                Arc::new(maker_fee_builder.finish()),
227                Arc::new(taker_fee_builder.finish()),
228                Arc::new(tick_scheme_builder.finish()),
229                Arc::new(info_builder.finish()),
230                Arc::new(ts_event_builder.finish()),
231                Arc::new(ts_init_builder.finish()),
232            ],
233        )
234    }
235
236    fn metadata(&self) -> HashMap<String, String> {
237        let mut metadata = HashMap::new();
238        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
239        metadata.insert(
240            KEY_PRICE_PRECISION.to_string(),
241            self.price_precision.to_string(),
242        );
243        metadata.insert(
244            KEY_SIZE_PRECISION.to_string(),
245            self.size_precision.to_string(),
246        );
247        metadata
248    }
249}
250
251/// Decodes [`FuturesSpread`] instruments from a record batch.
252///
253/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
254///
255/// # Errors
256///
257/// Returns an `EncodingError` if the record batch cannot be decoded.
258///
259/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
260pub fn decode_futures_spread_batch(
261    #[allow(unused)] metadata: &HashMap<String, String>,
262    record_batch: &RecordBatch,
263) -> Result<Vec<FuturesSpread>, EncodingError> {
264    let cols = record_batch.columns();
265    let num_rows = record_batch.num_rows();
266
267    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
268    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
269    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
270    let strategy_type_values =
271        extract_column::<StringArray>(cols, "strategy_type", 3, DataType::Utf8)?;
272    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 4, DataType::Utf8)?;
273    let exchange_values = cols
274        .get(5)
275        .ok_or_else(|| EncodingError::MissingColumn("exchange", 5))?;
276    let currency_values = extract_column::<StringArray>(cols, "currency", 6, DataType::Utf8)?;
277    let price_precision_values =
278        extract_column::<UInt8Array>(cols, "price_precision", 7, DataType::UInt8)?;
279    let size_precision_values =
280        extract_column::<UInt8Array>(cols, "size_precision", 8, DataType::UInt8)?;
281    let price_increment_values =
282        extract_column::<StringArray>(cols, "price_increment", 9, DataType::Utf8)?;
283    let size_increment_values =
284        extract_column::<StringArray>(cols, "size_increment", 10, DataType::Utf8)?;
285    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 11, DataType::Utf8)?;
286    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 12, DataType::Utf8)?;
287    let max_quantity_values = cols
288        .get(13)
289        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 13))?;
290    let min_quantity_values = cols
291        .get(14)
292        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 14))?;
293    let max_price_values = cols
294        .get(15)
295        .ok_or_else(|| EncodingError::MissingColumn("max_price", 15))?;
296    let min_price_values = cols
297        .get(16)
298        .ok_or_else(|| EncodingError::MissingColumn("min_price", 16))?;
299    let activation_ns_values =
300        extract_column::<UInt64Array>(cols, "activation_ns", 17, DataType::UInt64)?;
301    let expiration_ns_values =
302        extract_column::<UInt64Array>(cols, "expiration_ns", 18, DataType::UInt64)?;
303    let margin_init_values =
304        extract_column::<StringArray>(cols, "margin_init", 19, DataType::Utf8)?;
305    let margin_maint_values =
306        extract_column::<StringArray>(cols, "margin_maint", 20, DataType::Utf8)?;
307    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 21, DataType::Utf8)?;
308    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 22, DataType::Utf8)?;
309    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
310    let info_values =
311        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 23, DataType::Binary)?;
312    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
313        record_batch,
314        "ts_event",
315        24,
316        DataType::UInt64,
317    )?;
318    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
319        record_batch,
320        "ts_init",
321        25,
322        DataType::UInt64,
323    )?;
324
325    let mut result = Vec::with_capacity(num_rows);
326
327    for i in 0..num_rows {
328        let id = InstrumentId::from_str(id_values.value(i))
329            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
330        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
331        let underlying = Ustr::from(underlying_values.value(i));
332        let strategy_type = Ustr::from(strategy_type_values.value(i));
333        let asset_class = AssetClass::from_str(asset_class_values.value(i))
334            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
335
336        let exchange = if exchange_values.is_null(i) {
337            None
338        } else {
339            let exchange_str = exchange_values
340                .as_any()
341                .downcast_ref::<StringArray>()
342                .ok_or_else(|| {
343                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
344                })?
