nautilus_serialization/arrow/
quote.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
16use std::{collections::HashMap, sync::Arc};
17
18use arrow::{
19    array::{FixedSizeBinaryArray, FixedSizeBinaryBuilder, UInt64Array},
20    datatypes::{DataType, Field, Schema},
21    error::ArrowError,
22    record_batch::RecordBatch,
23};
24use nautilus_model::{data::QuoteTick, types::fixed::PRECISION_BYTES};
25
26use super::{
27    DecodeDataFromRecordBatch, EncodingError, decode_price, decode_quantity, extract_column,
28    parse_price_size_metadata, validate_precision_bytes,
29};
30use crate::arrow::{ArrowSchemaProvider, Data, DecodeFromRecordBatch, EncodeToRecordBatch};
31
32impl ArrowSchemaProvider for QuoteTick {
33    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
34        let fields = vec![
35            Field::new(
36                "bid_price",
37                DataType::FixedSizeBinary(PRECISION_BYTES),
38                false,
39            ),
40            Field::new(
41                "ask_price",
42                DataType::FixedSizeBinary(PRECISION_BYTES),
43                false,
44            ),
45            Field::new(
46                "bid_size",
47                DataType::FixedSizeBinary(PRECISION_BYTES),
48                false,
49            ),
50            Field::new(
51                "ask_size",
52                DataType::FixedSizeBinary(PRECISION_BYTES),
53                false,
54            ),
55            Field::new("ts_event", DataType::UInt64, false),
56            Field::new("ts_init", DataType::UInt64, false),
57        ];
58
59        match metadata {
60            Some(metadata) => Schema::new_with_metadata(fields, metadata),
61            None => Schema::new(fields),
62        }
63    }
64}
65
66impl EncodeToRecordBatch for QuoteTick {
67    fn encode_batch(
68        metadata: &HashMap<String, String>,
69        data: &[Self],
70    ) -> Result<RecordBatch, ArrowError> {
71        let mut bid_price_builder =
72            FixedSizeBinaryBuilder::with_capacity(data.len(), PRECISION_BYTES);
73        let mut ask_price_builder =
74            FixedSizeBinaryBuilder::with_capacity(data.len(), PRECISION_BYTES);
75        let mut bid_size_builder =
76            FixedSizeBinaryBuilder::with_capacity(data.len(), PRECISION_BYTES);
77        let mut ask_size_builder =
78            FixedSizeBinaryBuilder::with_capacity(data.len(), PRECISION_BYTES);
79        let mut ts_event_builder = UInt64Array::builder(data.len());
80        let mut ts_init_builder = UInt64Array::builder(data.len());
81
82        for quote in data {
83            bid_price_builder
84                .append_value(quote.bid_price.raw().to_le_bytes())
85                .unwrap();
86            ask_price_builder
87                .append_value(quote.ask_price.raw().to_le_bytes())
88                .unwrap();
89            bid_size_builder
90                .append_value(quote.bid_size.raw().to_le_bytes())
91                .unwrap();
92            ask_size_builder
93                .append_value(quote.ask_size.raw().to_le_bytes())
94                .unwrap();
95            ts_event_builder.append_value(quote.ts_event.as_u64());
96            ts_init_builder.append_value(quote.ts_init.as_u64());
97        }
98
99        RecordBatch::try_new(
100            Self::get_schema(Some(metadata.clone())).into(),
101            vec![
102                Arc::new(bid_price_builder.finish()),
103                Arc::new(ask_price_builder.finish()),
104                Arc::new(bid_size_builder.finish()),
105                Arc::new(ask_size_builder.finish()),
106                Arc::new(ts_event_builder.finish()),
107                Arc::new(ts_init_builder.finish()),
108            ],
109        )
110    }
111
112    fn metadata(&self) -> HashMap<String, String> {
113        Self::get_metadata(
114            &self.instrument_id,
115            self.bid_price.precision,
116            self.bid_size.precision,
117        )
118    }
119}
120
121impl DecodeFromRecordBatch for QuoteTick {
