nautilus_serialization/arrow/instrument/
perpetual_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 PerpetualContract 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, UnixNanos};
30use nautilus_model::{
31    enums::AssetClass,
32    identifiers::{InstrumentId, Symbol},
33    instruments::perpetual_contract::PerpetualContract,
34    types::{money::Money, price::Price, quantity::Quantity},
35};
36use rust_decimal::Decimal;
37use ustr::Ustr;
38
39use super::KEY_CLASS;
40use crate::arrow::{
41    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
42    KEY_PRICE_PRECISION, extract_column, extract_column_by_name_or_index,
43    extract_optional_string_column_by_name, optional_ustr_value,
44};
45
46impl ArrowSchemaProvider for PerpetualContract {
47    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
48        let fields = vec![
49            Field::new("id", DataType::Utf8, false),
50            Field::new("raw_symbol", DataType::Utf8, false),
51            Field::new("underlying", DataType::Utf8, false),
52            Field::new("asset_class", DataType::Utf8, false),
53            Field::new("base_currency", DataType::Utf8, true), // nullable
54            Field::new("quote_currency", DataType::Utf8, false),
55            Field::new("settlement_currency", DataType::Utf8, false),
56            Field::new("is_inverse", DataType::Boolean, false),
57            Field::new("price_precision", DataType::UInt8, false),
58            Field::new("size_precision", DataType::UInt8, false),
59            Field::new("price_increment", DataType::Utf8, false),
60            Field::new("size_increment", DataType::Utf8, false),
61            Field::new("multiplier", DataType::Utf8, false),
62            Field::new("lot_size", DataType::Utf8, false),
63            Field::new("max_quantity", DataType::Utf8, true), // nullable
64            Field::new("min_quantity", DataType::Utf8, true), // nullable
65            Field::new("max_notional", DataType::Utf8, true), // nullable
66            Field::new("min_notional", DataType::Utf8, true), // nullable
67            Field::new("max_price", DataType::Utf8, true),    // nullable
68            Field::new("min_price", DataType::Utf8, true),    // nullable
69            Field::new("margin_init", DataType::Utf8, false),
70            Field::new("margin_maint", DataType::Utf8, false),
71            Field::new("maker_fee", DataType::Utf8, false),
72            Field::new("taker_fee", DataType::Utf8, false),
73            Field::new("tick_scheme", DataType::Utf8, true),
74            Field::new("info", DataType::Binary, true), // nullable
75            Field::new("ts_event", DataType::UInt64, false),
76            Field::new("ts_init", DataType::UInt64, false),
77        ];
78
79        let mut final_metadata = HashMap::new();
80        final_metadata.insert(KEY_CLASS.to_string(), "PerpetualContract".to_string());
81
82        if let Some(meta) = metadata {
83            final_metadata.extend(meta);
84        }
85
86        Schema::new_with_metadata(fields, final_metadata)
87    }
88}
89
90impl EncodeToRecordBatch for PerpetualContract {
91    fn encode_batch(
92        #[allow(unused)] metadata: &HashMap<String, String>,
93        data: &[Self],
94    ) -> Result<RecordBatch, ArrowError> {
95        let mut id_builder = StringBuilder::new();
96        let mut raw_symbol_builder = StringBuilder::new();
97        let mut underlying_builder = StringBuilder::new();
98        let mut asset_class_builder = StringBuilder::new();
99        let mut base_currency_builder = StringBuilder::new();
100        let mut quote_currency_builder = StringBuilder::new();
101        let mut settlement_currency_builder = StringBuilder::new();
102        let mut is_inverse_builder = BooleanBuilder::new();
103        let mut price_precision_builder = UInt8Array::builder(data.len());
104        let mut size_precision_builder = UInt8Array::builder(data.len());
105        let mut price_increment_builder = StringBuilder::new();
106        let mut size_increment_builder = StringBuilder::new();
107        let mut multiplier_builder = StringBuilder::new();
108        let mut lot_size_builder = StringBuilder::new();
109        let mut max_quantity_builder = StringBuilder::new();
110        let mut min_quantity_builder = StringBuilder::new();
111        let mut max_notional_builder = StringBuilder::new();
112        let mut min_notional_builder = StringBuilder::new();
113        let mut max_price_builder = StringBuilder::new();
114        let mut min_price_builder = StringBuilder::new();
115        let mut margin_init_builder = StringBuilder::new();
116        let mut margin_maint_builder = StringBuilder::new();