345                .value(i);
346            Some(Ustr::from(exchange_str))
347        };
348
349        let currency = super::decode_currency(
350            currency_values.value(i),
351            "currency",
352            "futures_spread.currency",
353            i,
354        )?;
355        let price_prec = price_precision_values.value(i);
356        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
357
358        let price_increment = Price::from_str(price_increment_values.value(i))
359            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
360        let _size_increment = Quantity::from_str(size_increment_values.value(i))
361            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
362        let multiplier = Quantity::from_str(multiplier_values.value(i))
363            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
364        let lot_size = Quantity::from_str(lot_size_values.value(i))
365            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
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_price = if max_price_values.is_null(i) {
400            None
401        } else {
402            let max_p_str = max_price_values
403                .as_any()
404                .downcast_ref::<StringArray>()
405                .ok_or_else(|| {
406                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
407                })?
408                .value(i);
409            Some(
410                Price::from_str(max_p_str)
411                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
412            )
413        };
414
415        let min_price = if min_price_values.is_null(i) {
416            None
417        } else {
418            let min_p_str = min_price_values
419                .as_any()
420                .downcast_ref::<StringArray>()
421                .ok_or_else(|| {
422                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
423                })?
424                .value(i);
425            Some(
426                Price::from_str(min_p_str)
427                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
428            )
429        };
430
431        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
432        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
433
434        let margin_init = Decimal::from_str(margin_init_values.value(i))
435            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
436        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
437            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
438        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
439            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
440        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
441            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
442
443        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
444        let info = if info_values.is_null(i) {
445            None
446        } else {
447            let info_bytes = info_values
448                .as_any()
449                .downcast_ref::<BinaryArray>()
450                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
451                .value(i);
452
453            match serde_json::from_slice::<Params>(info_bytes) {
454                Ok(info_dict) => Some(info_dict),
455                Err(e) => {
456                    return Err(EncodingError::ParseError(
457                        "info",
458                        format!("row {i}: failed to deserialize JSON: {e}"),
459                    ));
460                }
461            }
462        };
463
464        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
465        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
466
467        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
468
469        let futures_spread = FuturesSpread::builder()
470            .instrument_id(id)
471            .raw_symbol(raw_symbol)
472            .asset_class(asset_class)
473            .maybe_exchange(exchange)
474            .underlying(underlying)
475            .strategy_type(strategy_type)
476            .activation_ns(activation_ns)
477            .expiration_ns(expiration_ns)
478            .currency(currency)
479            .price_precision(price_prec)
480            .price_increment(price_increment)
481            .multiplier(multiplier)
482            .lot_size(lot_size)
483            .maybe_max_quantity(max_quantity)
484            .maybe_min_quantity(min_quantity)
485            .maybe_max_price(max_price)
486            .maybe_min_price(min_price)
487            .margin_init(margin_init)
488            .margin_maint(margin_maint)
489            .maker_fee(maker_fee)
490            .taker_fee(taker_fee)
491            .maybe_tick_scheme(tick_scheme)
492            .maybe_info(info)
493            .ts_event(ts_event)
494            .ts_init(ts_init)
495            .build()
496            .map_err(|e| super::instrument_validation_error::<FuturesSpread>(i, e))?;
497
498        result.push(futures_spread);
499    }
500
501    Ok(result)
502}
nautilus_serialization/arrow/instrument/futures_spread.rs

nautilus_serialization/arrow/instrument/
futures_spread.rs