122    fn decode_batch(
123        metadata: &HashMap<String, String>,
124        record_batch: RecordBatch,
125    ) -> Result<Vec<Self>, EncodingError> {
126        let (instrument_id, price_precision, size_precision) = parse_price_size_metadata(metadata)?;
127        let cols = record_batch.columns();
128
129        let bid_price_values = extract_column::<FixedSizeBinaryArray>(
130            cols,
131            "bid_price",
132            0,
133            DataType::FixedSizeBinary(PRECISION_BYTES),
134        )?;
135        let ask_price_values = extract_column::<FixedSizeBinaryArray>(
136            cols,
137            "ask_price",
138            1,
139            DataType::FixedSizeBinary(PRECISION_BYTES),
140        )?;
141        let bid_size_values = extract_column::<FixedSizeBinaryArray>(
142            cols,
143            "bid_size",
144            2,
145            DataType::FixedSizeBinary(PRECISION_BYTES),
146        )?;
147        let ask_size_values = extract_column::<FixedSizeBinaryArray>(
148            cols,
149            "ask_size",
150            3,
151            DataType::FixedSizeBinary(PRECISION_BYTES),
152        )?;
153        let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 4, DataType::UInt64)?;
154        let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 5, DataType::UInt64)?;
155
156        validate_precision_bytes(bid_price_values, "bid_price")?;
157        validate_precision_bytes(ask_price_values, "ask_price")?;
158        validate_precision_bytes(bid_size_values, "bid_size")?;
159        validate_precision_bytes(ask_size_values, "ask_size")?;
160
161        let result: Result<Vec<Self>, EncodingError> = (0..record_batch.num_rows())
162            .map(|row| {
163                let bid_price = decode_price(
164                    bid_price_values.value(row),
165                    price_precision,
166                    "bid_price",
167                    row,
168                )?;
169                let ask_price = decode_price(
170                    ask_price_values.value(row),
171                    price_precision,
172                    "ask_price",
173                    row,
174                )?;
175                let bid_size =
176                    decode_quantity(bid_size_values.value(row), size_precision, "bid_size", row)?;
177                let ask_size =
178                    decode_quantity(ask_size_values.value(row), size_precision, "ask_size", row)?;
179                Ok(Self {
180                    instrument_id,
181                    bid_price,
182                    ask_price,
183                    bid_size,
184                    ask_size,
185                    ts_event: ts_event_values.value(row).into(),
186                    ts_init: ts_init_values.value(row).into(),
187                })
188            })
189            .collect();
190
191        result
192    }
193}
194
195impl DecodeDataFromRecordBatch for QuoteTick {
196    fn decode_data_batch(
197        metadata: &HashMap<String, String>,
198        record_batch: RecordBatch,
199    ) -> Result<Vec<Data>, EncodingError> {
200        let ticks: Vec<Self> = Self::decode_batch(metadata, record_batch)?;
201        Ok(ticks.into_iter().map(Data::from).collect())
202    }
203}
204
205#[cfg(test)]
206mod tests {
207    use std::{collections::HashMap, sync::Arc};
208
209    use arrow::{array::Array, record_batch::RecordBatch};
210    use nautilus_model::{
211        identifiers::InstrumentId,
212        types::{Price, Quantity, fixed::FIXED_SCALAR, price::PriceRaw, quantity::QuantityRaw},
213    };
214    use rstest::rstest;
215
216    use super::*;
217    use crate::arrow::{
218        KEY_INSTRUMENT_ID, KEY_PRICE_PRECISION, fixed_size_binary, get_raw_price, get_raw_quantity,
219    };
220
221    #[rstest]
222    fn test_get_schema() {
223        let instrument_id = InstrumentId::from("AAPL.XNAS");
224        let metadata = QuoteTick::get_metadata(&instrument_id, 2, 0);
225        let schema = QuoteTick::get_schema(Some(metadata.clone()));