117        let mut maker_fee_builder = StringBuilder::new();
118        let mut taker_fee_builder = StringBuilder::new();
119        let mut tick_scheme_builder = StringBuilder::new();
120        let mut info_builder = BinaryBuilder::new();
121        let mut ts_event_builder = UInt64Array::builder(data.len());
122        let mut ts_init_builder = UInt64Array::builder(data.len());
123
124        for perp in data {
125            id_builder.append_value(perp.id.to_string());
126            raw_symbol_builder.append_value(perp.raw_symbol);
127            underlying_builder.append_value(perp.underlying.as_str());
128            asset_class_builder.append_value(perp.asset_class);
129
130            if let Some(base_cur) = perp.base_currency {
131                base_currency_builder.append_value(base_cur.to_string());
132            } else {
133                base_currency_builder.append_null();
134            }
135
136            quote_currency_builder.append_value(perp.quote_currency.to_string());
137            settlement_currency_builder.append_value(perp.settlement_currency.to_string());
138            is_inverse_builder.append_value(perp.is_inverse);
139            price_precision_builder.append_value(perp.price_precision);
140            size_precision_builder.append_value(perp.size_precision);
141            price_increment_builder.append_value(perp.price_increment.to_string());
142            size_increment_builder.append_value(perp.size_increment.to_string());
143            multiplier_builder.append_value(perp.multiplier.to_string());
144            lot_size_builder.append_value(perp.lot_size.to_string());
145
146            if let Some(max_qty) = perp.max_quantity {
147                max_quantity_builder.append_value(max_qty.to_string());
148            } else {
149                max_quantity_builder.append_null();
150            }
151
152            if let Some(min_qty) = perp.min_quantity {
153                min_quantity_builder.append_value(min_qty.to_string());
154            } else {
155                min_quantity_builder.append_null();
156            }
157
158            if let Some(max_not) = perp.max_notional {
159                max_notional_builder.append_value(max_not.to_string());
160            } else {
161                max_notional_builder.append_null();
162            }
163
164            if let Some(min_not) = perp.min_notional {
165                min_notional_builder.append_value(min_not.to_string());
166            } else {
167                min_notional_builder.append_null();
168            }
169
170            if let Some(max_p) = perp.max_price {
171                max_price_builder.append_value(max_p.to_string());
172            } else {
173                max_price_builder.append_null();
174            }
175
176            if let Some(min_p) = perp.min_price {
177                min_price_builder.append_value(min_p.to_string());
178            } else {
179                min_price_builder.append_null();
180            }
181
182            margin_init_builder.append_value(perp.margin_init.to_string());
183            margin_maint_builder.append_value(perp.margin_maint.to_string());
184            maker_fee_builder.append_value(perp.maker_fee.to_string());
185            taker_fee_builder.append_value(perp.taker_fee.to_string());
186
187            if let Some(tick_scheme) = perp.tick_scheme {
188                tick_scheme_builder.append_value(tick_scheme);
189            } else {
190                tick_scheme_builder.append_null();
191            }
192
193            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
194            if let Some(ref info) = perp.info {
195                match serde_json::to_vec(info) {
196                    Ok(json_bytes) => {
197                        info_builder.append_value(json_bytes);
198                    }
199                    Err(e) => {
200                        return Err(ArrowError::InvalidArgumentError(format!(
201                            "Failed to serialize info dict to JSON: {e}"
202                        )));
203                    }
204                }
205            } else {
206                info_builder.append_null();
207            }
208
209            ts_event_builder.append_value(perp.ts_event.as_u64());
210            ts_init_builder.append_value(perp.ts_init.as_u64());
211        }
212
213        let mut final_metadata = metadata.clone();
214        final_metadata.insert(KEY_CLASS.to_string(), "PerpetualContract".to_string());
215
216        RecordBatch::try_new(
217            Self::get_schema(Some(final_metadata)).into(),
218            vec![
