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

nautilus_persistence/python/wranglers/
quote.rs