226
227        let mut expected_fields = Vec::with_capacity(6);
228
229        expected_fields.push(Field::new(
230            "bid_price",
231            DataType::FixedSizeBinary(PRECISION_BYTES),
232            false,
233        ));
234        expected_fields.push(Field::new(
235            "ask_price",
236            DataType::FixedSizeBinary(PRECISION_BYTES),
237            false,
238        ));
239
240        expected_fields.extend(vec![
241            Field::new(
242                "bid_size",
243                DataType::FixedSizeBinary(PRECISION_BYTES),
244                false,
245            ),
246            Field::new(
247                "ask_size",
248                DataType::FixedSizeBinary(PRECISION_BYTES),
249                false,
250            ),
251            Field::new("ts_event", DataType::UInt64, false),
252            Field::new("ts_init", DataType::UInt64, false),
253        ]);
254
255        let expected_schema = Schema::new_with_metadata(expected_fields, metadata);
256        assert_eq!(schema, expected_schema);
257    }
258
259    #[rstest]
260    fn test_get_schema_map() {
261        let arrow_schema = QuoteTick::get_schema_map();
262        let mut expected_map = HashMap::new();
263
264        let fixed_size_binary = format!("FixedSizeBinary({PRECISION_BYTES})");
265        expected_map.insert("bid_price".to_string(), fixed_size_binary.clone());
266        expected_map.insert("ask_price".to_string(), fixed_size_binary.clone());
267        expected_map.insert("bid_size".to_string(), fixed_size_binary.clone());
268        expected_map.insert("ask_size".to_string(), fixed_size_binary);
269        expected_map.insert("ts_event".to_string(), "UInt64".to_string());
270        expected_map.insert("ts_init".to_string(), "UInt64".to_string());
271        assert_eq!(arrow_schema, expected_map);
272    }
273
274    #[rstest]
275    fn test_encode_quote_tick() {
276        // Create test data
277        let instrument_id = InstrumentId::from("AAPL.XNAS");
278        let tick1 = QuoteTick {
279            instrument_id,
280            bid_price: Price::from("100.10"),
281            ask_price: Price::from("101.50"),
282            bid_size: Quantity::from(1000),
283            ask_size: Quantity::from(500),
284            ts_event: 1.into(),
285            ts_init: 3.into(),
286        };
287
288        let tick2 = QuoteTick {
289            instrument_id,
290            bid_price: Price::from("100.75"),
291            ask_price: Price::from("100.20"),
292            bid_size: Quantity::from(750),
293            ask_size: Quantity::from(300),
294            ts_event: 2.into(),
295            ts_init: 4.into(),
296        };
297
298        let data = vec![tick1, tick2];
299        let metadata = QuoteTick::get_metadata(&instrument_id, 2, 0);
300        let record_batch = QuoteTick::encode_batch(&metadata, &data).unwrap();
301
302        // Verify the encoded data
303        let columns = record_batch.columns();
304
305        let bid_price_values = columns[0]
306            .as_any()
307            .downcast_ref::<FixedSizeBinaryArray>()
308            .unwrap();
309        let ask_price_values = columns[1]
310            .as_any()
311            .downcast_ref::<FixedSizeBinaryArray>()
312            .unwrap();
313        assert_eq!(
314            get_raw_price(bid_price_values.value(0)),
315            (100.10 * FIXED_SCALAR) as PriceRaw
316        );
317        assert_eq!(
318            get_raw_price(bid_price_values.value(1)),
319            (100.75 * FIXED_SCALAR) as PriceRaw
320        );
321        assert_eq!(
322            get_raw_price(ask_price_values.value(0)),
323            (101.50 * FIXED_SCALAR) as PriceRaw
324        );
325        assert_eq!(
326            get_raw_price(ask_price_values.value(1)),
327            (100.20 * FIXED_SCALAR) as PriceRaw
328        );
329
330        let bid_size_values = columns[2]
331            .as_any()
332            .downcast_ref::<FixedSizeBinaryArray>()
333            .unwrap();
334        let ask_size_values = columns[3]