219                Arc::new(id_builder.finish()),
220                Arc::new(raw_symbol_builder.finish()),
221                Arc::new(underlying_builder.finish()),
222                Arc::new(asset_class_builder.finish()),
223                Arc::new(base_currency_builder.finish()),
224                Arc::new(quote_currency_builder.finish()),
225                Arc::new(settlement_currency_builder.finish()),
226                Arc::new(is_inverse_builder.finish()),
227                Arc::new(price_precision_builder.finish()),
228                Arc::new(size_precision_builder.finish()),
229                Arc::new(price_increment_builder.finish()),
230                Arc::new(size_increment_builder.finish()),
231                Arc::new(multiplier_builder.finish()),
232                Arc::new(lot_size_builder.finish()),
233                Arc::new(max_quantity_builder.finish()),
234                Arc::new(min_quantity_builder.finish()),
235                Arc::new(max_notional_builder.finish()),
236                Arc::new(min_notional_builder.finish()),
237                Arc::new(max_price_builder.finish()),
238                Arc::new(min_price_builder.finish()),
239                Arc::new(margin_init_builder.finish()),
240                Arc::new(margin_maint_builder.finish()),
241                Arc::new(maker_fee_builder.finish()),
242                Arc::new(taker_fee_builder.finish()),
243                Arc::new(tick_scheme_builder.finish()),
244                Arc::new(info_builder.finish()),
245                Arc::new(ts_event_builder.finish()),
246                Arc::new(ts_init_builder.finish()),
247            ],
248        )
249    }
250
251    fn metadata(&self) -> HashMap<String, String> {
252        let mut metadata = HashMap::new();
253        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
254        metadata.insert(
255            KEY_PRICE_PRECISION.to_string(),
256            self.price_precision.to_string(),
257        );
258        metadata
259    }
260}
261
262/// Decodes [`PerpetualContract`] instruments from a record batch.
263///
264/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
265///
266/// # Errors
267///
268/// Returns an `EncodingError` if the record batch cannot be decoded.
269///
270/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
271pub fn decode_perpetual_contract_batch(
272    #[allow(unused)] metadata: &HashMap<String, String>,
273    record_batch: &RecordBatch,
274) -> Result<Vec<PerpetualContract>, EncodingError> {
275    let cols = record_batch.columns();
276    let num_rows = record_batch.num_rows();
277
278    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
279    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
280    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
281    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
282    let base_currency_values = cols
283        .get(4)
284        .ok_or_else(|| EncodingError::MissingColumn("base_currency", 4))?;
285    let quote_currency_values =
286        extract_column::<StringArray>(cols, "quote_currency", 5, DataType::Utf8)?;
287    let settlement_currency_values =
288        extract_column::<StringArray>(cols, "settlement_currency", 6, DataType::Utf8)?;
289    let is_inverse_values =
290        extract_column::<BooleanArray>(cols, "is_inverse", 7, DataType::Boolean)?;
291    let price_precision_values =
292        extract_column::<UInt8Array>(cols, "price_precision", 8, DataType::UInt8)?;
293    let size_precision_values =
294        extract_column::<UInt8Array>(cols, "size_precision", 9, DataType::UInt8)?;
295    let price_increment_values =
296        extract_column::<StringArray>(cols, "price_increment", 10, DataType::Utf8)?;
297    let size_increment_values =
298        extract_column::<StringArray>(cols, "size_increment", 11, DataType::Utf8)?;
299    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 12, DataType::Utf8)?;
300    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 13, DataType::Utf8)?;
301    let max_quantity_values = cols
302        .get(14)
303        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 14))?;
304    let min_quantity_values = cols
305        .get(15)
306        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 15))?;
307    let max_notional_values = cols
308        .get(16)
309        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 16))?;
310    let min_notional_values = cols
311        .get(17)
312        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 17))?;
313    let max_price_values = cols
314        .get(18)
315        .ok_or_else(|| EncodingError::MissingColumn("max_price", 18))?;
