nautilus_serialization/arrow/
snapshot.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 nautilus_model::events::{OrderSnapshot, PositionSnapshot};
17
18use super::json::{JsonFieldSpec, impl_json_arrow};
19
20const ORDER_SNAPSHOT_FIELDS: &[JsonFieldSpec] = &[
21    JsonFieldSpec::utf8("trader_id", false),
22    JsonFieldSpec::utf8("strategy_id", false),
23    JsonFieldSpec::utf8("instrument_id", false),
24    JsonFieldSpec::utf8("client_order_id", false),
25    JsonFieldSpec::utf8("venue_order_id", true),
26    JsonFieldSpec::utf8("position_id", true),
27    JsonFieldSpec::utf8("account_id", true),
28    JsonFieldSpec::utf8("last_trade_id", true),
29    JsonFieldSpec::utf8("order_type", false),
30    JsonFieldSpec::utf8("order_side", false),
31    JsonFieldSpec::utf8("quantity", false),
32    JsonFieldSpec::utf8("price", true),
33    JsonFieldSpec::utf8("trigger_price", true),
34    JsonFieldSpec::utf8("trigger_type", true),
35    JsonFieldSpec::utf8("limit_offset", true),
36    JsonFieldSpec::utf8("trailing_offset", true),
37    JsonFieldSpec::utf8("trailing_offset_type", true),
38    JsonFieldSpec::utf8("time_in_force", false),
39    JsonFieldSpec::u64("expire_time", true),
40    JsonFieldSpec::utf8("filled_qty", false),
41    JsonFieldSpec::utf8("liquidity_side", true),
42    JsonFieldSpec::decimal_str("avg_px", true),
43    JsonFieldSpec::decimal_str("slippage", true),
44    JsonFieldSpec::utf8_json("commissions", false),
45    JsonFieldSpec::utf8("status", false),
46    JsonFieldSpec::boolean("is_post_only", false),
47    JsonFieldSpec::boolean("is_reduce_only", false),
48    JsonFieldSpec::boolean("is_quote_quantity", false),
49    JsonFieldSpec::utf8("display_qty", true),
50    JsonFieldSpec::utf8("emulation_trigger", true),
51    JsonFieldSpec::utf8("trigger_instrument_id", true),
52    JsonFieldSpec::utf8("contingency_type", true),
53    JsonFieldSpec::utf8("order_list_id", true),
54    JsonFieldSpec::utf8_json("linked_order_ids", true),
55    JsonFieldSpec::utf8("parent_order_id", true),
56    JsonFieldSpec::utf8("exec_algorithm_id", true),
57    JsonFieldSpec::utf8_json("exec_algorithm_params", true),
58    JsonFieldSpec::utf8("exec_spawn_id", true),
59    JsonFieldSpec::utf8_json("tags", true),
60    JsonFieldSpec::utf8("init_id", false),
61    JsonFieldSpec::u64("ts_init", false),
62    JsonFieldSpec::u64("ts_last", false),
63    // Appended (not inserted) so older batches without this column fail with a clean
64    // `MissingColumn` error rather than silently reading a shifted column.
65    JsonFieldSpec::utf8("activation_price", true),
66];
67
68const POSITION_SNAPSHOT_FIELDS: &[JsonFieldSpec] = &[
69    JsonFieldSpec::utf8("trader_id", false),
70    JsonFieldSpec::utf8("strategy_id", false),
71    JsonFieldSpec::utf8("instrument_id", false),
72    JsonFieldSpec::utf8("position_id", false),
73    JsonFieldSpec::utf8("account_id", false),
74    JsonFieldSpec::utf8("opening_order_id", false),
75    JsonFieldSpec::utf8("closing_order_id", true),
76    JsonFieldSpec::utf8("entry", false),
77    JsonFieldSpec::utf8("side", false),
78    JsonFieldSpec::f64("signed_qty", false),
79    JsonFieldSpec::utf8("quantity", false),
80    JsonFieldSpec::utf8("peak_qty", false),
81    JsonFieldSpec::utf8("quote_currency", false),
82    JsonFieldSpec::utf8("base_currency", true),
83    JsonFieldSpec::utf8("settlement_currency", false),
84    JsonFieldSpec::f64("avg_px_open", false),
85    JsonFieldSpec::f64("avg_px_close", true),
86    JsonFieldSpec::f64("realized_return", true),
87    JsonFieldSpec::utf8("realized_pnl", true),
88    JsonFieldSpec::utf8("unrealized_pnl", true),
89    JsonFieldSpec::utf8_json("commissions", false),
90    JsonFieldSpec::u64("duration_ns", true),
91    JsonFieldSpec::u64("ts_opened", false),
92    JsonFieldSpec::u64("ts_closed", true),
93    JsonFieldSpec::u64("ts_init", false),
94    JsonFieldSpec::u64("ts_last", false),
95    JsonFieldSpec::utf8_json("replay_state", true),
96];
97
98impl_json_arrow!(instrument OrderSnapshot, "OrderSnapshot", ORDER_SNAPSHOT_FIELDS);
99impl_json_arrow!(instrument PositionSnapshot,
100    "PositionSnapshot",
101    POSITION_SNAPSHOT_FIELDS
102);
103
104#[cfg(test)]
105mod tests {
106    use std::str::FromStr;
107
108    use arrow::datatypes::DataType;
109    use nautilus_core::{DurationNanos, UnixNanos};