335            .as_any()
336            .downcast_ref::<FixedSizeBinaryArray>()
337            .unwrap();
338        let ts_event_values = columns[4].as_any().downcast_ref::<UInt64Array>().unwrap();
339        let ts_init_values = columns[5].as_any().downcast_ref::<UInt64Array>().unwrap();
340
341        assert_eq!(columns.len(), 6);
342        assert_eq!(bid_size_values.len(), 2);
343        assert_eq!(
344            get_raw_quantity(bid_size_values.value(0)),
345            (1000.0 * FIXED_SCALAR) as QuantityRaw
346        );
347        assert_eq!(
348            get_raw_quantity(bid_size_values.value(1)),
349            (750.0 * FIXED_SCALAR) as QuantityRaw
350        );
351        assert_eq!(ask_size_values.len(), 2);
352        assert_eq!(
353            get_raw_quantity(ask_size_values.value(0)),
354            (500.0 * FIXED_SCALAR) as QuantityRaw
355        );
356        assert_eq!(
357            get_raw_quantity(ask_size_values.value(1)),
358            (300.0 * FIXED_SCALAR) as QuantityRaw
359        );
360        assert_eq!(ts_event_values.len(), 2);
361        assert_eq!(ts_event_values.value(0), 1);
362        assert_eq!(ts_event_values.value(1), 2);
363        assert_eq!(ts_init_values.len(), 2);
364        assert_eq!(ts_init_values.value(0), 3);
365        assert_eq!(ts_init_values.value(1), 4);
366    }
367
368    #[rstest]
369    fn test_decode_batch() {
370        let instrument_id = InstrumentId::from("AAPL.XNAS");
371        let metadata = QuoteTick::get_metadata(&instrument_id, 2, 0);
372
373        let raw_bid1 = (100.00 * FIXED_SCALAR) as PriceRaw;
374        let raw_bid2 = (99.00 * FIXED_SCALAR) as PriceRaw;
375        let raw_ask1 = (101.00 * FIXED_SCALAR) as PriceRaw;
376        let raw_ask2 = (100.00 * FIXED_SCALAR) as PriceRaw;
377
378        let (bid_price, ask_price) = (
379            fixed_size_binary(vec![&raw_bid1.to_le_bytes(), &raw_bid2.to_le_bytes()]),
380            fixed_size_binary(vec![&raw_ask1.to_le_bytes(), &raw_ask2.to_le_bytes()]),
381        );
382
383        let bid_size = fixed_size_binary(vec![
384            &((100.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
385            &((90.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
386        ]);
387        let ask_size = fixed_size_binary(vec![
388            &((110.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
389            &((100.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
390        ]);
391        let ts_event = UInt64Array::from(vec![1, 2]);
392        let ts_init = UInt64Array::from(vec![3, 4]);
393
394        let record_batch = RecordBatch::try_new(
395            QuoteTick::get_schema(Some(metadata.clone())).into(),
396            vec![
397                Arc::new(bid_price),
398                Arc::new(ask_price),
399                Arc::new(bid_size),
400                Arc::new(ask_size),
401                Arc::new(ts_event),
402                Arc::new(ts_init),
403            ],
404        )
405        .unwrap();
406
407        let decoded_data = QuoteTick::decode_batch(&metadata, record_batch).unwrap();
408        assert_eq!(decoded_data.len(), 2);
409
410        // Verify decoded values
411        assert_eq!(decoded_data[0].bid_price, Price::from_raw(raw_bid1, 2));
412        assert_eq!(decoded_data[0].ask_price, Price::from_raw(raw_ask1, 2));
413        assert_eq!(decoded_data[1].bid_price, Price::from_raw(raw_bid2, 2));
414        assert_eq!(decoded_data[1].ask_price, Price::from_raw(raw_ask2, 2));
415    }
416
417    #[rstest]
418    fn test_decode_batch_invalid_bid_price_returns_error() {
419        let instrument_id = InstrumentId::from("AAPL.XNAS");
420        let metadata = QuoteTick::get_metadata(&instrument_id, 2, 0);
421
422        let invalid_price: PriceRaw = PriceRaw::MAX - 1000;
423        let valid_price = (100.00 * FIXED_SCALAR) as PriceRaw;
424
425        let bid_price = fixed_size_binary(vec![&invalid_price.to_le_bytes()]);
426        let ask_price = fixed_size_binary(vec![&valid_price.to_le_bytes()]);