316    let min_price_values = cols
317        .get(19)
318        .ok_or_else(|| EncodingError::MissingColumn("min_price", 19))?;
319    let margin_init_values =
320        extract_column::<StringArray>(cols, "margin_init", 20, DataType::Utf8)?;
321    let margin_maint_values =
322        extract_column::<StringArray>(cols, "margin_maint", 21, DataType::Utf8)?;
323    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 22, DataType::Utf8)?;
324    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 23, DataType::Utf8)?;
325    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
326    let info_values =
327        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 24, DataType::Binary)?;
328    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
329        record_batch,
330        "ts_event",
331        25,
332        DataType::UInt64,
333    )?;
334    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
335        record_batch,
336        "ts_init",
337        26,
338        DataType::UInt64,
339    )?;
340
341    let mut result = Vec::with_capacity(num_rows);
342
343    for i in 0..num_rows {
344        let id = InstrumentId::from_str(id_values.value(i))
345            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
346        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
347        let underlying = Ustr::from(underlying_values.value(i));
348        let asset_class = AssetClass::from_str(asset_class_values.value(i))
349            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
350
351        let base_currency = if base_currency_values.is_null(i) {
352            None
353        } else {
354            let base_cur_str = base_currency_values
355                .as_any()
356                .downcast_ref::<StringArray>()
357                .ok_or_else(|| {
358                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
359                })?
360                .value(i);
361            Some(super::decode_currency(
362                base_cur_str,
363                "base_currency",
364                "perpetual_contract.base_currency",
365                i,
366            )?)
367        };
368
369        let quote_currency = super::decode_currency(
370            quote_currency_values.value(i),
371            "quote_currency",
372            "perpetual_contract.quote_currency",
373            i,
374        )?;
375        let settlement_currency = super::decode_currency(
376            settlement_currency_values.value(i),
377            "settlement_currency",
378            "perpetual_contract.settlement_currency",
379            i,
380        )?;
381        let is_inverse = is_inverse_values.value(i);
382        let price_prec = price_precision_values.value(i);
383        let size_prec = size_precision_values.value(i);
384
385        let price_increment = Price::from_str(price_increment_values.value(i))
386            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
387        let size_increment = Quantity::from_str(size_increment_values.value(i))
388            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
389
390        let multiplier = Quantity::from_str(multiplier_values.value(i))
391            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
392        let lot_size = Quantity::from_str(lot_size_values.value(i))
393            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
394
395        let max_quantity =
396            if max_quantity_values.is_null(i) {
397                None
398            } else {
399                let max_qty_str = max_quantity_values
400                    .as_any()
401                    .downcast_ref::<StringArray>()
402                    .ok_or_else(|| {
403                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
404                    })?
405                    .value(i);
406                Some(Quantity::from_str(max_qty_str).map_err(|e| {
407                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
408                })?)
409            };
410
411        let min_quantity =
412            if min_quantity_values.is_null(i) {
413                None
414            } else {
415                let min_qty_str = min_quantity_values
416                    .as_any()
417                    .downcast_ref::<StringArray>()
418                    .ok_or_else(|| {
419                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
420                    })?
421                    .value(i);
422                Some(Quantity::from_str(min_qty_str).map_err(|e| {
423                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
424                })?)
