nautilus_persistence/python/wranglers/
delta.rs

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 std::{collections::HashMap, io::Cursor, str::FromStr};
17
18use datafusion::arrow::ipc::reader::StreamReader;
19use nautilus_core::python::to_pyvalue_err;
20use nautilus_model::{data::OrderBookDelta, identifiers::InstrumentId};
21use nautilus_serialization::arrow::DecodeFromRecordBatch;
22use pyo3::prelude::*;
23
24#[pyclass()]
25pub struct OrderBookDeltaDataWrangler {
26    instrument_id: InstrumentId,
27    price_precision: u8,
28    size_precision: u8,
29    metadata: HashMap<String, String>,
30}
31
32#[pymethods]
33impl OrderBookDeltaDataWrangler {
34    #[new]
35    fn py_new(instrument_id: &str, price_precision: u8, size_precision: u8) -> PyResult<Self> {
36        let instrument_id = InstrumentId::from_str(instrument_id).map_err(to_pyvalue_err)?;
37        let metadata =
38            OrderBookDelta::get_metadata(&instrument_id, price_precision, size_precision);
39
40        Ok(Self {
41            instrument_id,
42            price_precision,
43            size_precision,
44            metadata,
45        })
46    }
47
48    #[getter]
49    fn instrument_id(&self) -> String {
50        self.instrument_id.to_string()
51    }
52
53    #[getter]
54    const fn price_precision(&self) -> u8 {
55        self.price_precision
56    }
57
58    #[getter]
59    const fn size_precision(&self) -> u8 {
60        self.size_precision
61    }
62
63    fn process_record_batch_bytes(&self, data: &[u8]) -> PyResult<Vec<OrderBookDelta>> {
64        // Create a StreamReader (from Arrow IPC)
65        let cursor = Cursor::new(data);
66        let reader = match StreamReader::try_new(cursor, None) {
67            Ok(reader) => reader,
68            Err(e) => return Err(to_pyvalue_err(e)),
69        };
70
71        let mut deltas = Vec::new();
72
73        // Read the record batches
74        for maybe_batch in reader {
75            let record_batch = match maybe_batch {
76                Ok(record_batch) => record_batch,
77                Err(e) => return Err(to_pyvalue_err(e)),
78            };
79
80            let batch_deltas = OrderBookDelta::decode_batch(&self.metadata, record_batch)
81                .map_err(to_pyvalue_err)?;
82            deltas.extend(batch_deltas);
83        }
84
85        Ok(deltas)
86    }
87}
nautilus_persistence/python/wranglers/delta.rs

nautilus_persistence/python/wranglers/
delta.rs