110    use nautilus_model::{
111        enums::{OrderSide, OrderType, PositionSide, TrailingOffsetType},
112        identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TraderId},
113        orders::OrderTestBuilder,
114        types::{Currency, Money, Price, Quantity},
115    };
116    use rstest::rstest;
117    use rust_decimal::Decimal;
118    use rust_decimal_macros::dec;
119
120    use super::*;
121    use crate::arrow::{DecodeTypedFromRecordBatch, EncodeToRecordBatch, json::encode_batch};
122
123    #[rstest]
124    fn test_order_snapshot_round_trip_preserves_decimal_precision() {
125        let order = OrderTestBuilder::new(OrderType::TrailingStopLimit)
126            .instrument_id(InstrumentId::from("BTCUSDT.BINANCE"))
127            .side(OrderSide::Buy)
128            .price(Price::from("50000"))
129            .trigger_price(Price::from("50500"))
130            .limit_offset(Decimal::from_str("0.123456789123456789").unwrap())
131            .trailing_offset(Decimal::from_str("0.987654321987654321").unwrap())
132            .trailing_offset_type(TrailingOffsetType::Price)
133            .quantity(Quantity::from("0.5"))
134            .build();
135        let snapshot = OrderSnapshot::from(order);
136        let metadata = snapshot.metadata();
137        let batch =
138            OrderSnapshot::encode_batch(&metadata, std::slice::from_ref(&snapshot)).unwrap();
139        let decoded = OrderSnapshot::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
140
141        assert_eq!(decoded, vec![snapshot]);
142    }
143
144    fn make_order_snapshot(avg_px: Option<Decimal>, slippage: Option<Decimal>) -> OrderSnapshot {
145        let order = OrderTestBuilder::new(OrderType::Limit)
146            .instrument_id(InstrumentId::from("BTCUSDT.BINANCE"))
147            .side(OrderSide::Buy)
148            .price(Price::from("50000"))
149            .quantity(Quantity::from("0.5"))
150            .build();
151        let mut snapshot = OrderSnapshot::from(order);
152        snapshot.avg_px = avg_px;
153        snapshot.slippage = slippage;
154        snapshot
155    }
156
157    // The catalog spec before `avg_px` and `slippage` became exact
158    fn legacy_float64_fields() -> Vec<JsonFieldSpec> {
159        ORDER_SNAPSHOT_FIELDS
160            .iter()
161            .map(|spec| match spec.name {
162                "avg_px" | "slippage" => JsonFieldSpec::f64(spec.name, spec.nullable),
163                _ => *spec,
164            })
165            .collect()
166    }
167
168    #[rstest]
169    fn test_order_snapshot_round_trip_preserves_exact_avg_px_and_slippage() {
170        // A quotient at full `Decimal` scale, which is the precision the `Float64` column could
171        // not hold.
172        let snapshot = make_order_snapshot(
173            Some(Decimal::from_str("1.6666666666666666666666666667").unwrap()),
174            Some(Decimal::from_str("0.0000000000000000000000000001").unwrap()),
175        );
176        let metadata = snapshot.metadata();
177        let batch =
178            OrderSnapshot::encode_batch(&metadata, std::slice::from_ref(&snapshot)).unwrap();
179
180        let avg_px_field = batch.schema().field_with_name("avg_px").unwrap().clone();
181        let slippage_field = batch.schema().field_with_name("slippage").unwrap().clone();
182        let decoded = OrderSnapshot::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
183
184        assert_eq!(avg_px_field.data_type(), &DataType::Utf8);
185        assert_eq!(slippage_field.data_type(), &DataType::Utf8);
186        assert_eq!(decoded, vec![snapshot]);
187    }
188
189    #[rstest]
190    fn test_order_snapshot_round_trip_null_avg_px_and_slippage() {
191        let snapshot = make_order_snapshot(None, None);
192        let metadata = snapshot.metadata();
193        let batch =
194            OrderSnapshot::encode_batch(&metadata, std::slice::from_ref(&snapshot)).unwrap();
195        let decoded = OrderSnapshot::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
196
197        assert_eq!(decoded, vec![snapshot]);
198    }
199
200    #[rstest]
201    fn test_order_snapshot_decodes_legacy_float64_columns() {
202        // A catalog file written while the fields were `f64`: the columns are `Float64`, not
203        // `Utf8`, and must still decode to the same economic state without a version marker.