425            };
426
427        let max_notional =
428            if max_notional_values.is_null(i) {
429                None
430            } else {
431                let max_not_str = max_notional_values
432                    .as_any()
433                    .downcast_ref::<StringArray>()
434                    .ok_or_else(|| {
435                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
436                    })?
437                    .value(i);
438                Some(Money::from_str(max_not_str).map_err(|e| {
439                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
440                })?)
441            };
442
443        let min_notional =
444            if min_notional_values.is_null(i) {
445                None
446            } else {
447                let min_not_str = min_notional_values
448                    .as_any()
449                    .downcast_ref::<StringArray>()
450                    .ok_or_else(|| {
451                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
452                    })?
453                    .value(i);
454                Some(Money::from_str(min_not_str).map_err(|e| {
455                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
456                })?)
457            };
458
459        let max_price = if max_price_values.is_null(i) {
460            None
461        } else {
462            let max_p_str = max_price_values
463                .as_any()
464                .downcast_ref::<StringArray>()
465                .ok_or_else(|| {
466                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
467                })?
468                .value(i);
469            Some(
470                Price::from_str(max_p_str)
471                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
472            )
473        };
474
475        let min_price = if min_price_values.is_null(i) {
476            None
477        } else {
478            let min_p_str = min_price_values
479                .as_any()
480                .downcast_ref::<StringArray>()
481                .ok_or_else(|| {
482                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
483                })?
484                .value(i);
485            Some(
486                Price::from_str(min_p_str)
487                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
488            )
489        };
490
491        let margin_init = Decimal::from_str(margin_init_values.value(i))
492            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
493        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
494            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
495        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
496            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
497        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
498            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
499
500        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
501        let info = if info_values.is_null(i) {
502            None
503        } else {
504            let info_bytes = info_values
505                .as_any()
506                .downcast_ref::<BinaryArray>()
507                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
508                .value(i);
509
510            match serde_json::from_slice::<Params>(info_bytes) {
511                Ok(info_dict) => Some(info_dict),
512                Err(e) => {
513                    return Err(EncodingError::ParseError(
514                        "info",
515                        format!("row {i}: failed to deserialize JSON: {e}"),
516                    ));
517                }
518            }
519        };
520
521        let ts_event = UnixNanos::from(ts_event_values.value(i));
522        let ts_init = UnixNanos::from(ts_init_values.value(i));
523
524        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
525
526        let perp = PerpetualContract::builder()
527            .instrument_id(id)
528            .raw_symbol(raw_symbol)
529            .underlying(underlying)
530            .asset_class(asset_class)
531            .maybe_base_currency(base_currency)
532            .quote_currency(quote_currency)
533            .settlement_currency(settlement_currency)
534            .is_inverse(is_inverse)
535            .price_precision(price_prec)
536            .size_precision(size_prec)
537            .price_increment(price_increment)
538            .size_increment(size_increment)
539            .multiplier(multiplier)
540            .lot_size(lot_size)
541            .maybe_max_quantity(max_quantity)
542            .maybe_min_quantity(min_quantity)
543            .maybe_max_notional(max_notional)
544            .maybe_min_notional(min_notional)
545            .maybe_max_price(max_price)
546            .maybe_min_price(min_price)
547            .margin_init(margin_init)
548            .margin_maint(margin_maint)
549            .maker_fee(maker_fee)
550            .taker_fee(taker_fee)
551            .maybe_tick_scheme(tick_scheme)
552            .maybe_info(info)
553            .ts_event(ts_event)
554            .ts_init(ts_init)
555            .build()
556            .map_err(|e| super::instrument_validation_error::<PerpetualContract>(i, e))?;
557
558        result.push(perp);
559    }
560
561    Ok(result)
562}
nautilus_serialization/arrow/instrument/perpetual_contract.rs

nautilus_serialization/arrow/instrument/
perpetual_contract.rs
