nautilus_persistence/python/backend/
session.rs

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1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 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_core::{
17    ffi::cvec::CVec,
18    python::{IntoPyObjectNautilusExt, to_pyruntime_err},
19};
20use nautilus_model::data::{Bar, OrderBookDelta, OrderBookDepth10, QuoteTick, TradeTick};
21use pyo3::{prelude::*, types::PyCapsule};
22
23use crate::backend::session::{DataBackendSession, DataQueryResult};
24
25#[repr(C)]
26#[pyclass(eq, eq_int)]
27#[derive(Clone, Copy, Debug, PartialEq, Eq)]
28pub enum NautilusDataType {
29    // Custom = 0,  # First slot reserved for custom data
30    OrderBookDelta = 1,
31    OrderBookDepth10 = 2,
32    QuoteTick = 3,
33    TradeTick = 4,
34    Bar = 5,
35}
36
37#[pymethods]
38impl DataBackendSession {
39    #[new]
40    #[pyo3(signature=(chunk_size=10_000))]
41    fn new_session(chunk_size: usize) -> Self {
42        Self::new(chunk_size)
43    }
44
45    /// Query a file for its records. the caller must specify `T` to indicate
46    /// the kind of data expected from this query.
47    ///
48    /// table_name: Logical table_name assigned to this file. Queries to this file should address the
49    /// file by its table name.
50    /// file_path: Path to file
51    /// sql_query: A custom sql query to retrieve records from file. If no query is provided a default
52    /// query "SELECT * FROM <table_name>" is run.
53    ///
54    /// # Safety
55    ///
56    /// The file data must be ordered by the ts_init in ascending order for this
57    /// to work correctly.
58    #[pyo3(name = "add_file")]
59    #[pyo3(signature = (data_type, table_name, file_path, sql_query=None))]
60    fn add_file_py(
61        mut slf: PyRefMut<'_, Self>,
62        data_type: NautilusDataType,
63        table_name: &str,
64        file_path: &str,
65        sql_query: Option<&str>,
66    ) -> PyResult<()> {
67        let _guard = slf.runtime.enter();
68
69        match data_type {
70            NautilusDataType::OrderBookDelta => slf
71                .add_file::<OrderBookDelta>(table_name, file_path, sql_query)
72                .map_err(to_pyruntime_err),
73            NautilusDataType::OrderBookDepth10 => slf
74                .add_file::<OrderBookDepth10>(table_name, file_path, sql_query)
75                .map_err(to_pyruntime_err),
76            NautilusDataType::QuoteTick => slf
77                .add_file::<QuoteTick>(table_name, file_path, sql_query)
78                .map_err(to_pyruntime_err),
79            NautilusDataType::TradeTick => slf
80                .add_file::<TradeTick>(table_name, file_path, sql_query)
81                .map_err(to_pyruntime_err),
82            NautilusDataType::Bar => slf
83                .add_file::<Bar>(table_name, file_path, sql_query)
84                .map_err(to_pyruntime_err),
85        }
86    }
87
88    fn to_query_result(mut slf: PyRefMut<'_, Self>) -> DataQueryResult {
89        let query_result = slf.get_query_result();
90        DataQueryResult::new(query_result, slf.chunk_size)
91    }
92}
93
94#[pymethods]
95impl DataQueryResult {
96    /// The reader implements an iterator.
97    const fn __iter__(slf: PyRef<'_, Self>) -> PyRef<'_, Self> {
98        slf
99    }
100
101    /// Each iteration returns a chunk of values read from the parquet file.
102    fn __next__(mut slf: PyRefMut<'_, Self>) -> PyResult<Option<PyObject>> {
103        match slf.next() {
104            Some(acc) if !acc.is_empty() => {
105                let cvec = slf.set_chunk(acc);
106                Python::with_gil(|py| match PyCapsule::new::<CVec>(py, cvec, None) {
107                    Ok(capsule) => Ok(Some(capsule.into_py_any_unwrap(py))),
108                    Err(e) => Err(to_pyruntime_err(e)),
109                })
110            }
111            _ => Ok(None),
112        }
113    }
114}
nautilus_persistence/python/backend/session.rs

nautilus_persistence/python/backend/
session.rs