427        let bid_size =
428            fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as QuantityRaw).to_le_bytes()]);
429        let ask_size =
430            fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as QuantityRaw).to_le_bytes()]);
431        let ts_event = UInt64Array::from(vec![1]);
432        let ts_init = UInt64Array::from(vec![2]);
433
434        let record_batch = RecordBatch::try_new(
435            QuoteTick::get_schema(Some(metadata.clone())).into(),
436            vec![
437                Arc::new(bid_price),
438                Arc::new(ask_price),
439                Arc::new(bid_size),
440                Arc::new(ask_size),
441                Arc::new(ts_event),
442                Arc::new(ts_init),
443            ],
444        )
445        .unwrap();
446
447        let result = QuoteTick::decode_batch(&metadata, record_batch);
448        assert!(result.is_err());
449        let err = result.unwrap_err();
450        assert!(
451            err.to_string().contains("bid_price") && err.to_string().contains("row 0"),
452            "Expected bid_price error at row 0, was: {err}"
453        );
454    }
455
456    #[rstest]
457    fn test_decode_batch_invalid_ask_size_returns_error() {
458        use nautilus_model::types::{fixed::FIXED_PRECISION, quantity::QUANTITY_RAW_MAX};
459
460        let instrument_id = InstrumentId::from("AAPL.XNAS");
461        // Decode the size at full precision so the out-of-range raw value bypasses the
462        // precision-0 correction, which would otherwise round it back within the bound.
463        let metadata = QuoteTick::get_metadata(&instrument_id, 2, FIXED_PRECISION);
464
465        let valid_price = (100.00 * FIXED_SCALAR) as PriceRaw;
466        let bid_price = fixed_size_binary(vec![&valid_price.to_le_bytes()]);
467        let ask_price = fixed_size_binary(vec![&valid_price.to_le_bytes()]);
468        let bid_size =
469            fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as QuantityRaw).to_le_bytes()]);
470
471        let invalid_size = QUANTITY_RAW_MAX + 1;
472        let ask_size = fixed_size_binary(vec![&invalid_size.to_le_bytes()]);
473        let ts_event = UInt64Array::from(vec![1]);
474        let ts_init = UInt64Array::from(vec![2]);
475
476        let record_batch = RecordBatch::try_new(
477            QuoteTick::get_schema(Some(metadata.clone())).into(),
478            vec![
479                Arc::new(bid_price),
480                Arc::new(ask_price),
481                Arc::new(bid_size),
482                Arc::new(ask_size),
483                Arc::new(ts_event),
484                Arc::new(ts_init),
485            ],
486        )
487        .unwrap();
488
489        let result = QuoteTick::decode_batch(&metadata, record_batch);
490        assert!(result.is_err());
491        let err = result.unwrap_err();
492        assert!(
493            err.to_string().contains("ask_size") && err.to_string().contains("row 0"),
494            "Expected ask_size error at row 0, was: {err}"
495        );
496    }
497
498    #[rstest]
499    fn test_decode_batch_missing_instrument_id_returns_error() {
500        let instrument_id = InstrumentId::from("AAPL.XNAS");
501        let mut metadata = QuoteTick::get_metadata(&instrument_id, 2, 0);
502        metadata.remove(KEY_INSTRUMENT_ID);
503
504        let valid_price = (100.00 * FIXED_SCALAR) as PriceRaw;
505        let bid_price = fixed_size_binary(vec![&valid_price.to_le_bytes()]);
506        let ask_price = fixed_size_binary(vec![&valid_price.to_le_bytes()]);
507        let bid_size =
508            fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as QuantityRaw).to_le_bytes()]);
509        let ask_size =
510            fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as QuantityRaw).to_le_bytes()]);
511        let ts_event = UInt64Array::from(vec![1]);
512        let ts_init = UInt64Array::from(vec![2]);
513
514        let record_batch = RecordBatch::try_new(
515            QuoteTick::get_schema(Some(metadata.clone())).into(),