204        let snapshot = make_order_snapshot(Some(dec!(1.07)), Some(dec!(0.07)));
205        let metadata = snapshot.metadata();
206        let legacy_batch = encode_batch(
207            "OrderSnapshot",
208            &metadata,
209            std::slice::from_ref(&snapshot),
210            &legacy_float64_fields(),
211        )
212        .unwrap();
213
214        assert_eq!(
215            legacy_batch
216                .schema()
217                .field_with_name("avg_px")
218                .unwrap()
219                .data_type(),
220            &DataType::Float64
221        );
222
223        let decoded =
224            OrderSnapshot::decode_typed_batch(legacy_batch.schema().metadata(), legacy_batch)
225                .unwrap();
226
227        assert_eq!(decoded, vec![snapshot]);
228    }
229
230    #[rstest]
231    fn test_order_snapshot_decodes_legacy_float64_null_columns() {
232        let snapshot = make_order_snapshot(None, None);
233        let metadata = snapshot.metadata();
234        let legacy_batch = encode_batch(
235            "OrderSnapshot",
236            &metadata,
237            std::slice::from_ref(&snapshot),
238            &legacy_float64_fields(),
239        )
240        .unwrap();
241        let decoded =
242            OrderSnapshot::decode_typed_batch(legacy_batch.schema().metadata(), legacy_batch)
243                .unwrap();
244
245        assert_eq!(decoded, vec![snapshot]);
246    }
247
248    fn make_position_snapshot() -> PositionSnapshot {
249        PositionSnapshot {
250            trader_id: TraderId::from("TRADER-001"),
251            strategy_id: StrategyId::from("EMA-CROSS"),
252            instrument_id: InstrumentId::from("EURUSD.SIM"),
253            position_id: PositionId::from("P-001"),
254            account_id: AccountId::from("SIM-001"),
255            opening_order_id: ClientOrderId::from("O-1"),
256            closing_order_id: Some(ClientOrderId::from("O-2")),
257            entry: OrderSide::Buy,
258            side: PositionSide::Long,
259            signed_qty: 100.0,
260            quantity: Quantity::from("100"),
261            peak_qty: Quantity::from("100"),
262            quote_currency: Currency::USD(),
263            base_currency: Some(Currency::EUR()),
264            settlement_currency: Currency::USD(),
265            avg_px_open: 1.0500,
266            avg_px_close: Some(1.0600),
267            realized_return: Some(0.0095),
268            realized_pnl: Some(Money::new(100.0, Currency::USD())),
269            unrealized_pnl: Some(Money::new(50.0, Currency::USD())),
270            commissions: vec![Money::new(2.0, Currency::USD())],
271            duration_ns: Some(DurationNanos::from_hours(1)),
272            ts_opened: UnixNanos::from(1_000_000_000),
273            ts_closed: Some(UnixNanos::from(4_600_000_000)),
274            ts_init: UnixNanos::from(2_000_000_000),
275            ts_last: UnixNanos::from(4_600_000_000),
276            replay_state: None,
277        }
278    }
279
280    #[rstest]
281    fn test_position_snapshot_round_trip() {
282        let mut snapshot = make_position_snapshot();
283        snapshot.replay_state = Some(serde_json::json!({"fill_voids": []}));
284        let metadata = snapshot.metadata();
285        let batch =
286            PositionSnapshot::encode_batch(&metadata, std::slice::from_ref(&snapshot)).unwrap();
287        let decoded =
288            PositionSnapshot::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
289
290        assert_eq!(decoded, vec![snapshot]);
291    }
292
293    #[rstest]
294    fn test_position_snapshot_round_trip_null_optionals() {
295        let mut snapshot = make_position_snapshot();
296        snapshot.closing_order_id = None;
297        snapshot.base_currency = None;
298        snapshot.avg_px_close = None;
299        snapshot.realized_return = None;
300        snapshot.realized_pnl = None;
301        snapshot.unrealized_pnl = None;
302        snapshot.duration_ns = None;
303        snapshot.ts_closed = None;
304
305        let metadata = snapshot.metadata();
306        let batch =
307            PositionSnapshot::encode_batch(&metadata, std::slice::from_ref(&snapshot)).unwrap();
308        let decoded =
309            PositionSnapshot::decode_typed_batch(batch.schema().metadata(), batch).unwrap();
310
311        assert_eq!(decoded, vec![snapshot]);
312    }
313}
nautilus_serialization/arrow/snapshot.rs

nautilus_serialization/arrow/
snapshot.rs