516            vec![
517                Arc::new(bid_price),
518                Arc::new(ask_price),
519                Arc::new(bid_size),
520                Arc::new(ask_size),
521                Arc::new(ts_event),
522                Arc::new(ts_init),
523            ],
524        )
525        .unwrap();
526
527        let result = QuoteTick::decode_batch(&metadata, record_batch);
528        assert!(result.is_err());
529        let err = result.unwrap_err();
530        assert!(
531            err.to_string().contains("instrument_id"),
532            "Expected missing instrument_id error, was: {err}"
533        );
534    }
535
536    #[rstest]
537    fn test_decode_batch_missing_price_precision_returns_error() {
538        let instrument_id = InstrumentId::from("AAPL.XNAS");
539        let mut metadata = QuoteTick::get_metadata(&instrument_id, 2, 0);
540        metadata.remove(KEY_PRICE_PRECISION);
541
542        let valid_price = (100.00 * FIXED_SCALAR) as PriceRaw;
543        let bid_price = fixed_size_binary(vec![&valid_price.to_le_bytes()]);
544        let ask_price = fixed_size_binary(vec![&valid_price.to_le_bytes()]);
545        let bid_size =
546            fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as QuantityRaw).to_le_bytes()]);
547        let ask_size =
548            fixed_size_binary(vec![&((100.0 * FIXED_SCALAR) as QuantityRaw).to_le_bytes()]);
549        let ts_event = UInt64Array::from(vec![1]);
550        let ts_init = UInt64Array::from(vec![2]);
551
552        let record_batch = RecordBatch::try_new(
553            QuoteTick::get_schema(Some(metadata.clone())).into(),
554            vec![
555                Arc::new(bid_price),
556                Arc::new(ask_price),
557                Arc::new(bid_size),
558                Arc::new(ask_size),
559                Arc::new(ts_event),
560                Arc::new(ts_init),
561            ],
562        )
563        .unwrap();
564
565        let result = QuoteTick::decode_batch(&metadata, record_batch);
566        assert!(result.is_err());
567        let err = result.unwrap_err();
568        assert!(
569            err.to_string().contains("price_precision"),
570            "Expected missing price_precision error, was: {err}"
571        );
572    }
573
574    #[rstest]
575    fn test_encode_decode_round_trip() {
576        let instrument_id = InstrumentId::from("AAPL.XNAS");
577        let metadata = QuoteTick::get_metadata(&instrument_id, 2, 0);
578
579        let tick1 = QuoteTick {
580            instrument_id,
581            bid_price: Price::from("100.10"),
582            ask_price: Price::from("100.20"),
583            bid_size: Quantity::from(1000),
584            ask_size: Quantity::from(500),
585            ts_event: 1_000_000_000.into(),
586            ts_init: 1_000_000_001.into(),
587        };
588
589        let tick2 = QuoteTick {
590            instrument_id,
591            bid_price: Price::from("100.15"),
592            ask_price: Price::from("100.25"),
593            bid_size: Quantity::from(750),
594            ask_size: Quantity::from(250),
595            ts_event: 2_000_000_000.into(),
596            ts_init: 2_000_000_001.into(),
597        };
598
599        let original = vec![tick1, tick2];
600        let record_batch = QuoteTick::encode_batch(&metadata, &original).unwrap();
601        let decoded = QuoteTick::decode_batch(&metadata, record_batch).unwrap();
602
603        assert_eq!(decoded.len(), original.len());
604        for (orig, dec) in original.iter().zip(decoded.iter()) {
605            assert_eq!(dec.instrument_id, orig.instrument_id);
606            assert_eq!(dec.bid_price, orig.bid_price);
607            assert_eq!(dec.ask_price, orig.ask_price);
608            assert_eq!(dec.bid_size, orig.bid_size);
609            assert_eq!(dec.ask_size, orig.ask_size);
610            assert_eq!(dec.ts_event, orig.ts_event);
611            assert_eq!(dec.ts_init, orig.ts_init);
612        }
613    }
614}
nautilus_serialization/arrow/quote.rs

nautilus_serialization/arrow/
quote.rs
